NASDAQ 100 Leaders Sub-strategy

TotalReturn:

'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.'

• The total return, or performance over 5 years of NASDAQ 100 Leaders Sub-strategy is 474.1%, which is higher, thus better compared to the benchmark QQQ (179.5%) in the same period.
• Looking at total return in of 44% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to QQQ (39.6%).

CAGR:

'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.'

• Compared with the benchmark QQQ (22.9%) in the period of the last 5 years, the annual return (CAGR) of 42% of NASDAQ 100 Leaders Sub-strategy is larger, thus better.
• Looking at annual performance (CAGR) in of 13% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to QQQ (11.8%).

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 historical 30 days volatility over 5 years of NASDAQ 100 Leaders Sub-strategy is 36.8%, which is greater, thus worse compared to the benchmark QQQ (23.6%) in the same period.
• Looking at volatility in of 30.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (22.9%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 deviation over 5 years of NASDAQ 100 Leaders Sub-strategy is 25%, which is greater, thus worse compared to the benchmark QQQ (16.3%) in the same period.
• Looking at downside deviation in of 20.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (16.1%).

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.'

• Compared with the benchmark QQQ (0.87) in the period of the last 5 years, the Sharpe Ratio of 1.07 of NASDAQ 100 Leaders Sub-strategy is larger, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 0.34, which is smaller, thus worse than the value of 0.41 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.'

• Looking at the downside risk / excess return profile of 1.58 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 (1.25)
• Looking at excess return divided by the downside deviation in of 0.5 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (0.58).

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.'

• The Ulcer Ratio over 5 years of NASDAQ 100 Leaders Sub-strategy is 22 , which is greater, thus worse compared to the benchmark QQQ (13 ) in the same period.
• During the last 3 years, the Ulcer Index is 17 , which is greater, thus worse than the value of 13 from the benchmark.

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.
• Looking at maximum drop from peak to valley in of -33.1 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (-29.6 days).

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) in days.'

• The maximum time in days below previous high water mark over 5 years of NASDAQ 100 Leaders Sub-strategy is 507 days, which is greater, thus worse compared to the benchmark QQQ (493 days) in the same period.
• During the last 3 years, the maximum days below previous high is 291 days, which is lower, thus better than the value of 304 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 146 days, which is greater, thus worse compared to the benchmark QQQ (121 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 95 days, which is higher, thus worse than the value of 82 days from the benchmark.