Crypto & Leveraged Top 2 Strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return, or performance over 5 years of Crypto & Leveraged Top 2 Strategy is 649%, which is higher, thus better compared to the benchmark BTC-USD (147.3%) in the same period.
• Looking at total return, or increase in value in of 588.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (386.8%).

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 compounded annual growth rate (CAGR) over 5 years of Crypto & Leveraged Top 2 Strategy is 49.8%, which is higher, thus better compared to the benchmark BTC-USD (19.9%) in the same period.
• During the last 3 years, the annual return (CAGR) is 90.9%, which is larger, thus better than the value of 70% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the historical 30 days volatility of 48.6% 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 (57.9%)
• During the last 3 years, the historical 30 days volatility is 43.9%, which is lower, thus better than the value of 48.4% from the benchmark.

DownVol:

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

• Compared with the benchmark BTC-USD (39.1%) in the period of the last 5 years, the downside deviation of 32.1% of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• During the last 3 years, the downside risk is 26.8%, which is lower, thus better than the value of 29.2% 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 (0.3) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.97 of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Compared with BTC-USD (1.39) in the period of the last 3 years, the Sharpe Ratio of 2.01 is greater, 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.'

• Looking at the excess return divided by the downside deviation of 1.47 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 (0.45)
• During the last 3 years, the downside risk / excess return profile is 3.29, which is higher, thus better than the value of 2.31 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Ulcer Ratio of 32 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 (40 )
• Looking at Ulcer Ratio in of 11 in the period of the last 3 years, we see it is relatively lower, 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 drop from peak to valley 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.
• Compared with BTC-USD (-31.8 days) in the period of the last 3 years, the maximum DrawDown of -27.2 days is higher, thus better.

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 greater, thus worse in comparison to the benchmark BTC-USD (580 days)
• Looking at maximum days under water in of 181 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to BTC-USD (164 days).

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 time in days below previous high water mark over 5 years of Crypto & Leveraged Top 2 Strategy is 265 days, which is greater, thus worse compared to the benchmark BTC-USD (164 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 55 days, which is larger, thus worse than the value of 37 days from the benchmark.