NASDAQ 100 Low Volatility Sub-strategy

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return of 147.1% in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark QQQ (141.3%)
• Compared with QQQ (75.3%) in the period of the last 3 years, the total return, or performance of 0.9% is lower, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual performance (CAGR) over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 19.9%, which is greater, thus better compared to the benchmark QQQ (19.3%) in the same period.
• During the last 3 years, the annual return (CAGR) is 0.3%, which is smaller, thus worse than the value of 20.7% 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.'

• The volatility over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 16.1%, which is lower, thus better compared to the benchmark QQQ (23.7%) in the same period.
• Looking at historical 30 days volatility in of 14.5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to QQQ (23.7%).

DownVol:

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

• Looking at the downside deviation of 10.5% 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 (16.5%)
• Compared with QQQ (16%) in the period of the last 3 years, the downside risk of 10.4% 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 ratio of return and volatility (Sharpe) over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 1.08, which is greater, thus better compared to the benchmark QQQ (0.71) in the same period.
• Looking at Sharpe Ratio in of -0.15 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (0.77).

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.'

• The downside risk / excess return profile over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 1.66, which is higher, thus better compared to the benchmark QQQ (1.02) in the same period.
• Compared with QQQ (1.13) in the period of the last 3 years, the excess return divided by the downside deviation of -0.21 is lower, thus worse.

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 5.36 , which is lower, thus better compared to the benchmark QQQ (14 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 6.51 , which is lower, thus better than the value of 8.09 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Looking at the maximum drop from peak to valley of -13.6 days in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark QQQ (-35.1 days)
• Looking at maximum drop from peak to valley in of -13.6 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 Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

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

• Compared with the benchmark QQQ (121 days) in the period of the last 5 years, the average days under water of 57 days of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• During the last 3 years, the average days below previous high is 79 days, which is higher, thus worse than the value of 45 days from the benchmark.