CCi30 – the Crypto Currencies Index

The CCi30 is a rules-based index designed to objectively measure the overall growth, daily and long-term movement of the blockchain sector. It does so by tracking the 30 largest cryptocurrencies by market capitalization. It serves as a tool for passive investors to participate in this asset class, and as an industry benchmark for investment managers.

For achieving its objectives, the CCi30 has been designed with 5 main characteristics: 1. diversified; 2. replicable; 3. transparent; 4. provides in-depth coverage of the entire sector; 5. presents the best risk-adjusted performance profile possible.

The CCi30 was launched on Jan 1st, 2017. Its starting value is arbitrarily set at 100 on Jan 1st, 2015.

ISIN: CH0428867698

Index real time 3,445.11
-88.35 -2.58%
52 week change -6.70%
52 week high 5,374.46
52 week low 1734.35
Average bid/ask spread 2.09%
Year to date change 58.09%
Month to date change 9.48%
Daily high 3,445.12
Daily low 3,420.18

Constituents

# Name Price Market cap Change (day)
1
BTC
Bitcoin
$10,276.79 $183,701,228,974 0.84%
2
ETH
Ethereum
$197.11 $22,580,345,969 -5.48%
3
XRP
XRP
$0.26 $12,457,293,968 -9.28%
4
BCH
Bitcoin Cash
$307.53 $5,785,895,673 -3.51%
5
LTC
Litecoin
$72.57 $4,699,601,304 -2.09%
6
EOS
EOS
$4.08 $3,812,809,103 0.49%
7
BNB
Binance Coin
$20.40 $3,274,511,785 -2.69%
8
BSV
Bitcoin SV
$122.76 $2,230,935,052 -1.74%
9
XLM
Stellar
$0.06 $1,287,189,777 -8.32%
10
ADA
Cardano
$0.05 $1,279,157,797 -3.86%
11
XMR
Monero
$75.35 $1,276,910,907 1.76%
12
TRX
TRON
$0.02 $1,133,083,551 -6.27%
13
DASH
Dash
$92.73 $856,547,566 -1.67%
14
MIOTA
IOTA
$0.25 $730,692,912 -4.84%
15
XTZ
Tezos
$1.00 $724,242,733 -10.35%
# Name Price Market cap Change (24h)
16
ETC
Ethereum Classic
$6.22 $718,595,642 -0.97%
17
NEO
NEO
$9.09 $680,698,453 -4.87%
18
ATOM
Cosmos
$3.32 $634,643,342 0.78%
19
LINK
Chainlink
$570,631,424 -2.79%
20
MKR
Maker
$463.75 $503,333,387 -14.44%
21
ONT
Ontology
$0.76 $425,913,816 -3.30%
22
XEM
NEM
$0.04 $399,675,815 -2.31%
23
ZEC
Zcash
$48.62 $378,909,427 -4.33%
24
CRO
Crypto.com Coin
$0.04 $373,928,410 2.68%
25
DOGE
Dogecoin
$0.00 $313,162,372 -5.90%
26
BAT
Basic Attention Token
$0.18 $247,737,286 -3.53%
27
VET
VeChain
$0.00 $235,944,723 -3.77%
28
QTUM
Qtum
$2.04 $204,147,372 -3.02%
29
BTG
Bitcoin Gold
$10.09 $178,927,272 -1.92%
30
OMG
OmiseGO
$1.06 $156,427,714 -4.42%

about CCi30

Constituents selection

The top 30 cryptocurrencies by adjusted market capitalization are automatically selected and included in the index. All the so called “stable coins”, which are pegged to a fiat currency, are not taken into consideration. To calculate the weights for each cryptocurrency, the adjusted market capitalization must first be calculated. Market capitalization is not computed as some instantaneous number – the volatility in the cryptocurrency market is such that this would destabilize the index composition too much. Instead, the CCi30 uses an exponentially weighted moving average of the market capitalization. The weighted average Market Capitalization helps smooth the volatility to give the most accurate portrait of market capitalization at any given point. The formula used to derive market capitalization is:

where M(t) is the actual market cap at time t, M* is our adjusted market cap, and α is the decay rate of the exponential moving average, set with an halfilfe of 3 days.

