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 increase in value over 5 years of Crypto & Leveraged Top 2 Strategy is 142.5%, which is higher, thus better compared to the benchmark BTC-USD (13.2%) in the same period.
• Compared with BTC-USD (134.9%) in the period of the last 3 years, the total return of 190.9% is higher, thus better.

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.'

• The annual performance (CAGR) over 5 years of Crypto & Leveraged Top 2 Strategy is 19.4%, which is larger, thus better compared to the benchmark BTC-USD (2.5%) in the same period.
• Compared with BTC-USD (33.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 43% is larger, thus better.

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 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 (56.5%)
• During the last 3 years, the 30 days standard deviation is 50.1%, which is greater, thus worse than the value of 48.1% from the benchmark.

DownVol:

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

• Compared with the benchmark BTC-USD (39%) in the period of the last 5 years, the downside deviation of 36.6% of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• Looking at downside volatility in of 37.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to BTC-USD (30.9%).

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.'

• The Sharpe Ratio over 5 years of Crypto & Leveraged Top 2 Strategy is 0.34, which is higher, thus better compared to the benchmark BTC-USD (0) in the same period.
• Looking at Sharpe Ratio in of 0.81 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (0.64).

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) in the period of the last 5 years, the excess return divided by the downside deviation of 0.46 of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Looking at excess return divided by the downside deviation in of 1.08 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to BTC-USD (0.99).

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 Downside risk index over 5 years of Crypto & Leveraged Top 2 Strategy is 33 , which is lower, thus better compared to the benchmark BTC-USD (41 ) in the same period.
• During the last 3 years, the Ulcer Index is 16 , which is lower, thus better than the value of 17 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.'

• 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 higher, thus better.
• Looking at maximum reduction from previous high in of -57.6 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to BTC-USD (-49.7 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). 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'

• Compared with the benchmark BTC-USD (580 days) in the period of the last 5 years, the maximum days under water of 773 days of Crypto & Leveraged Top 2 Strategy is greater, thus worse.
• Looking at maximum days below previous high in of 181 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to BTC-USD (164 days).

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.'

• Looking at the average days under water of 263 days in the last 5 years of Crypto & Leveraged Top 2 Strategy, we see it is relatively larger, thus worse in comparison to the benchmark BTC-USD (166 days)
• Looking at average days below previous high 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).