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, or increase in value over 5 years of NASDAQ 100 Leaders Sub-strategy is 171.1%, which is larger, thus better compared to the benchmark QQQ (94.4%) in the same period.
• During the last 3 years, the total return, or performance is 127.8%, which is higher, thus better than the value of 92.9% from the benchmark.

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.'

• Looking at the compounded annual growth rate (CAGR) of 22.2% in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark QQQ (14.3%)
• Looking at annual performance (CAGR) in of 31.8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to QQQ (24.7%).

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.'

• The volatility over 5 years of NASDAQ 100 Leaders Sub-strategy is 36.5%, which is greater, thus worse compared to the benchmark QQQ (23%) in the same period.
• Looking at historical 30 days volatility in of 38.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (20.4%).

DownVol:

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

• Looking at the downside risk of 24.7% in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively greater, thus worse in comparison to the benchmark QQQ (15.9%)
• During the last 3 years, the downside deviation is 26.1%, which is larger, thus worse than the value of 13.9% from the benchmark.

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.'

• Looking at the risk / return profile (Sharpe) of 0.54 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 (0.51)
• During the last 3 years, the Sharpe Ratio is 0.76, which is lower, thus worse than the value of 1.08 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark QQQ (0.74) in the period of the last 5 years, the downside risk / excess return profile of 0.8 of NASDAQ 100 Leaders Sub-strategy is higher, thus better.
• Compared with QQQ (1.6) in the period of the last 3 years, the downside risk / excess return profile of 1.12 is smaller, thus worse.

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 Index of 23 of NASDAQ 100 Leaders Sub-strategy is larger, thus worse.
• During the last 3 years, the Downside risk index is 18 , which is larger, thus worse than the value of 4.85 from the benchmark.

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.'

• Compared with the benchmark QQQ (-35.1 days) in the period of the last 5 years, the maximum drop from peak to valley of -45.1 days of NASDAQ 100 Leaders Sub-strategy is smaller, thus worse.
• During the last 3 years, the maximum DrawDown is -35.5 days, which is smaller, thus worse than the value of -22.8 days from the benchmark.

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'

• 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 greater, thus worse in comparison to the benchmark QQQ (493 days)
• 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 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 under water of 210 days in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively greater, thus worse in comparison to the benchmark QQQ (124 days)
• Compared with QQQ (30 days) in the period of the last 3 years, the average days under water of 174 days is greater, thus worse.