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 1086.4%, which is larger, thus better compared to the benchmark BTC-USD (811.6%) in the same period.
• During the last 3 years, the total return is 6.1%, which is lower, thus worse than the value of 53.9% from the benchmark.

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 (55.6%) in the period of the last 5 years, the annual return (CAGR) of 64.1% of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Looking at compounded annual growth rate (CAGR) in of 2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (15.5%).

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.'

• Looking at the 30 days standard deviation of 57.6% 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 (67.6%)
• Compared with BTC-USD (60.1%) in the period of the last 3 years, the volatility of 46% is smaller, thus better.

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 (46%) in the period of the last 5 years, the downside risk of 38.1% of Crypto & Leveraged Top 2 Strategy is smaller, thus better.
• During the last 3 years, the downside risk is 31.5%, which is lower, thus better than the value of 41.3% 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.'

• Looking at the Sharpe Ratio of 1.07 in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively higher, thus better in comparison to the benchmark BTC-USD (0.79)
• Looking at Sharpe Ratio in of -0.01 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (0.22).

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 ratio of annual return and downside deviation of 1.62 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 (1.15)
• Looking at ratio of annual return and downside deviation in of -0.02 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to BTC-USD (0.31).

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.'

• Compared with the benchmark BTC-USD (43 ) in the period of the last 5 years, the Ulcer Ratio of 33 of Crypto & Leveraged Top 2 Strategy is smaller, thus better.
• During the last 3 years, the Downside risk index is 39 , which is lower, thus better than the value of 49 from the benchmark.

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.'

• 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.
• During the last 3 years, the maximum drop from peak to valley is -64.7 days, which is larger, 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 634 days of Crypto & Leveraged Top 2 Strategy is larger, thus worse.
• Looking at maximum days under water in of 634 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to BTC-USD (580 days).

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 time in days below previous high water mark over 5 years of Crypto & Leveraged Top 2 Strategy is 206 days, which is greater, thus worse compared to the benchmark BTC-USD (195 days) in the same period.
• Looking at average time in days below previous high water mark in of 274 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to BTC-USD (232 days).