Description

The NASDAQ 100 leaders is a sub-strategy that uses proprietary risk-adjusted momentum to pick the most appropriate 4 NASDAQ 100 stocks. It is part for the Nasdaq 100 hedged strategy where it is combined with a variable hedge.

Methodology & Assets

The model chooses four individual stocks from the NASDAQ 100 stock index. So depending on what stocks are in the NASDAQ 100, the stock rotation formula might include the new ones.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • Looking at the total return of 235.7% in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark QQQ (158.8%)
  • Looking at total return, or performance in of 109.9% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to QQQ (95.1%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Applying this definition to our asset in some examples:
  • The compounded annual growth rate (CAGR) over 5 years of NASDAQ 100 Leaders Sub-strategy is 27.4%, which is larger, thus better compared to the benchmark QQQ (20.9%) in the same period.
  • Looking at annual return (CAGR) in of 28% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to QQQ (25%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark QQQ (21.7%) in the period of the last 5 years, the historical 30 days volatility of 22.4% of NASDAQ 100 Leaders Sub-strategy is higher, thus worse.
  • Looking at 30 days standard deviation in of 24.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (24.6%).

DownVol:

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

Applying this definition to our asset in some examples:
  • Looking at the downside volatility of 15.4% in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark QQQ (15.5%)
  • Looking at downside risk in of 17.4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to QQQ (17.6%).

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.'

Which means for our asset as example:
  • Compared with the benchmark QQQ (0.85) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.11 of NASDAQ 100 Leaders Sub-strategy is larger, thus better.
  • Looking at risk / return profile (Sharpe) in of 1.02 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to QQQ (0.91).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Applying this definition to our asset in some examples:
  • Looking at the excess return divided by the downside deviation of 1.62 in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark QQQ (1.19)
  • Looking at excess return divided by the downside deviation in of 1.47 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to QQQ (1.27).

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.'

Which means for our asset as example:
  • The Downside risk index over 5 years of NASDAQ 100 Leaders Sub-strategy is 6.6 , which is larger, thus worse compared to the benchmark QQQ (5.99 ) in the same period.
  • During the last 3 years, the Ulcer Ratio is 7.69 , which is larger, thus worse than the value of 6.59 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark QQQ (-28.6 days) in the period of the last 5 years, the maximum DrawDown of -33.1 days of NASDAQ 100 Leaders Sub-strategy is lower, thus worse.
  • During the last 3 years, the maximum reduction from previous high is -33.1 days, which is lower, thus worse than the value of -28.6 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark QQQ (163 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 153 days of NASDAQ 100 Leaders Sub-strategy is lower, thus better.
  • During the last 3 years, the maximum days below previous high is 98 days, which is lower, thus better than the value of 154 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.'

Using this definition on our asset we see for example:
  • Looking at the average time in days below previous high water mark of 27 days in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark QQQ (36 days)
  • Compared with QQQ (33 days) in the period of the last 3 years, the average days under water of 19 days is lower, thus better.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of NASDAQ 100 Leaders Sub-strategy are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.