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 (131%) in the period of the last 5 years, the total return of 185.5% of NASDAQ 100 Low Volatility Sub-strategy is higher, thus better.
• Looking at total return, or increase in value in of 28% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to QQQ (27.6%).

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 (18.2%) in the period of the last 5 years, the annual performance (CAGR) of 23.4% of NASDAQ 100 Low Volatility Sub-strategy is greater, thus better.
• During the last 3 years, the annual performance (CAGR) is 8.6%, which is greater, thus better than the value of 8.5% from the benchmark.

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.'

• Looking at the historical 30 days volatility of 19.4% 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 (25.4%)
• Looking at 30 days standard deviation in of 13% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (23.2%).

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 deviation of 13.2% 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 (18%)
• Looking at downside risk in of 9.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to QQQ (16.2%).

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 Sharpe Ratio of 1.07 in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark QQQ (0.62)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.47, which is larger, thus better than the value of 0.26 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 (0.88) in the period of the last 5 years, the excess return divided by the downside deviation of 1.58 of NASDAQ 100 Low Volatility Sub-strategy is larger, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 0.67, which is larger, thus better than the value of 0.37 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 Downside risk index of 5.88 of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• Compared with QQQ (17 ) in the period of the last 3 years, the Ulcer Ratio of 5.93 is smaller, thus better.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum drop from peak to valley over 5 years of NASDAQ 100 Low Volatility Sub-strategy is -29.3 days, which is higher, thus better compared to the benchmark QQQ (-35.1 days) in the same period.
• Looking at maximum reduction from previous high in of -13.6 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to QQQ (-35.1 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark QQQ (493 days) in the period of the last 5 years, the maximum days below previous high of 242 days of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• Compared with QQQ (493 days) in the period of the last 3 years, the maximum days under water of 242 days is lower, thus better.

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.'

• Compared with the benchmark QQQ (121 days) in the period of the last 5 years, the average days below previous high of 45 days of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• Compared with QQQ (178 days) in the period of the last 3 years, the average time in days below previous high water mark of 61 days is smaller, thus better.