Effectively implemented relative value strategies call for both asset breadth and sufficient differentiation among those assets. Figure 2 takes returns for the top 25 crypto assets except BTC, controls for exposure to systematic risk (roughly approximated by bitcoin), and shows the correlations between each token pairโs residual returns (i.e., ETH vs. DOT, SOL vs. LTC, etc.):
Exploring Multi-Asset Crypto Portfolios Beyond Bitcoin
