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 (122%) in the period of the last 5 years, the total return, or performance of 278.7% of NASDAQ 100 Balanced Unhedged Sub-strategy is higher, thus better.
• During the last 3 years, the total return is 60.1%, which is lower, thus worse than the value of 119.8% from the benchmark.

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.'

• Compared with the benchmark QQQ (17.4%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 30.7% of NASDAQ 100 Balanced Unhedged Sub-strategy is greater, thus better.
• Compared with QQQ (30.2%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 17.1% is smaller, thus worse.

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 (22.6%) in the period of the last 5 years, the 30 days standard deviation of 26.6% of NASDAQ 100 Balanced Unhedged Sub-strategy is larger, thus worse.
• Compared with QQQ (20.3%) in the period of the last 3 years, the 30 days standard deviation of 26.5% is greater, thus worse.

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.'

• Looking at the downside volatility of 17.4% in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark QQQ (15.7%)
• During the last 3 years, the downside deviation is 18%, which is larger, thus worse than the value of 13.5% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 1.06, which is greater, thus better compared to the benchmark QQQ (0.66) in the same period.
• Looking at Sharpe Ratio in of 0.55 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (1.36).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Looking at the downside risk / excess return profile of 1.62 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 (0.95)
• Compared with QQQ (2.06) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.81 is lower, thus worse.

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.'

• The Downside risk index over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 11 , which is smaller, thus better compared to the benchmark QQQ (14 ) in the same period.
• Looking at Downside risk index in of 12 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (4.84 ).

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 reduction from previous high over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is -27.4 days, which is larger, thus better compared to the benchmark QQQ (-35.1 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -27.4 days, which is lower, 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.
• During the last 3 years, the maximum days under water is 226 days, which is greater, thus worse than the value of 85 days from the benchmark.

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.'

• Compared with the benchmark QQQ (122 days) in the period of the last 5 years, the average days below previous high of 79 days of NASDAQ 100 Balanced Unhedged Sub-strategy is lower, thus better.
• Looking at average days below previous high in of 64 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (23 days).