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.'

• The total return, or performance over 5 years of Crypto & Leveraged Top 2 Strategy is 86.2%, which is larger, thus better compared to the benchmark BTC-USD (44.1%) in the same period.
• Compared with BTC-USD (202.7%) in the period of the last 3 years, the total return, or increase in value of 230.7% is larger, thus better.

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.'

• Compared with the benchmark BTC-USD (7.6%) in the period of the last 5 years, the annual return (CAGR) of 13.3% of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• During the last 3 years, the annual return (CAGR) is 49.4%, which is greater, thus better than the value of 45% from the benchmark.

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.'

• The 30 days standard deviation over 5 years of Crypto & Leveraged Top 2 Strategy is 49.6%, which is lower, thus better compared to the benchmark BTC-USD (55.9%) in the same period.
• During the last 3 years, the historical 30 days volatility is 49.9%, which is larger, 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 (38.5%) in the period of the last 5 years, the downside risk of 36.3% of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• During the last 3 years, the downside volatility is 37.1%, which is greater, thus worse than the value of 30.4% 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 (0.09) in the period of the last 5 years, the Sharpe Ratio of 0.22 of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.94, which is higher, thus better than the value of 0.89 from the benchmark.

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 (0.13) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.3 of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• Looking at excess return divided by the downside deviation in of 1.26 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to BTC-USD (1.4).

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.'

• Looking at the Ulcer Index of 34 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 (41 )
• Looking at Ulcer Index in of 19 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to BTC-USD (18 ).

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.'

• Looking at the maximum drop from peak to valley of -64.7 days 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 (-76.6 days)
• During the last 3 years, the maximum DrawDown is -57.6 days, which is smaller, thus worse than the value of -49.7 days from the benchmark.

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.'

• Looking at the maximum days below previous high 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)
• Compared with BTC-USD (164 days) in the period of the last 3 years, the maximum days below previous high of 181 days is higher, thus worse.

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.'

• Looking at the average days under water of 262 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 (167 days)
• During the last 3 years, the average days under water is 49 days, which is larger, thus worse than the value of 48 days from the benchmark.