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 increase in value over 5 years of Crypto & Leveraged Top 2 Strategy is 1481.8%, which is higher, thus better compared to the benchmark BTC-USD (1139.6%) in the same period.
• During the last 3 years, the total return is 25.3%, which is lower, thus worse than the value of 26.1% from the benchmark.

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 (65.5%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 73.8% of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• Looking at compounded annual growth rate (CAGR) in of 7.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (8%).

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 historical 30 days volatility over 5 years of Crypto & Leveraged Top 2 Strategy is 58.3%, which is lower, thus better compared to the benchmark BTC-USD (68.2%) in the same period.
• Compared with BTC-USD (60.9%) in the period of the last 3 years, the historical 30 days volatility of 47.2% is lower, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside deviation over 5 years of Crypto & Leveraged Top 2 Strategy is 38.2%, which is lower, thus better compared to the benchmark BTC-USD (46%) in the same period.
• During the last 3 years, the downside volatility is 31.9%, which is lower, thus better than the value of 42.4% 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 Sharpe Ratio over 5 years of Crypto & Leveraged Top 2 Strategy is 1.22, which is higher, thus better compared to the benchmark BTC-USD (0.92) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.11 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to BTC-USD (0.09).

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.'

• Compared with the benchmark BTC-USD (1.37) in the period of the last 5 years, the downside risk / excess return profile of 1.87 of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Compared with BTC-USD (0.13) in the period of the last 3 years, the excess return divided by the downside deviation of 0.17 is greater, 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 Downside risk index of 33 in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively smaller, thus better in comparison to the benchmark BTC-USD (43 )
• Compared with BTC-USD (50 ) in the period of the last 3 years, the Ulcer Ratio of 39 is lower, thus better.

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 reduction from previous high of -64.7 days of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• Looking at maximum reduction from previous high in of -64.7 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (-76.6 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.'

• The maximum days below previous high over 5 years of Crypto & Leveraged Top 2 Strategy is 618 days, which is larger, thus worse compared to the benchmark BTC-USD (580 days) in the same period.
• Compared with BTC-USD (580 days) in the period of the last 3 years, the maximum days under water of 618 days is larger, 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.'

• The average days under water over 5 years of Crypto & Leveraged Top 2 Strategy is 200 days, which is larger, thus worse compared to the benchmark BTC-USD (196 days) in the same period.
• Looking at average days under water in of 264 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to BTC-USD (236 days).