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.'

• Compared with the benchmark BTC-USD (33.6%) in the period of the last 5 years, the total return, or performance of 74.4% of Crypto & Leveraged Top 2 Strategy is higher, thus better.
• Looking at total return, or increase in value in of 164.7% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (145%).

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.'

• Compared with the benchmark BTC-USD (6%) in the period of the last 5 years, the annual return (CAGR) of 11.8% of Crypto & Leveraged Top 2 Strategy is higher, thus better.
• Compared with BTC-USD (35%) in the period of the last 3 years, the annual performance (CAGR) of 38.5% is higher, thus better.

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.'

• Compared with the benchmark BTC-USD (51.6%) in the period of the last 5 years, the 30 days standard deviation of 47.5% of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• During the last 3 years, the 30 days standard deviation is 50.7%, which is higher, thus worse than the value of 47.4% from the benchmark.

DownVol:

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

• Looking at the downside risk of 34.5% 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 (35.1%)
• During the last 3 years, the downside volatility is 37.7%, which is greater, thus worse than the value of 30.4% 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 0.2 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 (0.07)
• During the last 3 years, the risk / return profile (Sharpe) is 0.71, which is higher, thus better than the value of 0.68 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The downside risk / excess return profile over 5 years of Crypto & Leveraged Top 2 Strategy is 0.27, which is larger, thus better compared to the benchmark BTC-USD (0.1) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.95, which is lower, thus worse than the value of 1.07 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.'

• The Ulcer Index over 5 years of Crypto & Leveraged Top 2 Strategy is 37 , which is smaller, thus better compared to the benchmark BTC-USD (42 ) in the same period.
• Looking at Ulcer Index in of 28 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to BTC-USD (24 ).

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.'

• 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.
• During the last 3 years, the maximum reduction from previous high is -58.2 days, which is lower, thus worse than the value of -53.1 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). 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'

• 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.
• During the last 3 years, the maximum days below previous high is 186 days, which is lower, thus better than the value of 264 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.'

• Compared with the benchmark BTC-USD (181 days) in the period of the last 5 years, the average days below previous high of 271 days of Crypto & Leveraged Top 2 Strategy is greater, thus worse.
• Looking at average days under water in of 66 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to BTC-USD (77 days).