Ethereum is a decentralized platform that runs smart contracts: applications that run exactly as programmed without any possibility of downtime, censorship, fraud or third-party interference. Ethereum provides a cryptocurrency token called “ether”, which can be transferred between accounts and used to compensate participant nodes for computations performed. Ether is listed under the code ETH and traded on cryptocurrency exchanges.

Cirdan Capital has launched an index to track the performance of Ethereum. In the last 2 years the growth of Ethereum has been impressive, an annualized rate of return of 5500%. The astonishing return comes with a considerable amount of volatility of 165% p.a. Also drawdowns have been significant, reaching a maximum loss from peak of 68%.

 

In order to control the level of risk, Cirdan has created a volatility target version of the Ethereum Index. This VolTarget acts as a “cap” for volatility, reducing exposure to the index when volatility is above a certain level. In such way the returns profile is smoother and so are the expected drawdowns. The VolTarget mechanism reacts to change in volatility adjusting the exposure on a daily basis. The 10% VolTarget version has produced historically an annualized return of 47.7% with a realized volatility of 10.69% and a maximum drawdown of 15.22%