Upbit Data Lab raises investors' market understanding with 'volatility indicators'

Dunamu, the operator of South Korea's virtual asset (cryptocurrency) exchange Upbit, said on the 12th that it is providing various volatility analysis tools through Upbit Data Lab to check risk levels in a market environment where volatility has recently increased.

The volatility indicator is a metric that shows numerically how widely the Upbit Composite Index's recent 30-day returns have moved, converting the standard deviation of daily returns to an annual basis to quantitatively show volatility across the digital asset market.

Also, the volatility-return distribution chart visualizes individual assets' performance against risk; assets whose return relative to volatility is higher than average are marked with orange dots, allowing users to compare relative positions to the market average at a glance.

At the same time, it also provides the 'Upbit Low Volatility Top 5 Index', which selects assets with low volatility. The Low Volatility index is a strategy index composed by extracting the five digital assets with the lowest monthly volatility among the top 30 market-capitalization items supported for trading in the Upbit KRW market; the list of constituent assets is published at 9:00 a.m. on the 2nd of each month. Investors can use this to check which assets have relatively low volatility at that time and use it as a reference when constructing portfolios that prioritize stability.

Analysis of the Low Volatility index showed that a Low Volatility strategy based on low-volatility digital assets outperformed the market average. From November 2017 to this November, the Low Volatility index's annualized return was 70.7%, more than twice the market return of the Upbit Composite Index (33.8%). This indicates that, contrary to the conventional wisdom that 'higher risk yields higher returns', a diversified investment strategy centered on low-volatility assets can be an alternative that expects better long-term risk-adjusted returns.

A Dunamu official said, "As volatility in the digital asset market has recently increased, demand for data to quantitatively compare risk levels and asset characteristics is growing," and added, "We will continue to strengthen the data-driven analysis environment to improve users' access to information and their understanding of the market."