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 233% 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 (213.1%)
• Compared with QQQ (94.1%) in the period of the last 3 years, the total return, or increase in value of 88.6% 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 compounded annual growth rate (CAGR) over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 27.2%, which is higher, thus better compared to the benchmark QQQ (25.6%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 23.5%, which is lower, thus worse than the value of 24.7% 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 18%, which is lower, thus better compared to the benchmark QQQ (21.9%) in the same period.
• Looking at historical 30 days volatility in of 21.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (26.2%).

DownVol:

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

• The downside risk over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 12.6%, which is lower, thus better compared to the benchmark QQQ (15.6%) in the same period.
• Compared with QQQ (18.8%) in the period of the last 3 years, the downside deviation of 15.1% is lower, thus better.

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 Sharpe Ratio over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 1.37, which is higher, thus better compared to the benchmark QQQ (1.06) in the same period.
• Compared with QQQ (0.85) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.99 is larger, thus better.

Sortino:

'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.'

• Compared with the benchmark QQQ (1.48) in the period of the last 5 years, the excess return divided by the downside deviation of 1.96 of NASDAQ 100 Low Volatility Sub-strategy is greater, thus better.
• During the last 3 years, the downside risk / excess return profile is 1.39, which is larger, thus better than the value of 1.18 from the benchmark.

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.'

• Compared with the benchmark QQQ (5.49 ) in the period of the last 5 years, the Ulcer Index of 4.7 of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• Looking at Downside risk index in of 5.84 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to QQQ (6.91 ).

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.'

• Compared with the benchmark QQQ (-28.6 days) in the period of the last 5 years, the maximum drop from peak to valley of -28.5 days of NASDAQ 100 Low Volatility Sub-strategy is greater, thus better.
• Compared with QQQ (-28.6 days) in the period of the last 3 years, the maximum drop from peak to valley of -28.5 days is larger, thus better.

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.'

• The maximum days under water over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 123 days, which is smaller, thus better compared to the benchmark QQQ (154 days) in the same period.
• Compared with QQQ (154 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 123 days is smaller, thus better.

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 24 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 (26 days)
• Compared with QQQ (35 days) in the period of the last 3 years, the average days below previous high of 27 days is lower, thus better.