The NASDAQ 100 is a sub-strategy.

The model chooses four individual stocks from the NASDAQ 100 stock index. So depending on what stocks are in the NASDAQ 100, the stock rotation formula might include the new ones.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark QQQ (156.7%) in the period of the last 5 years, the total return, or increase in value of 201.3% of NASDAQ 100 Low Volatility Sub-strategy is higher, thus better.
- Looking at total return, or increase in value in of 41.2% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to QQQ (31.6%).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark QQQ (20.8%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 24.7% of NASDAQ 100 Low Volatility Sub-strategy is greater, thus better.
- Compared with QQQ (9.6%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 12.2% is greater, thus better.

'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.'

Using this definition on our asset we see for example:- The historical 30 days volatility over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 19.5%, which is lower, thus better compared to the benchmark QQQ (25.3%) in the same period.
- Looking at historical 30 days volatility in of 13.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (23.6%).

'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.'

Using this definition on our asset we see for example:- The downside risk over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 13.2%, which is lower, thus better compared to the benchmark QQQ (17.9%) in the same period.
- Compared with QQQ (16.6%) in the period of the last 3 years, the downside risk of 9.2% is smaller, thus better.

'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.'

Applying this definition to our asset in some examples:- Looking at the risk / return profile (Sharpe) of 1.14 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 (0.72)
- Compared with QQQ (0.3) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.73 is greater, thus better.

'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.'

Applying this definition to our asset in some examples:- The excess return divided by the downside deviation over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 1.68, which is higher, thus better compared to the benchmark QQQ (1.02) in the same period.
- During the last 3 years, the excess return divided by the downside deviation is 1.05, which is higher, thus better than the value of 0.43 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark QQQ (14 ) in the period of the last 5 years, the Ulcer Ratio of 5.66 of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
- Looking at Ulcer Index in of 5.56 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (17 ).

'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.'

Using this definition on our asset we see for example:- The maximum reduction from previous high over 5 years of NASDAQ 100 Low Volatility Sub-strategy is -29.3 days, which is higher, thus better compared to the benchmark QQQ (-35.1 days) in the same period.
- Compared with QQQ (-35.1 days) in the period of the last 3 years, the maximum reduction from previous high of -13.6 days is larger, thus better.

'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.'

Using this definition on our asset we see for example:- The maximum time in days below previous high water mark over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 198 days, which is lower, thus better compared to the benchmark QQQ (493 days) in the same period.
- Looking at maximum days below previous high in of 198 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (493 days).

'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.'

Which means for our asset as example:- Compared with the benchmark QQQ (124 days) in the period of the last 5 years, the average days below previous high of 37 days of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
- Looking at average days under water in of 49 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to QQQ (179 days).

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of NASDAQ 100 Low Volatility Sub-strategy are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.