Crypto & Leveraged Top 2 Strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark BTC-USD (51.6%) in the period of the last 5 years, the total return, or increase in value of 156.2% of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• Compared with BTC-USD (181.4%) in the period of the last 3 years, the total return of 201.2% is larger, thus better.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the compounded annual growth rate (CAGR) of 20.8% 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 (8.7%)
• During the last 3 years, the annual performance (CAGR) is 44.6%, which is higher, thus better than the value of 41.4% 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 historical 30 days volatility over 5 years of Crypto & Leveraged Top 2 Strategy is 50.1%, which is smaller, thus better compared to the benchmark BTC-USD (56.3%) in the same period.
• Compared with BTC-USD (47.9%) in the period of the last 3 years, the 30 days standard deviation of 50.1% is higher, thus worse.

DownVol:

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

• The downside volatility over 5 years of Crypto & Leveraged Top 2 Strategy is 36.3%, which is lower, thus better compared to the benchmark BTC-USD (38.6%) in the same period.
• During the last 3 years, the downside deviation is 37.3%, which is higher, thus worse than the value of 30.6% from the benchmark.

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.'

• Looking at the risk / return profile (Sharpe) of 0.36 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 (0.11)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.84, which is higher, thus better than the value of 0.81 from the benchmark.

Sortino:

'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.'

• The downside risk / excess return profile over 5 years of Crypto & Leveraged Top 2 Strategy is 0.5, which is larger, thus better compared to the benchmark BTC-USD (0.16) in the same period.
• Looking at downside risk / excess return profile in of 1.13 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (1.27).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Looking at the Ulcer Index of 34 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 (41 )
• Compared with BTC-USD (17 ) in the period of the last 3 years, the Ulcer Index of 18 is higher, thus worse.

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.'

• Looking at the maximum DrawDown of -64.7 days 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 (-76.6 days)
• During the last 3 years, the maximum drop from peak to valley is -57.6 days, which is smaller, thus worse than the value of -49.7 days from the benchmark.

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 time in days below previous high water mark of 773 days of Crypto & Leveraged Top 2 Strategy is greater, thus worse.
• Compared with BTC-USD (164 days) in the period of the last 3 years, the maximum days below previous high of 181 days is larger, thus worse.

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.'

• The average time in days below previous high water mark over 5 years of Crypto & Leveraged Top 2 Strategy is 263 days, which is greater, thus worse compared to the benchmark BTC-USD (167 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 49 days, which is higher, thus worse than the value of 46 days from the benchmark.