Bitcoin (BTC-USD)

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 SPY (67.1%) in the period of the last 5 years, the total return of 291.2% of Bitcoin is higher, thus better.
• Compared with SPY (61.5%) in the period of the last 3 years, the total return of 334.9% is higher, 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.'

• Looking at the annual performance (CAGR) of 31.4% in the last 5 years of Bitcoin, we see it is relatively larger, thus better in comparison to the benchmark SPY (10.8%)
• During the last 3 years, the annual performance (CAGR) is 63.2%, which is greater, thus better than the value of 17.3% 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 30 days standard deviation of 70.5% in the last 5 years of Bitcoin, we see it is relatively higher, thus worse in comparison to the benchmark SPY (21.4%)
• Looking at historical 30 days volatility in of 67.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (20%).

DownVol:

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

• Compared with the benchmark SPY (15.4%) in the period of the last 5 years, the downside volatility of 48.3% of Bitcoin is higher, thus worse.
• Compared with SPY (13.9%) in the period of the last 3 years, the downside volatility of 45.2% is greater, thus worse.

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.'

• The Sharpe Ratio over 5 years of Bitcoin is 0.41, which is higher, thus better compared to the benchmark SPY (0.39) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.9, which is greater, thus better than the value of 0.74 from the benchmark.

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.'

• The excess return divided by the downside deviation over 5 years of Bitcoin is 0.6, which is higher, thus better compared to the benchmark SPY (0.54) in the same period.
• Compared with SPY (1.06) in the period of the last 3 years, the downside risk / excess return profile of 1.34 is higher, thus better.

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 Bitcoin is 42 , which is larger, thus worse compared to the benchmark SPY (9.21 ) in the same period.
• Looking at Downside risk index in of 42 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (9.87 ).

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 DrawDown of -76.6 days in the last 5 years of Bitcoin, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -76.6 days, which is smaller, thus worse than the value of -24.5 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.'

• Looking at the maximum time in days below previous high water mark of 349 days in the last 5 years of Bitcoin, we see it is relatively greater, thus worse in comparison to the benchmark SPY (311 days)
• During the last 3 years, the maximum days under water is 349 days, which is larger, thus worse than the value of 311 days from the benchmark.

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 time in days below previous high water mark of 139 days in the last 5 years of Bitcoin, we see it is relatively larger, thus worse in comparison to the benchmark SPY (66 days)
• Looking at average days under water in of 105 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (82 days).