Crypto War Zone: Top 100 Cryptocurrencies Ranked by Risk-Adjusted Return

Times are tough in the crypto world.

Cryptocurrencies have shed ~$600 billion in market cap from the peaks of early 2018, and the once glorious euphoria of daily gains has all been erased from the minds of investors.

You know cryptocurrencies are “risky”, that cryptocurrencies are “speculative”…but what does that mean?

As we embrace this new market, it’s critical that we try to understand what’s going on. Risk comes in many forms, at both the micro-level (e.g., personal investments) and macro-level (e.g., prevention of market crashes and major loss of capital).

Total Returns are not adjusted for risk

Let’s take the following quiz…one is the right answer, but you won’t be graded for it.

Which of the following investments would you rather be in?

  1. Crypto A started at $1, went to $500, back down to $1, back up to $600
  2. Crypto B started at $1, went to $100, to $300, to $600

Both investments have the same return, but which would you choose?

I’ll give you some ti…oh you already have an answer? You choose #2?

Exactly.

Most investors look at total returns over various timeframes — one-day, one-month, one-year — when evaluating an investment. These returns are misleading since they aren’t adjusted for risk.

So what is a better way to assess the performance of an asset?

Enter the Sortino Ratio.

Risk-adjusted returns using Sortino Ratio

From Red Rock Capital:

The Sortino ratio is a modification of the Sharpe ratio but uses downside deviation rather than standard deviation as the measure of risk — i.e. only those returns falling below a user-specified target, or required rate of return are considered risky.
https://www.cmegroup.com/education/files/rr-sortino-a-sharper-ratio.pdf

R = The average period return
T = The target, or required rate of return for the investment strategy under considerations.
TDD = Defined as the root-mean-square of the deviations of the realized return’s underperformance from the target return where all returns above the target return are treated as underperformance of 0.

Sortino ratio is compared often to the Sharpe Ratio (which I cover further below in the article) but is a better choice is many ways:

Sortino Ratio is better when measuring and comparing the performance of managers whose programs exhibit skew in their return distributions.

The Sortino ratio focuses strictly on downside volatility. The theory is that an investor should welcome wild swings to the upside, so upside returns are omitted.

From “Assessing skewness and kurtosis in the returns distribution” evestment.com

Cryptocurrencies are a great candidate for Sortino as the returns typically fall outside of a normal distribution.

Top 100 Cryptocurrencies by Sortino Ratio

The above table summarizes the Sortino ratios for 100 cryptocurrencies who at once ranked in the top 100 as defined by market cap. Past performance is not necessarily indicative of future performance.

A giant caveat before I dive further into the results: Sortino ratio is used to determine the efficiency of returns, ie how well their returns mitigated downside risk.

This table does not represent my endorsement or condemning of any of the assets listed. Nano is a great example, as I see great potential in the future of the project, but this table sees them listed very low at 98.

Additionally, some of the coins in the analysis do not have a full years worth of data. Since we are in a bear market, coins created in the last 5 months or so have seen nothing but negative returns. This can definitely skew the Sortino Ratio.

The Top 5

FunFair

  • Description: FunFair enables anyone, anywhere to run their own casino
  • Website: https://funfair.io/
  • # of Datapoints: 366
  • Annualized Volatility: 791.11%
  • 1-day moves less than -30%: 18
  • 1-day moves less than -20%: 26
  • 1-day moves less than -10%: 58
  • 1-day moves less than -5%: 89
  • 1-day moves greater than 5%: 97
  • 1-day moves greater than 10%: 55
  • 1-day moves greater than 20%: 26
  • 1-day moves greater than 30%: 15

