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.'

• Looking at the total return, or increase in value of 194.2% 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 (97.2%)
• Looking at total return in of 84.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (119.4%).

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 (14.6%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 24.2% of NASDAQ 100 Balanced Unhedged Sub-strategy is higher, thus better.
• During the last 3 years, the annual performance (CAGR) is 22.8%, which is lower, thus worse than the value of 30.1% 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 historical 30 days volatility over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 26%, which is higher, thus worse compared to the benchmark QQQ (22.6%) in the same period.
• Looking at historical 30 days volatility in of 27.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (19.8%).

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 greater, thus worse in comparison to the benchmark QQQ (15.7%)
• Compared with QQQ (13.2%) in the period of the last 3 years, the downside volatility of 18.4% is higher, thus worse.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The Sharpe Ratio over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 0.83, which is higher, thus better compared to the benchmark QQQ (0.54) in the same period.
• Looking at Sharpe Ratio in of 0.74 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (1.39).

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.'

• The excess return divided by the downside deviation over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 1.25, which is greater, thus better compared to the benchmark QQQ (0.77) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 1.1, which is smaller, thus worse than the value of 2.08 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.'

• The Ulcer Ratio over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 12 , which is lower, thus better compared to the benchmark QQQ (14 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 14 , which is higher, thus worse than the value of 4.7 from the benchmark.

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 -31.5 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 reduction from previous high is -31.5 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.'

• 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)
• During the last 3 years, the maximum days under water is 274 days, which is higher, 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 (121 days) in the period of the last 5 years, the average days under water of 88 days of NASDAQ 100 Balanced Unhedged Sub-strategy is lower, thus better.
• Looking at average days under water in of 79 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (25 days).