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.'

• The total return over 5 years of Crypto & Leveraged Top 2 Strategy is 76.6%, which is greater, thus better compared to the benchmark BTC-USD (33.4%) in the same period.
• Compared with BTC-USD (205.8%) in the period of the last 3 years, the total return of 197.2% is smaller, thus worse.

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 return (CAGR) of 12.1% 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 (6%)
• During the last 3 years, the annual return (CAGR) is 44%, which is smaller, thus worse than the value of 45.4% from the benchmark.

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.'

• The volatility over 5 years of Crypto & Leveraged Top 2 Strategy is 47.6%, which is lower, thus better compared to the benchmark BTC-USD (51.7%) in the same period.
• Compared with BTC-USD (48%) in the period of the last 3 years, the 30 days standard deviation of 50.9% is larger, thus worse.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside deviation over 5 years of Crypto & Leveraged Top 2 Strategy is 34.6%, which is lower, thus better compared to the benchmark BTC-USD (35.2%) in the same period.
• Compared with BTC-USD (30.4%) in the period of the last 3 years, the downside risk of 37.7% is larger, thus worse.

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.'

• Looking at the Sharpe Ratio of 0.2 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 (0.07)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.82, which is smaller, thus worse than the value of 0.89 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The downside risk / excess return profile over 5 years of Crypto & Leveraged Top 2 Strategy is 0.28, which is greater, thus better compared to the benchmark BTC-USD (0.1) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 1.1, which is lower, thus worse than the value of 1.41 from the benchmark.

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.'

• Compared with the benchmark BTC-USD (42 ) in the period of the last 5 years, the Ulcer Index of 37 of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• During the last 3 years, the Downside risk index is 28 , which is larger, thus worse than the value of 24 from the benchmark.

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.'

• 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)
• Looking at maximum reduction from previous high in of -58.2 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to BTC-USD (-53.1 days).

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 days below previous high 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)
• Looking at maximum time in days below previous high water mark in of 181 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to BTC-USD (258 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 270 days of Crypto & Leveraged Top 2 Strategy is greater, thus worse.
• Looking at average time in days below previous high water mark in of 65 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to BTC-USD (75 days).