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 increase in value of 601.1% 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 (163.8%)
• During the last 3 years, the total return, or increase in value is 50.6%, which is higher, thus better than the value of 33.4% from the benchmark.

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.'

• Looking at the compounded annual growth rate (CAGR) of 47.7% 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 (21.4%)
• Looking at annual return (CAGR) in of 14.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to QQQ (10.1%).

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 37.7%, which is greater, thus worse compared to the benchmark QQQ (25.5%) in the same period.
• Compared with QQQ (23.7%) in the period of the last 3 years, the volatility of 30.6% is greater, 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.'

• The downside volatility over 5 years of NASDAQ 100 Leaders Sub-strategy is 25.6%, which is larger, thus worse compared to the benchmark QQQ (18%) in the same period.
• Looking at downside volatility in of 20.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (16.6%).

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.'

• Looking at the risk / return profile (Sharpe) of 1.2 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 (0.74)
• During the last 3 years, the Sharpe Ratio is 0.4, which is higher, thus better than the value of 0.32 from the benchmark.

Sortino:

'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.'

• Compared with the benchmark QQQ (1.05) in the period of the last 5 years, the excess return divided by the downside deviation of 1.77 of NASDAQ 100 Leaders Sub-strategy is higher, thus better.
• Looking at excess return divided by the downside deviation in of 0.58 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to QQQ (0.46).

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 22 , which is higher, thus worse compared to the benchmark QQQ (14 ) in the same period.
• Compared with QQQ (17 ) in the period of the last 3 years, the Downside risk index of 21 is greater, thus worse.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Looking at the maximum DrawDown 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)
• Compared with QQQ (-35.1 days) in the period of the last 3 years, the maximum drop from peak to valley of -40.2 days is lower, 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.'

• Compared with the benchmark QQQ (493 days) in the period of the last 5 years, the maximum days below previous high of 507 days of NASDAQ 100 Leaders Sub-strategy is higher, thus worse.
• Compared with QQQ (493 days) in the period of the last 3 years, the maximum days under water of 377 days is lower, thus better.

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 time in days below previous high water mark of 138 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 (123 days)
• Looking at average time in days below previous high water mark in of 118 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to QQQ (180 days).