NASDAQ 100 Leaders 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, or increase in value of 159.2% in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark QQQ (115.2%)
• Looking at total return, or increase in value in of 107.4% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to QQQ (105.1%).

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.'

• Compared with the benchmark QQQ (16.7%) in the period of the last 5 years, the annual performance (CAGR) of 21.1% of NASDAQ 100 Leaders Sub-strategy is greater, thus better.
• Looking at compounded annual growth rate (CAGR) in of 27.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to QQQ (27.3%).

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 volatility over 5 years of NASDAQ 100 Leaders Sub-strategy is 36.6%, which is higher, thus worse compared to the benchmark QQQ (23%) in the same period.
• Looking at historical 30 days volatility in of 38.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (20.4%).

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.'

• The downside deviation over 5 years of NASDAQ 100 Leaders Sub-strategy is 24.8%, which is larger, thus worse compared to the benchmark QQQ (15.8%) in the same period.
• Looking at downside deviation in of 26.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (13.8%).

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.'

• The Sharpe Ratio over 5 years of NASDAQ 100 Leaders Sub-strategy is 0.51, which is smaller, thus worse compared to the benchmark QQQ (0.62) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.65 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (1.21).

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 (0.89) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.75 of NASDAQ 100 Leaders Sub-strategy is lower, thus worse.
• Looking at downside risk / excess return profile in of 0.96 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (1.8).

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 Ratio of 23 of NASDAQ 100 Leaders Sub-strategy is higher, thus worse.
• Compared with QQQ (4.8 ) in the period of the last 3 years, the Ulcer Ratio of 19 is greater, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark QQQ (-35.1 days) in the period of the last 5 years, the maximum reduction from previous high of -45.1 days of NASDAQ 100 Leaders Sub-strategy is lower, thus worse.
• Compared with QQQ (-22.8 days) in the period of the last 3 years, the maximum reduction from previous high of -35.5 days is lower, thus worse.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark QQQ (493 days) in the period of the last 5 years, the maximum days under water of 507 days of NASDAQ 100 Leaders Sub-strategy is larger, thus worse.
• Compared with QQQ (113 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 486 days is greater, thus worse.

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.'

• Compared with the benchmark QQQ (125 days) in the period of the last 5 years, the average days under water of 211 days of NASDAQ 100 Leaders Sub-strategy is higher, thus worse.
• Compared with QQQ (30 days) in the period of the last 3 years, the average days below previous high of 176 days is larger, thus worse.