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.'

• Looking at the total return, or performance of 145.1% 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 (87.1%)
• During the last 3 years, the total return is 95%, which is higher, thus better than the value of 87.8% 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.'

• Compared with the benchmark QQQ (13.4%) in the period of the last 5 years, the annual return (CAGR) of 19.7% of NASDAQ 100 Leaders Sub-strategy is greater, thus better.
• Compared with QQQ (23.5%) in the period of the last 3 years, the annual return (CAGR) of 25% is higher, thus better.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The volatility over 5 years of NASDAQ 100 Leaders Sub-strategy is 31.4%, which is greater, thus worse compared to the benchmark QQQ (22.3%) in the same period.
• Looking at historical 30 days volatility in of 30.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (19.5%).

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.'

• Compared with the benchmark QQQ (15.5%) in the period of the last 5 years, the downside risk of 21.7% of NASDAQ 100 Leaders Sub-strategy is higher, thus worse.
• Compared with QQQ (13.2%) in the period of the last 3 years, the downside risk of 21.5% is larger, thus worse.

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 Sharpe Ratio of 0.55 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 (0.49)
• Looking at Sharpe Ratio in of 0.73 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (1.07).

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 (0.7) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.79 of NASDAQ 100 Leaders Sub-strategy is larger, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 1.05, which is lower, thus worse than the value of 1.58 from the benchmark.

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 Ratio of 22 of NASDAQ 100 Leaders Sub-strategy is larger, thus worse.
• Compared with QQQ (4.77 ) in the period of the last 3 years, the Downside risk index of 18 is higher, thus worse.

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

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 days under water over 5 years of NASDAQ 100 Leaders Sub-strategy is 507 days, which is larger, thus worse compared to the benchmark QQQ (493 days) in the same period.
• Compared with QQQ (101 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 459 days is greater, thus worse.

AveDuration:

'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.'

• The average time in days below previous high water mark over 5 years of NASDAQ 100 Leaders Sub-strategy is 200 days, which is greater, thus worse compared to the benchmark QQQ (123 days) in the same period.
• During the last 3 years, the average days under water is 157 days, which is larger, thus worse than the value of 29 days from the benchmark.