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.'

• Compared with the benchmark QQQ (126.7%) in the period of the last 5 years, the total return of 110.5% of NASDAQ 100 Leaders Sub-strategy is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 84.4%, which is smaller, thus worse than the value of 124.7% from the benchmark.

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 annual performance (CAGR) of 16.1% 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 (17.8%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 22.7%, which is smaller, thus worse than the value of 31.1% from the benchmark.

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.'

• Compared with the benchmark QQQ (22.8%) in the period of the last 5 years, the volatility of 33.9% of NASDAQ 100 Leaders Sub-strategy is greater, thus worse.
• Looking at 30 days standard deviation in of 30.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (21.3%).

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.'

• The downside risk over 5 years of NASDAQ 100 Leaders Sub-strategy is 23.7%, which is greater, thus worse compared to the benchmark QQQ (15.7%) in the same period.
• During the last 3 years, the downside risk is 20.6%, which is higher, thus worse than the value of 13.9% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the Sharpe Ratio of 0.4 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 (0.67)
• Compared with QQQ (1.34) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.67 is lower, thus worse.

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.'

• The downside risk / excess return profile over 5 years of NASDAQ 100 Leaders Sub-strategy is 0.57, which is smaller, thus worse compared to the benchmark QQQ (0.97) in the same period.
• Compared with QQQ (2.06) in the period of the last 3 years, the downside risk / excess return profile of 0.98 is smaller, thus worse.

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 Ulcer Ratio over 5 years of NASDAQ 100 Leaders Sub-strategy is 24 , which is greater, thus worse compared to the benchmark QQQ (14 ) in the same period.
• Looking at Ulcer Ratio in of 16 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (4.91 ).

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 DrawDown of -45.1 days in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark QQQ (-35.1 days)
• During the last 3 years, the maximum reduction from previous high is -35.5 days, which is smaller, thus worse than the value of -22.8 days from the benchmark.

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.'

• Looking at the maximum days under water of 507 days in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark QQQ (493 days)
• During the last 3 years, the maximum days under water is 340 days, which is higher, thus worse than the value of 85 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.'

• Looking at the average days below previous high of 170 days in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark QQQ (121 days)
• Compared with QQQ (23 days) in the period of the last 3 years, the average days under water of 95 days is higher, thus worse.