Truvius Quantamentals - 8/1/23

Aug 1, 2023

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Over the trailing month major asset classes generally continued to exhibit strength with equity markets, commodities, and digital assets all gaining while bond markets were approximately mixed-to-flat. For digital assets, the DeFi sector notably outperformed, though a recent hack on July 30th for Curve Finance (symbol: CRV) may weigh on investor sentiment and present near-term headwinds for the sector overall.

Asset Class Roundup

Correlations (Trailing 1-Month)

Over the last month crypto has exhibited low correlation to major asset classes, supporting its potential role as a portfolio diversifier within a broad overall asset mix:

Performance

Nearly all major asset classes have exhibited positive performance YTD. Digital assets in particular have demonstrated strong YTD performance, partially rebounding from significant headwinds in 2022.

The Truvius DeFi Fundamentals Portfolio outperformed meaningfully over the trailing month:

Volatility (Annualized)

Realized volatility has generally tapered down over the trailing year across all major asset classes:

Digital Assets

Performance

Digital assets have shown strong performance for the YTD period, with the DeFi sector exhibiting particular strength over the trailing 1-month period:

Quantamentals

Our models incorporate a combination of proprietary on-chain and off-chain digital  “quantamentals” that we consider meaningful indicators of digital asset strength. We apply a quantitative process to these fundamental signals in order to systematically monitor network (on-chain) and trading (off-chain) activity.

This week, we look at a subset of assets held in the Truvius DeFi Fundamentals Portfolio:

  • Assets with stronger recent quantamentals:

    • MKR: attractive network activity

  • Assets with weaker recent quantamentals:

    • CRV: deteriorating on-chain and off-chain trading dynamics

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Data and Disclosures

Data is for the period 8/1/22 - 7/31/23. Pricing data shown above for illustrative Truvius products are sourced from Santiment, Messari, and Token Terminal. Prices for non-digital asset classes are sourced from Yahoo Finance and represent the following:

The Truvius products shown herein represent hypothetical backtests and do not represent live, currently investable products. The universe of assets for these hypothetical backtests include only tradable assets currently offered by Gemini as of 7/31/23, excluding meme tokens, stablecoins, and wrapped/pegged tokens. The backtests shown herein are rebalanced weekly, gross of fees, and net of t-costs, with a 0.10% per-trade t-cost assumption. The Truvius DeFi Fundamentals Portfolio backtest uses an ex-ante annualized tracking error target of 20% relative to the Truvius DeFi Index. The various Truvius Sector Indices used herein are weighted by circulating market capitalization. Past performance does not guarantee future results.

Disclaimer

This Truvius Quantamentals commentary has been prepared by Truvius (the “Company”) solely for informational purposes and should not be construed as legal, business, tax, regulatory, accounting, investment or other advice. The information contained herein does not purport to be all-inclusive or to contain all of the information a reader or prospective or existing investor may desire. In all cases, readers and interested parties should conduct their own investigation and analysis of the Company, its products, and the data set forth in this information. The Company makes no representation or warranty as to the accuracy or completeness of this information or its construction and shall not have any liability for any representations (expressed or implied) regarding data or information contained in, or for any omissions from, this information. This Information includes certain statements, backtested data, and estimates provided by the Company with respect to the historical performance of the Company, its products, and other asset classes described above. Such statements, backtested data, estimates, and projections reflect various assumptions by management, which assumptions may or may not be correct. No representations are made as to the accuracy of such statements, backtested data, estimates or projections. Inevitably, some assumptions will not materialize, and unanticipated events and circumstances may affect the ultimate financial results of the Company and its hypothetical products. Projections are inherently subject to substantial and numerous uncertainties and to a wide variety of significant business, economic and competitive risks, and the assumptions underlying the projections or expected performance of products may be inaccurate in any material respect. The Company's and its products’ actual future results may differ materially from those suggested by both simulated historical and forward-looking statements, depending on various factors including those described in this material or any other written or oral communications transmitted by the Company. Neither the U.S. Securities and Exchange Commission nor any U.S. state or non-U.S. securities commission has reviewed or passed upon the accuracy or adequacy of this this Truvius Quantamentals commentary. Any representation to the contrary is unlawful.