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 (1254.2%) in the period of the last 5 years, the total return of 1180.2% of Crypto & Leveraged Top 2 Strategy is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 18.2%, which is smaller, thus worse than the value of 108.5% 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.'

• Looking at the annual performance (CAGR) of 66.7% 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 (68.5%)
• Compared with BTC-USD (27.8%) in the period of the last 3 years, the annual performance (CAGR) of 5.7% is lower, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the 30 days standard deviation of 55.7% 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 (64.7%)
• Looking at historical 30 days volatility in of 42.5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to BTC-USD (56.5%).

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 risk of 36.5% in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively smaller, thus better in comparison to the benchmark BTC-USD (43.7%)
• Compared with BTC-USD (37.9%) in the period of the last 3 years, the downside risk of 28.5% is lower, thus better.

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 (1.02) in the period of the last 5 years, the Sharpe Ratio of 1.15 of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 0.08, which is lower, thus worse than the value of 0.45 from the benchmark.

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 1.76, which is larger, thus better compared to the benchmark BTC-USD (1.51) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.11, which is lower, thus worse than the value of 0.67 from the benchmark.

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.'

• 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 Index in of 36 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to BTC-USD (39 ).

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 drop from peak to valley of -64.7 days of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• Compared with BTC-USD (-68.9 days) in the period of the last 3 years, the maximum DrawDown of -61.7 days is larger, thus better.

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 larger, 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 smaller, thus better in comparison to BTC-USD (536 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 (170 days) in the period of the last 5 years, the average days below previous high of 264 days of Crypto & Leveraged Top 2 Strategy is higher, thus worse.
• Looking at average time in days below previous high water mark in of 182 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to BTC-USD (216 days).