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 (85%) in the period of the last 5 years, the total return, or performance of 312.6% of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Compared with BTC-USD (210%) in the period of the last 3 years, the total return, or performance of 338.5% is higher, 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.'

• Looking at the compounded annual growth rate (CAGR) of 32.9% 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 (13.1%)
• Looking at annual performance (CAGR) in of 64% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to BTC-USD (46%).

Volatility:

'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.'

• Looking at the volatility of 51.4% 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 (58%)
• Compared with BTC-USD (49.8%) in the period of the last 3 years, the historical 30 days volatility of 51% is larger, thus worse.

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.'

• Compared with the benchmark BTC-USD (39.3%) in the period of the last 5 years, the downside risk of 36.6% of Crypto & Leveraged Top 2 Strategy is smaller, thus better.
• Compared with BTC-USD (31.1%) in the period of the last 3 years, the downside risk of 36.6% is larger, thus worse.

Sharpe:

'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.'

• The risk / return profile (Sharpe) over 5 years of Crypto & Leveraged Top 2 Strategy is 0.59, which is greater, thus better compared to the benchmark BTC-USD (0.18) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 1.2, which is larger, thus better than the value of 0.87 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.'

• Compared with the benchmark BTC-USD (0.27) in the period of the last 5 years, the excess return divided by the downside deviation of 0.83 of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• Compared with BTC-USD (1.4) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.68 is larger, thus better.

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 (41 ) in the period of the last 5 years, the Downside risk index of 32 of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• Looking at Downside risk index in of 12 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to BTC-USD (13 ).

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.'

• The maximum drop from peak to valley over 5 years of Crypto & Leveraged Top 2 Strategy is -64.7 days, which is larger, thus better compared to the benchmark BTC-USD (-76.6 days) in the same period.
• Compared with BTC-USD (-49.7 days) in the period of the last 3 years, the maximum reduction from previous high of -48.5 days is larger, 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). 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'

• Looking at the maximum days below previous high of 773 days in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively larger, thus worse in comparison to the benchmark BTC-USD (580 days)
• During the last 3 years, the maximum time in days below previous high water mark 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.'

• Looking at the average days below previous high of 265 days in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively greater, thus worse in comparison to the benchmark BTC-USD (165 days)
• During the last 3 years, the average days below previous high is 55 days, which is larger, thus worse than the value of 39 days from the benchmark.