Performance of the Vinter Crypto Finance Indexes
Vinter and Crypto Finance (owned by Deutsche Börse) created two indexes in 2023. In this post, we compare their performance versus a suitable benchmark in an honest time period to conclude they’re both outperforming.
The Vinter CF Crypto Web3 Index (“VCFWB3”) contains the crypto assets enabling the emergence of the third iteration of the internet: the Web3. The index selects the largest assets and weighs them based on a combination of market capitalization, momentum score, and social media interest. It is rebalanced quarterly on the third Friday of the month, starting at the end of March.
The Vinter CF Crypto Momentum Index (“VCFMOM”) selects the largest assets by market capitalization and weighting them according to their number of active addresses as well as price momentum. A cap of 15% promotes diversification while a floor of 2% eliminates any asset with weak active addresses and price momentum scores. The index is rebalanced monthly on the third Friday of the month.
For details, visit the index methodology page.
Given the index construction, the relevant benchmark for the momentum index is a top 10 index whereas the relevant benchmark for the Web3 index is ETH. How did these index strategies perform vs their respective benchmarks?
Vinter CF Crypto Momentum Index (VCFMOM) outperformed Vinter 10, a top ten market cap weighted index.
Vinter CF Crypto Web3 Index (VCFWEB3) outperformed its benchmark, ETH.
Lastly, a note on the dates. We must pick a suitable start and end date. The most obvious end date is the analysis date which is 2024–01–14. The start date is less obvious. We could go one year back or two years back, and many do. But that would be cheating a bit. It’s most fair to set the analysis start date to the launch date of the Exchange-Traded Products (ETPs). This was nine months ago. Had we set the analysis date to 1st of Jan 2022 or 2023, we would have included in-sample data, which would have made the performance much higher. During the index creation process, the historical performance dictated many decisions–it would look too good if we included this period in the analysis. Even with this honest choice of start and end dates, both index strategies outperformed their benchmarks.
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