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 performance of 156.7% 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 (123.9%)
• Compared with QQQ (67.6%) in the period of the last 3 years, the total return of 6% is lower, thus worse.

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 annual performance (CAGR) of 20.8% of NASDAQ 100 Low Volatility Sub-strategy is larger, thus better.
• Looking at annual performance (CAGR) in of 2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (18.9%).

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 historical 30 days volatility over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 16.1%, which is lower, thus better compared to the benchmark QQQ (23.6%) in the same period.
• Compared with QQQ (23.7%) in the period of the last 3 years, the volatility of 14.5% 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 (16.5%) in the period of the last 5 years, the downside deviation of 10.4% of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• During the last 3 years, the downside deviation is 10.3%, which is lower, thus better than the value of 16.1% from the benchmark.

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.'

• The risk / return profile (Sharpe) over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 1.14, which is greater, thus better compared to the benchmark QQQ (0.64) in the same period.
• Compared with QQQ (0.69) in the period of the last 3 years, the Sharpe Ratio of -0.04 is smaller, thus worse.

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 1.76, which is greater, thus better compared to the benchmark QQQ (0.91) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is -0.05, which is lower, thus worse than the value of 1.02 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark QQQ (14 ) in the period of the last 5 years, the Downside risk index of 5.34 of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• Looking at Ulcer Index in of 6.47 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to QQQ (8.08 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum drop from peak to valley over 5 years of NASDAQ 100 Low Volatility Sub-strategy is -13.6 days, which is larger, thus better compared to the benchmark QQQ (-35.1 days) in the same period.
• 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 higher, 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.'

• Looking at the maximum time in days below previous high water mark of 273 days 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 (493 days)
• Compared with QQQ (190 days) in the period of the last 3 years, the maximum days below previous high of 273 days is larger, thus worse.

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 under water of 56 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 (121 days)
• Looking at average days under water in of 79 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (45 days).