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.'

• Looking at the total return of 984.8% 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 (963.7%)
• Looking at total return in of 182% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (489%).

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 (60.8%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 61.4% of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• Looking at annual return (CAGR) in of 41.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (81.2%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark BTC-USD (60%) in the period of the last 5 years, the volatility of 51.1% of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• Compared with BTC-USD (49.2%) in the period of the last 3 years, the historical 30 days volatility of 41.7% is smaller, thus better.

DownVol:

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

• Looking at the downside risk of 32.4% 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 (39.3%)
• During the last 3 years, the downside volatility is 26.4%, which is lower, thus better than the value of 29.9% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark BTC-USD (0.97) in the period of the last 5 years, the Sharpe Ratio of 1.15 of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Looking at ratio of return and volatility (Sharpe) in of 0.94 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (1.6).

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 downside risk / excess return profile of 1.82 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 (1.48)
• Compared with BTC-USD (2.63) in the period of the last 3 years, the excess return divided by the downside deviation of 1.48 is smaller, thus worse.

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 Downside risk index over 5 years of Crypto & Leveraged Top 2 Strategy is 32 , which is lower, thus better compared to the benchmark BTC-USD (40 ) in the same period.
• Looking at Ulcer Index in of 13 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to BTC-USD (11 ).

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.'

• Compared with the benchmark BTC-USD (-76.6 days) in the period of the last 5 years, the maximum drop from peak to valley of -64.7 days of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• Looking at maximum reduction from previous high in of -30 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (-28.1 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) in days.'

• The maximum time in days below previous high water mark 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 greater, thus worse than the value of 164 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.'

• Compared with the benchmark BTC-USD (167 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 (35 days) in the period of the last 3 years, the average days under water of 63 days is greater, thus worse.