The number of constituents was set at 30 because it is the minimum number necessary to be statistically significant. The use of more constituents would generate higher fees with no significant improvement to performance and any less than thirty would risk reduced performance, insufficient diversification, compromised statistical significance, and missed opportunities to pick the next rising star.
By taking the top 30 cryptocurrencies, the CCi30 captures a very high percentage of the cryptocurrency market capitalization. With this scope, the index statistically represents the entire cryptocurrency market with a confidence level of 99% and a confidence interval of 1.11. In other words, the margin of error of the index value as an indicator of the market is just 1.11%.

Constituents weight calculation

The weight of each constituting cryptocurrency is measured by the square root of its adjusted market capitalization, so at time t, the weight of the cryptocurrency 0 will be:

where Mi* is the adjusted market capitalization of a specified cryptocurrency at time t.

The square root function was chosen as a hybrid that most accurately weights the constituents based on the current conditions of the cryptocurrency market.
A simple market capitalization weighted index would be dominated by the top two cryptocurrencies, while a more slowly decaying weighting, or in the extreme case, equal weighing, would give too much weight to the tiny, illiquid cryptocurrencies at the bottom of the range.
In order to accurately capture the movements of the market, no caps or floors are implemented upon the weights of the cryptocurrencies.

Index value calculation

Between rebalancing dates, the index value is defined as:

Where It is the value of the index at time t, Wj is the weight of the jth name in the index, and Pj is the price of the jth name as a function of time.

On rebalancing dates, the weights are normalized in such a way that the index value is the same, whether it is computed with old or with new weights.

The index is calculated in realtime. All values refer to the close of the previous day, considered to be at 0000 GMT.

The results

Not too surprisingly, the index is a better investment vehicle than Bitcoin itself, and a much safer approach than trying to pick single coins. Investing in the index allows to profit from the unforecastable raise of some cryptocurrencies, while limiting the losses deriving from the fall of others.

The CCi30 is the most accurate instrument for measuring the whole cryptocurrencies market, and the Blockchain sector in general. It represents a useful tool for investors, a benchmark for traders and asset managers, a replicable index for passive funds and ETFs. In short, it is the industry standard for cryptocurrencies.

Download the index whitepaper
Download the index methodology manual

Statistics

  • Sharpe-Rivin* ratio (annualized): 0.71
  • Bitcoin Sharpe-Rivin: 0.74
  • Yearly Volatility (σ): 2.64
  • Monthly Volatility (σ): 0.25
  • Bitcoin R2: 0.67934, Beta: 0.86, Alpha: 0.19
  • Euro R2: 0.00001, Beta: 0.03, Alpha: 1.87
  • GLD R2: 0.00321, Beta: 0.35, Alpha: 1.82
  • SPY R2: 0.00149, Beta: 0.22, Alpha: 1.80

* The Sharpe-Rivin ratio is a development of the Sharpe ratio formula by Prof. Igor Rivin. It serves as a more accurate way of measuring risk-adjusted returns. For more information you can read this paper.

Download the OHLCV daily values of the index (.csv)
Download the index constituents by quarter (.csv)
Download monthly constituent weight percentages (.csv)

$251.85 bn
total 30 cap
$33.38 bn
24hr trading volume
92.1%
of all market cap

Who we are

CCi30 was created and is maintained by an independent team of mathematicians, quants and fund managers lead by Igor Rivin, Professor of Mathematics at Temple University and Regius Professor of Mathematics at St. Andrews University, and Carlo Scevola, economist and president of CS&P. Robert Davis, Engineer, IT expert and programmer, is responsible for technology.

The CCi30 index is currently used by Cryptos Fund, a regulated index tracker fund, as the benchmark for its passive investment strategy.
A free license is available for academic and research use. A realtime API and various data analysis tools are included in the commercial license.

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