NASDAQ 100 Leaders Sub-strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark QQQ (114.9%) in the period of the last 5 years, the total return, or performance of 323.3% of NASDAQ 100 Leaders Sub-strategy is greater, thus better.
• Looking at total return, or performance in of 33% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (33.9%).

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 (16.6%) in the period of the last 5 years, the annual return (CAGR) of 33.5% of NASDAQ 100 Leaders Sub-strategy is higher, thus better.
• Looking at annual return (CAGR) in of 10% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (10.3%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Compared with the benchmark QQQ (23.7%) in the period of the last 5 years, the historical 30 days volatility of 36.5% of NASDAQ 100 Leaders Sub-strategy is greater, thus worse.
• Looking at volatility in of 30.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (24.4%).

DownVol:

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

• Compared with the benchmark QQQ (16.6%) in the period of the last 5 years, the downside risk of 24.9% of NASDAQ 100 Leaders Sub-strategy is higher, thus worse.
• Looking at downside volatility in of 21.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (17%).

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.'

• Compared with the benchmark QQQ (0.59) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.85 of NASDAQ 100 Leaders Sub-strategy is greater, thus better.
• During the last 3 years, the Sharpe Ratio is 0.24, which is smaller, thus worse than the value of 0.32 from the benchmark.

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 (0.85) in the period of the last 5 years, the downside risk / excess return profile of 1.24 of NASDAQ 100 Leaders Sub-strategy is larger, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 0.36, which is smaller, thus worse than the value of 0.46 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark QQQ (14 ) in the period of the last 5 years, the Downside risk index of 22 of NASDAQ 100 Leaders Sub-strategy is higher, thus worse.
• Looking at Ulcer Index in of 17 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (9.92 ).

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.'

• 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 lower, thus worse in comparison to the benchmark QQQ (-35.1 days)
• Compared with QQQ (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -32.7 days is smaller, thus worse.

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.'

• Compared with the benchmark QQQ (493 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 507 days of NASDAQ 100 Leaders Sub-strategy is greater, thus worse.
• During the last 3 years, the maximum time in days below previous high water mark is 290 days, which is higher, thus worse than the value of 277 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 under water of 148 days of NASDAQ 100 Leaders Sub-strategy is higher, thus worse.
• Compared with QQQ (72 days) in the period of the last 3 years, the average days below previous high of 100 days is larger, thus worse.