Two events have arguably had some impacts on crypto markets:
- The D.C. Circuit ruling in favor of Grayscale in the lawsuit challenging the SEC’s decision to deny the conversion of the Grayscale Bitcoin Trust to an ETF.
- China’s failure to execute its post-Covid reopening which primarily affected the stock markets.
Despite the continuous flow of structural positive news, Bitcoin has canceled in August its quarterly gains. Looking back to August 2022, only Bitcoin and Ripple have generated a positive return.
The era of market-timing indexes has arrived as blockchain metrics democratize and investors are looking into avoiding the drawdowns associated with a long exposure in the crypto markets. As a pioneer, HAAM delivers a hybrid exposure to crypto and the US Treasury bills depending on the price momentum of Bitcoin and Ether. The index notably posted yearly returns approaching the +50%. Strategies with a larger exposure to the mid-cap market, i.e. excluding Bitcoin/Ether, were the most challenged in August. However, it is worth noting that broad-based indexes such as DDV30 resisted as well as the top 10 indexes thanks to their uncapped market cap weighting.
Here is a quick description of each index in the table, with links to the relevant methodology.
- VNMC10: Vinter Top 10 market cap weighted.
- VNEQ10: Vinter Top 10 equal weighted.
- VNEQ5: Vinter Top 5 equal weighted.
- VNMC5: Vinter Top 5 market cap weighted.
- HODLX: Top 10 market cap weighted.
- HODLV: Top 5 equal weighted.
- ALTS: Top 10 excl. the largest two assets, market cap weighted.
- MOON: Top 10 layer 1 assets weighted by Github, Social and market data.
- BOLD1: Bitcoin and gold, equal risk weighted.
- VDAB10: Top 10 capped market cap weighted.
- VTRXBC: Top 10 smart contract platforms, market cap weighted.
- PANDO6: Top 6 weighted by the square root of market cap.
- DDV30: Top 30 market cap weighted.
- VHASHMOM: Top 12 by market cap weighted by their momentum score times their risk parity score.
- STAKE: Top 10 of the largest staking protocols by current market capitalization including staking rewards.
- BTCC: Bitcoin Covered Call, go long BTC and write an out-of-the-money call option.
- KVQ: Equal-weighted index selecting high-quality assets from an investor perspective among the top 30 by market cap.
- TRXESG: Top 10 ESG-rated assets, current market cap-weighted with a maximum weight of 25%.
- GXMC: Top 2 by 90 days average market capitalization, equally-weighted.
- GXLC: Top 5 by 90 days average market capitalization, current market cap-weighted with a maximum weight of 40%.
- GXMDC: Top 10 by 90 days average market capitalization starting from the asset ranked #3, current market cap-weighted with a maximum weight of 40%.
- VCFMOM: Selects assets from the Top 15 by current market capitalization and weighs them according to a combination of their on-chain activity and the price momentum.
- VCFWB3: Selects as many assets driving WEB 3.0 that can be listed, and weighs them by their Asset Score which is a linear combination of market capitalization, momentum, and social media interest.
- VVTOP10: Top 10 by 30-day average market capitalization, current market cap-weighted with a maximum weight of 40%.
- HAAM: Selects Bitcoin and Ether when their combined price momentum is positive otherwise allocates everything to American T-bills via the NEOS Enhanced Income Cash Alternative ETF. When BTC and ETH are selected, their weights are dictated by a combination of their MVRV ratio.
The reference rates (“Ref rate”) are calculated using Vinter’s single-asset reference rate methodology.
