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Moritz HeidenExpert: Quant Finance
Head of Quant Research MunichRe Investment Partners and one of the @twoquants

First results from the RV crypto survey

More information about the survey see here.

Looks like Dogecoin won't make it...But otherwise the Top selections looks solid. Still combing through the large list of additional coins that have been suggested, but not bad for the initial allocation.




Moritz HeidenExpert: Quant Finance
Head of Quant Research MunichRe Investment Partners and one of the @twoquants

Real Vision Exchange Survey Week 15/2021: Results

Welcome to the weekly results of the Real Vision Exchange Macro survey. You might wonder, why "Macro survey"? Well, on the weekend I launched a separate survey, the Real Vision Crypto Survey. You can find additional information here. If you like it, please participate. I already got a lot of suggestions for additional coins to include and will screen these over the next few days. The tracking portfolio will start today.

With all the surveys, the website will get an update soon to make it easier to find surveys/outputs.

So, what happened in the macro survey last week?

Last week's performance summary

Initially strong performance by Equities and Gold. Bitcoin performance was negative until the middle of the week. The recovery only came on the weekend. Commodities could make back some of its initial losses on Wednesday. Long VIX also cost some money. Overall weekly performance was slightly negative until Friday, then the portfolio bounced back due to Bitcoin.

Survey results


1. Market View and Sentiment

Bullish US equities. Europe and EM are mixed. Negative sentiment for Gold and the Dollar. Commodities bullishness increased.

US Equity sentiment is at its highest point since we started the survey. In contrast to the interviews, where it's approaching a new low.

2. Positioning

Interestingly, bullishness in US equities is not aligned with positioning. We have seen this in the past, positioning changes much slower than sentiment. Compared to last week, we see a slightly... (More)

Moritz HeidenExpert: Quant Finance
Head of Quant Research MunichRe Investment Partners and one of the @twoquants

The Real Vision Exchange Crypto Survey

So, to put a little bit of pressure on me for further development (diamonds are born under pressure), I decided to launch a prototype of the Real Vision Exchange Crypto Survey.

In contrast to the "normal" macro survey, this one allows participants to decide upon a portfolio of coins/tokens. The initial selection of coins is decided by the Bot based on the following criteria:
- Market Cap
- Trading Volume
- Tradeability (for potential real-life implementation)
- Diversification (the Bot cancels highly correlated tokens and concentrates on the most established ones if he has to make a choice: e.g. Bitcoin is included, Bitcoin Cash isn't)
- Sector/Categories: The Bot tries to diversify and select coins with different functionality

I did an initial selection of 16 coins. Overall, I aim to have around a maximum of 30 coins in the portfolio.

Based on the current selection, participants can:
- overweight a coin
- underweight a coin
- fully leave the decision to the Bot
- vote to exclude the coin

From this, we get two allocations:

1. The Bot will take these votes and combine them with his base-allocation, which is a trend following model with risk overlay for the position sizing.

2. The pure RV Exchange Crypto portfolio tracks the weekly results of the voting process. E.g. let's assume we would only have a portfolio based on Bitcoin and Ethereum. If Bitcoin gets 2x times overweight and Ethereum 1x time underweight, the portfolio will allocate 2/3 into Bitcoin and 1/3... (More)