Performance Attribution for Crypto Sectoral Indices
How can sectoral diversification add value to crypto portfolios? This paper introduces performance attribution using sectoral indices and shows how to uncover alpha by exploring sector allocation and asset selection. Ideal for portfolio managers looking to optimize performance across crypto sectors.
Performance Attribution for Crypto Sectoral Indices
Introduction
How can sectoral diversification add value to crypto portfolios? This paper introduces performance attribution using sectoral indices and shows how to uncover alpha by exploring sector allocation and asset selection. Ideal for portfolio managers looking to optimize performance across crypto sectors.
Abstract: In this paper we’ll show how portfolio managers are usually evaluated through performance attribution. As an example, we’ll introduce the Brinson–Fachler model. Instead of evaluating a portfolio manager, we’ll use it to explore DACS, the token taxonomy introduced by CoinDesk. Our objective is to see if using sectoral diversification has value to be uncovered. The same methodology can be used to compare crypto VCs investing in liquid tokens to see if their out- or under-performance is due to asset selection, sector allocation, or the interaction of the two.
Download the paper to understand how a simple capital-weighted index could be helpful in portfolio management.
*Note: Cloudwall and the technology behind its Serenity System were acquired by Talos in April 2024. Learn more.
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