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 of 24.4% in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark QQQ (104.5%)
• Looking at total return in of 5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (103.4%).

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 (15.5%) in the period of the last 5 years, the annual return (CAGR) of 4.5% of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 1.7%, which is lower, thus worse than the value of 26.8% 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 14%, which is lower, thus better compared to the benchmark QQQ (23%) in the same period.
• Compared with QQQ (20.5%) in the period of the last 3 years, the historical 30 days volatility of 13.7% is smaller, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark QQQ (15.9%) 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.
• During the last 3 years, the downside risk is 9.7%, which is lower, thus better than the value of 13.9% from the benchmark.

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 0.14, which is smaller, thus worse compared to the benchmark QQQ (0.56) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is -0.06, which is lower, thus worse than the value of 1.18 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.'

• Looking at the ratio of annual return and downside deviation of 0.2 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 (0.82)
• Looking at excess return divided by the downside deviation in of -0.09 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (1.75).

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.'

• Looking at the Downside risk index of 6.78 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 )
• Looking at Ulcer Index in of 6.51 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (4.83 ).

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 DrawDown over 5 years of NASDAQ 100 Low Volatility Sub-strategy is -15.2 days, which is higher, 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 greater, 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.'

• Compared with the benchmark QQQ (493 days) in the period of the last 5 years, the maximum days below previous high of 454 days of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• During the last 3 years, the maximum days under water is 454 days, which is larger, thus worse than the value of 113 days from the benchmark.

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 days below previous high of 129 days in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively greater, thus worse in comparison to the benchmark QQQ (124 days)
• Looking at average days under water in of 154 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (29 days).