Benchmark Crypto Indices

For the week ended on July 22 Updated as of July 22 at 8 pm ET

7/23/2018

Ken

150 East 52nd St, 31st floor | New York, NY 10022

XuanAC

For inquiries, contact Sales at 212-293-7140 or via email [email protected].

CRYPTO CURRENCY STRATEGY

Benchmark Crypto Indices Weekly Performance Analysis FS CryptoFX 10

FS CryptoFX 40

FS CryptoFX 250

FS CryptoFX 300

FS CryptoFX Agg

FS FX Eq Weight

Large-cap

Mid-cap

Small-cap

Top 300

All-cap

Top 50

+10.6%

+7.8%

+9.3%

+10.3%

+10.3%

+7.1%

Commodities

Platforms

Exchanges

Privacy

Stable Coins

+15.3%

+4.5%

+0.2%

+5.5%

+0.2%

Crypto Currency Strategy

Portfolio Strategy

Technical Strategy

Thomas J. Lee, CFA AC Thomas J. Lee, CFA AC Robert Sluymer, CFAAC Robert Sluymer, CFAAC Head of Research Head of Technical Strategy [email protected] [email protected] Sam Doctor AC twitter: @Fundstrat twitter: @rsluymer Ken Xuan AC Alex Kern For Reg AC certification and other important disclosures, see Disclosures, Slide 40.

Quantitative Strategy

Washington & Policy Strategy

Sam Doctor AC

L. Thomas Block

Head of Data Science Research [email protected] twitter: @fundstratQuant

Policy Strategist [email protected] twitter: @TomBlock_FS

www.Fundstrat.com | Bloomberg: FSGA

The Fundstrat Research Team Thomas J. Lee, CFA Co-Founder, Head of Research In research: 25 years Prior to founding Fundstrat, Mr. Lee was at J.P. Morgan from 1999 to 2014 and served as Chief Equity Strategist from 2007 to 2014. He was topranked by Institutional Investor every year since 1998. Previously served as Managing Director at Salomon Smith Barney. Mr. Lee graduated from the undergraduate program at the Wharton School, University of Pennsylvania.

Rob Sluymer, CFA

Sam Doctor Head of Data Science Research In research: 18 years Head of Data Science Research. Former US Small and Mid Cap Technology Analyst and India Small / Mid Cap Strategist at J.P. Morgan Chase.

L. Thomas Block

Head of Technical Analysis Strategy In research: 26 years

Washington and Policy Strategist Head of JPM policy: 21 years

Head of Technical Research with over 26 years experience writing technical research at RBC Capital Markets

Tom had a 21-year career at J.P. Morgan, serving as Global Head of Government Relations. Prior to joining JP Morgan Chase in 1987, he previously worked in Washington and held several positions with members of the House and Senate, serving as Legislative Assistant and Chief of Staff in the House, and Legislative Staff Director in the Senate

Ken Xuan

Alex Kern

Quantitative Analyst In research: 4 years

Research Analyst In research: 3 years

Data scientist with expertise in applied mathematics and statistical analysis. Ken was an operations strategy consultant at West Monroe Partners. Ken received a B.S. degree in Management, Economics from Purdue University in 2013 and an M.S. degree in Operations Research from Columbia University in 2017.

Previously conducted blockchain technology research with Digital Currency Group. Prior to that, Alex was a Fintech and Payments Equity Research Associate with Cowen & Co. Alex received his B.A. in History from the University of Pennsylvania in 2014.

Source: Fundstrat, Bloomberg, Factset

For exclusive use of Fundstrat clients

Slide 2

Executive Summary • Overview • SIZE: FS Large-cap 10, FS Mid-cap 40, FS small-cap 250 • SECTOR: Commodities • SECTOR: Platforms • SECTOR: Exchanges • SECTOR: Privacy

• SECTOR: Stable coins


Slide 3

Overview: Where to find these indices Figure: The Fundstrat Crypto-currency Indices Fundstrat reference indices. Market Value

Index

Index Price

Description

Tickers

$ % share millions crypto

Bloomberg

Yahoo! Finance

Trading View

Financial Times

Sector Indices FS Crypto Commodity

Likely to be classified as commodities

FS Crypto Platform

Enables decentralized applications

FS Crypto Privacy

Tokens with anonymity features

FS Crypto Exchange FS Crypto Stablecoin

$108 $190,557

58%

111 $111,605

34%

FSTOKCTB

^FSTOKCTB

FSTOKCTB

^FSTOKCTB

FSTOKPLT

^FSTOKPLT

FSTOKPLT

^FSTOKPLT

FSTOKPVT

^FSTOKPVT

FSTOKPVT

^FSTOKPVT

FSTOKDEX

^FSTOKDEX

FSTOKDEX

^FSTOKDEX

FSTOKSTB

^FSTOKSTB

FSTOKSTB

^FSTOKSTB

84%

FSTOK10

^FSTOK10

FSTOK10

^FSTOK10

76

$10,779

3%

Tokens associated with exchanges

114

$2,913

1%

Tracks the fiat currencies

100

$2,312

1%

Market-Cap based Indices FS Crypto 10

Top 10 largest Crypto-currencies

$164 $274,045

FS Crypto 40

Top 11-50 based on market value

147

$33,374

10%

FSTOK40

^FSTOK40

FSTOK40

^FSTOK40

FS Crypto 50 Eq Wt

Equal weighted FS Crypto 10 and 40

162 $307,419

94%

FSTOKEQW

^FSTOKEQW

FSTOKEQW

^FSTOKEQW

FS Crypto 250

Top 51-300 based on market cap

125

$13,448

4%

FSTOK250

^FSTOK250

FSTOK250

^FSTOK250

FS Crypto 300

FS Crypto 10, 40 and 250

159 $324,294

99%

FSTOK300

^FSTOK300

FSTOK300

^FSTOK300

FS Crypto Aggregate

Aggregate index

159 $325,968

100%

FSTOKAGG

^FSTOKAGG

FSTOKAGG

^FSTOKAGG


Slide 4

Overview

Relative Performance

Figure: The Fundstrat Crypto-currency Indices Fundstrat reference indices.

7D Performance (%) 0.0

S&P 500

0.1 0.8

MSCI All World Idx BBG US Agg Bond Idx

(0.3)

Salient Risk Parity Idx

(0.3) (0.8) (0.1)

BBG Commodity TR Idx

(4.0)

(0.3)

BBG US Treasury Idx Gold

(3.2)

0.5

0.2

(1.2) (0.8)

Oil

The best performing size-based index was FS CryptoFX 10, which was up 10.6%.

1.7

(0.2) (0.0)

Dollar Idx

Over the past 7 days, the FS CryptoFX Agg Index increased by 10.3%, compared with a 0.0% increase for the S&P 500.

