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%, which is greater, thus better compared to the benchmark QQQ (109.7%) in the same period.
• During the last 3 years, the total return is 93.6%, which is lower, thus worse than the value of 114.1% from the benchmark.

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.'

• Looking at the compounded annual growth rate (CAGR) of 18.2% in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark QQQ (16%)
• Compared with QQQ (29.1%) in the period of the last 3 years, the annual return (CAGR) of 24.8% 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.'

• Compared with the benchmark QQQ (22.6%) in the period of the last 5 years, the volatility of 34.2% of NASDAQ 100 Leaders Sub-strategy is higher, thus worse.
• Compared with QQQ (20.3%) in the period of the last 3 years, the historical 30 days volatility of 30.7% is higher, thus worse.

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 volatility over 5 years of NASDAQ 100 Leaders Sub-strategy is 23.9%, which is higher, thus worse compared to the benchmark QQQ (15.7%) in the same period.
• During the last 3 years, the downside risk is 20.9%, which is larger, thus worse than the value of 13.5% from the benchmark.

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 Sharpe Ratio over 5 years of NASDAQ 100 Leaders Sub-strategy is 0.46, which is lower, thus worse compared to the benchmark QQQ (0.6) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.73, which is lower, thus worse than the value of 1.31 from the benchmark.

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.'

• Compared with the benchmark QQQ (0.86) in the period of the last 5 years, the excess return divided by the downside deviation of 0.66 of NASDAQ 100 Leaders Sub-strategy is lower, thus worse.
• Compared with QQQ (1.97) in the period of the last 3 years, the excess return divided by the downside deviation of 1.07 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 Index 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 Index in of 17 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (4.88 ).

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.'

• Compared with the benchmark QQQ (-35.1 days) in the period of the last 5 years, the maximum reduction from previous high of -45.1 days of NASDAQ 100 Leaders Sub-strategy is lower, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -35.5 days, which is lower, 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 greater, thus worse in comparison to the benchmark QQQ (493 days)
• Compared with QQQ (85 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 380 days is higher, 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 below previous high of 182 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 (121 days)
• Compared with QQQ (24 days) in the period of the last 3 years, the average time in days below previous high water mark of 114 days is greater, thus worse.