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 (65.1%) in the period of the last 5 years, the total return, or performance of 104.9% of Crypto & Leveraged Top 2 Strategy is higher, thus better.
• During the last 3 years, the total return is 202.9%, which is higher, thus better than the value of 136.5% from the benchmark.

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 (10.6%) in the period of the last 5 years, the annual performance (CAGR) of 15.5% of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• Looking at annual performance (CAGR) in of 44.9% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (33.4%).

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.'

• Compared with the benchmark BTC-USD (54.6%) in the period of the last 5 years, the historical 30 days volatility of 48.6% of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• During the last 3 years, the volatility is 49.8%, which is higher, thus worse than the value of 47.8% 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.'

• The downside risk over 5 years of Crypto & Leveraged Top 2 Strategy is 35.3%, which is lower, thus better compared to the benchmark BTC-USD (36.9%) in the same period.
• During the last 3 years, the downside risk is 37.1%, which is greater, thus worse than the value of 30.7% 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.'

• The risk / return profile (Sharpe) over 5 years of Crypto & Leveraged Top 2 Strategy is 0.27, which is larger, thus better compared to the benchmark BTC-USD (0.15) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.85 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to BTC-USD (0.65).

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.'

• The downside risk / excess return profile over 5 years of Crypto & Leveraged Top 2 Strategy is 0.37, which is greater, thus better compared to the benchmark BTC-USD (0.22) in the same period.
• Looking at excess return divided by the downside deviation in of 1.14 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (1.01).

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 Ulcer Index over 5 years of Crypto & Leveraged Top 2 Strategy is 34 , which is lower, thus better compared to the benchmark BTC-USD (41 ) in the same period.
• During the last 3 years, the Downside risk index is 21 , which is greater, thus worse than the value of 19 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.'

• Looking at the maximum DrawDown of -64.7 days in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively greater, thus better in comparison to the benchmark BTC-USD (-76.6 days)
• Compared with BTC-USD (-51.2 days) in the period of the last 3 years, the maximum DrawDown of -57.6 days is smaller, 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark BTC-USD (580 days) in the period of the last 5 years, the maximum days below previous high of 773 days of Crypto & Leveraged Top 2 Strategy is higher, thus worse.
• Looking at maximum days under water in of 181 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to BTC-USD (167 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.'

• The average time in days below previous high water mark over 5 years of Crypto & Leveraged Top 2 Strategy is 263 days, which is higher, thus worse compared to the benchmark BTC-USD (167 days) in the same period.
• Looking at average days under water in of 51 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to BTC-USD (51 days).