30D Performance (%)

2.7 16.6

Bitcoin Ethereum

(1.3)

FS CryptoFX Agg

10.6 10.0

FS CryptoFX 40

7.8

4.3

FS CryptoFX 250

9.3

5.9

15.3

FS CryptoFX Commodity FS CryptoFX Platform

0.6

(7.0)

19.0

4.5 5.5

FS CryptoFX Privacy FS CryptoFX Exchange

10.3

9.0

FS CryptoFX 10

The best performing sector index was FS CryptoFX Commodity, which was up 15.3%.

21.9

2.2

8.1

0.2

0.2 (0.0) * Base date of Cap based Indices is 9/30/17 and Sector Indices is 3/31/18

FS CryptoFX Stablecoin


Slide 5

At a Glance

State of Indices Bitcoin

Composite Technical Score

FS Ex change FS EQW 10

FS 40 9

8

FS Privacy FS EQW 40

41

42

FS 40 -20

43

FS 40 FS 300 44

FS Privacy

FS EQW FS 300 -15

FS 10 FS AGG

FS Ex change FS Platform

FS EQW FS 250 85%

FS Commodity

FS 250

FS AGG

FS AGG FS 250 45

Bitcoin

FS 10

6

FS Platform

5

4

FS Commodity

3

FS Stable Coin

Bitcoin

FS 10 46

FS Commodity

47

48

49

50

Bitcoin

51

52

FS Stable Coin

53

54

FS Ex change

FS 250 -10

-5

FS Privacy

FS 40

90%

FS 300

7

FS Ex change

FS Platform

P/50D

Sector-based Indices

FS Stable Coin

FS Privacy FS Platform

Win-ratio

Upside less downside Volatility

Size-based Indices

FS Stable Coin FS AGG

95%

0

FS 300 100%

FS Commodity

5

Bitcoin

FS 10 105%

110%

115%

FS Commodity

FS Privacy

FS Platform

Weekly RSI

FS 40

FS 250 40

41

42

FS EQW 43

Bitcoin

FS Stable Coin FS AGG FS 300 44

FS Ex change

FS 10 45

46

47

48

49

Source: Coinmarketcap.com, Bloomberg, other sources and Fundstrat.


Slide 6

At a Glance

State of Indices Technical Metrics Composite Name

Symbol

Bitcoin

BTC

FS Commodity

Price (USD)

Technical Price (BTC) Rank

90D

Relative Relative

Win 90D Price to Price to Weekly 5D 10D 30D 21 vs 50 Ratio UV - DV 21 DMA 50 DMA RSI Return Return Return DMA

$7,418.49

1.000000

1

53

(7) 109.4% 110.0%

48

1.3

19.1

21.9

(0.5% )

FSTOKCTB

$104.76

0.014121

2

49

(11) 108.4% 107.3%

47

(0.1)

18.2

19.0

1.1%

FS 10

FSTOK10

$159.74

0.021532

3

47

(13) 104.8% 100.8%

45

(3.3)

14.3

10.0

3.9%

FS 300

FSTOK300

$155.72

0.020990

4

44

(15) 104.2%

99.7%

44

(3.7)

14.3

9.2

4.5%

FS AGG

FSTOKAGG

$155.87

0.021011

5

44

(15) 104.2%

99.6%

44

(3.8)

14.3

9.0

4.6%

FS 250

FSTOK250

$126.53

0.017056

6

44

(11) 101.7%

92.5%

41

(5.5)

13.1

5.9

9.2%

FS Stable Coin

FSTOKSTB

$99.99

0.013479

7

53

99.9%

99.9%

46

(0.0)

0.1

FS 40

FSTOK40

$145.31

0.019588

8

44

(19) 100.8%

93.5%

42

(6.1)

14.9

4.3

7.3%

FS Platform

FSTOKPLT

$109.47

0.014757

9

48

(15)

99.9%

92.9%

43

(7.4)

10.2

0.6

7.0%

FS Privacy

FSTOKPVT

$75.14

0.010129

10

43

(14) 100.1%

95.5%

40

(7.9)

12.4

8.1

4.7%

FS Exchange

FSTOKDEX

$113.50

0.015300

11

44

0

97.1%

90.9%

49

(10.6)

10.8

(7.0)

6.2%

FS EQW

FSTOKEQW

$160.22

0.021597

12

43

(15)

99.5%

91.2%

42

(7.7)

13.1

1.3

8.3%

(0)

(0.0) (0.0% )



Slide 7

At a Glance

Figure: 90D Rolling Correlation – Bitcoin vs Size indices and vs Sector indices Over last 100 days

Correlation

100%

Bitcoin is most correlated to the size index, FS 10 with a 90D correlation of 97.3%.

FS Crypto Size Indices FS 10

90%

80%

FS 40 FS 250

In the past week, the largest change in correlation was FS 250 (+0.3%).

FS EQ WT

70%

FS Agg 60% 100%

Bitcoin is most correlated to the sector index, FS Commodity with a 90D correlation of 99.2%. In the past week, the largest change in correlation was FS Privacy (+3.2%).

97.3% 97.0% 92.4% 92.0% 90.3%

FS Crypto Sector Indices FS Commodity

80%

99.2% 92.6% 89.4% 82.3%

60% 40%

FS Platform FS Privacy

20%

16.4%

FS Exchange FS Stablecoin

0% (20%)



Slide 8

At a Glance

State of Tokens 1 of 2

Technical Metrics

Price Market (USD) Price (BTC) Cap ($B)

Composite Current Technical Coin Supply Score

Name

Symbol

Mithril

MITH

$0.74

0.000100

Stellar

XLM

$0.28

0.000038

0x

ZRX

$1.13

0.000152

1.1

1,000,000,000

Cardano

ADA

$0.17

0.000023

5.3

31,112,483,745

Dogecoin

DOGE

$0.00

0.000000

0.4 115,115,356,487

Augur

REP

$35.42

0.004775

0.4

11,000,000

Decred

DCR

$70.02

0.009439

0.5

7,565,743

Bitcoin

BTC

$7,418.49

1.000000

127.1

17,127,475

BitShares

BTS

$0.20

0.000027

0.5

2,637,880,000

MCO

MCO

$8.01

0.001080

0.3

31,587,682

Hshare

HSR

$5.68

0.000766

0.2

43,181,161

Bitcoin Cash

BCH

$788.67

0.106311

13.6

17,215,338

Zcash

ZEC

$192.70

0.025976

0.8

4,265,581

EOS

EOS

$7.90

0.001065

7.1

900,000,000

Golem

GNT

$0.32

0.000043

0.3

1,000,000,000

Bytecoin

BCN

$0.00

0.000000

0.6 183,890,481,254

Siacoin

SC

$0.01

0.000001

0.4

35,416,017,975

Bibox Token

BIX

$0.78

0.000105

0.2

269,944,749

IOST

IOST

$0.02

0.000003

0.5

21,000,000,000

Dash

DASH

$250.58

0.033778

2.0

8,165,919

Litecoin

LTC

$83.16

0.011210

4.8

57,230,096

Ethereum

ETH

$459.66

0.061961

46.2

100,439,449

Bytom

BTM

$0.35

0.000048

0.5

1,407,000,000

aelf

ELF

$0.63

0.000085

0.2

280,000,000

Status

SNT

$0.07

0.000010

0.5

6,804,870,174

0.7

1,000,000,000

29.5 104,065,507,794

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25

90D Relative Relative Win 90D Price to Price to Weekly 5D 10D 30D 21 vs 50 Ratio UV - DV 21 DMA 50 DMA RSI Return Return Return DMA

