Ethereum (ETH-USD)

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.'

• Compared with the benchmark SPY (153.9%) in the period of the last 5 years, the total return, or increase in value of 1397.2% of Ethereum is higher, thus better.
• During the last 3 years, the total return, or increase in value is -33.2%, which is lower, thus worse than the value of 33.1% from the benchmark.

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.'

• The annual return (CAGR) over 5 years of Ethereum is 72.1%, which is larger, thus better compared to the benchmark SPY (20.6%) in the same period.
• During the last 3 years, the annual performance (CAGR) is -12.6%, which is smaller, thus worse than the value of 10.1% from the benchmark.

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.'

• The historical 30 days volatility over 5 years of Ethereum is 81.2%, which is greater, thus worse compared to the benchmark SPY (17.8%) in the same period.
• Compared with SPY (17%) in the period of the last 3 years, the volatility of 69.3% is higher, thus worse.

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 (12.2%) in the period of the last 5 years, the downside volatility of 52.6% of Ethereum is higher, thus worse.
• Compared with SPY (12%) in the period of the last 3 years, the downside deviation of 48.2% is larger, 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 ratio of return and volatility (Sharpe) over 5 years of Ethereum is 0.86, which is smaller, thus worse compared to the benchmark SPY (1.02) in the same period.
• Looking at Sharpe Ratio in of -0.22 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.45).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the downside risk / excess return profile of 1.32 in the last 5 years of Ethereum, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.48)
• Looking at downside risk / excess return profile in of -0.31 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.63).

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.'

• The Ulcer Index over 5 years of Ethereum is 45 , which is larger, thus worse compared to the benchmark SPY (8.29 ) in the same period.
• Looking at Ulcer Index in of 44 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (8.64 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum reduction from previous high over 5 years of Ethereum is -78.4 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum drop from peak to valley of -70.5 days is lower, thus worse.

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 days below previous high of 845 days in the last 5 years of Ethereum, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days under water is 479 days, which is greater, thus worse than the value of 325 days from the benchmark.

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 below previous high of 311 days in the last 5 years of Ethereum, we see it is relatively higher, thus worse in comparison to the benchmark SPY (119 days)
• Looking at average days below previous high in of 200 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (89 days).