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, or performance over 5 years of Crypto & Leveraged Top 2 Strategy is 510.5%, which is larger, thus better compared to the benchmark BTC-USD (121.9%) in the same period.
• Compared with BTC-USD (426.3%) in the period of the last 3 years, the total return of 489.2% is greater, thus better.

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.'

• Looking at the compounded annual growth rate (CAGR) of 43.8% in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively larger, thus better in comparison to the benchmark BTC-USD (17.3%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 81%, which is higher, thus better than the value of 74.3% from the benchmark.

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.'

• Looking at the historical 30 days volatility of 48.9% in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively lower, thus better in comparison to the benchmark BTC-USD (58.4%)
• Looking at volatility in of 43.3% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to BTC-USD (48.5%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside deviation over 5 years of Crypto & Leveraged Top 2 Strategy is 32.6%, which is smaller, thus better compared to the benchmark BTC-USD (39.6%) in the same period.
• Looking at downside deviation in of 26.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to BTC-USD (29.2%).

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 (0.25) in the period of the last 5 years, the Sharpe Ratio of 0.84 of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• Looking at Sharpe Ratio in of 1.81 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (1.48).

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.'

• Compared with the benchmark BTC-USD (0.37) in the period of the last 5 years, the downside risk / excess return profile of 1.27 of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Compared with BTC-USD (2.46) in the period of the last 3 years, the excess return divided by the downside deviation of 2.93 is higher, thus better.

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.'

• Compared with the benchmark BTC-USD (40 ) in the period of the last 5 years, the Downside risk index of 32 of Crypto & Leveraged Top 2 Strategy is smaller, thus better.
• Looking at Ulcer Ratio in of 11 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to BTC-USD (12 ).

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 DrawDown over 5 years of Crypto & Leveraged Top 2 Strategy is -64.7 days, which is larger, thus better compared to the benchmark BTC-USD (-76.6 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -27.2 days, which is higher, thus better than the value of -31.8 days from the benchmark.

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 below previous high over 5 years of Crypto & Leveraged Top 2 Strategy is 773 days, which is greater, thus worse compared to the benchmark BTC-USD (580 days) in the same period.
• Compared with BTC-USD (164 days) in the period of the last 3 years, the maximum days below previous high of 181 days is greater, thus worse.

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.'

• Looking at the average days under water of 264 days in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively higher, thus worse in comparison to the benchmark BTC-USD (164 days)
• Looking at average days under water in of 55 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to BTC-USD (37 days).