Looking at the crypto universe is quite unike the tidier world of listed securities (even in the wildest frontier markets) and, with a power law distribution, the market value of cryptos is heavily concentrated in the top coins:

With that in mind, we first wanted to answer a simple question: if you were to own a single one of the top fifty coins (top 50 = 97% of the total market cap), which one would it be? According to our machine learning algorithms, the one to hold is VeChain, which has the broadest and most balanced exposure to the universe.

Our second question was: if we were to create a small allocation of ten coins/tokens from the top 50, with optimally diversified exposures, what would it look like? This answer is a little longer and goes as follows:

Symbol Name Algorithm Proof Type Market Cap (USD) 30d Return (%) 1y Return (%) Target Allocation (%)
APT Aptos N/A N/A 3,059 M -16.2 -23.9 5.436777
ATOM Cosmos N/A PoS 2,015 M -13.0 -4.2 6.886432
BNB Binance Coin BEP-2 PoSA 117,449 M 13.5 57.1 9.915520
BTC Bitcoin SHA-256 PoW 2,287,143 M -2.7 95.5 17.014496
GT Gatechain Token N/A N/A 2,118 M 0.1 134.8 6.180336
KCS KuCoin Token N/A N/A 1,571 M 2.2 54.2 9.012470
LEO LEO Token N/A N/A 8,762 M 5.6 63.1 13.555100
NEAR Near N/A PoS 3,127 M -13.9 -35.9 6.209428
XAUT Tether Gold N/A N/A 824 M -0.3 33.4 20.526688
XDC XDC Network N/A N/A 1,335 M -17.1 213.3 5.262752

» Recent performance of our allocation versus its benchmark:

 

 

                    Note: The benchmark (CCI 30 CRYPTO CURRENCIES INDEX) has been scaled to achieve equal volatility over the period, in order to get a pound for pound visual comparison of compounded returns.

 

» Key performance metrics over the last 200 days:

 

Period Return Realized Volatility Relative Volatility / Benchmark Sharpe Ratio Maximum Drawdown1 Calmar Ratio Correlation Beta R-squared2 Period Alpha3 Treynor Ratio Up Capture Down Capture Active Return4 Tracking Error4 Information Ratio4
ALLOCATION 0.8% 24.3% 0.54 0.03 -18.8% 0.04 0.95 0.51 91% -2% 0.02 51.7% 52.4% -2.1% 7.5% -0.28
BENCHMARK 0.3% 45.1% – 0.01 -42.0% 0.01 – – – – – – – – – –
APT -38.6% 63.8% 1.42 -0.6 -44.2% 0.87 0.81 1.14 65% -33% -0.34 107.6% 125.6% -39.9% 39.8% -1
ATOM -25.8% 58.2% 1.29 -0.44 -38.5% 0.67 0.82 1.06 68% -21% -0.24 110.4% 121.5% -27.6% 34.5% -0.8
BNB 26.3% 33.3% 0.74 0.79 -23.8% 1.11 0.76 0.56 58% 26% 0.47 67.5% 57.5% 20.4% 23.1% 0.88
BTC 14.7% 32.4% 0.72 0.45 -24.8% 0.59 0.91 0.65 82% 13% 0.23 67.7% 62.3% 11.0% 14.0% 0.79
GT -26.0% 35.9% 0.8 -0.73 -36.2% 0.72 0.79 0.63 62% -26% -0.42 47.6% 60.7% -29.4% 23.3% -1.26
KCS -5.1% 32.5% 0.72 -0.16 -36.1% 0.14 0.57 0.41 33% -4% -0.12 35.4% 37.1% -11.3% 30.2% -0.37
LEO -2.3% 22.3% 0.49 -0.1 -16.7% 0.14 0.18 0.09 3% -1% -0.26 4.1% 4.2% -8.7% 28.6% -0.3
NEAR -41.5% 72.8% 1.61 -0.57 -55.4% 0.75 0.89 1.43 79% -34% -0.29 149.2% 168.6% -39.4% 34.6% -1.14
XAUT 18.9% 14.7% 0.33 1.29 -7.7% 2.45 -0.02 -0.01 0% 20% -23.66 3.5% -4.8% 13.6% 21.0% 0.65
XDC -20.7% 50.9% 1.13 -0.41 -45.0% 0.46 0.61 0.69 38% -16% -0.3 63.5% 71.3% -27.5% 44.7% -0.61
Notes:
1 Drawdowns are calculated on daily closing prices (i.e. not intraday highs and lows).
2 The R-squared indicates how much the variance of a security can be explained by the variance of the benchmark: if a security has a low R-squared value, the CAPM single-factor linear relationship doesn’t explain much of the variance of the security, and the CAPM metrics (beta, alpha, Treynor ratio) are not useful for this particular security.
3 The period alpha is a compounded calculation from CAPM estimations on daily returns.
4 The active performance metrics are calculated relative to the volatilty-adjusted benchmark (i.e. the benchmark multiplied by the relative volatility of the allocation).

» Charting each security in the allocation:

 





















Check out some of our other allocations and please get in touch if you have any comments or questions.
Note that all the content of this website is provided for informational, entertainment or educational purposes only. This is NOT, and should NOT be considered, investment advice.