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.'

• Looking at the total return, or increase in value of 36.3% in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark QQQ (111.5%)
• Looking at total return, or performance in of 3.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (100.3%).

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.'

• Looking at the compounded annual growth rate (CAGR) of 6.4% in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark QQQ (16.2%)
• Looking at compounded annual growth rate (CAGR) in of 1.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (26.2%).

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.'

• The 30 days standard deviation over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 14%, which is lower, thus better compared to the benchmark QQQ (22.7%) in the same period.
• Compared with QQQ (20.2%) in the period of the last 3 years, the 30 days standard deviation of 13.8% is smaller, thus better.

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.'

• The downside risk over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 9.8%, which is lower, thus better compared to the benchmark QQQ (15.7%) in the same period.
• Looking at downside volatility in of 9.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (13.7%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark QQQ (0.61) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.28 of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of -0.09 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (1.18).

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.'

• The downside risk / excess return profile over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 0.4, which is smaller, thus worse compared to the benchmark QQQ (0.87) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is -0.13, which is smaller, thus worse than the value of 1.73 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 Ulcer Ratio of 6.61 of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• Compared with QQQ (4.87 ) in the period of the last 3 years, the Ulcer Index of 6.73 is larger, thus worse.

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 -15.2 days, which is larger, thus better compared to the benchmark QQQ (-35.1 days) in the same period.
• Compared with QQQ (-22.8 days) in the period of the last 3 years, the maximum DrawDown of -15.2 days is larger, thus better.

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 418 days, which is lower, thus better compared to the benchmark QQQ (493 days) in the same period.
• Looking at maximum days under water in of 418 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (113 days).

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.'

• Compared with the benchmark QQQ (125 days) in the period of the last 5 years, the average days below previous high of 118 days of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• During the last 3 years, the average days below previous high is 153 days, which is higher, thus worse than the value of 31 days from the benchmark.