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.'

• The total return over 5 years of Crypto & Leveraged Top 2 Strategy is 92.4%, which is lower, thus worse compared to the benchmark BTC-USD (104.6%) in the same period.
• During the last 3 years, the total return, or increase in value is 171.3%, which is higher, thus better than the value of 121% from the benchmark.

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 Crypto & Leveraged Top 2 Strategy is 14.1%, which is smaller, thus worse compared to the benchmark BTC-USD (15.5%) in the same period.
• Looking at annual return (CAGR) in of 39.7% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (30.4%).

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 48.6%, which is lower, thus better compared to the benchmark BTC-USD (53.4%) in the same period.
• Looking at volatility in of 49.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to BTC-USD (47.6%).

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 BTC-USD (35.9%) in the period of the last 5 years, the downside deviation of 35.3% of Crypto & Leveraged Top 2 Strategy is smaller, thus better.
• Looking at downside risk in of 37.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to BTC-USD (30.7%).

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 (0.24) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.24 of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• Compared with BTC-USD (0.59) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.75 is greater, thus better.

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 BTC-USD (0.36) in the period of the last 5 years, the excess return divided by the downside deviation of 0.33 of Crypto & Leveraged Top 2 Strategy is lower, thus worse.
• Looking at downside risk / excess return profile in of 1 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to BTC-USD (0.91).

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 Ulcer Index of 35 in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively smaller, thus better in comparison to the benchmark BTC-USD (41 )
• Compared with BTC-USD (21 ) in the period of the last 3 years, the Downside risk index of 24 is greater, thus worse.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark BTC-USD (-76.6 days) in the period of the last 5 years, the maximum reduction from previous high of -64.7 days of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Compared with BTC-USD (-53.1 days) in the period of the last 3 years, the maximum drop from peak to valley of -57.6 days is lower, 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 days under water over 5 years of Crypto & Leveraged Top 2 Strategy is 773 days, which is higher, thus worse compared to the benchmark BTC-USD (580 days) in the same period.
• Looking at maximum days below previous high in of 181 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to BTC-USD (198 days).

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 BTC-USD (172 days) in the period of the last 5 years, the average days below previous high of 265 days of Crypto & Leveraged Top 2 Strategy is higher, thus worse.
• During the last 3 years, the average days under water is 54 days, which is lower, thus better than the value of 58 days from the benchmark.