Superior Returns in Cryptocurrency Markets Through Risk-Optimised Indexing
By Daniel Kuehne, Head of Asset Management, SEBA Bank AG
Cryptocurrency markets are still in their infancy and are susceptible to extreme volatility and bubble-like price patterns. Their prices tend not to follow efficient market behaviour which is generally assumed for developed markets. The price patterns of cryptocurrencies make a standard market value-weighted approach sub-optimal for indexation. Alternatively, dynamic, risk-optimised allocation schemes can generate superior returns on cryptocurrency markets over medium to long-term time horizons.
SEBAX vs. MVBTC since SEBAX Inception
|November 30, 2015 - February 14, 2020|
|Conditional VaR(1d, 99%)||-18.76%||-13.69%|
SEBAX vs. MVBTC YTD
|December 31, 2019 - February 14, 2020|
|Conditional VaR (1d,99%)||-3.92%||-8.55%|
About the Author:
Daniel Kuehne is Head of Asset Management at SEBA Bank AG. SEBA is a Swiss licensed bank and pioneer in the financial industry building the most comprehensive and secure bridge between digital and traditional assets (www.seba.swiss). He has long-standing experience in various senior positions in asset and wealth management and holds a PhD in quantitative finance.
SEBAX is a proprietary index of SEBA. Find further details on www.seba.swiss/seba-index.
The article above is an opinion of the author and does not necessarily reflect the opinion of MV Index Solutions or its affiliates.