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 (148.4%) in the period of the last 5 years, the total return, or performance of 593.2% of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• During the last 3 years, the total return, or increase in value is 515%, which is larger, thus better than the value of 289.4% from the benchmark.

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.'

• Looking at the annual return (CAGR) of 47.5% 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 (20%)
• Looking at compounded annual growth rate (CAGR) in of 84% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to BTC-USD (57.8%).

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 48.5%, which is smaller, thus better compared to the benchmark BTC-USD (58%) in the same period.
• Looking at 30 days standard deviation in of 43.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to BTC-USD (48.4%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside deviation over 5 years of Crypto & Leveraged Top 2 Strategy is 32.1%, which is lower, thus better compared to the benchmark BTC-USD (39.2%) in the same period.
• Compared with BTC-USD (29.5%) in the period of the last 3 years, the downside volatility of 26.9% is lower, thus better.

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 Sharpe Ratio over 5 years of Crypto & Leveraged Top 2 Strategy is 0.93, which is larger, thus better compared to the benchmark BTC-USD (0.3) in the same period.
• During the last 3 years, the Sharpe Ratio is 1.86, which is larger, thus better than the value of 1.14 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Compared with the benchmark BTC-USD (0.45) in the period of the last 5 years, the excess return divided by the downside deviation of 1.4 of Crypto & Leveraged Top 2 Strategy is higher, thus better.
• Looking at excess return divided by the downside deviation in of 3.03 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (1.87).

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 (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 (12 ) in the period of the last 3 years, the Ulcer Ratio of 11 is lower, thus better.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• 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 higher, thus better.
• During the last 3 years, the maximum drop from peak to valley is -27.2 days, which is higher, thus better than the value of -31.8 days from the benchmark.

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'

• Compared with the benchmark BTC-USD (580 days) in the period of the last 5 years, the maximum days below previous high of 773 days of Crypto & Leveraged Top 2 Strategy is greater, thus worse.
• Looking at maximum days under water in of 181 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to BTC-USD (164 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.'

• 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 (164 days)
• Compared with BTC-USD (38 days) in the period of the last 3 years, the average days under water of 55 days is higher, thus worse.