• Home
  • Methodology
  • Updates
  • About
  • Contact
  • Blog

  • November Rebalance Report

    Updates - First time since launching in March of 2017 that we have zero changes in index membership across the entire Bletchley Universe. Another symptom of declining volatality in the space, and a great signal to watch for meaningful decorrelation across assets. Also we are excited to be releasing detailed information on how to track our indexes along with our float changes report linked to below.

    Cut-off date used was 10/27 this month. The rebalance was completed as of 01:00 UTC on 11/1. Month to date data is from 10/1 to 11/1. Quarter to date data is from 8/1 to 11/1. 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