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.'

• Looking at the total return, or increase in value of 182.6% 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 (128.9%)
• Compared with QQQ (24.7%) in the period of the last 3 years, the total return, or increase in value of 27% is larger, thus better.

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 annual return (CAGR) over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 23.1%, which is larger, thus better compared to the benchmark QQQ (18%) in the same period.
• Compared with QQQ (7.6%) in the period of the last 3 years, the annual return (CAGR) of 8.3% is greater, thus better.

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 volatility over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 19.4%, which is lower, thus better compared to the benchmark QQQ (25.4%) in the same period.
• During the last 3 years, the historical 30 days volatility is 13%, which is smaller, thus better than the value of 23.1% from the benchmark.

DownVol:

'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.'

• Compared with the benchmark QQQ (18%) in the period of the last 5 years, the downside volatility of 13.2% of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• During the last 3 years, the downside risk is 9.1%, which is lower, thus better than the value of 16.2% 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.'

• Compared with the benchmark QQQ (0.61) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.06 of NASDAQ 100 Low Volatility Sub-strategy is higher, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 0.45, which is greater, thus better than the value of 0.22 from the benchmark.

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.'

• Compared with the benchmark QQQ (0.86) in the period of the last 5 years, the excess return divided by the downside deviation of 1.56 of NASDAQ 100 Low Volatility Sub-strategy is higher, thus better.
• Compared with QQQ (0.32) in the period of the last 3 years, the excess return divided by the downside deviation of 0.64 is higher, thus better.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Compared with the benchmark QQQ (14 ) in the period of the last 5 years, the Ulcer Ratio of 5.87 of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• Compared with QQQ (17 ) in the period of the last 3 years, the Ulcer Index of 5.9 is smaller, thus better.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark QQQ (-35.1 days) in the period of the last 5 years, the maximum DrawDown of -29.3 days of NASDAQ 100 Low Volatility Sub-strategy is larger, thus better.
• Looking at maximum DrawDown in of -13.6 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to QQQ (-35.1 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.'

• Looking at the maximum time in days below previous high water mark of 240 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)
• During the last 3 years, the maximum days under water is 240 days, which is lower, thus better than the value of 493 days from the benchmark.

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.'

• Looking at the average days below previous high of 44 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)
• During the last 3 years, the average days below previous high is 61 days, which is lower, thus better than the value of 178 days from the benchmark.