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.'

• Compared with the benchmark BTC-USD (112.8%) in the period of the last 5 years, the total return of 170.1% of Crypto & Leveraged Top 2 Strategy is higher, thus better.
• Looking at total return, or performance in of 258.3% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to BTC-USD (226%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark BTC-USD (16.4%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 22.1% of Crypto & Leveraged Top 2 Strategy is higher, thus better.
• Compared with BTC-USD (48.7%) in the period of the last 3 years, the annual return (CAGR) of 53.4% is greater, thus better.

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 47.9%, which is smaller, thus better compared to the benchmark BTC-USD (52.5%) in the same period.
• Looking at volatility in of 50.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to BTC-USD (48.1%).

DownVol:

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

• Compared with the benchmark BTC-USD (35.2%) in the period of the last 5 years, the downside deviation of 34.5% of Crypto & Leveraged Top 2 Strategy is smaller, thus better.
• Compared with BTC-USD (30.4%) in the period of the last 3 years, the downside volatility of 37.5% is greater, thus worse.

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.'

• The Sharpe Ratio over 5 years of Crypto & Leveraged Top 2 Strategy is 0.41, which is larger, thus better compared to the benchmark BTC-USD (0.26) in the same period.
• Looking at risk / return profile (Sharpe) in of 1 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to BTC-USD (0.96).

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.'

• Looking at the ratio of annual return and downside deviation of 0.57 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 (0.39)
• Looking at ratio of annual return and downside deviation in of 1.36 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (1.52).

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.'

• Looking at the Downside risk index of 37 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 (42 )
• During the last 3 years, the Downside risk index is 27 , which is greater, thus worse than the value of 23 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.'

• Compared with the benchmark BTC-USD (-76.6 days) in the period of the last 5 years, the maximum reduction from previous high of -64.7 days of Crypto & Leveraged Top 2 Strategy is higher, thus better.
• Looking at maximum drop from peak to valley in of -58.2 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (-53.1 days).

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days below previous high over 5 years of Crypto & Leveraged Top 2 Strategy is 773 days, which is greater, thus worse compared to the benchmark BTC-USD (580 days) in the same period.
• During the last 3 years, the maximum days below previous high is 181 days, which is lower, thus better than the value of 240 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.'

• The average time in days below previous high water mark over 5 years of Crypto & Leveraged Top 2 Strategy is 269 days, which is higher, thus worse compared to the benchmark BTC-USD (178 days) in the same period.
• Looking at average days under water in of 61 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to BTC-USD (69 days).