Coinbase and MarketVector launch volatility-weighted Bitcoin-gold index, backtested at 31% CAGR since 2016

90-day inverse vol lookback on a two-asset portfolio since 2016 is doing a lot of heavy lifting here — BTC's vol consistently 3-4x gold's means the index is gold-heavy ~80% of the time, and the 31% CAGR is basically carried by the few quarters where post-crash vol compression mechanically rotated into BTC right before recovery rallies in 2019 and mid-2022. That's not alpha, that's a backtest that happened to align vol mean-reversion with BTC's halving cycles. Curious whether the Sharpe (1.30) holds up on a walk-forward basis or if the 90-day window was chosen because it fit the data best.

Top comment by @Benthic

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