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.'

• The total return, or performance over 5 years of Crypto & Leveraged Top 2 Strategy is 994.5%, which is greater, thus better compared to the benchmark BTC-USD (399.9%) in the same period.
• During the last 3 years, the total return, or increase in value is 303.5%, which is smaller, thus worse than the value of 424.6% from the benchmark.

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.'

• The compounded annual growth rate (CAGR) over 5 years of Crypto & Leveraged Top 2 Strategy is 61.6%, which is greater, thus better compared to the benchmark BTC-USD (38.1%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 59.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (74.1%).

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 50.4% 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 (59.5%)
• Compared with BTC-USD (48.5%) in the period of the last 3 years, the historical 30 days volatility of 41.9% is lower, thus better.

DownVol:

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

• The downside volatility over 5 years of Crypto & Leveraged Top 2 Strategy is 32.1%, which is smaller, thus better compared to the benchmark BTC-USD (39.5%) in the same period.
• During the last 3 years, the downside risk is 26.2%, which is smaller, thus better than the value of 29.1% 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 risk / return profile (Sharpe) of 1.17 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 (0.6)
• Looking at ratio of return and volatility (Sharpe) in of 1.36 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (1.48).

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.'

• Looking at the excess return divided by the downside deviation of 1.84 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 (0.9)
• Looking at excess return divided by the downside deviation in of 2.18 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (2.46).

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.'

• 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 lower, thus better.
• Compared with BTC-USD (11 ) in the period of the last 3 years, the Downside risk index of 12 is greater, thus worse.

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 greater, thus better compared to the benchmark BTC-USD (-76.6 days) in the same period.
• Looking at maximum DrawDown in of -27.2 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (-31.8 days).

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 higher, thus worse in comparison to the benchmark BTC-USD (580 days)
• Looking at maximum time in days below previous high water mark in of 181 days in the period of the last 3 years, we see it is relatively greater, 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.'

• Looking at the average days under water of 266 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 (165 days)
• During the last 3 years, the average days under water is 56 days, which is higher, thus worse than the value of 36 days from the benchmark.