NASDAQ 100 Balanced Unhedged Sub-strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 170.8%, which is higher, thus better compared to the benchmark QQQ (130.6%) in the same period.
• Looking at total return in of 69.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (114.1%).

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 annual return (CAGR) of 22.1% 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 (18.3%)
• Looking at annual performance (CAGR) in of 19.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (29.1%).

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.'

• Looking at the volatility of 27.6% in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark QQQ (22.4%)
• Looking at volatility in of 28.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (19.6%).

DownVol:

'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 18.6% 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 (15.4%)
• During the last 3 years, the downside deviation is 19.8%, which is higher, thus worse than the value of 13.2% 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.'

• Compared with the benchmark QQQ (0.7) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.71 of NASDAQ 100 Balanced Unhedged Sub-strategy is higher, thus better.
• Compared with QQQ (1.35) in the period of the last 3 years, the Sharpe Ratio of 0.59 is lower, thus worse.

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.'

• The excess return divided by the downside deviation over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 1.06, which is larger, thus better compared to the benchmark QQQ (1.02) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 0.86, which is smaller, thus worse than the value of 2.01 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.'

• Looking at the Ulcer Index of 13 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 (14 )
• Looking at Downside risk index in of 15 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (4.85 ).

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.'

• The maximum drop from peak to valley over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is -31.5 days, which is higher, thus better compared to the benchmark QQQ (-35.1 days) in the same period.
• During the last 3 years, the maximum DrawDown is -31.5 days, which is smaller, 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.'

• Compared with the benchmark QQQ (493 days) in the period of the last 5 years, the maximum days under water of 363 days of NASDAQ 100 Balanced Unhedged Sub-strategy is smaller, thus better.
• Looking at maximum days under water in of 363 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (113 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.'

• Looking at the average days below previous high of 109 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 (125 days)
• During the last 3 years, the average time in days below previous high water mark is 112 days, which is larger, thus worse than the value of 31 days from the benchmark.