NASDAQ 100 Balanced Unhedged Sub-strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return, or increase in value over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 287.9%, which is greater, thus better compared to the benchmark QQQ (103.4%) in the same period.
• During the last 3 years, the total return is 73.9%, which is lower, thus worse than the value of 91.4% 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.'

• Looking at the annual return (CAGR) of 31.3% 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 (15.3%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 20.3%, which is smaller, thus worse than the value of 24.3% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The 30 days standard deviation over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 27.7%, which is higher, thus worse compared to the benchmark QQQ (23.3%) in the same period.
• Compared with QQQ (21.9%) in the period of the last 3 years, the 30 days standard deviation of 26.2% is higher, thus worse.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside deviation over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 18.3%, which is higher, thus worse compared to the benchmark QQQ (16.2%) in the same period.
• Compared with QQQ (14.5%) in the period of the last 3 years, the downside risk of 17.5% is larger, thus worse.

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 (0.55) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.04 of NASDAQ 100 Balanced Unhedged Sub-strategy is higher, thus better.
• Looking at Sharpe Ratio in of 0.68 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (1).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the downside risk / excess return profile of 1.57 in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark QQQ (0.79)
• During the last 3 years, the excess return divided by the downside deviation is 1.02, which is lower, thus worse than the value of 1.5 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark QQQ (14 ) in the period of the last 5 years, the Ulcer Ratio of 9.57 of NASDAQ 100 Balanced Unhedged Sub-strategy is smaller, thus better.
• Compared with QQQ (6.01 ) in the period of the last 3 years, the Downside risk index of 10 is larger, thus worse.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark QQQ (-35.1 days) in the period of the last 5 years, the maximum reduction from previous high of -25.8 days of NASDAQ 100 Balanced Unhedged Sub-strategy is greater, thus better.
• Compared with QQQ (-22.8 days) in the period of the last 3 years, the maximum reduction from previous high of -25.8 days is lower, thus worse.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• 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.
• Compared with QQQ (98 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 173 days is greater, thus worse.

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 under water over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 71 days, which is lower, thus better compared to the benchmark QQQ (121 days) in the same period.
• During the last 3 years, the average days below previous high is 49 days, which is greater, thus worse than the value of 29 days from the benchmark.