NASDAQ 100 Low Volatility 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.'

• Compared with the benchmark QQQ (123.8%) in the period of the last 5 years, the total return of 34.5% of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• Looking at total return in of -2.1% 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.'

• Compared with the benchmark QQQ (17.5%) in the period of the last 5 years, the annual return (CAGR) of 6.1% of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is -0.7%, which is lower, thus worse than the value of 30.4% from the benchmark.

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 Low Volatility Sub-strategy is 13.9%, which is lower, thus better 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 30 days standard deviation of 13.8% is smaller, thus better.

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.'

• Compared with the benchmark QQQ (15.4%) in the period of the last 5 years, the downside deviation of 9.8% of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• Compared with QQQ (13.2%) in the period of the last 3 years, the downside deviation of 9.8% is lower, thus better.

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 risk / return profile (Sharpe) of 0.26 of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• Looking at Sharpe Ratio in of -0.23 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (1.41).

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 (0.97) in the period of the last 5 years, the excess return divided by the downside deviation of 0.37 of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• Compared with QQQ (2.1) in the period of the last 3 years, the excess return divided by the downside deviation of -0.33 is smaller, thus worse.

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 6.47 in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark QQQ (14 )
• During the last 3 years, the Ulcer Index is 7.36 , which is higher, thus worse than the value of 4.85 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.'

• The maximum DrawDown over 5 years of NASDAQ 100 Low Volatility Sub-strategy is -15.2 days, which is larger, thus better compared to the benchmark QQQ (-35.1 days) in the same period.
• Looking at maximum drop from peak to valley in of -15.2 days in the period of the last 3 years, we see it is relatively higher, thus better 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 below previous high over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 393 days, which is lower, thus better compared to the benchmark QQQ (493 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 393 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (113 days).

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 Low Volatility Sub-strategy is 109 days, which is smaller, thus better compared to the benchmark QQQ (125 days) in the same period.
• Looking at average days under water in of 155 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (31 days).