Data Sources & Reporting Standards
All performance data in the CFR Performance Database is reported directly by fund managers on a voluntary, monthly basis. Returns are reported net of all fees (management fees and performance fees), representing the actual return experienced by investors.
Crypto Fund Research does not independently audit fund returns. However, we cross-reference reported data against publicly available NAV data, regulatory filings, and fund factsheets where available.
Reporting lag: Most funds report monthly returns with a 2–4 week lag. Data is typically available in the first few weeks of the following month.
Update frequency: The database is updated weekly as new fund reports are received.
Survivorship Bias
Our database retains the complete return history of all funds that have ever reported to us, including funds that have since closed, stopped reporting, or been liquidated. This reduces survivorship bias in aggregate statistics and index calculations. Funds are flagged as "Currently Reporting" or "Inactive" so subscribers can filter accordingly.
Time Periods
Most metrics are calculated across three rolling windows:
- Since Inception (SI): From the fund's first reported month through the latest available month.
- Trailing 24 Months (24M): The most recent 24 months of reported returns.
- Trailing 12 Months (12M): The most recent 12 months of reported returns.
Benchmark & Risk-Free Rate
Bitcoin (BTC) monthly returns are used as the benchmark for all relative performance metrics (alpha, beta, correlation, R², capture ratios).
Risk-free rate: Set to 0% for all ratio calculations. This is standard practice for crypto fund analysis.
Return Metrics
Cumulative Return (SI, 24M, 12M) — The total compounded return over the period. Calculated as the product of (1 + monthly return) for each month, minus 1.
Annualized Return (SI, 24M, 12M) — The geometric average annual return. Calculated as (1 + Cumulative Return)^(12 / months) − 1.
Average Monthly Return (SI, 24M, 12M) — The arithmetic mean of all monthly returns over the period.
Best Month / Worst Month (SI, 24M, 12M) — The highest and lowest single monthly returns recorded during the period.
Positive Months / Negative Months (SI, 24M, 12M) — Count of months with returns above and below zero, respectively.
Percentage of Positive Months (SI, 24M, 12M) — Positive months divided by total months. A measure of return consistency.
Year-to-Date Return (YTD) — Compounded return from January of the current year through the latest reported month.
Risk Metrics
Volatility — Annualized (SI, 24M, 12M) — Standard deviation of monthly returns multiplied by √12. Measures total dispersion of returns.
Downside Deviation (SI, 24M, 12M) — Standard deviation of only negative monthly returns (below 0%). Captures downside risk only.
Value at Risk — 95% (SI, 24M, 12M) — Estimated maximum monthly loss at 95% confidence, using the parametric method.
Conditional Value at Risk — 95% (SI, 24M, 12M) — Average loss in the worst 5% of months. Also known as Expected Shortfall.
Maximum Drawdown (SI, 24M, 12M) — Largest peak-to-trough decline in cumulative returns over the period.
Drawdown Duration (SI) — Months from start of maximum drawdown to recovery.
Semi-Deviation (SI, 24M, 12M) — Standard deviation of returns below the mean return.
Risk-Adjusted Ratios
Sharpe Ratio (SI, 24M, 12M) — Annualized return divided by annualized volatility (risk-free rate = 0%). Measures return per unit of total risk. Above 1.0 is strong; above 2.0 is exceptional.
Sortino Ratio (SI, 24M, 12M) — Annualized return divided by annualized downside deviation. Penalizes only negative volatility.
Omega Ratio (SI, 24M, 12M) — Probability-weighted gains above 0% divided by probability-weighted losses below 0%. Captures the entire return distribution including skewness and kurtosis.
Calmar Ratio (SI, 24M, 12M) — Annualized return divided by the absolute value of maximum drawdown.
Treynor Ratio (SI, 24M, 12M) — Annualized return divided by beta (relative to Bitcoin). Measures return per unit of systematic risk.
Information Ratio (SI, 24M, 12M) — Annualized excess return over Bitcoin divided by tracking error. Measures consistency of outperformance.
Relative Performance (vs. Bitcoin)
Alpha — Annualized (SI, 24M, 12M) — Excess return beyond what the fund's beta to Bitcoin would predict. From the intercept of a linear regression of fund returns vs. BTC returns.
Beta (SI, 24M, 12M) — Sensitivity to Bitcoin price movements. Slope of the regression of fund returns vs. BTC returns. Beta of 1.0 = moves in lockstep with BTC.
Correlation to BTC (SI, 24M, 12M) — Pearson correlation between fund and Bitcoin monthly returns. Ranges from -1.0 to +1.0. Low correlation suggests diversification potential.
R-Squared (SI, 24M, 12M) — Proportion of fund return variance explained by Bitcoin returns.
Tracking Error (SI, 24M, 12M) — Annualized standard deviation of the difference between fund and Bitcoin monthly returns.
Up Capture Ratio (SI, 24M, 12M) — Fund's average return in positive BTC months divided by BTC's average return in those months. Above 100% = captured more upside than BTC.
Down Capture Ratio (SI, 24M, 12M) — Fund's average return in negative BTC months divided by BTC's average return in those months. Below 100% = better downside protection than BTC.
Distribution Analysis
Skewness (SI, 24M, 12M) — Asymmetry of the return distribution. Positive = longer right tail (more extreme gains). Negative = longer left tail (more extreme losses).
Kurtosis (SI, 24M, 12M) — "Tailedness" of the return distribution. Excess kurtosis above 3 indicates fatter tails than normal — extreme returns occur more often than expected.
Jarque-Bera (SI) — Statistical test of whether returns are normally distributed. High values indicate non-normality, meaning metrics that assume normality (VaR, Sharpe) should be interpreted with caution.
Gain/Loss Ratio (SI, 24M, 12M) — Average gain in positive months divided by average loss in negative months. Above 1.0 = winning months are larger than losing months.
Average Gain / Average Loss (SI, 24M, 12M) — Mean return in positive months and negative months, respectively.
Max Consecutive Losses (SI, 24M, 12M) — Longest streak of consecutive negative months.
CFR Crypto Fund Index
The CFR Crypto Fund Index is an equal-weighted composite of all crypto funds that reported monthly returns for a given month. Each reporting fund contributes equally regardless of AUM. Strategy sub-indices (Multi-Strategy, Quantitative, Long Only, Market Neutral, Venture, Arbitrage) use the same methodology applied to strategy subsets.
The index has been calculated monthly since January 2017. Funds enter and exit as they begin and cease reporting. Historical composition varies over time.
Limitations: As a voluntary reporting database, the index may not represent the entire crypto fund universe. Funds that perform poorly may be less likely to report, which could introduce reporting bias.
