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Quick Take
- In absolute terms, 2Q19 was to give the best performance since the benchmark started with crypto fund composite registering at 53.6% gain on the quarter
- On a relative basis, however, direct spot returns of Bitcoin have outperformed the Vision Hill Crypto Fund Composite by nearly 100%, and the Bitwise 10 Large Cap Index by almost 70%
- When including performance to include all of 2018, all indices actually outperform BTC returns, Quantitative strategies are up close to 50% since last January (+ 70% absolute excess return on BTC)
- In 2Q19, Fundamental and Opportunistic strategies generated median returns of ~ 50% each, with 25% of Fundamental registering funds> 80% returns in the quarter (a composite high)
Vision Hill Group released their second quarter 2019 crypto hedge fund returns report, a self-reported cryptoasset benchmark study that measures various fund performances (via Vision Hill Active Crypto Indices) related to Bitcoin and the broader crypto market.
In absolute terms, 2Q19 was to give the best performance since the benchmark started with crypto fund composite registering at 53.6% gain on the quarter (n = ~ 50) and is up 67% in 1H19. Through the first half of 2019, Fundamental crypto fund strategies (description below) are leading the composite, up over 80% on the year; while Opportunistic funds are up 65% and Quantitative funds are up 45%.
On a relative basis, however, direct spot returns of Bitcoin have outperformed the Vision Hill Crypto Fund Composite by nearly 100%, and the Bitwise 10 Large Cap Index by almost 70% in the first half of 2019.
Source: Vision Hill Benchmarks, The Block
When considering a full cycle that includes data from last January, however, all strategies have actually outperformed bitcoin and the broader market, with Quantitative strategies leading the composite. Looking at the last 18 months, Quantitative focused funds are up to 50% (which includes a full bear market), which equates to more than 70% excess returns over bitcoin (non-risk adjusted).
Source: Vision Hill Benchmarks, The Block
Looking at the distribution of returns, Fundamental and Opportunistic strategies of each 50% of returns, with 25% of funds making more than 80% (Fundamental) and 55% (Opportunistic), respectively. Quantitative funds saw softer median returns related to the rest of the composite, at 26% for the quarter, but still had 25% of funds returning more than 60%. Opportunistic strategies saw the tightest range of performance out of the group, as 75% of funds returned more than 22%.
Source: Vision Hill Benchmarks, The Block
The study has produced approximately 50 unique data points in Q2 across the three core strategies (Fundamental, Quantitative and Opportunistic), published as non-investable reference indices which act as a proxy for the overall composition of the crypto hedge fund landscape. The report should include biases (self-reporting, survivorship, and backfill) rather than a long-term indicator of performance. The asset manager hopes to continue to smooth out these overtime issues.
Other highlights from the report include:
- Median Sharpe ratio (a reward to risk metric) for the composite index came in at 5.2 (Sortino at 7.2), up from 1.0 in Q1. For context, the Sharpe ratio for last 3 years of SP500 returns currently sits at .81 according to Morningstar. SP500 12-month rolling Sharpe ratios peaked close to 5 to close out 2017.
- Came in at 9.3 in Q2, vs .9 for Q1. Higher IRs implied higher returns than benchmark, given levels of risk that the fund takes.
Fundamental strategies: Long Only, Long / Short, Hybrids;
Quantitative strategies: Directional momentum, market neutral / HFT-Arb, Long Volatility
Opportunistic strategies: Credit, Generalized mining / active network participation, Other
If you are a crypto fund that hasn’t connected with Vision Hill and would like to participate in the next quarter’s benchmark study, reach out at [email protected]
Methodology on Crypto Fund index calculations can be found here.
Note this article was updated to include charted index performance from Jan 2018 – June 2019, which pushed all indices to outperform Bitcoin over the last 18-months.
