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.'

• The total return, or performance over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 113.7%, which is lower, thus worse compared to the benchmark QQQ (123.3%) in the same period.
• Looking at total return, or performance in of 9.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (96.3%).

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.'

• Compared with the benchmark QQQ (17.5%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 16.5% of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• Compared with QQQ (25.3%) in the period of the last 3 years, the annual return (CAGR) of 3% 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 Low Volatility Sub-strategy is 16%, which is lower, thus better compared to the benchmark QQQ (23.4%) in the same period.
• During the last 3 years, the historical 30 days volatility is 14.4%, which is smaller, thus better than the value of 22.5% from the benchmark.

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 (16.3%) in the period of the last 5 years, the downside deviation of 10.5% of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• Compared with QQQ (14.9%) in the period of the last 3 years, the downside volatility of 10.1% 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.'

• The Sharpe Ratio over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 0.87, which is higher, thus better compared to the benchmark QQQ (0.64) in the same period.
• Compared with QQQ (1.02) in the period of the last 3 years, the Sharpe Ratio of 0.03 is lower, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark QQQ (0.92) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.34 of NASDAQ 100 Low Volatility Sub-strategy is larger, thus better.
• Looking at ratio of annual return and downside deviation in of 0.05 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (1.53).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• The Downside risk index over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 5.58 , which is lower, thus better compared to the benchmark QQQ (14 ) in the same period.
• Compared with QQQ (7.9 ) in the period of the last 3 years, the Ulcer Ratio of 6.63 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.'

• Compared with the benchmark QQQ (-35.1 days) in the period of the last 5 years, the maximum drop from peak to valley of -13.6 days of NASDAQ 100 Low Volatility Sub-strategy is higher, thus better.
• During the last 3 years, the maximum DrawDown is -13.6 days, which is larger, thus better 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.'

• The maximum days under water over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 273 days, which is lower, thus better compared to the benchmark QQQ (493 days) in the same period.
• Compared with QQQ (190 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 273 days is greater, thus worse.

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.'

• Looking at the average time in days below previous high water mark of 62 days in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark QQQ (122 days)
• Looking at average days below previous high in of 87 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (47 days).