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.'

• Compared with the benchmark BTC-USD (919.7%) in the period of the last 5 years, the total return, or performance of 1250.8% of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• Looking at total return, or increase in value in of -8.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (6.4%).

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 (59.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 68.4% of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• During the last 3 years, the annual return (CAGR) is -2.9%, which is lower, thus worse than the value of 2.1% 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.'

• Looking at the historical 30 days volatility of 58.3% in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively smaller, thus better in comparison to the benchmark BTC-USD (68.3%)
• Compared with BTC-USD (60.7%) in the period of the last 3 years, the volatility of 46.5% 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 risk over 5 years of Crypto & Leveraged Top 2 Strategy is 38.2%, which is smaller, thus better compared to the benchmark BTC-USD (46.1%) in the same period.
• Compared with BTC-USD (42.4%) in the period of the last 3 years, the downside deviation of 32.1% is lower, thus better.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Crypto & Leveraged Top 2 Strategy is 1.13, which is larger, thus better compared to the benchmark BTC-USD (0.83) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of -0.12 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (-0.01).

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 (1.23) in the period of the last 5 years, the downside risk / excess return profile of 1.72 of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is -0.17, which is lower, thus worse than the value of -0.01 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.'

• Looking at the Ulcer Ratio of 33 in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively smaller, thus better in comparison to the benchmark BTC-USD (43 )
• Compared with BTC-USD (50 ) in the period of the last 3 years, the Downside risk index of 39 is lower, thus better.

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.'

• 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.
• During the last 3 years, the maximum reduction from previous high is -64.7 days, which is greater, thus better than the value of -76.6 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) in days.'

• Compared with the benchmark BTC-USD (580 days) in the period of the last 5 years, the maximum days below previous high of 627 days of Crypto & Leveraged Top 2 Strategy is higher, thus worse.
• Looking at maximum time in days below previous high water mark in of 627 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to BTC-USD (580 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 below previous high of 203 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 (196 days)
• Compared with BTC-USD (235 days) in the period of the last 3 years, the average days below previous high of 269 days is larger, thus worse.