Stellar

  • Description: Stellar is a platform that connects banks, payments systems, and people. Integrate to move money quickly, reliably, and at almost no cost.
  • Website: https://www.stellar.org/
  • # of Datapoints: 366
  • Annualized Volatility: 193.43%
  • 1-day moves less than -30%: 2
  • 1-day moves less than -20%: 4
  • 1-day moves less than -10%: 37
  • 1-day moves less than -5%: 84
  • 1-day moves greater than 5%: 103
  • 1-day moves greater than 10%: 44
  • 1-day moves greater than 20%: 13
  • 1-day moves greater than 30%: 5

Substratum

  • Description: Substratum Network is a worldwide collection of nodes that securely delivers content without the need of a VPN or Tor.
  • Website: https://substratum.net/
  • # of Datapoints: 366
  • Annualized Volatility: 550.01%
  • 1-day moves less than -30%: 7
  • 1-day moves less than -20%: 15
  • 1-day moves less than -10%: 51
  • 1-day moves less than -5%: 113
  • 1-day moves greater than 5%: 95
  • 1-day moves greater than 10%: 64
  • 1-day moves greater than 20%: 29
  • 1-day moves greater than 30%: 15

Binance Coin

  • Description: The Binance Coin is an Ethereum-based token that allows users to receive a discount for any fees on the Binance platform.
  • Website: https://www.binance.com/
  • # of Datapoints: 343
  • Annualized Volatility: 180.58%
  • 1-day moves less than -30%: 1
  • 1-day moves less than -20%: 3
  • 1-day moves less than -10%: 35
  • 1-day moves less than -5%: 81
  • 1-day moves greater than 5%: 81
  • 1-day moves greater than 10%: 43
  • 1-day moves greater than 20%: 12
  • 1-day moves greater than 30%: 5

TRON

  • Description: Tron is a decentralized content entertainment protocol based on blockchain technology.
  • Website: https://tron.network/index?lng=en
  • # of Datapoints: 311
  • Annualized Volatility: 246.64%
  • 1-day moves less than -30%: 6
  • 1-day moves less than -20%: 11
  • 1-day moves less than -10%: 44
  • 1-day moves less than -5%: 83
  • 1-day moves greater than 5%: 89
  • 1-day moves greater than 10%: 52
  • 1-day moves greater than 20%: 17
  • 1-day moves greater than 30%: 9

The Bottom 5

Dent

  • Description: DENT Wireless is a company with a mission to tokenize, liberate, and democratize mobile data and bandwidth.
  • Website: https://www.dentwireless.com/
  • # of Datapoints: 224
  • Annualized Volatility: 167.22%
  • 1-day moves less than -30%: 0
  • 1-day moves less than -20%: 5
  • 1-day moves less than -10%: 42
  • 1-day moves less than -5%: 84
  • 1-day moves greater than 5%: 40
  • 1-day moves greater than 10%: 21
  • 1-day moves greater than 20%: 5
  • 1-day moves greater than 30%: 3

Nano

  • Description: Nano is a trustless, low-latency cryptocurrency that utilizes a novel block-lattice architecture, where each account has its own blockchain and achieves consensus via delegated Proof of Stake voting.
  • Website: https://nano.org/en
  • # of Datapoints: 108
  • Annualized Volatility: 98.59%
  • 1-day moves less than -30%: 1
  • 1-day moves less than -20%: 3
  • 1-day moves less than -10%: 15
  • 1-day moves less than -5%: 29
  • 1-day moves greater than 5%: 15
  • 1-day moves greater than 10%: 8
  • 1-day moves greater than 20%: 3
  • 1-day moves greater than 30%: 1

Nebulas

  • Description: Nebulas is a decentralized platform which provides a search framework for all blockchains.
  • Website: https://nebulas.io/
  • # of Datapoints: 221
  • Annualized Volatility: 119.97%
  • 1-day moves less than -30%: 0
  • 1-day moves less than -20%: 2
  • 1-day moves less than -10%: 29
  • 1-day moves less than -5%: 57
  • 1-day moves greater than 5%: 42
  • 1-day moves greater than 10%: 19
  • 1-day moves greater than 20%: 2
  • 1-day moves greater than 30%: 1

