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The case for crypto momentum investing.
VHASHMOM | Kaiko Custom Crypto Indices
Written by Adam Morgan McCarthy and Dessislava Ianeva- Aubert
Introduction
The index has significantly outperformed Bitcoin since 2021 registering both higher compounded annual growth rate and cumulative returns.
It effectively captured the upside momentum during the 2021/2022 bull run and more recently the post-election rally driven by regulatory clarity and U.S.-centric narratives. This outperformance also underscores the benefits of capturing smart beta by optimizing crypto indices with factors.
The changing administration in the U.S., and a short-lived martial law imposition in South Korea at the beginning of December contributed to this increase. The KT10’s mean rolling 30-day volatility has risen to 63%, from 52% prior to November.
In 2025, crypto-specific narratives, such as growing institutional adoption and a friendlier regulatory environment, could provide tailwinds for crypto momentum strategies, even as equity momentum shows signs of exhaustion.
The index also offers competitive risk-adjusted returns. VHASHMOM’s annualized returns since inception are nearly 40%. This places the index well above other digital assets in terms of returns. It even outperforms broad-based equity indices, such as the S&P 500.
However, despite offering competitive returns these do come at a cost, with annualized volatility above 75%. Only the Kaiko Meme index (KSMEME) has higher volatility since inception, while the Kaiko Layer-2 index (KSL2), which underperformed the market, comes close with 74%.
Volatility is more of a feature than a bug in crypto markets and as such we find it useful to consider broader risk metrics when evaluating the performance of an index.