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 (124.8%) in the period of the last 5 years, the total return, or increase in value of 618.7% of NASDAQ 100 Balanced Unhedged Sub-strategy is greater, thus better.
• Compared with QQQ (59.5%) in the period of the last 3 years, the total return, or increase in value of 76.3% is larger, thus better.

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.'

• Looking at the compounded annual growth rate (CAGR) of 48.5% 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 (17.7%)
• Compared with QQQ (16.9%) in the period of the last 3 years, the annual return (CAGR) of 20.9% is higher, thus better.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Compared with the benchmark QQQ (23.6%) in the period of the last 5 years, the historical 30 days volatility of 29.8% of NASDAQ 100 Balanced Unhedged Sub-strategy is larger, thus worse.
• During the last 3 years, the 30 days standard deviation is 25.6%, which is higher, thus worse than the value of 23.8% 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 volatility over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 19.2%, which is greater, thus worse compared to the benchmark QQQ (16.5%) in the same period.
• Looking at downside volatility in of 17% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (16.3%).

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 ratio of return and volatility (Sharpe) over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 1.55, which is greater, thus better compared to the benchmark QQQ (0.64) in the same period.
• Compared with QQQ (0.61) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.72 is greater, thus better.

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.'

• Compared with the benchmark QQQ (0.92) in the period of the last 5 years, the downside risk / excess return profile of 2.4 of NASDAQ 100 Balanced Unhedged Sub-strategy is larger, thus better.
• Looking at ratio of annual return and downside deviation in of 1.08 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to QQQ (0.89).

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 Index over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 8.31 , which is lower, thus better compared to the benchmark QQQ (14 ) in the same period.
• Compared with QQQ (8.09 ) in the period of the last 3 years, the Ulcer Index of 8.35 is higher, thus worse.

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.'

• Looking at the maximum drop from peak to valley of -25.8 days 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 (-35.1 days)
• Looking at maximum drop from peak to valley in of -25.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (-22.8 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• 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.
• Looking at maximum days below previous high in of 134 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (190 days).

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.'

• The average time in days below previous high water mark over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 64 days, which is lower, 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 39 days, which is lower, thus better than the value of 44 days from the benchmark.