CLiVi50 - a Less Volatile than Bitcoin Cryptocurrency Index for Hedge Funds and Risk-Averse Investors

EasyChair Preprint 10837

Abstract

Stock market indexes provide investors with a simple manner of reducing volatility while being able to participate in the upside potential of the stock market. The relatively new introduction of cryptocurrencies as digital assets has brought along unique characteristics and considerations that require adjustments based on past research to optimize current performance. In this paper, we established the creation of the CLiVi50 index by using a rule-based and dynamic approach with a rule-based selection of 50 constituents and weight values. A dynamic approach was set by periodically re-evaluating the constituent selection and their weights based on their performance. CLiVi50 is a Cryptocurrency Index Limiting Volatility with 50 constituents that is less volatile than the comparable crypto indexes and isolated Cryptocurrency prices, this index is specially targeted for hedge funds and for attracting risk-averse non-crypto investors to this new asset class.

Keyphrases: Beta, Blockchain, Cryptocurrency, index

@booklet{EasyChair:10837,
  author    = {Manoel Gadi and Miguel Angel Sicilia},
  title     = {CLiVi50 - a Less Volatile than Bitcoin Cryptocurrency Index for Hedge Funds and Risk-Averse Investors},
  howpublished = {EasyChair Preprint 10837},
  year      = {EasyChair, 2023}}