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Regularly Rebalanced TOP5
Our Regularly Rebalanced TOP5 Index resets allocation weights to 80% TOP5 Cryptos and 20% USDC at a yearly level.
Current underlying risky assets are Bitcoin, Ethereum, Ripple, BNB, and Solana. The safe asset is USD.
graph LR
A(Bitcoin) --> H(TOP5)
C(Ethereum) --> H(TOP5)
E(Ripple) --> H(TOP5)
G(Solana) --> H(TOP5)
I(Cardano) --> H(TOP5)
H(TOP5) --> Z(80/20 Regular Rebalancing)
J(USDC) --> Z(80/20 Regular Rebalancing)
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Backtested Returns
Over 2020-2023, the strategy generates an annual return of 200%, with a maximum drawdown of 71%, and a Sharpe Ratio of 2.6. Note that the backtest only starts in 2020, versus 2018 for other indices. This accounts for the high Sharpe ratio of the strategy.
| month | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2020 | NA | NA | NA | 0.14 | 0.07 | 0.09 | 0.47 | 0.30 | -0.22 | -0.10 | 0.67 | -0.02 | 1.94 |
| 2021 | 0.61 | 1.25 | 0.24 | 0.79 | -0.16 | -0.06 | -0.04 | 1.62 | 0.16 | 0.36 | 0.02 | -0.18 | 20.03 |
| 2022 | -0.21 | 0.06 | 0.09 | -0.17 | -0.22 | -0.22 | 0.14 | -0.09 | 0.04 | 0.02 | -0.12 | -0.07 | -0.59 |
| 2023 | 0.47 | -0.05 | 0.12 | 0.02 | -0.04 | -0.04 | 0.12 | -0.15 | 0.02 | 0.32 | 0.22 | NA | 1.28 |