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 (70.2%) in the period of the last 5 years, the total return, or performance of 113.3% of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Compared with BTC-USD (202.8%) in the period of the last 3 years, the total return, or increase in value of 236.9% is higher, thus better.

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 compounded annual growth rate (CAGR) over 5 years of Crypto & Leveraged Top 2 Strategy is 16.4%, which is greater, thus better compared to the benchmark BTC-USD (11.3%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 50.3%, which is larger, thus better than the value of 45% 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.'

• Compared with the benchmark BTC-USD (52.6%) in the period of the last 5 years, the 30 days standard deviation of 48.2% of Crypto & Leveraged Top 2 Strategy is smaller, thus better.
• Looking at 30 days standard deviation in of 50.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to BTC-USD (47.8%).

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.'

• The downside deviation over 5 years of Crypto & Leveraged Top 2 Strategy is 34.9%, which is lower, thus better compared to the benchmark BTC-USD (35.5%) in the same period.
• Looking at downside risk in of 37.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to BTC-USD (30.4%).

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 Sharpe Ratio of 0.29 in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively greater, thus better in comparison to the benchmark BTC-USD (0.17)
• Looking at Sharpe Ratio in of 0.95 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to BTC-USD (0.89).

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 (0.25) in the period of the last 5 years, the downside risk / excess return profile of 0.4 of Crypto & Leveraged Top 2 Strategy is higher, thus better.
• Looking at downside risk / excess return profile in of 1.28 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to BTC-USD (1.4).

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.'

• The Ulcer Index over 5 years of Crypto & Leveraged Top 2 Strategy is 36 , which is lower, thus better compared to the benchmark BTC-USD (42 ) in the same period.
• During the last 3 years, the Ulcer Index is 26 , which is larger, thus worse than the value of 23 from the benchmark.

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.'

• The maximum drop from peak to valley over 5 years of Crypto & Leveraged Top 2 Strategy is -64.7 days, which is larger, thus better compared to the benchmark BTC-USD (-76.6 days) in the same period.
• During the last 3 years, the maximum DrawDown is -58.2 days, which is lower, thus worse than the value of -53.1 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'

• The maximum days under water over 5 years of Crypto & Leveraged Top 2 Strategy is 773 days, which is greater, thus worse compared to the benchmark BTC-USD (580 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 181 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to BTC-USD (231 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.'

• The average time in days below previous high water mark over 5 years of Crypto & Leveraged Top 2 Strategy is 267 days, which is greater, thus worse compared to the benchmark BTC-USD (176 days) in the same period.
• Compared with BTC-USD (67 days) in the period of the last 3 years, the average days below previous high of 59 days is lower, thus better.