50

63 134.1% 148.7%

56

18.5

51.0

93.4 (14.6% )

44

16 124.0% 122.0%

51

12.1

52.7

39.4

1.9%

48

39 110.9% 117.2%

52

(9.6)

45.5

53.3

(6.3% )

44

23 112.5% 106.5%

47

(0.3)

33.9

21.8

6.0%

41

22 122.9% 118.7%

48

7.1

50.0

29.6

4.3%

48

37 109.5% 106.1%

43

12.1

17.1

16.0

3.4%

44

24 105.3%

89.2%

49

(8.7)

22.8

(9.8)

16.1%

53

(7) 109.4% 110.0%

48

1.3

19.1

21.9

(0.5% )

50

(9) 110.6% 115.8%

49

(10.2)

31.0

43.8

(5.2% )

43

25 103.7% 122.0%

50

(2.2)

17.6

64.1 (18.3% )

48

18 105.4% 100.8%

41

2.9

22.2

16.6

4.7%

47

94.5%

43

(7.3)

15.5

4.3

9.7%

44

17 106.4% 101.5%

2 104.2%

42

(8.4)

23.9

14.2

4.9%

47

28

97.5%

82.6%

46

(10.0)

14.5

(8.8)

14.9%

43

33

97.5%

84.8%

45

(4.0)

12.0

0.9

12.7%

40

826

98.8%

83.8%

44

(11.2)

13.1

11.1

15.0%

48

60

97.8%

88.2%

43

(9.9)

6.4

(4.2)

9.6%

42

35

96.6%

72.6%

48

2.0

13.8

(31.3)

24.0%

42

4

98.6%

85.6%

43

(9.5)

14.4

(3.3)

13.0%

42

(5) 104.1%

98.1%

38

(3.6)

18.1

6.0

6.0%

44

(10) 100.7%

90.8%

40

(7.4)

8.3

(2.3)

9.8%

49

(9)

99.0%

93.3%

43

(8.3)

6.9

(1.3)

5.8%

42

(6) 100.1%

80.0%

43

1.4

17.4

(16.8)

20.1%

48

34

94.0%

89.1%

46

(14.1)

12.9

16.6

4.9%

44

7

95.1%

94.4%

44

(10.3)

9.1

14.2

0.7%


Slide 9

At a Glance

State of Tokens 2 of 2

Technical Metrics

Price Market (USD) Price (BTC) Cap ($B)

Composite Current Technical Coin Supply Score

Name

Symbol

Zilliqa

ZIL

$0.07

0.000010

0.9

12,600,000,000

NEM

XEM

$0.17

0.000023

1.5

8,999,999,999

OmiseGO

OMG

$7.15

0.000964

1.0

140,245,398

Ethereum Classic ETC

$16.12

0.002173

1.7

102,726,980

XRP

XRP

$0.45

0.000061

44.9

99,991,924,336

TRON

TRX

$0.04

0.000005

3.5 100,000,000,000

Aeternity

AE

$1.81

0.000244

0.5

Bitcoin Gold

BTG

$28.55

0.003848

0.5

17,199,886

Waves

WAVES

$2.75

0.000371

0.3

100,000,000

Monero

XMR

$128.72

0.017351

2.1

16,187,202

Nebulas

NAS

$3.51

0.000473

0.4

100,000,000

Steem

STEEM

$1.39

0.000187

0.4

281,621,349

CyberMiles

CMT

$0.15

0.000020

0.1

1,000,000,000

Binance Coin

BNB

$12.12

0.001634

2.4

194,972,068

Ontology

ONT

$3.30

0.000445

3.3

1,000,000,000

IOTA

MIOTA

$0.98

0.000132

2.7

2,779,530,283

NEO

NEO

$33.28

0.004486

3.3

100,000,000

Verge

XVG

$0.02

0.000003

0.3

15,054,315,539

ICON

ICX

$1.36

0.000183

0.5

400,228,740

Lisk

LSK

$4.97

0.000670

0.6

122,803,812

Qtum

QTUM

$7.83

0.001055

0.8

100,664,516

VeChain

VEN

$1.79

0.000241

1.6

873,378,637

Nano

NANO

$2.33

0.000314

0.3

133,248,289

Populous

PPT

$6.34

0.000855

0.3

53,252,246

Loopring

LRC

$0.27

0.000036

0.4

1,374,956,262

273,685,830

26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50

90D Relative Relative Win 90D Price to Price to Weekly 5D 10D 30D 21 vs 50 Ratio UV - DV 21 DMA 50 DMA RSI Return Return Return DMA

47

36

94.3%

84.6%

42

(12.6)

9.9

0.7

9.7%

47

(3)

95.8%

89.8%

40

(8.3)

8.6

3.4

6.0%

46

6

95.9%

84.7%

40

(9.0)

6.9

(13.2)

11.2%

53

(21)

94.5% 101.4%

46

(10.2)

(1.3)

10.3

(6.8% )

48

(17)

96.0%

87.0%

43

(11.1)

3.2

(7.7)

9.1%

40

20

96.5%

82.5%

45

(11.7)

9.0

(18.6)

14.0%

41

72

93.0%

77.8%

46

(11.7)

9.0

(11.7)

15.2%

43

(31)

97.3%

90.2%

42

(9.2)

(3.0)

8.5

7.1%

47

(1)

94.9%

84.9%

41

(11.9)

5.0

(5.8)

10.1%

42

(18)

97.0%

96.3%

41

(10.7)

7.1

16.4

0.7%

41

35

89.4%

71.5%

43

(6.9)

7.7

(24.7)

17.8%

40

26

93.9%

85.3%

41

(10.9)

7.8

3.0

8.6%

46

44

87.4%

74.0%

46

(17.5)

3.7

(10.5)

13.4%

43

31

92.4%

84.1%

50

(11.6)

0.4

(22.3)

8.3%

43

58

81.7%

61.0%

53

(15.8)

(1.5)

(37.9)

20.7%

42

6

93.2%

83.4%

43

(13.1)

2.1

0.2

9.8%

44

12

92.5%

86.4%

39

(15.4)

4.8

0.1

6.1%

42

(16)

94.1%

83.3%

41

(12.9)

6.3

(7.0)

10.7%

44

8

88.9%

74.4%

44

(16.6)

3.0

(24.0)

14.5%

47

(7)

93.0%

80.8%

38

(12.5)

2.1

(7.1)

12.2%

44

(15)

93.3%

80.0%

38

(11.6)

2.9

(13.3)

13.2%

46

(1)

81.6%

65.1%

40

(10.1)

(14.4)

(35.4)

16.5%

44

4

91.5%

83.8%

41

(21.5)

0.4

(9.3)

7.7%

37

22

88.9%

80.6%

40

(13.0)

2.9

5.7

8.4%

40

(6)

88.4%

75.0%

42

(16.6)

5.4

(12.7)

13.4%


Slide 10

Overview

Performance Quilt Here we look at the relative performance of our benchmark indices using a performance quilt.

