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.'

• Compared with the benchmark QQQ (123.8%) in the period of the last 5 years, the total return of 168.8% of NASDAQ 100 Leaders Sub-strategy is greater, thus better.
• Looking at total return in of 118.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (120.8%).

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.'

• Looking at the annual return (CAGR) of 21.9% 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 (17.5%)
• Compared with QQQ (30.4%) in the period of the last 3 years, the annual return (CAGR) of 29.9% is lower, thus worse.

Volatility:

'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.'

• The 30 days standard deviation over 5 years of NASDAQ 100 Leaders Sub-strategy is 32.7%, which is greater, thus worse compared to the benchmark QQQ (22.4%) in the same period.
• Compared with QQQ (19.7%) in the period of the last 3 years, the historical 30 days volatility of 32.8% is larger, thus worse.

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.'

• Looking at the downside risk of 22.4% 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 (15.4%)
• During the last 3 years, the downside deviation is 22.6%, which is greater, thus worse than the value of 13.2% from the benchmark.

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 (0.67) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.59 of NASDAQ 100 Leaders Sub-strategy is lower, thus worse.
• Compared with QQQ (1.41) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.83 is lower, thus worse.

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.'

• The excess return divided by the downside deviation over 5 years of NASDAQ 100 Leaders Sub-strategy is 0.87, which is smaller, thus worse compared to the benchmark QQQ (0.97) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 1.21, which is smaller, thus worse than the value of 2.1 from the benchmark.

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.'

• Looking at the Downside risk index of 23 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 (14 )
• Compared with QQQ (4.85 ) in the period of the last 3 years, the Downside risk index of 18 is greater, 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.'

• The maximum DrawDown 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.
• Looking at maximum drop from peak to valley in of -35.5 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (-22.8 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 days under water over 5 years of NASDAQ 100 Leaders Sub-strategy is 507 days, which is higher, thus worse compared to the benchmark QQQ (493 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 486 days, which is higher, thus worse than the value of 113 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.'

• Looking at the average days below previous high of 209 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 (125 days)
• Looking at average days below previous high in of 175 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (31 days).