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.'

• The total return, or performance over 5 years of Crypto & Leveraged Top 2 Strategy is 138.6%, which is greater, thus better compared to the benchmark BTC-USD (18.3%) in the same period.
• Looking at total return, or performance in of 192.6% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to BTC-USD (145.5%).

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.'

• The annual performance (CAGR) over 5 years of Crypto & Leveraged Top 2 Strategy is 19.1%, which is greater, thus better compared to the benchmark BTC-USD (3.4%) in the same period.
• During the last 3 years, the annual return (CAGR) is 43.4%, which is higher, thus better than the value of 35.2% 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.'

• Looking at the historical 30 days volatility of 50.6% 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 (56.6%)
• Looking at 30 days standard deviation in of 50.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to BTC-USD (48.2%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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%) in the period of the last 5 years, the downside volatility of 36.7% of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• During the last 3 years, the downside risk is 37.4%, which is higher, thus worse than the value of 31% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The ratio of return and volatility (Sharpe) over 5 years of Crypto & Leveraged Top 2 Strategy is 0.33, which is greater, thus better compared to the benchmark BTC-USD (0.02) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.82, which is larger, thus better than the value of 0.68 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.'

• Looking at the excess return divided by the downside deviation of 0.45 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 (0.02)
• Compared with BTC-USD (1.06) in the period of the last 3 years, the downside risk / excess return profile of 1.09 is larger, thus better.

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 33 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 Ratio of 17 is larger, thus worse.

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 larger, thus better.
• During the last 3 years, the maximum reduction from previous high is -57.6 days, which is lower, thus worse than the value of -49.7 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) in days.'

• 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.
• Looking at maximum days under water in of 181 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to BTC-USD (164 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 (167 days) in the period of the last 5 years, the average time in days below previous high water mark of 263 days of Crypto & Leveraged Top 2 Strategy is greater, thus worse.
• Looking at average time in days below previous high water mark in of 55 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to BTC-USD (44 days).