Crypto & Leveraged Top 2 Strategy

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 BTC-USD (35%) in the period of the last 5 years, the total return, or performance of 73.5% of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• During the last 3 years, the total return, or performance is 185.6%, which is larger, thus better than the value of 183% 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.'

• Compared with the benchmark BTC-USD (6.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 11.7% of Crypto & Leveraged Top 2 Strategy is higher, thus better.
• During the last 3 years, the compounded annual growth rate (CAGR) is 42.1%, which is higher, thus better than the value of 41.7% 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.'

• The volatility over 5 years of Crypto & Leveraged Top 2 Strategy is 47.5%, which is smaller, thus better compared to the benchmark BTC-USD (51.6%) in the same period.
• Looking at volatility in of 50.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to BTC-USD (47.9%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Looking at the downside deviation of 34.5% in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively smaller, thus better in comparison to the benchmark BTC-USD (35.1%)
• Looking at downside deviation in of 37.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to BTC-USD (30.4%).

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.'

• Compared with the benchmark BTC-USD (0.07) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.19 of Crypto & Leveraged Top 2 Strategy is higher, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 0.78, which is lower, thus worse than the value of 0.82 from the benchmark.

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 excess return divided by the downside deviation of 0.27 in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively larger, thus better in comparison to the benchmark BTC-USD (0.11)
• Looking at ratio of annual return and downside deviation in of 1.05 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (1.29).

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.'

• The Ulcer Index over 5 years of Crypto & Leveraged Top 2 Strategy is 37 , which is lower, thus better compared to the benchmark BTC-USD (42 ) in the same period.
• Compared with BTC-USD (24 ) in the period of the last 3 years, the Ulcer Ratio of 28 is greater, thus worse.

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.'

• The maximum drop from peak to valley 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.
• Compared with BTC-USD (-53.1 days) in the period of the last 3 years, the maximum drop from peak to valley of -58.2 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) in days.'

• 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 larger, thus worse.
• Looking at maximum time in days below previous high water mark in of 184 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to BTC-USD (262 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 (181 days) in the period of the last 5 years, the average days below previous high of 271 days of Crypto & Leveraged Top 2 Strategy is larger, thus worse.
• Compared with BTC-USD (76 days) in the period of the last 3 years, the average days under water of 66 days is smaller, thus better.