Figure: Crypto Performance Quilt Past 8 weeks 5/27/18 to 6/3/18

6/3/18 to 6/10/18

6/10/18 to 6/17/18

6/17/18 to 6/24/18

6/24/18 to 7/1/18

7/1/18 to 7/8/18

7/8/18 to 7/15/18

FS 250 6.0%

FS 250 9.8%

FS Stable Coin -0.2%

7/15/18 to 7/22/18

FS Exchange 14.5% FS Platform 10.2% FS 40 9.4% FS Eq Wt 7.7% FS 300 7.5% FS Agg 7.4%

The best performing was FS CryptoFX Commodity Index which was up 16.6%. In the prior week, this index was down 5.8%. The worst performing was FS CryptoFX Stable Coin Index, which was up 0.2%. In the prior week, this index was down 0.2%.

FS 10 7.3%

FS 40 6.2%

FS Commodity 6.2%


FS Exchange 2.1%

FS 250 5.7%

FS Exchange -12.1%

FS Stable Coin 1.2%

FS Stable Coin 0.0%

FS Eq Wt 5.7%

FS Platform 7.3%

FS Commodity -5.8%

BTC 4.8%

BTC -12.1%

BTC -4.2%

BTC -5.0%

BTC 3.4%

BTC 6.1%

BTC -6.1%

BTC 16.6%

FS Privacy 2.8%

FS Commodity -13.3%

FS Commodity -5.2%

FS Commodity -6.3%

FS Exchange 2.9%

FS 10 6.0%

FS 10 -6.8%

FS Commodity 15.3%

FS Stable Coin 0.1%

FS 10 -14.4%

FS 10 -6.0%

FS 10 -8.1%

FS Commodity 2.8%

FS 300 5.9%

FS Privacy -7.1%

FS 10 10.6%

FS Agg -15.4%

FS Agg -6.3%

FS Privacy -8.3%

FS Privacy 2.0%

FS Agg 5.9%

FS 300 -7.3%

FS 300 10.3%

FS 300 -15.5%

FS 300 -6.3%

FS Agg -9.3%

FS 300 1.8%

FS Commodity 5.5%

FS Agg -7.3%

FS Agg 10.3%

FS Platform -17.5%

FS Platform -6.4%

FS 300 -9.3%

FS Agg 1.8%

FS Eq Wt 5.1%

FS Exchange -7.6%

FS 250 9.3%

FS Privacy -19.0%

FS Privacy -6.8%

FS Platform -12.3%

FS 10 1.1%

FS Exchange 4.8%

FS Platform -8.5%

FS 40 7.8%

FS 40 -20.3%

FS 40 -7.1%

FS Exchange -14.8%

FS Platform 1.0%

FS Privacy 4.3%

FS 40 -9.0%

FS Eq Wt 7.1%

FS Eq Wt -20.4%

FS Eq Wt -8.2%

FS 40 -14.9%


FS 40 3.4%

FS Eq Wt -10.9%

FS Privacy 5.5%

FS 250 -22.9%

FS 250 -10.2%

FS Eq Wt -16.1%

FS Stable Coin 0.1%

FS 250 -12.2%

FS Platform 4.5%

FS 250 -19.2%

Source: Fundstrat, Bloomberg.


FS Exchange 0.2% FS Stable Coin 0.2%

Slide 11

SIZE

Indices vs BTC

Figure: Size-based Indices Price Ratio to BTC Past 6M

FS Crypto 10 (large-cap) vs BTC

The 6M price performance of the size-weighted indices are plotted. Over the past week, the best performing of the size indices was FS CryptoFX 10 which was down 5.1%. The worst performing over that timeframe was FS CryptoFX 40 which was down 7.6%. Over the past month, the best performing of the size indices was FS CryptoFX 10 which was down 9.8%. The worst performing over that timeframe was FS CryptoFX 40 which was down 14.5%.

3M rel BTC

1M rel BTC

1W rel BTC

-13.6%

-9.8%

-5.1%

3M rel BTC

1M rel BTC

1W rel BTC

-38.2%

-14.5%

-7.6%

3M rel BTC

1M rel BTC

1W rel BTC

-41.3%

-13.1%

-6.3%

FS Crypto 40 (mid-cap) vs BTC

FS Crypto 250 (small-cap) vs BTC



Slide 12

Size Rotation Size Pairs

Figure: Size Pairs Price Ratio Past 6M

Mid-cap vs Large-cap FS Crypto 40 / FS Crypto 10

Over the past week, relative performance of mid-cap vs large-cap was down 2.5%.

Over the past week, relative performance of small-cap vs large-cap was down 1.3%.

Over the past week, relative performance of small-cap vs mid-cap was up 1.3%.

3M %Delta

1M %Delta

1W %Delta

-28.5%

-5.2%

-2.5%

3M %Delta

1M %Delta

1W %Delta

-32.1%

-3.7%

-1.3%

3M %Delta

1M %Delta

1W %Delta

-5.0%

+1.6%

+1.3%

Small-cap vs Large-cap FS Crypto 250 / FS Crypto 10

Small-cap vs Mid-cap FS Crypto 250 / FS Crypto 40



Slide 13

Sectors

Sectors vs BTC

Figure: Sector Price Ratio to BTC Past 6M

Commodities vs BTC

The 6M price performance of the sector indices are plotted. Over the past week, the best performing of the sector indices was FS Commodity Index which was down 1.2%. The worst performing over that timeframe was FS Exchange Index which was down 14.1%. Over the past month, the best performing of the sector indices was FS Commodity Index which was down 2.4%. The worst performing over that timeframe was FS Exchange Index which was down 23.7%.

