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.'

• The total return over 5 years of Crypto & Leveraged Top 2 Strategy is 1044.5%, which is higher, thus better compared to the benchmark BTC-USD (1013.1%) in the same period.
• During the last 3 years, the total return, or increase in value is 19.8%, which is lower, thus worse than the value of 174.5% from the benchmark.

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 (62.1%) in the period of the last 5 years, the annual return (CAGR) of 63% of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Looking at compounded annual growth rate (CAGR) in of 6.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to BTC-USD (40.3%).

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 (64.6%) in the period of the last 5 years, the volatility of 55.8% of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• During the last 3 years, the 30 days standard deviation is 42.6%, which is lower, thus better than the value of 56.3% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 36.6%, which is lower, thus better compared to the benchmark BTC-USD (43.8%) in the same period.
• Looking at downside volatility in of 28.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to BTC-USD (37.3%).

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 (0.92) in the period of the last 5 years, the Sharpe Ratio of 1.08 of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Looking at ratio of return and volatility (Sharpe) in of 0.09 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to BTC-USD (0.67).

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 (1.36) in the period of the last 5 years, the downside risk / excess return profile of 1.65 of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• Looking at excess return divided by the downside deviation in of 0.13 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (1.01).

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.'

• Compared with the benchmark BTC-USD (40 ) in the period of the last 5 years, the Ulcer Ratio of 32 of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• Compared with BTC-USD (36 ) in the period of the last 3 years, the Ulcer Ratio of 36 is greater, thus worse.

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.'

• Looking at the maximum drop from peak to valley of -64.7 days 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 (-76.6 days)
• Looking at maximum DrawDown in of -61.7 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to BTC-USD (-66.7 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 days under water over 5 years of Crypto & Leveraged Top 2 Strategy is 773 days, which is higher, thus worse compared to the benchmark BTC-USD (580 days) in the same period.
• Looking at maximum days under water in of 484 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to BTC-USD (469 days).

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.'

• Compared with the benchmark BTC-USD (169 days) in the period of the last 5 years, the average time in days below previous high water mark of 263 days of Crypto & Leveraged Top 2 Strategy is higher, thus worse.
• Looking at average time in days below previous high water mark in of 184 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to BTC-USD (174 days).