Salt Lending

  • Description: SALT lets you leverage your blockchain assets to secure cash loans.
  • Website: https://www.saltlending.com/
  • # of Datapoints: 322
  • Annualized Volatility: 186.74%
  • 1-day moves less than -30%: 2
  • 1-day moves less than -20%: 8
  • 1-day moves less than -10%: 45
  • 1-day moves less than -5%: 95
  • 1-day moves greater than 5%: 74
  • 1-day moves greater than 10%: 40
  • 1-day moves greater than 20%: 9
  • 1-day moves greater than 30%: 2

RChain

  • Description: RChain is a fundamentally new blockchain platform rooted in a formal model of concurrent and decentralized computation.
  • Website: https://www.rchain.coop/
  • # of Datapoints: 224
  • Annualized Volatility: 8.02%
  • 1-day moves less than -30%: 0
  • 1-day moves less than -20%: 4
  • 1-day moves less than -10%: 21
  • 1-day moves less than -5%: 59
  • 1-day moves greater than 5%: 40
  • 1-day moves greater than 10%: 14
  • 1-day moves greater than 20%: 4
  • 1-day moves greater than 30%: 1

Top 100 Cryptocurrencies Ranked by Sharpe Ratio

Sharpe ratio is similar to Sortino Ratio, but does not differentiate downside from upside volatility. Thus, while still useful, is not as useful as Sortino.

The Top 5

  1. Stellar: 1.29
  2. Binance Coin: 1.11
  3. Substratum: 0.89
  4. FunFair: 0.86
  5. TRON: 0.82

The Bottom 5

  1. Dent: (2.35)
  2. Nebulas: (2.04)
  3. SALT: (1.78)
  4. Nano: (1.74)
  5. RChain: (1.72)

Top 100 Cryptocurrencies Ranked by Volatility

Note — Volatility does not signify a good or bad investment…just the dispersion of returns. For example, while FunFair is considered very volatile relative to other cryptocurrencies, the risk-adjusted return of FunFair is high.

The Top 5 (Most Volatile)

  1. Veritaseum: 4,135% (gooood lord)
  2. Civic: 1,339%
  3. Bitcoin Diamond: 814%
  4. FunFair: 791%
  5. Basic Attention Token: 748%

The Bottom 5 (Least Volatile)

  1. Bitcoin: 97.85%
  2. Nano: 98.59%
  3. Ontology: 109.33%
  4. Ethereum: 109.66%
  5. RChain: 119.81%

Top 100 Cryptocurrencies Ranked by Disasters (<-30% in one day)

The Top 5 (Most moves less than -30%)

  1. Veritaseum: 74
  2. Bitcoin Diamond: 28
  3. FunFair: 18
  4. Basic Attention: 14
  5. SmartCash: 14

The Bottom 5 (Least moves less than -30%)

Ranks 83 (Ardor) through 100 (ZCash) had zero days with movements below -30%

Top 100 Cryptocurrencies Ranked by Miracles (>30% in one day)

The Top 5 (Most moves greater than 30%)

  1. Veritaseum: 78
  2. Bitcoin Diamond: 24
  3. SmartCash: 23
  4. ZClassic: 18
  5. Groestlcoin: 16

The Bottom 5 (Least moves greater than 30%)

Ranks 94 (Bitcoin) through 100 (Waves) had zero days with movements above 30%

Is the market as bad as it seems?

Here we drew some insights from cryptocurrency datasets. Yet we should remember that the cryptocurrency market will inevitably be different next month, week, even day.

But if you’d like to explore this dataset and draw your own conclusions, feel free to download the file and use to your heart’s content:

If you’d like to learn more about Cryptosheets, and how it makes pulling cryptocurrency data into Excel extremely easy, check out our launch post.


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If you have any follow up questions or comments, we welcome them down below in the comments. We love talking with each and every one of you.

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