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 increase in value of 1605.7% 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 (1219.1%)
• Looking at total return, or performance in of 34.7% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (12%).

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 (67.7%) in the period of the last 5 years, the annual performance (CAGR) of 76.5% of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Compared with BTC-USD (3.9%) in the period of the last 3 years, the annual return (CAGR) of 10.4% is greater, 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.'

• The 30 days standard deviation over 5 years of Crypto & Leveraged Top 2 Strategy is 58.3%, which is smaller, thus better compared to the benchmark BTC-USD (68.2%) in the same period.
• Looking at 30 days standard deviation in of 47.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to BTC-USD (61.1%).

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 deviation of 38.2% 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 (46%)
• Looking at downside risk in of 32.3% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to BTC-USD (42.7%).

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Crypto & Leveraged Top 2 Strategy is 1.27, which is higher, thus better compared to the benchmark BTC-USD (0.96) in the same period.
• Compared with BTC-USD (0.02) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.17 is greater, thus better.

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.'

• The excess return divided by the downside deviation over 5 years of Crypto & Leveraged Top 2 Strategy is 1.94, which is larger, thus better compared to the benchmark BTC-USD (1.42) in the same period.
• Looking at excess return divided by the downside deviation in of 0.25 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to BTC-USD (0.03).

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 (43 ) in the period of the last 5 years, the Ulcer Ratio of 33 of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• Compared with BTC-USD (51 ) in the period of the last 3 years, the Downside risk index of 39 is smaller, thus better.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark BTC-USD (-76.6 days) in the period of the last 5 years, the maximum drop from peak to valley of -64.7 days of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Looking at maximum drop from peak to valley in of -64.7 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (-76.6 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark BTC-USD (580 days) in the period of the last 5 years, the maximum days under water of 609 days of Crypto & Leveraged Top 2 Strategy is larger, thus worse.
• Looking at maximum time in days below previous high water mark in of 609 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to BTC-USD (580 days).

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 (197 days) in the period of the last 5 years, the average days below previous high of 195 days of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• Compared with BTC-USD (237 days) in the period of the last 3 years, the average days under water of 257 days is larger, thus worse.