Crypto & Leveraged Top 2 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 BTC-USD (23.8%) in the period of the last 5 years, the total return, or performance of 163.2% of Crypto & Leveraged Top 2 Strategy is higher, thus better.
• During the last 3 years, the total return is 232.8%, which is greater, thus better than the value of 193.3% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark BTC-USD (4.4%) in the period of the last 5 years, the annual return (CAGR) of 21.4% of Crypto & Leveraged Top 2 Strategy is higher, thus better.
• Looking at annual performance (CAGR) in of 49.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (43.3%).

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 Crypto & Leveraged Top 2 Strategy is 50.8%, which is smaller, thus better compared to the benchmark BTC-USD (56.7%) in the same period.
• Looking at volatility in of 50.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to BTC-USD (48.3%).

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.'

• The downside risk over 5 years of Crypto & Leveraged Top 2 Strategy is 36.8%, which is smaller, thus better compared to the benchmark BTC-USD (39.1%) in the same period.
• During the last 3 years, the downside deviation is 37.4%, which is greater, thus worse than the value of 30.8% 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 BTC-USD (0.03) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.37 of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• Compared with BTC-USD (0.85) in the period of the last 3 years, the Sharpe Ratio of 0.93 is higher, thus better.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The ratio of annual return and downside deviation over 5 years of Crypto & Leveraged Top 2 Strategy is 0.51, which is greater, thus better compared to the benchmark BTC-USD (0.05) in the same period.
• During the last 3 years, the downside risk / excess return profile is 1.26, which is lower, thus worse than the value of 1.33 from the benchmark.

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 BTC-USD (41 ) in the period of the last 5 years, the Ulcer Ratio of 32 of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• During the last 3 years, the Ulcer Index is 15 , which is larger, thus worse than the value of 15 from the benchmark.

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.'

• Looking at the maximum reduction from previous high of -64.7 days in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively greater, thus better in comparison to the benchmark BTC-USD (-76.6 days)
• Compared with BTC-USD (-49.7 days) in the period of the last 3 years, the maximum reduction from previous high of -56.8 days is smaller, thus worse.

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 time in days below previous high water mark over 5 years of Crypto & Leveraged Top 2 Strategy is 773 days, which is larger, thus worse compared to the benchmark BTC-USD (580 days) in the same period.
• During the last 3 years, the maximum days under water is 181 days, which is higher, thus worse than the value of 164 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.'

• The average days under water over 5 years of Crypto & Leveraged Top 2 Strategy is 264 days, which is higher, thus worse compared to the benchmark BTC-USD (166 days) in the same period.
• Compared with BTC-USD (42 days) in the period of the last 3 years, the average time in days below previous high water mark of 55 days is larger, thus worse.