3M rel BTC

1M rel BTC

1W rel BTC

-7.2%

-2.4%

-1.2%

3M rel BTC

1M rel BTC

1W rel BTC

-21.6%

-17.5%

-10.4%

3M rel BTC

1M rel BTC

1W rel BTC

-45.5%

-11.3%

-9.6%

3M rel BTC

1M rel BTC

1W rel BTC

-5.0%

-23.7%

-14.1%

Platforms vs BTC

Privacy vs BTC

Exchanges vs BTC



Slide 14

Sector Rotation Sector Pairs

Figure: Sector Pairs Price Ratio Past 6M

Platforms vs Commodities

Over the past week, relative performance of Platforms vs Commodities was down 9.3%.

Over the past week, relative performance of Platforms vs Exchanges was up 4.3%.

Over the past week, relative performance of Privacy vs Commodities was down 8.5%.

3M %Delta

1M %Delta

1W %Delta

-15.5%

-15.5%

-9.3%

3M %Delta

1M %Delta

1W %Delta

-17.5%

+8.1%

+4.3%

3M %Delta

1M %Delta

1W %Delta

-41.2%

-9.1%

-8.5%

Platforms vs Exchanges

Privacy vs Commodities



Slide 15

Cross Asset Classes Correlation Matrix Figure: FS Crypto FX Indices Correlation Matrix against Major Asset Classes (%) Based on the daily return of last 90 days

Bitcoin

Bitcoin FS CryptoFX 10 FS CryptoFX 40 FS CryptoFX 250 FS CryptoFX 300

100

FS FS FS FS FS FS FS FS FS FS FS MSCI All US Agg CryptoFX CryptoFX CryptoFX CryptoFX CryptoFX CryptoFX CryptoFX CryptoFX CryptoFX CryptoFX CryptoFX US Dollar World Bond 10 40 250 300 Agg Eq Wt Commodity Platform Privacy Exchange Stablecoin S&P 500 Index Index Index

97 100

92 96 100

90 94 95 100

97 100 97 95 100

FS CryptoFX Agg FS CryptoFX Eq Wt FS CryptoFX Commodity FS CryptoFX Platform FS CryptoFX Privacy FS CryptoFX Exchange FS CryptoFX Stablecoin S&P 500 US Dollar Index

97 100 97 95 100 100

92 97 99 95 98 98 100

99 99 94 91 98 98 94 100

93 98 97 94 99 99 98 94 100

89 91 94 90 92 92 92 91 90 100

82 86 89 85 87 87 89 83 88 81 100

16 14 9 8 13 13 10 15 12 9 15 100

(14) (12) (17) (14) (13) (13) (15) (11) (14) (12) (12) 14 100

(2) 0 2 (3) 1 1 2 (1) 2 4 (2) (0) (9) 100

MSCI All World Index US Agg Bond Index Risk Parity Index Comdty TR Index US Treasury Index Gold

(5) (5) (10) (3) (6) (6) (8) (4) (8) (7) (9) 17 84 (37) 100

14 17 19 23 18 18 18 15 19 14 20 (2) (38) 17 (35) 100

Risk Parity Index

1 (0) (4) 1 (1) (1) (2) 1 (2) (4) (3) 17 50 (35) 71 11 100

US Comdty Treasury TR Index Index

(10) (14) (16) (15) (14) (14) (16) (11) (17) (13) (19) (2) 27 (40) 50 (13) 69 100

14 16 19 21 17 17 18 14 19 13 21 (3) (43) 22 (44) 99 3 (16) 100

Gold

Oil

3 6 0 4 5 5 3 3 7 (6) 2 (1) 10 (39) 33 12 45 57 9 100

(9) (12) (13) (13) (12) (12) (14) (9) (15) (5) (17) (7) 24 (30) 35 (14) 47 74 (16) 32 100

Oil



Slide 16

Cross Token Correlation Matrix Figure: Correlation Matrix (%)

Bytom BitShares Siacoin 0x Steem Verge Nano Dogecoin Golem Waves Populous Nebulas Hshare Status IOST Loopring Mithril

The 3 tokens with lowest overall correlation (to other tokens) are: Bytecoin @ 14.6% overall; Mithril @ 40.2% overall; and Augur @ 41.6% overall.

78 75 81 75 72 76 76 74 85 62 73 68 75 74 56 70 78 64 76 82 62 71 84 16 65 49 70 76 44 69 100

71 70 72 69 53 68 67 59 63 58 74 67 63 71 55 62 70 46 77 70 53 70 68 17 64 51 54 70 43 57 63 100

65 69 67 57 57 68 70 56 65 45 66 62 65 65 43 67 69 59 68 60 53 66 66 17 60 48 55 56 38 50 58 57 100

aelf CyberMiles Monaco Bibox Token

75 65 66 64 49 66 67 54 64 52 72 65 60 71 45 52 69 45 70 66 57 58 68 33 58 40 51 65 44 53 66 66 51 38 61 68 100

72 73 77 65 76 72 78 69 71 56 70 70 65 66 59 75 71 76 73 80 51 68 72 9 60 46 72 71 33 62 73 59 59 39 66 70 49 57 79 67 100

79 78 74 65 72 73 76 65 63 66 72 71 64 72 60 68 74 59 80 80 59 70 69 15 61 51 69 74 41 55 66 67 54 46 66 68 62 65 74 62 77 100

77 76 76 72 66 76 79 63 73 61 72 69 68 69 52 70 72 64 78 78 55 70 73 18 71 47 66 73 40 62 69 61 60 56 69 74 58 58 75 75 69 70 100

78 78 77 71 69 75 78 68 70 61 68 77 67 72 54 73 74 58 77 77 57 75 74 43 71 52 71 75 49 65 75 66 63 43 78 75 64 56 77 65 73 74 74 100

78 76 79 75 73 74 78 70 80 60 74 71 73 76 58 78 73 75 74 78 62 73 83 19 67 44 77 78 44 72 86 64 61 45 74 78 62 58 79 75 77 67 72 78 100

49 47 50 55 32 49 46 32 44 43 48 49 38 49 40 41 49 22 54 49 32 40 41 12 48 19 32 48 35 36 43 63 37 15 45 48 46 43 47 31 41 47 42 45 38 100

71 67 72 66 68 69 83 65 75 55 71 63 66 69 44 71 76 70 66 76 57 65 75 10 64 40 80 69 35 68 79 57 59 45 73 71 57 54 77 64 70 61 71 72 79 37 100

65 63 63 62 59 67 64 57 68 49 59 55 52 63 44 59 67 55 58 66 54 51 64 12 55 43 59 66 28 51 66 48 40 33 57 64 48 56 62 51 59 55 57 58 64 27 68 100

64 64 69 61 48 66 59 49 55 52 56 56 69 60 41 65 60 50 62 69 54 57 65 8 52 45 49 62 37 64 59 52 48 53 63 62 48 57 63 61 59 60 65 54 63 30 55 45 100



