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 (1069.9%) in the period of the last 5 years, the total return of 1101.7% of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Looking at total return in of 17.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (142.4%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark BTC-USD (63.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 64.6% of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• Looking at annual return (CAGR) in of 5.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (34.4%).

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 (64.7%) in the period of the last 5 years, the volatility of 55.8% of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• Looking at historical 30 days volatility in of 42.6% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to BTC-USD (56.5%).

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 volatility over 5 years of Crypto & Leveraged Top 2 Strategy is 36.6%, which is smaller, thus better compared to the benchmark BTC-USD (43.8%) in the same period.
• Compared with BTC-USD (37.8%) in the period of the last 3 years, the downside deviation of 28.6% is lower, thus better.

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.'

• Compared with the benchmark BTC-USD (0.95) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.11 of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 0.07, which is lower, thus worse than the value of 0.57 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.'

• Looking at the excess return divided by the downside deviation of 1.7 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 (1.4)
• Compared with BTC-USD (0.85) in the period of the last 3 years, the excess return divided by the downside deviation of 0.1 is lower, thus worse.

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.'

• The Ulcer Index over 5 years of Crypto & Leveraged Top 2 Strategy is 32 , which is lower, thus better compared to the benchmark BTC-USD (40 ) in the same period.
• During the last 3 years, the Ulcer Index is 36 , which is higher, thus worse than the value of 36 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.'

• 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)
• Looking at maximum reduction from previous high in of -61.7 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (-66.7 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) 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.
• Compared with BTC-USD (469 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 484 days is greater, 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.'

• Compared with the benchmark BTC-USD (169 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 larger, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 182 days, which is larger, thus worse than the value of 172 days from the benchmark.