NASDAQ 100 Leaders Sub-strategy

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.'

• The total return over 5 years of NASDAQ 100 Leaders Sub-strategy is 130.6%, which is larger, thus better compared to the benchmark QQQ (105.4%) in the same period.
• Compared with QQQ (125.3%) in the period of the last 3 years, the total return, or performance of 98.5% is lower, thus worse.

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 Leaders Sub-strategy is 18.3%, which is larger, thus better compared to the benchmark QQQ (15.6%) in the same period.
• Compared with QQQ (31.2%) in the period of the last 3 years, the annual return (CAGR) of 25.8% is lower, thus worse.

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 30 days standard deviation over 5 years of NASDAQ 100 Leaders Sub-strategy is 33.6%, which is higher, thus worse compared to the benchmark QQQ (22.6%) in the same period.
• Compared with QQQ (19.9%) in the period of the last 3 years, the historical 30 days volatility of 30.4% is greater, thus worse.

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.'

• Compared with the benchmark QQQ (15.7%) in the period of the last 5 years, the downside deviation of 23.5% of NASDAQ 100 Leaders Sub-strategy is larger, thus worse.
• Looking at downside risk in of 20.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (13.2%).

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 Leaders Sub-strategy is 0.47, which is smaller, thus worse compared to the benchmark QQQ (0.58) in the same period.
• Looking at Sharpe Ratio in of 0.77 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (1.45).

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.'

• Looking at the ratio of annual return and downside deviation of 0.67 in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark QQQ (0.83)
• During the last 3 years, the ratio of annual return and downside deviation is 1.12, which is lower, thus worse than the value of 2.18 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Downside risk index over 5 years of NASDAQ 100 Leaders Sub-strategy is 24 , which is higher, thus worse compared to the benchmark QQQ (14 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 18 , which is higher, thus worse than the value of 4.7 from the benchmark.

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.'

• The maximum drop from peak to valley over 5 years of NASDAQ 100 Leaders Sub-strategy is -45.1 days, which is lower, thus worse compared to the benchmark QQQ (-35.1 days) in the same period.
• Looking at maximum drop from peak to valley in of -35.5 days in the period of the last 3 years, we see it is relatively smaller, 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 below previous high over 5 years of NASDAQ 100 Leaders Sub-strategy is 507 days, which is higher, thus worse compared to the benchmark QQQ (493 days) in the same period.
• During the last 3 years, the maximum days under water is 411 days, which is larger, 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.'

• Compared with the benchmark QQQ (121 days) in the period of the last 5 years, the average days below previous high of 191 days of NASDAQ 100 Leaders Sub-strategy is greater, thus worse.
• During the last 3 years, the average days under water is 131 days, which is higher, thus worse than the value of 25 days from the benchmark.