This is a very aggressive strategy that invests in the top performers across a selection of crypto, equity, treasury and precious metal assets with similar volatility characteristics. These asset classes are represented by Bitcoin, Ethereum, SPXL, TMF and AGQ. Twice each month, the strategy ranks these assets using our Modified Sharpe Ratio and invests 50% of the portfolio in each of the top two performers.

Due to the nature of crypto currency and leveraged ETFs, investors should be prepared for large swings up and down.

Here are some of the possible market scenarios this strategy is designed take advantage of:

- Ethereum is performing well but Bitcoin is under-performing. The strategy can invest 50% in Ethereum and 50% in SPXL.
- A prolonged crypto bear market. The strategy can shift to 50% in SPXL and 50% in TMF.
- Cryptos are outperforming other asset classes. The strategy could invest fully in crypto assets by allocating 50% to Bitcoin and 50% to Ethereum.

**Twice Monthly Rebalancing**

The strategy rebalances on the 1st and 16th of each month which provides a balance between a very active daily or weekly rebalancing, that can cause whipsaws, and a monthly rebalancing that may be too slow considering how fast the crypto markets move. The twice-monthly frequency is simple to execute, avoids whipsaws but can still react to shifting market trends.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark BTC-USD (359%) in the period of the last 5 years, the total return, or performance of 676.9% of Crypto & Leveraged Top 2 Strategy is higher, thus better.
- Compared with BTC-USD (28.5%) in the period of the last 3 years, the total return, or increase in value of -5.9% is smaller, thus worse.

'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.'

Which means for our asset as example:- The annual return (CAGR) over 5 years of Crypto & Leveraged Top 2 Strategy is 50.8%, which is larger, thus better compared to the benchmark BTC-USD (35.7%) in the same period.
- Looking at compounded annual growth rate (CAGR) in of -2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to BTC-USD (8.8%).

'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.'

Using this definition on our asset we see for example:- The 30 days standard deviation over 5 years of Crypto & Leveraged Top 2 Strategy is 55.7%, which is smaller, thus better compared to the benchmark BTC-USD (65.3%) in the same period.
- Looking at volatility in of 45.9% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to BTC-USD (57.5%).

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

Which means for our asset as example:- Looking at the downside risk of 36.9% 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 (44.8%)
- Looking at downside risk in of 31.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to BTC-USD (39.4%).

'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.'

Using this definition on our asset we see for example:- Looking at the ratio of return and volatility (Sharpe) of 0.87 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 (0.51)
- Compared with BTC-USD (0.11) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.1 is smaller, thus worse.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark BTC-USD (0.74) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.31 of Crypto & Leveraged Top 2 Strategy is greater, thus better.
- Compared with BTC-USD (0.16) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.14 is lower, thus worse.

'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.'

Which means for our asset as example:- The Ulcer Index over 5 years of Crypto & Leveraged Top 2 Strategy is 33 , which is smaller, thus better compared to the benchmark BTC-USD (42 ) in the same period.
- Looking at Downside risk index in of 40 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to BTC-USD (49 ).

'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.'

Applying this definition to our asset in some examples:- The maximum DrawDown over 5 years of Crypto & Leveraged Top 2 Strategy is -64.7 days, which is higher, thus better compared to the benchmark BTC-USD (-76.6 days) in the same period.
- During the last 3 years, the maximum reduction from previous high is -64.7 days, which is greater, thus better than the value of -76.6 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark BTC-USD (580 days) in the period of the last 5 years, the maximum days under water of 689 days of Crypto & Leveraged Top 2 Strategy is larger, thus worse.
- Compared with BTC-USD (580 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 689 days is higher, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the average days under water of 215 days in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively higher, thus worse in comparison to the benchmark BTC-USD (180 days)
- Looking at average days below previous high in of 322 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to BTC-USD (236 days).

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Crypto & Leveraged Top 2 Strategy are hypothetical and do not account for slippage, fees or taxes.
- Results may be based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.