This is an aggressive strategy that directly invests in the top performers across crypto and non-crypto assets.

The strategy picks from the 5 available instruments: Bitcoin, Ethereum, SPXL, TMF and AGQ. Once every two weeks, it ranks the assets using our Modified Sharpe Ratio1, identifies the top 2 performers and invests 50% of the portfolio to each one.

Here are some examples of possible market regimes:

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

**Twice Monthly Rebalancing Frequency**

The strategy rebalances in the beginning and in the middle of the month. This 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 is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Which means for our asset as example:- Compared with the benchmark SPY (122%) in the period of the last 5 years, the total return of 28736.1% of Crypto & Leveraged Top 2 Strategy is larger, thus better.
- During the last 3 years, the total return, or performance is 1742.4%, which is larger, thus better than the value of 61% from the benchmark.

'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.'

Which means for our asset as example:- Looking at the annual performance (CAGR) of 211.9% in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (17.3%)
- Compared with SPY (17.2%) in the period of the last 3 years, the annual performance (CAGR) of 165.5% is higher, thus better.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (18.8%) in the period of the last 5 years, the volatility of 70% of Crypto & Leveraged Top 2 Strategy is higher, thus worse.
- Looking at 30 days standard deviation in of 63.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (22.5%).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside risk of 42.9% of Crypto & Leveraged Top 2 Strategy is higher, thus worse.
- During the last 3 years, the downside deviation is 41.1%, which is larger, thus worse than the value of 16.3% from the benchmark.

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.79) in the period of the last 5 years, the Sharpe Ratio of 2.99 of Crypto & Leveraged Top 2 Strategy is greater, thus better.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 2.58, which is higher, thus better than the value of 0.65 from the benchmark.

'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.'

Which means for our asset as example:- The excess return divided by the downside deviation over 5 years of Crypto & Leveraged Top 2 Strategy is 4.88, which is larger, thus better compared to the benchmark SPY (1.09) in the same period.
- Compared with SPY (0.9) in the period of the last 3 years, the downside risk / excess return profile of 3.97 is greater, thus better.

'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:- Looking at the Ulcer Ratio of 31 in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively greater, thus worse in comparison to the benchmark SPY (5.58 )
- During the last 3 years, the Ulcer Index is 17 , which is higher, thus worse than the value of 6.83 from the benchmark.

'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.'

Using this definition on our asset we see for example:- The maximum DrawDown over 5 years of Crypto & Leveraged Top 2 Strategy is -60.6 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Looking at maximum reduction from previous high in of -50.3 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

'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'

Which means for our asset as example:- The maximum days under water over 5 years of Crypto & Leveraged Top 2 Strategy is 365 days, which is higher, thus worse compared to the benchmark SPY (139 days) in the same period.
- Looking at maximum time in days below previous high water mark in of 232 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 days).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average days under water of 101 days of Crypto & Leveraged Top 2 Strategy is greater, thus worse.
- Compared with SPY (34 days) in the period of the last 3 years, the average days below previous high of 62 days is higher, thus worse.

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, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.