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.'

• The total return, or performance over 5 years of Crypto & Leveraged Top 2 Strategy is 670.5%, which is greater, thus better compared to the benchmark BTC-USD (159.5%) in the same period.
• During the last 3 years, the total return, or performance is 574%, which is greater, thus better than the value of 379.9% 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.'

• Looking at the annual performance (CAGR) of 50.7% 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 (21.1%)
• Compared with BTC-USD (69%) in the period of the last 3 years, the annual return (CAGR) of 89.4% is greater, thus better.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Compared with the benchmark BTC-USD (57.9%) in the period of the last 5 years, the historical 30 days volatility of 48.6% of Crypto & Leveraged Top 2 Strategy is smaller, thus better.
• Looking at volatility in of 43.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to BTC-USD (48.4%).

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 deviation over 5 years of Crypto & Leveraged Top 2 Strategy is 32%, which is lower, thus better compared to the benchmark BTC-USD (39%) in the same period.
• During the last 3 years, the downside risk is 26.8%, which is smaller, thus better than the value of 29.2% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The risk / return profile (Sharpe) over 5 years of Crypto & Leveraged Top 2 Strategy is 0.99, which is larger, thus better compared to the benchmark BTC-USD (0.32) in the same period.
• Looking at Sharpe Ratio in of 1.98 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (1.37).

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 1.5, which is higher, thus better compared to the benchmark BTC-USD (0.48) in the same period.
• Looking at downside risk / excess return profile in of 3.24 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (2.28).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark BTC-USD (40 ) in the period of the last 5 years, the Ulcer Index of 32 of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• During the last 3 years, the Downside risk index is 11 , which is smaller, thus better than the value of 12 from the benchmark.

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 drop from peak to valley of -64.7 days 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 (-76.6 days)
• Compared with BTC-USD (-31.8 days) in the period of the last 3 years, the maximum DrawDown of -27.2 days is higher, thus better.

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.'

• The maximum days below previous high over 5 years of Crypto & Leveraged Top 2 Strategy is 773 days, which is higher, thus worse compared to the benchmark BTC-USD (580 days) in the same period.
• Looking at maximum days below previous high in of 181 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to BTC-USD (164 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.'

• Compared with the benchmark BTC-USD (164 days) in the period of the last 5 years, the average time in days below previous high water mark of 265 days of Crypto & Leveraged Top 2 Strategy is larger, thus worse.
• Compared with BTC-USD (37 days) in the period of the last 3 years, the average days under water of 55 days is larger, thus worse.