NASDAQ 100 Low Volatility Sub-strategy

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.'

• Compared with the benchmark QQQ (112.9%) in the period of the last 5 years, the total return of 25.6% of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• Looking at total return, or increase in value in of 4.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (110%).

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 annual return (CAGR) over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 4.7%, which is lower, thus worse compared to the benchmark QQQ (16.4%) in the same period.
• Looking at annual performance (CAGR) in of 1.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (28.2%).

Volatility:

'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.'

• The volatility over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 14%, which is lower, thus better compared to the benchmark QQQ (23%) in the same period.
• During the last 3 years, the historical 30 days volatility is 13.8%, which is smaller, thus better than the value of 20.5% from the benchmark.

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.'

• Looking at the downside volatility of 9.8% 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 (15.9%)
• Compared with QQQ (13.8%) in the period of the last 3 years, the downside volatility of 9.7% is smaller, thus better.

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.'

• The risk / return profile (Sharpe) over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 0.16, which is smaller, thus worse compared to the benchmark QQQ (0.6) in the same period.
• During the last 3 years, the Sharpe Ratio is -0.08, which is lower, thus worse than the value of 1.26 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.'

• The downside risk / excess return profile over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 0.22, which is lower, thus worse compared to the benchmark QQQ (0.88) in the same period.
• Looking at downside risk / excess return profile in of -0.11 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (1.87).

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.'

• Looking at the Downside risk index of 6.99 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 (14 )
• Compared with QQQ (4.8 ) in the period of the last 3 years, the Ulcer Ratio of 6.83 is higher, thus worse.

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.'

• The maximum drop from peak to valley over 5 years of NASDAQ 100 Low Volatility Sub-strategy is -15.2 days, which is greater, thus better compared to the benchmark QQQ (-35.1 days) in the same period.
• Looking at maximum DrawDown in of -15.2 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to QQQ (-22.8 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 time in days below previous high water mark over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 487 days, which is smaller, thus better compared to the benchmark QQQ (493 days) in the same period.
• Looking at maximum days under water in of 487 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (113 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.'

• Compared with the benchmark QQQ (125 days) in the period of the last 5 years, the average days below previous high of 142 days of NASDAQ 100 Low Volatility Sub-strategy is larger, thus worse.
• Compared with QQQ (30 days) in the period of the last 3 years, the average time in days below previous high water mark of 175 days is greater, thus worse.