Crypto & Leveraged Top 2 Strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return of 131.3% 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 (40.6%)
• Compared with BTC-USD (162.5%) in the period of the last 3 years, the total return of 193.3% is larger, 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.'

• Compared with the benchmark BTC-USD (7.1%) in the period of the last 5 years, the annual performance (CAGR) of 18.3% of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Compared with BTC-USD (38.2%) in the period of the last 3 years, the annual return (CAGR) of 43.5% is greater, thus better.

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.'

• Compared with the benchmark BTC-USD (56.2%) in the period of the last 5 years, the 30 days standard deviation of 50% of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• Compared with BTC-USD (47.8%) in the period of the last 3 years, the volatility of 50.1% is greater, thus worse.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 deviation over 5 years of Crypto & Leveraged Top 2 Strategy is 36.3%, which is lower, thus better compared to the benchmark BTC-USD (38.6%) in the same period.
• During the last 3 years, the downside deviation is 37.4%, which is greater, thus worse than the value of 30.7% from the benchmark.

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 Crypto & Leveraged Top 2 Strategy is 0.32, which is larger, thus better compared to the benchmark BTC-USD (0.08) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.82 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to BTC-USD (0.75).

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 (0.12) in the period of the last 5 years, the excess return divided by the downside deviation of 0.44 of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• Looking at excess return divided by the downside deviation in of 1.1 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (1.17).

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 Index of 34 of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• During the last 3 years, the Downside risk index is 18 , which is greater, thus worse than the value of 17 from the benchmark.

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.'

• Looking at the maximum DrawDown 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 drop from peak to valley of -57.6 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.'

• Looking at the maximum time in days below previous high water mark of 773 days in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively larger, thus worse in comparison to the benchmark BTC-USD (580 days)
• Compared with BTC-USD (164 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 181 days is higher, thus worse.

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 below previous high over 5 years of Crypto & Leveraged Top 2 Strategy is 263 days, which is higher, thus worse compared to the benchmark BTC-USD (167 days) in the same period.
• Compared with BTC-USD (46 days) in the period of the last 3 years, the average days under water of 49 days is greater, thus worse.