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  • December Rebalance Report

    Interesting to note that correlations slightly increased in November despite the market sell-off. The variance in betas also narrowed this month. We removed BCHSV after adding it post the fork as onchainfx is not yet supporting the coin. Tezos was added due to new exchange listings and passing the volume minimums for the first time.

    Cut-off date used was 11/27 this month. The rebalance was completed as of 01:00 UTC on 12/1. Month to date data is from 11/1 to 12/1. Quarter to date data is from 10/1 to 12/1. If there are any missing performance metrics you would like to see, please let us know.

    BTC dominance reflects the bitcoin weight in our currency index. Market cap reflects only the Bletchley Total Index (70 assets).Turnover is defined as the total percent of assets that would need to be traded to properly track each index before and after the rebalance. Detailed asset weights and turnover statistics available here.Detailed float changes available here. Contribution is the portion of the return for the Bletchley 10 Index attributable to each coin.

    Bletchley Total Index Chart

    Bletchley Total Index Chart

    Sharpe Ratios and Volatility

    Volatility, Sharpe, and Sortino ratios are calculated off daily returns and are annualized to a 365 day year. The Sortino ratio is benchmarked against bitcoin. Volatility, standard deviation, and return are all displayed in percentage terms.


    Correlations

    Calculated off of daily returns, spearman method.


    Betas

    Beta is defined as the covariance of the asset and the benchmark divided against the variance of the normalizing benchmark, in this case the Bletchley Total Index.




    Largest daily moves for the month



     

     

    Bletchley - A Better Benchmark