An Empirical Analysis of the Inverse Volatility Weighted Top-5 Crypto Index (AXIS): A Comparison with MCW_Cap40 and SOL Buy-and-Hold
Year: 2025
Type: article
Abstract: his paper studies a risk-aware crypto index construction, the AXIS strategy, which selects the top-5 assets by market capitalization and assigns weights via inverse volatility weighting (IVW) with quarterly rebalancing. We compare AXIS against a capped market-cap-weighted competitor (MCW_Cap40) and a buy-and-hold SOL benchmark. Results show that AXIS achieves a higher Sharpe ratio (2.6223 vs 2.3683) and lower concentration (average HHI 0.2163 vs 0.3216) than MCW_Cap40, highlighting the benefits of risk-aware indexing in the volatile cryptocurrency market.
Author: Kikuta, Yusuke
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7104055406
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