Crypto Market Benchmarks, Indexes & Volatility Report

Universe Definition

• The investment universe comprises all USDT-margined perpetual futures contracts historically listed on Binance, including contracts that were subsequently delisted. This survivorship-bias-free approach ensures that returns reflect the actual opportunity set available to investors at each point in time.
• Stablecoin pairs are excluded: USDT, USDC, BUSD, DAI, TUSD, FDUSD, USDP, USTC, GUSD, FRAX, LUSD, SUSD, and EUR-denominated contracts.
• BTC is reported as a standalone benchmark. It is also included in the broad tier indices (Top50, All Futures) by volume ranking, since BTCUSDT is consistently the most-traded perp on Binance.
• The universe spans January 2020 to the present and includes several hundred unique symbols, growing over time as new perps list.

Index Definitions

• BTC — Bitcoin perpetual futures cumulative return, rebased to 100 at period start. Represents the return of a fully-collateralized long position.
• Top50 — Equal-weighted index of the 50 most liquid perps ranked by 25-day trailing average dollar volume. Membership is determined using prior-day data (t−1) to prevent look-ahead bias. Reconstituted and rebalanced to equal weights at each daily close.
• All Futures — Equal-weighted index of all available Binance USDT-margined perpetual futures (stablecoins excluded). A symbol must have traded on the prior day (t−1) to be included. Reconstituted and rebalanced daily.
• SPY — SPDR S&P 500 ETF Trust price series, rebased to 100. Included as a traditional equity benchmark. SPY prices are forward-filled for chart alignment; however, all statistics (volatility, correlation, beta) are computed on real trading-day returns only — NaN weekends are never used as zero-return observations.

Index Construction Rules

• No look-ahead bias — all index membership, rankings, and weight assignments are determined exclusively using data available as of the prior daily close (t−1). No future information is used in any construction step.
• Equal weighting — each constituent receives equal weight (1/N) at each daily rebalance. This avoids concentration in large-cap names and provides a cleaner measure of broad market performance.
• Volume ranking — constituents are ranked by dollar volume, averaged over a trailing 25-calendar-day window. For newly listed contracts without a full 25-day history, a shorter fallback window is used so that newly liquid perps can enter the index.
• Daily reconstitution — index membership and weights are recalculated at every daily close. This captures the full dynamics of the listing/delisting cycle and ensures the index reflects the current tradable universe.
• Delisted symbols — when a contract is delisted, its final return is included on the last trading day. The index naturally adjusts N downward, and the weight is redistributed equally among remaining constituents at the next rebalance.

Robuxio Strategy Portfolios

• Robuxio High Vol — Systematic long/short portfolio combining momentum and mean-reversion signals across the top 50 liquid altcoins. Higher target volatility profile. Rebalanced daily.
• Robuxio Low Vol — Same signal framework as High Vol with reduced position sizing for a lower target volatility profile.
• Strategy returns are gross of management fees, performance fees, and trading costs. Live performance may differ due to execution slippage, funding rates, and fee drag.
• Performance data for Robuxio portfolios begins January 2022.

Metrics & Conventions

• Volatility — annualized standard deviation of daily returns. Crypto series use √365 (24/7 markets); SPY uses √252 (trading-day calendar). All rolling volatility is computed on real returns only (no forward-filled inputs); the resulting series is forward-filled for chart display.
• Sharpe ratio — CAGR divided by annualized volatility. No risk-free rate is subtracted (excess-return Sharpe = reported Sharpe minus rf ÷ vol).
• CAGR — computed over real calendar time: (end / start)^1/years − 1, with years = calendar days ÷ 365.25.
• Calmar ratio — CAGR divided by the absolute value of maximum drawdown over the measurement period.
• Maximum drawdown — largest peak-to-trough decline in cumulative return over the measurement period, expressed as a percentage.
• Correlations and beta — Pearson correlation and OLS beta computed on simple daily returns (not log returns). Rolling windows are calendar-based: 60 days for the Avg Pairwise Correlation chart, 3 calendar months (~90 crypto days / ~63 SPY days) for Robuxio vs BTC/SPY rolling correlation and beta.
• Capture ratios — computed on monthly compounded returns, arithmetic convention. Up-capture = average portfolio return in months when the benchmark is positive, divided by the benchmark's average in those months. Down-capture defined analogously for negative benchmark months. Computed over a fixed window since January 2022.
• Regime indicators — breadth oscillator measures the percentage of altcoins above their N-day SMA. Momentum and mean-reversion regime classifications are based on composite scores derived from trend-following and RSI signals across the universe.
• All benchmark returns are gross of fees, slippage, funding rates, and financing costs. They represent hypothetical performance and should not be interpreted as achievable net returns.

Data Sources

• Crypto OHLCV + volume — Binance Vision public data repository. Daily bars for all USDT-margined perpetual futures contracts (including delisted), January 2020 to present. Volume is stored as quote (USDT-denominated) volume, so the 25-day volume MA is already a dollar-volume measure.
• Traditional benchmarks — SPY daily close prices sourced from public market data providers. Weekend and holiday gaps forward-filled for alignment with the crypto daily series.
• Data validation — the full dataset has been verified for completeness: zero missing trading days across all active symbols. Delisted symbols retain their full history through the final trading date.

Important Disclaimers

• Hypothetical and simulated performance results have inherent limitations. Unlike actual trading records, simulated results do not represent actual trading and may not reflect the impact of material economic and market factors.
• Equal-weighted indices assume daily rebalancing with zero transaction costs, which is not achievable in practice. Actual implementation would incur spread costs, market impact, and funding rates that would reduce realized returns.
• The crypto derivatives market is subject to exchange-specific risks including counterparty risk, liquidity fragmentation, and potential data irregularities.
• Past performance is not indicative of future results.