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.'

• Looking at the total return, or performance of 94.8% 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 (56.9%)
• Compared with BTC-USD (184.2%) in the period of the last 3 years, the total return, or performance of 220.8% is larger, thus better.

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.'

• Compared with the benchmark BTC-USD (9.5%) in the period of the last 5 years, the annual performance (CAGR) of 14.3% of Crypto & Leveraged Top 2 Strategy is higher, thus better.
• Compared with BTC-USD (42%) in the period of the last 3 years, the annual return (CAGR) of 47.9% is larger, thus better.

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 (52.5%) in the period of the last 5 years, the historical 30 days volatility of 48.2% of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• Looking at volatility in of 50.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to BTC-USD (47.8%).

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• The downside risk over 5 years of Crypto & Leveraged Top 2 Strategy is 34.9%, which is lower, thus better compared to the benchmark BTC-USD (35.6%) in the same period.
• During the last 3 years, the downside deviation is 37.5%, which is higher, thus worse than the value of 30.4% 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 (0.13) in the period of the last 5 years, the Sharpe Ratio of 0.25 of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 0.9, which is larger, thus better than the value of 0.83 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the downside risk / excess return profile of 0.34 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 (0.2)
• During the last 3 years, the ratio of annual return and downside deviation is 1.21, which is smaller, thus worse than the value of 1.3 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• 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.
• Looking at Ulcer Index in of 26 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to BTC-USD (23 ).

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 DrawDown of -64.7 days of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• During the last 3 years, the maximum drop from peak to valley is -58.2 days, which is lower, thus worse than the value of -53.1 days from the benchmark.

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 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.
• Compared with BTC-USD (236 days) in the period of the last 3 years, the maximum days under water of 181 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 time in days below previous high water mark over 5 years of Crypto & Leveraged Top 2 Strategy is 268 days, which is greater, thus worse compared to the benchmark BTC-USD (177 days) in the same period.
• Looking at average days under water in of 60 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to BTC-USD (68 days).