Crypto & Leveraged Top 2 Strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return, or performance of 808.4% in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively lower, thus worse in comparison to the benchmark BTC-USD (905.8%)
• Looking at total return in of 98.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (390.1%).

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.'

• Compared with the benchmark BTC-USD (58.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 55.7% of Crypto & Leveraged Top 2 Strategy is lower, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 25.8%, which is lower, thus worse than the value of 70.2% 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.'

• Compared with the benchmark BTC-USD (60.2%) in the period of the last 5 years, the volatility of 52.3% of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• Looking at volatility in of 42.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to BTC-USD (50.3%).

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.'

• Compared with the benchmark BTC-USD (39.6%) in the period of the last 5 years, the downside deviation of 33.9% of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• Compared with BTC-USD (31%) in the period of the last 3 years, the downside deviation of 28.2% is smaller, thus better.

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 ratio of return and volatility (Sharpe) of 1.02 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 (0.94)
• Compared with BTC-USD (1.35) in the period of the last 3 years, the Sharpe Ratio of 0.55 is smaller, thus worse.

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 ratio of annual return and downside deviation over 5 years of Crypto & Leveraged Top 2 Strategy is 1.57, which is higher, thus better compared to the benchmark BTC-USD (1.43) in the same period.
• Compared with BTC-USD (2.18) in the period of the last 3 years, the downside risk / excess return profile of 0.83 is lower, thus worse.

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 Ratio over 5 years of Crypto & Leveraged Top 2 Strategy is 32 , which is lower, thus better compared to the benchmark BTC-USD (40 ) in the same period.
• Compared with BTC-USD (13 ) in the period of the last 3 years, the Ulcer Index of 19 is larger, thus worse.

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.'

• The maximum reduction from previous high 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 drop from peak to valley is -41.9 days, which is lower, thus worse than the value of -35.3 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum time in days below previous high water mark of 773 days in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively greater, thus worse in comparison to the benchmark BTC-USD (580 days)
• During the last 3 years, the maximum time in days below previous high water mark is 311 days, which is larger, thus worse than the value of 164 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 days under water of 264 days in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively greater, thus worse in comparison to the benchmark BTC-USD (166 days)
• Looking at average days below previous high in of 105 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to BTC-USD (45 days).