The NASDAQ 100 leaders is a sub-strategy that uses proprietary risk-adjusted momentum to pick the most appropriate 4 NASDAQ 100 stocks. It is part for the Nasdaq 100 hedged strategy where it is combined with a variable hedge.

The model chooses four individual stocks from the NASDAQ 100 stock index. So depending on what stocks are in the NASDAQ 100, the stock rotation formula might include the new ones.

'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.'

Which means for our asset as example:- The total return, or increase in value over 5 years of NASDAQ 100 Leaders Sub-strategy is 555.2%, which is greater, thus better compared to the benchmark QQQ (155.2%) in the same period.
- During the last 3 years, the total return is 47.2%, which is larger, thus better than the value of 28.8% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the compounded annual growth rate (CAGR) of 45.7% 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 (20.6%)
- Compared with QQQ (8.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 13.8% is greater, thus better.

'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.'

Which means for our asset as example:- Looking at the 30 days standard deviation of 37.8% 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 (25.5%)
- Looking at volatility in of 32.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (23.8%).

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

Applying this definition to our asset in some examples:- Compared with the benchmark QQQ (18%) in the period of the last 5 years, the downside deviation of 25.7% of NASDAQ 100 Leaders Sub-strategy is higher, thus worse.
- During the last 3 years, the downside risk is 22%, which is higher, thus worse than the value of 16.8% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark QQQ (0.71) in the period of the last 5 years, the Sharpe Ratio of 1.14 of NASDAQ 100 Leaders Sub-strategy is higher, thus better.
- Compared with QQQ (0.27) in the period of the last 3 years, the Sharpe Ratio of 0.35 is higher, thus better.

'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.'

Which means for our asset as example:- Looking at the ratio of annual return and downside deviation of 1.68 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 (1.01)
- Looking at excess return divided by the downside deviation in of 0.51 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to QQQ (0.38).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark QQQ (14 ) in the period of the last 5 years, the Downside risk index of 21 of NASDAQ 100 Leaders Sub-strategy is greater, thus worse.
- Compared with QQQ (17 ) in the period of the last 3 years, the Downside risk index of 24 is larger, thus worse.

'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.'

Using this definition on our asset we see for example:- The maximum reduction from previous high 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.
- During the last 3 years, the maximum DrawDown is -45.1 days, which is smaller, thus worse than the value of -35.1 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- 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.
- Looking at maximum days under water in of 507 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (493 days).

'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.'

Applying this definition to our asset in some examples:- Looking at the average days under water of 134 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 (122 days)
- During the last 3 years, the average days under water is 188 days, which is higher, thus worse than the value of 178 days from the benchmark.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of NASDAQ 100 Leaders Sub-strategy are hypothetical and do not account for slippage, fees or taxes.
- Results may be based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.