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:- Looking at the total return of 707.3% 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 (137.7%)
- Looking at total return in of 94.9% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to QQQ (32.2%).

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Applying this definition to our asset in some examples:- Compared with the benchmark QQQ (19%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 52% of NASDAQ 100 Leaders Sub-strategy is greater, thus better.
- Compared with QQQ (9.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 25% is higher, 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:- The 30 days standard deviation over 5 years of NASDAQ 100 Leaders Sub-strategy is 37%, which is larger, thus worse compared to the benchmark QQQ (25.8%) in the same period.
- During the last 3 years, the historical 30 days volatility is 36.5%, which is higher, thus worse than the value of 23.7% from the benchmark.

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

Using this definition on our asset we see for example:- Looking at the downside volatility of 25.1% 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 (18.2%)
- During the last 3 years, the downside deviation is 25.1%, which is greater, thus worse than the value of 16.7% from the benchmark.

'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.'

Which means for our asset as example:- The risk / return profile (Sharpe) over 5 years of NASDAQ 100 Leaders Sub-strategy is 1.34, which is larger, thus better compared to the benchmark QQQ (0.64) in the same period.
- Compared with QQQ (0.31) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.61 is larger, 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.'

Applying this definition to our asset in some examples:- Looking at the ratio of annual return and downside deviation of 1.97 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 (0.9)
- Looking at excess return divided by the downside deviation in of 0.89 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to QQQ (0.44).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark QQQ (14 ) in the period of the last 5 years, the Ulcer Ratio of 21 of NASDAQ 100 Leaders Sub-strategy is larger, thus worse.
- Looking at Downside risk index in of 26 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (17 ).

'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:- Compared with the benchmark QQQ (-35.1 days) in the period of the last 5 years, the maximum DrawDown of -45.1 days of NASDAQ 100 Leaders Sub-strategy is smaller, thus worse.
- Looking at maximum DrawDown in of -45.1 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (-35.1 days).

'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.'

Which means for our asset as example:- Looking at the maximum days below previous high 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 (485 days)
- Compared with QQQ (485 days) in the period of the last 3 years, the maximum days under water of 507 days is larger, thus worse.

'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.'

Which means for our asset as example:- Looking at the average days below previous high of 132 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 (119 days)
- Looking at average days under water in of 198 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (174 days).

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, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.