Crypto & Leveraged Top 2 Strategy

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Compared with the benchmark BTC-USD (971.2%) in the period of the last 5 years, the total return of 1312.5% of Crypto & Leveraged Top 2 Strategy is higher, thus better.
• During the last 3 years, the total return, or increase in value is 2.3%, which is greater, thus better than the value of 2.2% 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.'

• Looking at the annual performance (CAGR) of 69.9% 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 (60.7%)
• During the last 3 years, the annual performance (CAGR) is 0.8%, which is greater, thus better than the value of 0.7% 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.'

• 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 (68.3%) in the same period.
• During the last 3 years, the 30 days standard deviation is 47.1%, which is smaller, thus better than the value of 60.8% 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 (46.1%) in the period of the last 5 years, the downside risk of 38.2% of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• Looking at downside volatility in of 32.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to BTC-USD (42.5%).

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 (0.85) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.16 of Crypto & Leveraged Top 2 Strategy is greater, thus better.
• Compared with BTC-USD (-0.03) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.04 is lower, thus worse.

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 (1.26) in the period of the last 5 years, the downside risk / excess return profile of 1.76 of Crypto & Leveraged Top 2 Strategy is larger, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is -0.05, which is lower, thus worse than the value of -0.04 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark BTC-USD (43 ) in the period of the last 5 years, the Ulcer Index of 33 of Crypto & Leveraged Top 2 Strategy is lower, thus better.
• Looking at Ulcer Ratio in of 39 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to BTC-USD (50 ).

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.'

• Looking at the maximum drop from peak to valley of -64.7 days 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 (-76.6 days)
• During the last 3 years, the maximum drop from peak to valley is -64.7 days, which is higher, thus better than the value of -76.6 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) in days.'

• Looking at the maximum days below previous high of 623 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 (580 days)
• Compared with BTC-USD (580 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 623 days is larger, thus worse.

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 days under water over 5 years of Crypto & Leveraged Top 2 Strategy is 202 days, which is larger, thus worse compared to the benchmark BTC-USD (196 days) in the same period.
• Looking at average days below previous high in of 267 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to BTC-USD (235 days).