NASDAQ 100 Balanced Unhedged Sub-strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 393.9%, which is larger, thus better compared to the benchmark QQQ (127.5%) in the same period.
• Compared with QQQ (101.1%) in the period of the last 3 years, the total return, or performance of 83% is smaller, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual return (CAGR) over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 37.8%, which is higher, thus better compared to the benchmark QQQ (17.9%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 22.4%, which is lower, thus worse than the value of 26.3% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the historical 30 days volatility of 28.4% in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively greater, thus worse in comparison to the benchmark QQQ (23.5%)
• Looking at volatility in of 25.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (22.6%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• Compared with the benchmark QQQ (16.3%) in the period of the last 5 years, the downside volatility of 18.7% of NASDAQ 100 Balanced Unhedged Sub-strategy is higher, thus worse.
• During the last 3 years, the downside volatility is 17.1%, which is greater, thus worse than the value of 14.9% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark QQQ (0.66) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.24 of NASDAQ 100 Balanced Unhedged Sub-strategy is larger, thus better.
• Compared with QQQ (1.06) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.77 is lower, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The excess return divided by the downside deviation over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 1.89, which is greater, thus better compared to the benchmark QQQ (0.95) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 1.17, which is smaller, thus worse than the value of 1.59 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• The Downside risk index over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 9 , which is lower, thus better compared to the benchmark QQQ (14 ) in the same period.
• During the last 3 years, the Downside risk index is 9.38 , which is higher, thus worse than the value of 7.9 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Looking at the maximum DrawDown of -25.8 days in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark QQQ (-35.1 days)
• Compared with QQQ (-22.8 days) in the period of the last 3 years, the maximum DrawDown of -25.8 days is lower, thus worse.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

• Compared with the benchmark QQQ (493 days) in the period of the last 5 years, the maximum days below previous high of 299 days of NASDAQ 100 Balanced Unhedged Sub-strategy is smaller, thus better.
• During the last 3 years, the maximum days under water is 134 days, which is smaller, thus better than the value of 190 days from the benchmark.

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• The average days below previous high over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 67 days, which is lower, thus better compared to the benchmark QQQ (122 days) in the same period.
• Compared with QQQ (47 days) in the period of the last 3 years, the average days below previous high of 43 days is smaller, thus better.