Crypto20 Brings Index Funds To The Cryptosphere
Why an index fund?
Why Crypto20’s model works so well
- Number of coins: the amount of coins within the portfolio.
- Component cap weighting: how much of the portfolio is taken up by any particular blockchain asset.
- Rebalancing time period: how frequently to adjust the above weighting, i.e., how often the portfolio should schedule changes in positions in any particular currency.
- Twenty was decided as the magic number to both maximize returns and prevent overfitting – wherein a particular number may technically work better in simulations on limited data, but won’t generalize as well as the model goes forward on a wider data set.
- Component cap weighting will constantly fluctuate, but will never be higher than 10% of the entire portfolio. A sample weighting can be seen below.
- Weekly rebalancing had the best result in simulations, due to having the best minimal fees to lowest risk ratio.