Slide 17

Bibox Token

68 66 66 63 61 67 70 57 63 58 67 64 69 68 58 67 63 59 70 70 64 67 69 7 60 46 62 69 39 61 68 57 62 51 70 68 45 51 70 100

Monaco

83 85 84 76 71 84 82 71 78 66 76 76 76 79 60 85 83 74 78 84 66 74 84 13 74 54 74 78 47 65 75 67 66 51 76 84 58 64 100

CyberMiles

68 68 69 63 49 68 68 47 59 55 58 68 62 62 45 64 73 51 64 65 53 60 66 13 59 39 50 67 44 54 56 57 60 48 58 69 54 100

aelf

87 90 88 81 65 87 82 74 86 66 77 83 78 85 60 81 85 69 86 84 71 78 87 15 69 54 65 81 51 61 81 71 71 50 82 100

Mithril

78 80 83 81 62 78 81 73 73 60 75 75 77 77 57 74 79 57 81 78 66 78 82 14 68 57 61 77 42 74 78 76 61 51 100

Loopring

52 51 50 49 53 50 54 55 42 35 47 42 54 44 36 49 53 52 49 47 46 47 52 16 44 50 36 47 31 37 40 44 51 100

Dogecoin

0x

64 60 70 65 60 64 68 57 64 51 66 60 66 62 49 67 67 56 66 68 52 62 69 4 52 42 58 68 29 100

Siacoin

52 58 44 46 31 47 46 36 40 37 33 44 46 51 41 41 50 32 48 43 34 62 51 18 53 38 37 44 100

BitShares

Aeternity

Bitcoin Gold

84 83 86 81 66 84 78 69 75 73 74 76 74 79 60 74 81 57 80 85 68 70 79 15 69 45 62 100

IOST

Bitcoin Gold Augur

64 62 65 58 73 63 76 61 68 50 65 59 55 61 51 72 65 77 63 68 54 69 64 21 67 46 100

Status

Decred Aeternity

65 57 53 47 54 64 47 54 48 38 44 45 61 56 48 55 56 47 59 55 54 61 52 8 39 100

Hshare

Zilliqa

70 71 71 78 59 71 70 54 68 47 65 64 65 69 56 70 68 56 68 65 52 63 67 19 100

Nebulas

13 19 15 12 14 13 15 16 13 7 12 34 7 12 5 16 13 8 11 14 12 25 13 100

Populous

84 84 87 81 69 83 82 77 84 69 78 76 82 85 55 80 86 68 82 86 69 72 100

Decred

74 80 77 69 67 74 79 68 71 55 70 72 70 75 57 75 74 61 80 73 64 100

Zilliqa

71 71 72 63 51 73 66 59 65 56 65 64 70 80 53 69 71 51 69 70 100

Bytecoin

88 86 90 78 73 89 82 76 85 78 76 78 78 83 65 80 89 68 87 100

Lisk

NEM

VeChain

85 86 86 79 75 84 82 74 79 67 80 78 77 84 63 78 84 65 100

Waves

Lisk Bytecoin

65 68 66 61 73 64 73 66 73 51 64 60 59 61 49 78 63 100

Golem

Zcash ICON

85 84 87 77 69 86 86 73 84 69 80 74 80 84 60 78 100

Nano

OmiseGO Qtum

76 82 82 75 69 81 75 69 78 60 72 71 74 77 62 100

Verge

NEM Ontology

65 66 65 55 55 61 60 53 58 57 54 56 59 59 100

Steem

Binance Coin VeChain

87 86 84 82 61 86 80 66 81 69 82 77 81 100

Bytom

84 79 82 79 64 83 76 66 75 63 69 70 100

Binance Coin

76 81 80 74 54 77 75 56 77 59 69 100

Dash

76 73 78 74 65 76 85 69 75 58 100

Monero

Ethereum Classic

74 72 70 66 51 72 62 57 61 100

Augur

80 80 83 77 73 81 78 74 100

ICON

75 76 79 67 77 73 75 100

NEO

TRON

EOS

Bitcoin Cash

XRP

82 81 85 79 72 80 100

Zcash

Monero Dash

92 91 92 87 70 100

Qtum

IOTA

70 68 72 66 100

OmiseGO

Ethereum Classic Stellar

82 84 86 100

Ontology

TRON NEO

88 92 100

IOTA

Litecoin Cardano

91 100

Stellar

Bitcoin Cash EOS

100

Cardano

Ethereum XRP

Litecoin

Bitcoin

Ethereum

Bitcoin

Based on the daily return of last 90 days

57 61 54 47 47 55 46 47 48 48 41 45 51 49 62 52 53 43 53 51 45 42 54 6 51 52 41 46 44 36 44 45 41 38 49 52 34 42 55 51 39 47 48 45 45 15 35 42 35 100




Slide 18

Large-cap

Figure: FS CryptoFX 10 Price Ratio to BTC Past 6M

FS CryptoFX 10

Large-cap vs BTC

The FS CryptoFX 10 index is designed to track the performance of the top 10 largest and most liquid Crypto-currencies.

Over the past week, the FS CryptoFX 10 index was down 5.1% Relative to BTC. Over the past month, this index was down 9.8% Relative to BTC.

3M rel BTC

1M rel BTC

1W rel BTC

-13.6%

-9.8%

-5.1%

Daily RSI

MACD

The two best performing constituents this index in the past week are Cardano up 19.7% and Bitcoin up 16.6%.

Correlation to BTC

The two worst performing constituents this index in the past week are Ethereum Classic down 2.9% and NEO down 0.4%

Best Rank

Token 7D chg % weight

Worst 1

2

3

4

5

6

7

8

9

10

Cardano 20% 2%

Bitcoin

Bitcoin Cash

EOS

Litecoin

TRON

Ethereum

XRP

NEO

Ethereum Classic

17% 52%

9% 6%

7% 4%

5% 2%

2% 1%

2% 22%

1% 9%

(0%) 1%

(3%) 1%



Slide 19

Correlation

Figure: 90D Rolling Correlation - FS CryptoFX 10 Correlation against Major Asset Classes Over last 100 days

FS CryptoFX 10 The FS CryptoFX 10 index is designed to track the performance of the top 10 largest and most liquid Crypto-currencies.

FS CryptoFX 10

S&P 500 BBG US Agg Bond Idx Oil Gold Salient Risk Parity Idx

The FS CryptoFX 10 Index is most correlated to BBG US Agg Bond Index with a 90D correlation of 16.7%.

30%

15%

16.7%

6.1%

0%

(15%)

(0.4% )

(11.9% ) (11.9% )

The FS CryptoFX 10 Index is least correlated to S&P 500 with a 90D correlation of -11.9%. (30%)



Slide 20

Mid-cap

Figure: FS CryptoFX 40 Price Ratio to BTC Past 6M

FS CryptoFX 40

Mid-cap vs BTC

The FS CryptoFX 40 index is designed to track the performance of the top 11-50 Crypto-currencies based on market value and liquidity.


