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.'

• Compared with the benchmark QQQ (130.5%) in the period of the last 5 years, the total return, or increase in value of 1205.7% of NASDAQ 100 Balanced Unhedged Sub-strategy is greater, thus better.
• Looking at total return, or performance in of 143.9% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to QQQ (27.5%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Looking at the compounded annual growth rate (CAGR) of 67.2% 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 (18.2%)
• Looking at annual return (CAGR) in of 34.6% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to QQQ (8.4%).

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.'

• Compared with the benchmark QQQ (25.4%) in the period of the last 5 years, the volatility of 30.7% of NASDAQ 100 Balanced Unhedged Sub-strategy is greater, thus worse.
• During the last 3 years, the historical 30 days volatility is 26.3%, which is higher, thus worse than the value of 23.1% from the benchmark.

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 19.7%, which is larger, thus worse compared to the benchmark QQQ (18%) in the same period.
• During the last 3 years, the downside deviation is 16.9%, which is greater, thus worse than the value of 16.2% 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 risk / return profile (Sharpe) over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 2.11, which is greater, thus better compared to the benchmark QQQ (0.62) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.22, which is higher, thus better than the value of 0.26 from the benchmark.

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 3.29 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 (0.87)
• Compared with QQQ (0.37) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.9 is greater, thus better.

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 Ulcer Index over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 7.27 , which is lower, thus better compared to the benchmark QQQ (14 ) in the same period.
• Compared with QQQ (17 ) in the period of the last 3 years, the Ulcer Index of 7.36 is smaller, thus better.

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.'

• Compared with the benchmark QQQ (-35.1 days) in the period of the last 5 years, the maximum drop from peak to valley of -31.2 days of NASDAQ 100 Balanced Unhedged Sub-strategy is higher, thus better.
• Compared with QQQ (-35.1 days) in the period of the last 3 years, the maximum drop from peak to valley of -18.1 days is greater, thus better.

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.'

• Looking at the maximum days under water of 299 days in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark QQQ (493 days)
• Looking at maximum time in days below previous high water mark in of 299 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (493 days).

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 56 days, which is smaller, 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 79 days, which is smaller, thus better than the value of 178 days from the benchmark.