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
Return (annualised) 213.66% 119.74%
Volatility (annualised) 91.45% 75.54%
Sharpe Ratio 2.34 1.59
Max Drawdown -86% -83%
VaR (1d,99%) -13.61% -11.51%
Conditional VaR(1d, 99%) -18.76% -13.69%


December 31, 2019 - February 14, 2020
Return 72.56% 41.98%
Volatility (annualised) 57.30% 45.16%
Sharpe Ratio 1.27 0.93
Max Drawdown -9% -6%
VaR (1d,99%) -2.46% -3.59%
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 ( 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

The article above is an opinion of the author and does not necessarily reflect the opinion of MV Index Solutions or its affiliates.