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 increase in value of 267.4% 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 (28.9%)
• Looking at total return, or increase in value in of 331.6% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (176.2%).

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.'

• The annual performance (CAGR) over 5 years of Crypto & Leveraged Top 2 Strategy is 29.9%, which is greater, thus better compared to the benchmark BTC-USD (5.2%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 63.3%, which is higher, thus better than the value of 40.6% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The volatility over 5 years of Crypto & Leveraged Top 2 Strategy is 51.2%, which is lower, thus better compared to the benchmark BTC-USD (56.8%) in the same period.
• During the last 3 years, the volatility is 51.3%, which is higher, thus worse than the value of 49.5% from the benchmark.

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.'

• Compared with the benchmark BTC-USD (39.1%) in the period of the last 5 years, the downside deviation of 36.6% of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• Compared with BTC-USD (31.1%) in the period of the last 3 years, the downside risk of 37.1% is greater, thus worse.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.53 in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively larger, thus better in comparison to the benchmark BTC-USD (0.05)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.19, which is higher, thus better than the value of 0.77 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 ratio of annual return and downside deviation over 5 years of Crypto & Leveraged Top 2 Strategy is 0.75, which is greater, thus better compared to the benchmark BTC-USD (0.07) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 1.64, which is higher, thus better than the value of 1.23 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.'

• Compared with the benchmark BTC-USD (41 ) in the period of the last 5 years, the Downside risk index of 32 of Crypto & Leveraged Top 2 Strategy is smaller, thus better.
• Looking at Ulcer Ratio in of 13 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to BTC-USD (14 ).

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.
• Looking at maximum DrawDown in of -48.5 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to BTC-USD (-49.7 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). 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 time in days below previous high water mark of 773 days of Crypto & Leveraged Top 2 Strategy is higher, thus worse.
• During the last 3 years, the maximum time in days below previous high water mark is 181 days, which is higher, thus worse than the value of 164 days from the benchmark.

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.'

• 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 264 days of Crypto & Leveraged Top 2 Strategy is higher, thus worse.
• Compared with BTC-USD (40 days) in the period of the last 3 years, the average days below previous high of 55 days is larger, thus worse.