NASDAQ 100 Low Volatility Sub-strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 149.3%, which is greater, thus better compared to the benchmark QQQ (144.9%) in the same period.
• Looking at total return in of 11.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (54.5%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 20.1%, which is larger, thus better compared to the benchmark QQQ (19.7%) in the same period.
• During the last 3 years, the annual return (CAGR) is 3.8%, which is lower, thus worse than the value of 15.7% 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 19.5%, which is lower, thus better compared to the benchmark QQQ (25.7%) in the same period.
• Looking at historical 30 days volatility in of 13.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (23.5%).

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.'

• Compared with the benchmark QQQ (18.2%) in the period of the last 5 years, the downside deviation of 13.3% of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• Looking at downside deviation in of 9.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (16.4%).

Sharpe:

'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.'

• The risk / return profile (Sharpe) over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 0.9, which is greater, thus better compared to the benchmark QQQ (0.67) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.1, which is lower, thus worse than the value of 0.56 from the benchmark.

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 (0.94) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.32 of NASDAQ 100 Low Volatility Sub-strategy is higher, thus better.
• Looking at excess return divided by the downside deviation in of 0.14 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (0.8).

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.'

• Looking at the Ulcer Ratio of 6.14 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 (14 )
• Looking at Ulcer Index in of 6.33 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (13 ).

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.'

• Looking at the maximum drop from peak to valley of -29.3 days 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 (-35.1 days)
• Looking at maximum reduction from previous high in of -13.6 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to QQQ (-29.6 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days below previous high over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 273 days, which is smaller, thus better compared to the benchmark QQQ (493 days) in the same period.
• During the last 3 years, the maximum days under water is 273 days, which is lower, thus better than the value of 304 days from the benchmark.

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.'

• Compared with the benchmark QQQ (121 days) in the period of the last 5 years, the average days below previous high of 52 days of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• Looking at average days under water in of 72 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (81 days).