Low Volatility 30d

Why This Index?

1. The low-volatility anomaly — assets with lower volatility delivering superior risk-adjusted returns — is one of the most persistent factors in equity markets. This index tests it in crypto.
2. 30-day low-volatility lookback with biweekly rebalancing selects the 20 calmest tokens. The selection gravitates toward large caps and stablecoins during turbulence, which is correct behavior.
3. Shorter lookback windows react faster to regime changes than the 60-day variant. Biweekly rebalancing keeps the portfolio aligned with the current volatility regime.

Investment Objective

Selects the 20 least volatile tokens over a 30-day window, rebalanced biweekly. Applies the low-volatility anomaly from equity markets to crypto, systematically avoiding high-drawdown assets.