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.'

• Looking at the total return of 60.7% 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 (24.2%)
• Compared with BTC-USD (118.6%) in the period of the last 3 years, the total return of 152.4% is higher, 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 (4.5%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 10% of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Looking at annual return (CAGR) in of 36.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (29.9%).

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 47.3% of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• During the last 3 years, the historical 30 days volatility is 50.7%, which is greater, thus worse than the value of 47.6% from the benchmark.

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 (35.1%) in the period of the last 5 years, the downside deviation of 34.4% of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• During the last 3 years, the downside deviation is 37.7%, which is higher, 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.'

• Compared with the benchmark BTC-USD (0.04) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.16 of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Compared with BTC-USD (0.58) in the period of the last 3 years, the Sharpe Ratio of 0.67 is greater, thus better.

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.'

• Compared with the benchmark BTC-USD (0.06) in the period of the last 5 years, the downside risk / excess return profile of 0.22 of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 0.9, which is greater, thus better than the value of 0.89 from the benchmark.

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.'

• The Downside risk index over 5 years of Crypto & Leveraged Top 2 Strategy is 38 , which is lower, thus better compared to the benchmark BTC-USD (42 ) in the same period.
• Compared with BTC-USD (24 ) in the period of the last 3 years, the Ulcer Index of 29 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 drop from peak to valley 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 reduction from previous high of -58.2 days is smaller, thus worse.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum time in days below previous high water mark over 5 years of Crypto & Leveraged Top 2 Strategy is 773 days, which is larger, thus worse compared to the benchmark BTC-USD (580 days) in the same period.
• During the last 3 years, the maximum days under water is 195 days, which is smaller, thus better than the value of 273 days from the benchmark.

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.'

• The average days under water over 5 years of Crypto & Leveraged Top 2 Strategy is 271 days, which is greater, thus worse compared to the benchmark BTC-USD (183 days) in the same period.
• Looking at average days under water in of 68 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to BTC-USD (80 days).