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.'

• Looking at the total return of 206.9% 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 (103.6%)
• Looking at total return, or performance in of 86.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (116.9%).

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 25.3%, which is higher, thus better compared to the benchmark QQQ (15.3%) in the same period.
• During the last 3 years, the annual return (CAGR) is 23.3%, which is lower, thus worse than the value of 29.7% from the benchmark.

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 25.7%, which is larger, thus worse compared to the benchmark QQQ (22.6%) in the same period.
• Looking at 30 days standard deviation in of 27.4% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (19.8%).

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 deviation of 17.1% 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 (15.7%)
• Compared with QQQ (13.2%) in the period of the last 3 years, the downside deviation of 18.4% is larger, thus worse.

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 (0.57) in the period of the last 5 years, the Sharpe Ratio of 0.89 of NASDAQ 100 Balanced Unhedged Sub-strategy is larger, thus better.
• Compared with QQQ (1.37) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.76 is lower, thus worse.

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 (0.82) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.33 of NASDAQ 100 Balanced Unhedged Sub-strategy is greater, thus better.
• Compared with QQQ (2.05) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.13 is lower, thus worse.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Compared with the benchmark QQQ (14 ) in the period of the last 5 years, the Ulcer Index of 12 of NASDAQ 100 Balanced Unhedged Sub-strategy is smaller, thus better.
• Compared with QQQ (4.71 ) in the period of the last 3 years, the Downside risk index of 14 is larger, thus worse.

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 reduction from previous high over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is -31.5 days, which is greater, thus better compared to the benchmark QQQ (-35.1 days) in the same period.
• Looking at maximum drop from peak to valley in of -31.5 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 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 time in days below previous high water mark over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 299 days, which is smaller, thus better compared to the benchmark QQQ (493 days) in the same period.
• During the last 3 years, the maximum days under water is 276 days, which is higher, thus worse than the value of 85 days from the benchmark.

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.'

• The average time in days below previous high water mark over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 88 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 80 days, which is higher, thus worse than the value of 25 days from the benchmark.