The Hashdex Crypto Momentum Factor ETP provides a systematic, non-traditional form of exposure to an alternative asset class, combining crypto allocation with a rules-based momentum and risk-parity framework rather than simply holding the market-cap-weighted universe.
The index selects the 12 largest eligible crypto assets by market capitalisation, subject to liquidity, trading-history and exchange-eligibility requirements. It then allocates between those assets using a combination of recent relative price momentum and risk contribution, with individual constituent weights capped at 30%. The strategy is long only, so weaker-momentum assets are reduced rather than shorted, while stronger recent performers receive larger allocations.
The momentum signal focuses on relatively short-term price trends, with the methodology describing a lookback of up to two months. The risk-parity element tempers the allocation by giving greater weight, all else equal, to assets with lower risk contribution. This means portfolio weights are not determined by momentum alone and helps avoid allowing the most volatile crypto assets to dominate simply because they have performed strongly. The index is rebalanced monthly.
The ETP is physically implemented and fully collateralised by crypto assets corresponding to the index exposure. This gives investors direct economic exposure to the underlying basket while retaining the systematic allocation process at the index level.