Crypto & Leveraged Top 2 Strategy

TotalReturn:

'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.'

• Looking at the total return, or performance of 836.5% in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively lower, thus worse in comparison to the benchmark BTC-USD (850.9%)
• Looking at total return in of 10.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to BTC-USD (127.9%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark BTC-USD (57.1%) in the period of the last 5 years, the annual performance (CAGR) of 56.6% of Crypto & Leveraged Top 2 Strategy is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is 3.3%, which is lower, thus worse than the value of 31.7% from the benchmark.

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.'

• The 30 days standard deviation over 5 years of Crypto & Leveraged Top 2 Strategy is 55.1%, which is lower, thus better compared to the benchmark BTC-USD (64.6%) in the same period.
• Compared with BTC-USD (55.1%) in the period of the last 3 years, the historical 30 days volatility of 42.4% is smaller, thus better.

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.'

• Looking at the downside volatility of 36.3% 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 (43.8%)
• During the last 3 years, the downside risk is 28.6%, which is lower, thus better than the value of 36.9% from the benchmark.

Sharpe:

'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.'

• Looking at the risk / return profile (Sharpe) of 0.98 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 (0.84)
• Looking at risk / return profile (Sharpe) in of 0.02 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (0.53).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the excess return divided by the downside deviation of 1.49 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 (1.25)
• Compared with BTC-USD (0.79) in the period of the last 3 years, the downside risk / excess return profile of 0.03 is lower, thus worse.

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.'

• Looking at the Ulcer Index of 32 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 (40 )
• Looking at Ulcer Ratio in of 36 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to BTC-USD (36 ).

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 higher, thus better.
• Looking at maximum DrawDown in of -61.7 days in the period of the last 3 years, we see it is relatively higher, 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.'

• Looking at the maximum days under water of 773 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 (580 days)
• Compared with BTC-USD (469 days) in the period of the last 3 years, the maximum days below previous high of 484 days is greater, thus worse.

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.'

• Compared with the benchmark BTC-USD (165 days) in the period of the last 5 years, the average time in days below previous high water mark of 260 days of Crypto & Leveraged Top 2 Strategy is higher, thus worse.
• During the last 3 years, the average days under water is 183 days, which is larger, thus worse than the value of 174 days from the benchmark.