CCi30 – the Crypto Currencies Index

We are now living through a Blockchain revolution, of which cryptocurrencies are the first tangible expression. The Keynesian policy of the last several decades seems to have eroded the public’s faith in fiat money, and cryptocurrencies (pioneered by Bitcoin) have benefitted: they seem to have all the benefits of the old standby – gold – without any of the disadvantages. They also have the large, additional benefit of blockchain technology, which makes for a much more robust system, where your “crypto-gold” cannot be easily stolen or misplaced. The total market capitalization of all the crypto currencies has reached $500BN in December 2017, a 10x increase in just 12 months. Technology is also rapidly improving: the original Blockchain (as used in Bitcoin) is essentially obsolete, and much more flexible and efficient methods are coming to the fore. Zero-knowledge proof technology is also being increasingly used to make crypto currency transactions completely private.

While Bitcoin still dominates the field, there are numbers of other cryptocurrencies, using new methodologies, and new coins are launched frequently. The Crypto Currencies index serves as a barometer of this rapidly evolving marketplace.

The idea of the index is to have something like the S&P 500 index, but for cryptocurrencies: we take a statistically significative number (30) of the crypto currencies with the largest market capitalization, assign weights to them, and use the weights to combine the prices into an index.

Index real time 8,826.75
390.73 4.63%
52 week change 1,022.45%
52 week high 20,796.64
52 week low 786.38
Average bid/ask spread 1.08%
Year to date change -41.57%
Month to date change 50.26%
Daily high 8,837.53
Daily low 8,335.86

Constituents

# Name Price Market cap Change (day)
1
BTC
Bitcoin
$8,490.83 $144,253,360,009 2.31%
2
ETH
Ethereum
$588.03 $58,180,101,249 3.43%
3
XRP
Ripple
$0.86 $33,678,545,066 8.00%
4
BCH
Bitcoin Cash
$1,100.64 $18,803,650,194 11.99%
5
EOS
EOS
$11.11 $8,942,834,864 15.00%
6
LTC
Litecoin
$149.95 $8,422,547,509 2.43%
7
ADA
Cardano
$0.29 $7,557,507,718 6.56%
8
XLM
Stellar
$0.37 $6,889,445,610 1.32%
9
MIOTA
IOTA
$1.95 $5,407,409,394 9.11%
10
NEO
NEO
$76.25 $4,956,503,500 2.79%
11
XMR
Monero
$251.92 $4,018,059,888 5.28%
12
DASH
Dash
$443.17 $3,554,571,890 2.67%
13
XEM
NEM
$0.39 $3,506,490,000 0.51%
14
TRX
TRON
$0.05 $3,373,647,380 3.74%
15
USDT
Tether
$1.00 $2,283,483,675 0.12%
# Name Price Market cap Change (24h)
16
VEN
VeChain
$3.79 $1,990,371,756 1.90%
17
ETC
Ethereum Classic
$19.17 $1,941,771,624 4.12%
18
QTUM
Qtum
$19.73 $1,747,059,904 5.13%
19
OMG
OmiseGO
$15.80 $1,612,047,824 0.43%
20
BNB
Binance Coin
$12.20 $1,391,851,138 -1.21%
21
ICX
ICON
$3.43 $1,326,542,337 4.04%
22
LSK
Lisk
$11.94 $1,253,939,187 1.27%
23
BTG
Bitcoin Gold
$67.44 $1,143,401,817 11.13%
24
XVG
Verge
$0.07 $1,039,091,721 -4.90%
25
ONT
Ontology
$4.26 $1,027,939,878 -5.03%
26
ZEC
Zcash
$272.09 $1,018,650,872 3.02%
27
PPT
Populous
$26.24 $970,907,957 7.30%
28
NANO
Nano
$7.02 $934,971,266 -2.26%
29
STEEM
Steem
$3.14 $798,098,329 0.73%
30
DGD
DigixDAO
$260.71 $521,424,000 1.14%

about CCi30

How do we compute the top 30?

The market capitalizations of cryptocurrencies are quite volatile, and thus the “top 30” have to be computed much more frequently than, say, the constituents of the S&P 500. We have decided to do a full computation of the constituents every quarter, and then a reweighing of the constituents in the index monthly. In addition, the volatility of the space makes it unreasonable to compute the top thirty cryptocurrencies based on the market cap on a single day (say, the first day of each quarter). We smooth our data by using an exponentially weighted moving average of the market capitalization.

How do we weigh?

The S&P 500 weighs its constituents by market capitalization. This is (somewhat) reasonable in the mature equity market – somewhat, because the top 52 names in the S&P 500 account for half of the total weight. The situation is much more extreme in the cryptocurrency space, where, currently, a single constituent – Bitcoin – accounts for about 35% of the total capitalization of the market. This makes a proportionally-weighted index not so useful, so we have decided to weigh each component proportionally to the square root of its (smoothed) market capitalization.

How do we compute the index?

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 much better investment vehicle than Bitcoin itself. We have evaluated the performance of the CCi30 index since the beginning of 2015. Today (January 2018) Bitcoin is up by a factor of 42, but with a lot of volatility. The CCi30 is up by a factor of 154, because the other cryptocurrencies have actually done much better than Bitcoin, with a higher Sharpe ratio. Therefore, 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

Statistics

  • Sharpe ratio (annualized): 0.88
  • Bitcoin Sharpe: 0.80
  • Yearly Volatility (σ): 4.80
  • Monthly Volatility (σ): 0.26
  • Bitcoin R2: 0.63646, Beta: 0.81, Alpha: 0.85
  • Euro R2: 0.00005, Beta: -0.06, Alpha: 4.24
  • GLD R2: 0.00318, Beta: 0.33, Alpha: 4.16
  • SPY R2: 0.00237, Beta: 0.29, Alpha: 4.07

Download the daily values of the index (.csv)
Download the index constituents by quarter (.csv)

$332.55 bn
total 30 cap
$20.19 bn
24hr trading volume
88.5%
of all market cap

Who we are

CCi30 was created and is maintained by a 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 director of Hermes Asset Management. 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.

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