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 (93.5%) in the period of the last 5 years, the total return, or performance of 126.8% of NASDAQ 100 Leaders Sub-strategy is larger, thus better.
• Looking at total return, or performance in of 112.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to QQQ (110.8%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual return (CAGR) over 5 years of NASDAQ 100 Leaders Sub-strategy is 17.9%, which is higher, thus better compared to the benchmark QQQ (14.2%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 28.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to QQQ (28.4%).

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 36.8%, which is higher, thus worse compared to the benchmark QQQ (23%) in the same period.
• Looking at 30 days standard deviation in of 39.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (20.5%).

DownVol:

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

• The downside volatility over 5 years of NASDAQ 100 Leaders Sub-strategy is 25%, which is larger, thus worse compared to the benchmark QQQ (15.9%) in the same period.
• Compared with QQQ (13.8%) in the period of the last 3 years, the downside risk of 26.7% is larger, thus worse.

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 risk / return profile (Sharpe) of 0.42 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 (0.51)
• Compared with QQQ (1.27) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.67 is lower, thus worse.

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 (0.73) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.62 of NASDAQ 100 Leaders Sub-strategy is lower, thus worse.
• Compared with QQQ (1.88) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.98 is lower, 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 Index over 5 years of NASDAQ 100 Leaders Sub-strategy is 23 , which is higher, thus worse compared to the benchmark QQQ (14 ) in the same period.
• Compared with QQQ (4.81 ) in the period of the last 3 years, the Ulcer Index 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.'

• 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 reduction from previous high in of -35.5 days in the period of the last 3 years, we see it is relatively lower, 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.'

• 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 larger, thus worse.
• During the last 3 years, the maximum time in days below previous high water mark is 486 days, which is larger, thus worse than the value of 113 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.'

• The average days under water over 5 years of NASDAQ 100 Leaders Sub-strategy is 210 days, which is greater, thus worse compared to the benchmark QQQ (125 days) in the same period.
• Compared with QQQ (30 days) in the period of the last 3 years, the average days under water of 178 days is higher, thus worse.