Alphabot Crypto Wallet Update | Alpha Week

In April, we created an index-like portfolio of major cryptocurrencies; it was built using the five coins with the highest market capitalization each year (measured at year-end and then held for one year). This approach has shown compelling results over seven years of analysis, essentially doubling the return of Bitcoin alone and outperforming stocks.

Given the ongoing challenges facing risk assets in 2022, we wanted to check and see how our crypto index has been doing since the start of the year, and so far the results seem to be in line with our expectations, from less when it comes to the comparison with a single coin investment. While all three instruments have lost money so far this year, and both crypto instruments have underperformed public stocks, the Top 5 Portfolio has shown lower volatility and a lower shrinkage. The effect has lasted since the beginning of June, although earlier in the year the results were mixed.

Figure 1: YTD VAMI Chart of AlphaBot’s Top 5 Crypto “Index” vs Bitcoin, S&P 500

Source: Alpha Bot

Figure 2: YTD Performance Stats of AlphaBot’s Top 5 Crypto “Index” vs Bitcoin, S&P 500


Source: Alpha Bot

It should be noted that volatility in the crypto space is much higher than that of stocks (with our instruments, close to double), so relative performance (or underperformance) should be viewed from a which takes volatility into account. Looking at a normalized volatility chart (set at 15% annualized), the stock outperformance becomes much less evident, and also narrows to only around 3 months, again from mid-June.

Figure 3: Volatility Adjusted YTD Performance of Top 5 Crypto “Indexes” vs. Bitcoin and S&P 500


Source: Alpha Bot

Normalizing volatility also makes the distinction between our portfolio and Bitcoin less pronounced. Of course, a few months of returns can have all sorts of effects, and that’s the longest time frame needed to evaluate a particular approach. We will therefore continue to monitor this construction and will come back to it in a few months. Stay tuned!


Dmitry Alexeev is founder and CEO of AlphaBota collaborative alternative investment research platform

The views expressed in this article are those of the author and do not necessarily reflect the views of AlphaWeek or its publisher, The Sortino Group Ltd.

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