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 (1254.2%) in the period of the last 5 years, the total return of 1180.2% of Crypto & Leveraged Top 2 Strategy is lower, thus worse.
• Looking at total return in of 18.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (108.5%).

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 compounded annual growth rate (CAGR) of 66.7% 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 (68.5%)
• Looking at compounded annual growth rate (CAGR) in of 5.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (27.8%).

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.'

• Looking at the 30 days standard deviation of 55.7% in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively lower, thus better in comparison to the benchmark BTC-USD (64.7%)
• Looking at volatility in of 42.5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to BTC-USD (56.5%).

DownVol:

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

• The downside risk over 5 years of Crypto & Leveraged Top 2 Strategy is 36.5%, which is lower, thus better compared to the benchmark BTC-USD (43.7%) in the same period.
• Compared with BTC-USD (37.9%) in the period of the last 3 years, the downside volatility of 28.5% 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 Sharpe Ratio of 1.15 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 (1.02)
• Compared with BTC-USD (0.45) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.08 is lower, 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 excess return divided by the downside deviation over 5 years of Crypto & Leveraged Top 2 Strategy is 1.76, which is higher, thus better compared to the benchmark BTC-USD (1.51) in the same period.
• Compared with BTC-USD (0.67) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.11 is lower, thus worse.

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 (40 ) in the period of the last 5 years, the Downside risk index of 32 of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• During the last 3 years, the Ulcer Ratio is 36 , which is smaller, thus better than the value of 39 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 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 (-68.9 days) in the period of the last 3 years, the maximum reduction from previous high of -61.7 days is greater, 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.
• Compared with BTC-USD (536 days) in the period of the last 3 years, the maximum days under water of 484 days is smaller, thus better.

AveDuration:

'The Average 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. 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 days below previous high over 5 years of Crypto & Leveraged Top 2 Strategy is 264 days, which is higher, thus worse compared to the benchmark BTC-USD (170 days) in the same period.
• Compared with BTC-USD (216 days) in the period of the last 3 years, the average days below previous high of 182 days is lower, thus better.