3M rel BTC

1M rel BTC

1W rel BTC

-38.2%

-14.5%

-7.6%

Daily RSI

MACD

The two best performing constituents this index in the past week are Dogecoin up 45.3% and Mithril up 36.8%.

Correlation to BTC

Best

The two worst performing constituents this index in the past week are VeChain down 6.8% and Ontology down 5.2%

10 Best Token 7D chg % weight

1

2

3

4

5

6

7

8

9

10

Dogecoin

Mithril

Stellar

Augur

Bytom

Monaco

Hshare

BitShares

Bibox Token

Decred

45% 1%

37% 1%

29% 13%

24% 1%

16% 1%

16% 0%

15% 1%

14% 1%

11% 0%

11% 2%

31

32

33

34

35

36

37

38

39

40

Worst

10 Worst Token 7D chg

Lisk

Loopring

ICON

Verge

Binance Coin

IOTA

Nano

Populous

Ontology

VeChain

(1%)

(1%)

(1%)

(1%)

(1%)

(2%)

(2%)

(4%)

(5%)

(7%)

% weight

2%

1%

2%

1%

6%

11%

1%

1%

3%

5%



Slide 21

Correlation

Figure: 90D Rolling Correlation - FS CryptoFX 40 Correlation against Major Asset Classes Over last 100 days

FS CryptoFX 40 The FS CryptoFX 40 index is designed to track the performance of the top 11-50 Crypto-currencies based on market value and liquidity.

FS CryptoFX 40



30%

18.8% 15%

0%

0.2% (4.2% )

(15%)

The FS CryptoFX 40 Index is least correlated to S&P 500 with a 90D correlation of -16.6%.

(13.0% ) (16.6% )

(30%)



Slide 22

Small-cap

Figure: FS CryptoFX 250 Price Ratio to BTC

FS CryptoFX 250

Past 6M

Small-cap vs BTC



3M rel BTC

1M rel BTC

1W rel BTC

-41.3%

-13.1%

-6.3%

Daily RSI

MACD

Correlation to BTC

The two best performing constituents this index in the past week are Bitcoin Diamond up 115.7% and Quantum Resistant Ledger up 60.1%.

Best 1

2

3

4

5

6

7

8

9

10

Token

Bitcoin Diamond

Quantum Resistant Ledger

NAGA

Decentraland

Metaverse ETP

TenX

WhiteCoin

KickCoin

LEOcoin

Fortuna

7D chg

116%

60%

54%

46%

41%

40%

39%

39%

37%

30%

2%

0%

0%

1%

0%

1%

0%

0%

0%

0%

241

242

243

244

245

246

247

248

249

250

Token

UTRUST

Qbao

Linda

Medicalchain

Revain

All Sports

OneRoot Network

DADI

Credits

Stox

7D chg

(12%)

(14%)

(16%)

(17%)

(17%)

(19%)

(19%)

(21%)

(25%)

(29%)

0%

0%

0%

0%

0%

0%

0%

0%

0%

0%

10 Best % weight

The two worst performing constituents this index in the past week are Stox down 28.8% and Credits down 25.3%

Worst

10 Worst

% weight



Slide 23

Correlation

Figure: 90D Rolling Correlation - FS CryptoFX 250 Correlation against Major Asset Classes

FS CryptoFX 250

Over last 100 days


FS CryptoFX 250



30%

23.1% 15%

0%

The FS CryptoFX 250 Index is least correlated to S&P 500 with a 90D correlation of -13.8%.

(15%)

3.7% 1.2%

(12.9% ) (13.8% )

(30%)



Slide 24




Slide 25

Sectors

Figure: FS Crypto Sector Price Ratio to BTC Past 12M

Commodity

Commodities vs BTC

The FS CryptoFX Commodity index is designed to track the performance of the tokens which are viewed purely as digital currencies and/or commodities.

Over the past week, the FS CryptoFX Commodity index was down 1.2% Relative to BTC. Over the past month, this index was down 2.4% Relative to BTC.

3M rel BTC

1M rel BTC

1W rel BTC

-7.2%

-2.4%

-1.2%

Advance/Decline line

Daily RSI

The two best performing constituents this index in the past week are Bitcoin up 16.6% and Bitcoin Cash up 9.1%.

Best

The two worst performing constituents this index in the past week are Monero up 3.8% and Litecoin up 5.3%

Worst

Rank Past 1 week… Token 7D chg % weight

1

2

3

4

5

Bitcoin 17% 86%

Bitcoin Cash 9% 9%

Zcash 8% 1%

Litecoin 5% 3%

Monero 4% 1%

Past 2 weeks… Token

Zcash

Bitcoin

Bitcoin Cash

Litecoin

Monero

12% 1%

10% 86%

5% 9%

1% 3%

(7%) 1%

14D chg % weight



Slide 26

Correlation

Figure: 90D Rolling Correlation - Commodity Correlation against Major Asset Classes Over last 100 days

FS Commodity The FS CryptoFX Commodity index is designed to track the performance of the tokens which are viewed purely as digital currencies and/or commodities.

FS CryptoFX Commodity Index

The FS Commodity Index is most correlated to BBG US Agg Bond Index with a 90D correlation of 14.8%.


30%

15%

0%

14.8%

3.3% 0.6% (8.6% ) (11.0% )

The FS Commodity Index is least correlated to S&P 500 with a 90D correlation of -11.0%.

(15%)

(30%)



Slide 27




Slide 28

Sectors

Figure: FS Crypto Platforms Price Ratio to BTC Past 12M

Platforms

Platforms vs BTC

The FS Crypto Platform index is designed to track the performance of cryptocurrencies which enable developers to create and use decentralized applications (dApps).

Over the past week, the FS CryptoFX Platform index was down 10.4% Relative to BTC. Over the past month, this index was down 17.5% Relative to BTC.

