Description

The NASDAQ 100 is a sub-strategy.

Methodology & Assets

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.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • The total return, or increase in value over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 170.4%, which is lower, thus worse compared to the benchmark QQQ (185.7%) in the same period.
  • Looking at total return, or increase in value in of 78% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (113.2%).

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.'

Which means for our asset as example:
  • The annual return (CAGR) over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 22%, which is smaller, thus worse compared to the benchmark QQQ (23.4%) in the same period.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 21.2%, which is lower, thus worse than the value of 28.7% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The 30 days standard deviation over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 18.1%, which is lower, thus better compared to the benchmark QQQ (22.5%) in the same period.
  • Compared with QQQ (25%) in the period of the last 3 years, the volatility of 20.7% is lower, 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark QQQ (16.1%) in the period of the last 5 years, the downside risk of 12.8% of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
  • During the last 3 years, the downside volatility is 14.7%, which is lower, thus better than the value of 17.8% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark QQQ (0.93) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.08 of NASDAQ 100 Low Volatility Sub-strategy is higher, thus better.
  • Looking at Sharpe Ratio in of 0.9 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (1.05).

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.'

Using this definition on our asset we see for example:
  • The downside risk / excess return profile over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 1.53, which is larger, thus better compared to the benchmark QQQ (1.29) in the same period.
  • During the last 3 years, the downside risk / excess return profile is 1.28, which is smaller, thus worse than the value of 1.47 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark QQQ (5.64 ) in the period of the last 5 years, the Ulcer Ratio of 5.39 of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
  • Compared with QQQ (5.56 ) in the period of the last 3 years, the Ulcer Index of 5.91 is higher, thus worse.

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.'

Which means for our asset as example:
  • The maximum DrawDown over 5 years of NASDAQ 100 Low Volatility Sub-strategy is -28.5 days, which is greater, thus better compared to the benchmark QQQ (-28.6 days) in the same period.
  • Looking at maximum DrawDown in of -28.5 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to QQQ (-28.6 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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum days under water of 210 days in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark QQQ (154 days)
  • Looking at maximum days under water in of 210 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (72 days).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark QQQ (26 days) in the period of the last 5 years, the average days under water of 41 days of NASDAQ 100 Low Volatility Sub-strategy is larger, thus worse.
  • During the last 3 years, the average time in days below previous high water mark is 48 days, which is higher, thus worse than the value of 18 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • 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.