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.'

• The total return, or performance over 5 years of Crypto & Leveraged Top 2 Strategy is 392.7%, which is greater, thus better compared to the benchmark BTC-USD (97.7%) in the same period.
• During the last 3 years, the total return, or performance is 381.3%, which is larger, thus better than the value of 211.4% from the benchmark.

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.'

• Looking at the annual return (CAGR) of 37.7% 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 (14.7%)
• Looking at annual performance (CAGR) in of 69.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (46.3%).

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.'

• Compared with the benchmark BTC-USD (57.4%) in the period of the last 5 years, the 30 days standard deviation of 50.9% of Crypto & Leveraged Top 2 Strategy is smaller, thus better.
• Compared with BTC-USD (48.6%) in the period of the last 3 years, the historical 30 days volatility of 50.2% is larger, thus worse.

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.'

• The downside deviation over 5 years of Crypto & Leveraged Top 2 Strategy is 35.9%, which is lower, thus better compared to the benchmark BTC-USD (38.8%) in the same period.
• Looking at downside deviation in of 35.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to BTC-USD (30%).

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.'

• Compared with the benchmark BTC-USD (0.21) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.69 of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.33, which is higher, thus better than the value of 0.9 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.'

• Compared with the benchmark BTC-USD (0.31) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.98 of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Compared with BTC-USD (1.46) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.88 is higher, thus better.

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 Ulcer Ratio of 32 of Crypto & Leveraged Top 2 Strategy is smaller, thus better.
• During the last 3 years, the Ulcer Index is 11 , which is lower, thus better than the value of 13 from the benchmark.

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 DrawDown of -64.7 days of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Looking at maximum reduction from previous high in of -43.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (-41.5 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) in days.'

• Compared with the benchmark BTC-USD (580 days) in the period of the last 5 years, the maximum days below previous high of 773 days of Crypto & Leveraged Top 2 Strategy is larger, thus worse.
• During the last 3 years, the maximum days under water is 181 days, which is larger, thus worse than the value of 164 days from the benchmark.

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.'

• Looking at the average days under water of 265 days in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively greater, thus worse in comparison to the benchmark BTC-USD (165 days)
• Compared with BTC-USD (39 days) in the period of the last 3 years, the average time in days below previous high water mark of 55 days is higher, thus worse.