Can asymmetric returns be captured without picking winners? Should you attempt to pick winners at all?

Inspired by Bassembinder's research on stock return skewness, this project tests whether a crypto index fund could successful capture fat-tail upsides.

This started with building a comprehensive dataset of 2000+ tokens, spanning a decade from the launch of Bitcoin, and included a significant majority of tokens that would go to zero.

Realistic execution was modelled using liquidity filters, slippage, and position limits. Tested equal-weight, market-cap-weight, and rebalancing strategies across multiple entry points and time horizons.

The findings are surprising: equal-weight, no-rebalancing, buy-and-hold outperformed every other strategy that wasn't simply buying and holding BTC and ETH.