Dear all,
Dear @overanalyser 
: thanks for looking into this methodology & product, always nice to discuss around a good bunch of data 
I’m finally able to share a 3 months backtest of the Robot Index, as well as a performance comparison against DPI / ETH / BTC … and even a “virtual” BED index.
This backtest was run on data gathered between 1st December 2020 & 1st March 2021 : this was the quickest solution since we already had the Sortino ratio processed week on week for this period, in order to prepare the original proposal above.
On the other hand, this is the most pessimistic approach we could take to evaluate the Robot Index performance : liquidity on DEX’s has been roughly multiplied by a factor 5 since then, but was still marginal at the end of 2020.
Bearing all this in mind, here are the results we were all waiting for :
- Composition 
as mentioned above, the reduced liquidity observed at the end of 2020 compared to now has delayed by a few weeks the introduction of some of the best performing assets in this backtest. This resulted in the inclusion of a reduced number of tokens for december and accounts for bigger rebalancings as well lower performance than planned (see below).
With a view to maximize diversification and minimize - when possible - the ratio trade size / token liquidity, we have pushed here the maximum number of index components up to 17 and the minimum pool liquidity to $4M.
Although the most critical phase would have been the initial constitution of the index, the next step could be investigating how an additional “MVI-like” liquidity-based weighting would reduce friction and affect performance.
- Average Daily Return (%) it is interesting to confirm that while the whole market performed well from 1st to 15th February, iRobot outperformed. The opposite is also true : in shaky market conditions observed between 15th February & 1st March, iRobot produced one of the less bearish outcomes :
- Standard Deviation of Negative Returns (%) globally confirms that iRobot’s downside volatility over these 3 months was either the same or better than BED or DPI :
- Annualized Sortino Ratio taking into consideration the final combination of both indicators above, the Robot Index globally outperformed the market over the considered period :
Focusing exclusively on volatility-adjusted returns since the beginning of 2021, this trend is even more obvious : particularly compared to DPI, iRobot offered roughly the same daily returns with a better downside volatility - a nice sector-agnostic, auto-managing addition to a BED portfolio !
For transparency these backtest data have been shared with @Lavi so far.
With regards to evaluating market size in the medium term, an interesting announcement was made last week by Wealthfront, one of the top 5 robo-advisors with over $25B AUM and more than 440000 customers.
They are looking to attract digitally native generations with an ETF-like approach to crypto offering : assuming only 1% of their actual AUM goes into this offering would result in $250M under management for their crypto robo-advisor.
Even more importantly the article clearly underlines the direction that TradFi robo-advisors are taking by offering crypto-native indexes !