Crypto Low-Vol 60d

Why This Index?

1. Low-volatility factor investing, applied to crypto. The 20 least volatile tokens over 60 days are selected, producing smoother equity curves than broad market exposure.
2. The 60-day lookback smooths regime changes compared to shorter windows. The selection gravitates toward large caps and stablecoins during turbulence — exactly what low-vol should do.
3. In equities, the low-volatility anomaly has persisted for decades. This index tests whether the same factor premium exists in crypto, where volatility dispersion is far wider.

Investment Objective

Selects the 20 least volatile tokens from the entire market over a 60-day lookback window, rebalanced monthly. Systematically avoids drawdown-heavy assets, producing smoother returns than broad market exposure.