3M rel BTC

1M rel BTC

1W rel BTC

-21.6%

-17.5%

-10.4%


Daily RSI

The two best performing constituents this index in the past week are Stellar up 29.0% and Cardano up 19.7%. The two worst performing constituents this index in the past week are VeChain down 29.0% and NEO down 15.0%

Best Rank

Worst 1

2

3

4

5

6

7

8

9

10

11

12

13

14

Token

Stellar

Cardano

Bytom

Stratis

EOS

NEM

Ethereum

Qtum

Waves

NEO

Lisk

IOTA

Classic

VeChain

7D chg

29%

20%

16%

13%

7%

5%

2%

0%

(0%)

(0%)

(1%)

(2%)

(3%)

(7%)

% weight

29%

5%

0%

0%

7%

2%

46%

1%

0%

3%

1%

3%

2%

2%

Stellar

Cardano

Stratis

Ethereum

Bytom

NEM

IOTA

EOS

Waves

Lisk

Classic

Qtum

NEO

VeChain

14D chg

35%

17%

5%

(6%)

(7%)

(8%)

(9%)

(9%)

(10%)

(10%)

(12%)

(13%)

(15%)

(29%)

% weight

29%

5%

0%

46%

0%

2%

3%

7%

0%

1%

2%

1%

3%

2%

Past 1 week… Ethereum

Past 2 weeks… Ethereum Token



Slide 29

Correlation

Figure: 90D Rolling Correlation - FS Crypto Platform Correlation against Major Asset Classes Over last 100 days

FS Platform

FS CryptoFX Platform Index

The FS Crypto Platform index is designed to track the performance of cryptocurrencies which enable developers to create and use decentralized applications (dApps).

The FS Platform Index is most correlated to BBG US Agg Bond Index with a 90D correlation of 18.9%.


30%

18.9% 15%

7.5%

0%

The FS Platform Index is least correlated to Oil with a 90D correlation of -15.1%.

(15%)

(2.1% )

(13.9% ) (15.1% )

(30%)



Slide 30




Slide 31

Sectors

Figure: FS Crypto Exchanges Price Ratio to BTC Past 12M

Exchanges

Exchanges vs BTC

The FS Crypto Exchange index is designed to track the performance of cryptocurrencies/ tokens associated with crypto centralized or decentralized exchanges.

Over the past week, the FS CryptoFX Exchange index was down 14.1% Relative to BTC. Over the past month, this index was down 23.7% Relative to BTC.

3M rel BTC

1M rel BTC

1W rel BTC

-5.0%

-23.7%

-14.1%


Daily RSI

The two best performing constituents this index in the past week are Bancor up 5.7% and Kyber Network up 3.3%.

Best

The two worst performing constituents this index in the past week are AirSwap down 2.3% and Binance Coin down 1.4%

Worst


1

2

3

4

5

6

Bancor 6% 4%

Kyber Network 3% 5%

0x 2% 27%

QASH 2% 6%

Binance Coin (1%) 56%

AirSwap (2%) 2%

Past 2 weeks… Token 14D chg % weight

0x 17% 27%

Kyber Network (8%) 5%

AirSwap (9%) 2%

QASH (13%) 6%

Binance Coin (13%) 56%

Bancor (29%) 4%



Slide 32

Correlation

Figure: 90D Rolling Correlation - FS Crypto Exchange Correlation against Major Asset Classes Over last 100 days

FS Exchange

FS CryptoFX Exchange Index

The FS Crypto Exchange index is designed to track the performance of cryptocurrencies/ tokens associated with crypto centralized or decentralized exchanges.

The FS Exchange Index is most correlated to BBG US Agg Bond Index with a 90D correlation of 20.2%.


30%

20.2% 15%

0%

1.8% (2.6% )

(12.1% )

The FS Exchange Index is least correlated to Oil with a 90D correlation of -17.2%.

(15%)

(17.2% )

(30%)



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Sectors

Figure: FS Crypto Privacy Price Ratio to BTC Past 12M

Privacy

Privacy vs BTC

The FS Crypto Privacy index is designed to track the performance of cryptocurrencies with anonymity or privacy features.

Over the past week, the FS CryptoFX Privacy index was down 9.6% Relative to BTC. Over the past month, this index was down 11.3% Relative to BTC. The two best performing constituents this index in the past week are Zcash up 8.2% and Dash up 8.2%.

3M rel BTC

1M rel BTC

1W rel BTC

-45.5%

-11.3%

-9.6%


Daily RSI

Best

The two worst performing constituents this index in the past week are Bitcoin Private down 13.9% and Monero up 3.8%

Worst


1

2

3

4

Zcash 8% 16%

Dash 8% 40%

Monero 4% 41%

Bitcoin Private (14%) 3%

Past 2 weeks… Token 14D chg % weight

Zcash 12% 16%

Dash 3% 40%

Monero (7%) 41%

Bitcoin Private (34%) 3%



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Correlation

Figure: 90D Rolling Correlation - FS Crypto Privacy Correlation against Major Asset Classes Over last 100 days

FS Privacy

FS CryptoFX Privacy Index

The FS Crypto Privacy index is designed to track the performance of cryptocurrencies with anonymity or privacy features.

40%

The FS Privacy Index is most correlated to BBG US Agg Bond Index with a 90D correlation of 14.0%.


25% 14.0% 10%

(5%)

(3.9% ) (5.4% ) (5.6% ) (11.6% )

(20%)

The FS Privacy Index is least correlated to S&P 500 with a 90D correlation of -11.6%.

(35%)

(50%)



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Sectors

Figure: FS Crypto Stable Price Ratio to BTC Past 12M

Stable Coins

Stablecoin vs BTC

The FS CryptoFX Stable index is designed to track the performance of cryptocurrencies which are designed to be “stable”.

Over the past week, the FS CryptoFX Stable Coin index was down 14.1% Relative to BTC. Over the past month, this index was down 18.0% Relative to BTC.

3M rel BTC

1M rel BTC

1W rel BTC

+20.6%

-18.0%

-14.1%


Daily RSI

In the past week, DAI was up 1.9% and Tether was up 0.1%, in dollar terms.

Rank

1

2

DAI 2% 2%

Tether 0% 98%

Token

DAI

Tether

14D chg % weight

2% 2%

(0%) 98%

Past 1 week… Token 7D chg % weight Past 2 weeks…



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Correlation

Figure: 90D Rolling Correlation - FS Crypto Stable Correlation against Major Asset Classes Over last 100 days

FS Stable Coin

FS CryptoFX Stable Coin Index

The FS CryptoFX Stable index is designed to track the performance of cryptocurrencies which are designed to be “stable”.


30%

The FS Stable Coin Index is most correlated to Salient Risk Parity Index with a 90D correlation of 16.6%.

15%

0%

16.6% 13.5%

(1.0% ) (1.7% ) (6.8% )

(15%)

The FS Stable Coin Index is least correlated to Oil with a 90D correlation of -6.8%.

(30%)



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Analyst Certification (Reg AC) Ken Xuan, the research analyst denoted by an “AC” on the cover of this report, hereby certifies that all of the views expressed in this report accurately reflect his personal views, which have not been influenced by considerations of the firm’s business or client relationships. Neither I, nor a member of my household is an officer, director, or advisory board member of the issuer(s) or has another significant affiliation with the issuer(s) that is/are the subject of this research report. There is a possibility that we will from time to time have long or short positions in, and buy or sell, the securities or derivatives, if any, referred to in this research Conflicts of Interest This research contains the views, opinions and recommendations of Fundstrat. 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