NASDAQ 100 Leaders Sub-strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark QQQ (97.2%) in the period of the last 5 years, the total return of 134.6% of NASDAQ 100 Leaders Sub-strategy is higher, thus better.
• Compared with QQQ (105.8%) in the period of the last 3 years, the total return, or increase in value of 103.5% is lower, thus worse.

CAGR:

'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.'

• The annual performance (CAGR) over 5 years of NASDAQ 100 Leaders Sub-strategy is 18.7%, which is greater, thus better compared to the benchmark QQQ (14.6%) in the same period.
• Looking at annual performance (CAGR) in of 26.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (27.4%).

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 volatility over 5 years of NASDAQ 100 Leaders Sub-strategy is 36.8%, which is higher, thus worse compared to the benchmark QQQ (23%) in the same period.
• Compared with QQQ (20.5%) in the period of the last 3 years, the historical 30 days volatility of 39.2% is higher, thus worse.

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 (15.9%) in the period of the last 5 years, the downside deviation of 25% of NASDAQ 100 Leaders Sub-strategy is higher, thus worse.
• Looking at downside risk in of 26.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (13.8%).

Sharpe:

'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.'

• Compared with the benchmark QQQ (0.53) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.44 of NASDAQ 100 Leaders Sub-strategy is lower, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.62, which is lower, thus worse than the value of 1.22 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.'

• Compared with the benchmark QQQ (0.76) in the period of the last 5 years, the excess return divided by the downside deviation of 0.65 of NASDAQ 100 Leaders Sub-strategy is lower, thus worse.
• Compared with QQQ (1.8) in the period of the last 3 years, the downside risk / excess return profile of 0.91 is smaller, thus worse.

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 Downside risk index over 5 years of NASDAQ 100 Leaders Sub-strategy is 23 , which is higher, thus worse compared to the benchmark QQQ (14 ) in the same period.
• Looking at Ulcer Ratio in of 19 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (4.79 ).

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.'

• Looking at the maximum reduction from previous high of -45.1 days in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark QQQ (-35.1 days)
• During the last 3 years, the maximum drop from peak to valley is -35.5 days, which is smaller, thus worse than the value of -22.8 days from the benchmark.

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.'

• Looking at the maximum time in days below previous high water mark 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 (493 days)
• Compared with QQQ (113 days) in the period of the last 3 years, the maximum days below previous high of 486 days is greater, thus worse.

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 210 days, which is higher, thus worse compared to the benchmark QQQ (125 days) in the same period.
• Compared with QQQ (30 days) in the period of the last 3 years, the average days under water of 177 days is higher, thus worse.