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
SEBAX MVBTC
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%


SEBAX vs. MVBTC YTD


December 31, 2019 - February 14, 2020
SEBAX MVBTC
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 (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.