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 over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 1211.8%, which is higher, thus better compared to the benchmark QQQ (145.1%) in the same period.
• During the last 3 years, the total return, or performance is 137.7%, which is greater, thus better than the value of 26.9% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The annual return (CAGR) over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 67.5%, which is higher, thus better compared to the benchmark QQQ (19.7%) in the same period.
• Compared with QQQ (8.3%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 33.5% is higher, thus better.

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.'

• The historical 30 days volatility over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 31.3%, which is higher, thus worse compared to the benchmark QQQ (25.4%) in the same period.
• Compared with QQQ (23.2%) in the period of the last 3 years, the historical 30 days volatility of 27% is greater, thus worse.

DownVol:

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

• Looking at the downside risk of 20% 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 (18%)
• During the last 3 years, the downside deviation is 17.5%, which is higher, thus worse than the value of 16.4% 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.'

• Compared with the benchmark QQQ (0.68) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 2.08 of NASDAQ 100 Balanced Unhedged Sub-strategy is larger, thus better.
• Compared with QQQ (0.25) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.15 is larger, thus better.

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.'

• Looking at the ratio of annual return and downside deviation of 3.24 in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark QQQ (0.96)
• During the last 3 years, the ratio of annual return and downside deviation is 1.78, which is greater, thus better than the value of 0.35 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.'

• The Ulcer Index over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 7.48 , which is lower, thus better compared to the benchmark QQQ (14 ) in the same period.
• Looking at Ulcer Index in of 7.69 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to QQQ (17 ).

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 -31.2 days, which is larger, thus better compared to the benchmark QQQ (-35.1 days) in the same period.
• Looking at maximum reduction from previous high in of -18.1 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to QQQ (-35.1 days).

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 time in days below previous high water mark of 299 days of NASDAQ 100 Balanced Unhedged Sub-strategy is lower, thus better.
• Looking at maximum days under water 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.'

• Compared with the benchmark QQQ (122 days) in the period of the last 5 years, the average days below previous high of 56 days of NASDAQ 100 Balanced Unhedged Sub-strategy is smaller, thus better.
• During the last 3 years, the average days below previous high is 80 days, which is lower, thus better than the value of 178 days from the benchmark.