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 (222.6%) in the period of the last 5 years, the total return of 215.3% of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• Looking at total return, or increase in value in of 90.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (120.3%).

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.'

• Looking at the compounded annual growth rate (CAGR) of 25.8% in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark QQQ (26.4%)
• Compared with QQQ (30.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 23.8% is lower, thus worse.

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.'

• Compared with the benchmark QQQ (22.1%) in the period of the last 5 years, the 30 days standard deviation of 18% of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• During the last 3 years, the historical 30 days volatility is 21.2%, which is smaller, thus better than the value of 26.1% 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.'

• Compared with the benchmark QQQ (15.8%) in the period of the last 5 years, the downside volatility of 12.7% of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• During the last 3 years, the downside volatility is 15%, which is lower, thus better than the value of 18.6% from the benchmark.

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.'

• Looking at the Sharpe Ratio of 1.29 in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark QQQ (1.08)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.01, which is lower, thus worse than the value of 1.06 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 (1.52) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.84 of NASDAQ 100 Low Volatility Sub-strategy is greater, thus better.
• Looking at ratio of annual return and downside deviation in of 1.42 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (1.48).

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 5.18 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 (5.55 )
• Compared with QQQ (6.8 ) in the period of the last 3 years, the Ulcer Index of 6.34 is smaller, thus better.

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 -28.5 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 (-28.6 days)
• Looking at maximum DrawDown in of -28.5 days in the period of the last 3 years, we see it is relatively higher, 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). 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'

• Compared with the benchmark QQQ (154 days) in the period of the last 5 years, the maximum days under water of 123 days of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• Looking at maximum days under water in of 123 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (154 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.'

• The average time in days below previous high water mark over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 29 days, which is higher, thus worse compared to the benchmark QQQ (26 days) in the same period.
• During the last 3 years, the average days under water is 33 days, which is lower, thus better than the value of 34 days from the benchmark.