NASDAQ 100 Balanced Unhedged Sub-strategy

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• The total return, or increase in value over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 215.6%, which is larger, thus better compared to the benchmark QQQ (99%) in the same period.
• During the last 3 years, the total return is 49.2%, which is smaller, thus worse than the value of 123.1% from the benchmark.

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.'

• Compared with the benchmark QQQ (14.8%) in the period of the last 5 years, the annual return (CAGR) of 26% of NASDAQ 100 Balanced Unhedged Sub-strategy is greater, thus better.
• During the last 3 years, the annual return (CAGR) is 14.3%, which is smaller, thus worse than the value of 30.9% from the benchmark.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark QQQ (22.7%) in the period of the last 5 years, the 30 days standard deviation of 26.7% of NASDAQ 100 Balanced Unhedged Sub-strategy is larger, thus worse.
• Compared with QQQ (20.1%) in the period of the last 3 years, the 30 days standard deviation of 27.1% is larger, thus worse.

DownVol:

'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.'

• The downside deviation over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 17.6%, which is higher, thus worse compared to the benchmark QQQ (15.7%) in the same period.
• During the last 3 years, the downside deviation is 18.5%, which is higher, thus worse than the value of 13.4% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The Sharpe Ratio over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 0.88, which is larger, thus better compared to the benchmark QQQ (0.54) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.44, which is lower, thus worse than the value of 1.41 from the benchmark.

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.'

• Compared with the benchmark QQQ (0.78) in the period of the last 5 years, the downside risk / excess return profile of 1.33 of NASDAQ 100 Balanced Unhedged Sub-strategy is greater, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 0.64, which is smaller, thus worse than the value of 2.12 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark QQQ (14 ) in the period of the last 5 years, the Ulcer Index of 11 of NASDAQ 100 Balanced Unhedged Sub-strategy is lower, thus better.
• Looking at Downside risk index in of 13 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (4.7 ).

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.'

• The maximum DrawDown over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is -31.5 days, which is higher, thus better compared to the benchmark QQQ (-35.1 days) in the same period.
• During the last 3 years, the maximum DrawDown is -31.5 days, which is smaller, thus worse than the value of -22.8 days from the benchmark.

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.'

• The maximum days under water over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 299 days, which is lower, thus better compared to the benchmark QQQ (493 days) in the same period.
• Looking at maximum days under water in of 250 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (85 days).

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. 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.'

• Looking at the average days below previous high of 83 days in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark QQQ (121 days)
• Compared with QQQ (24 days) in the period of the last 3 years, the average days under water of 70 days is higher, thus worse.