Crypto Market Benchmarks

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 treated as a standalone benchmark and excluded from all altcoin index construction to isolate altcoin-specific return dynamics.
• As of the latest data update, the universe contains 514 unique symbols spanning January 2020 to the present.

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 top 50 altcoins 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, excluding BTC and stablecoins. 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 total return series, rebased to 100. Included as a traditional equity benchmark for cross-asset comparison. Weekend and holiday gaps are forward-filled for daily alignment with crypto data.

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 (close price × base volume), averaged over a trailing 25-calendar-day window. A minimum of 5 non-zero observations within the window is required for inclusion.
• 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 using a 365-day basis (standard deviation of daily returns × √365). Crypto markets trade 24/7; the 365-day convention reflects the continuous trading calendar. SPY is forward-filled to calendar days before computing returns, then annualized with √365 for consistent cross-asset comparison (mathematically equivalent to √252 on trading days only).
• Sharpe ratio — annualized mean daily return divided by annualized daily volatility. No risk-free rate is subtracted (excess return Sharpe = reported Sharpe minus the prevailing risk-free rate ÷ volatility).
• Calmar ratio — annualized return 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 — Pearson correlation coefficients computed on daily log returns. Rolling correlations use a 60-day window unless otherwise noted.
• Capture ratios — computed on monthly returns. Up-capture = average portfolio return in months when the benchmark is positive, divided by the benchmark average. Down-capture defined analogously for negative months.
• 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. 514 symbols, January 2020 to present. Data is validated for gap-free daily coverage.
• 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.