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 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 CCi30 Crypto Currencies index serves as a barometer of this rapidly evolving marketplace.

The idea of the index is to measure the entire Blockchain sector, like the S&P500 index does for the US stock market: we take a 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 7,484.24
-21.68 -0.29%
52 week change 253.39%
52 week high 20,796.64
52 week low 1973.39
Average bid/ask spread 1.55%
Year to date change -50.46%
Month to date change -26.40%
Daily high 7,547.01
Daily low 7,438.94

Constituents

# Name Price Market cap Change (day)
1
BTC
Bitcoin
$7,339.73 $125,196,615,086 100.00%
2
ETH
Ethereum
$585.20 $58,339,430,070 100.00%
3
XRP
Ripple
$0.61 $23,775,887,501 100.00%
4
BCH
Bitcoin Cash
$989.98 $16,978,101,852 100.00%
5
EOS
EOS
$12.31 $10,850,954,650 100.00%
6
LTC
Litecoin
$117.72 $6,675,998,652 100.00%
7
XLM
Stellar
$0.28 $5,259,987,538 100.00%
8
ADA
Cardano
$0.20 $5,084,220,751 100.00%
9
TRX
TRON
$0.07 $4,720,622,369 100.00%
10
MIOTA
IOTA
$1.46 $4,064,145,794 100.00%
11
NEO
NEO
$51.86 $3,371,212,000 100.00%
12
XMR
Monero
$161.58 $2,596,881,008 100.00%
13
DASH
Dash
$317.77 $2,571,814,365 100.00%
14
USDT
Tether
$1.00 $2,510,475,311 100.00%
15
XEM
NEM
$0.26 $2,315,115,000 100.00%
# Name Price Market cap Change (24h)
16
VEN
VeChain
$3.49 $1,836,177,633 100.00%
17
ETC
Ethereum Classic
$15.10 $1,537,877,029 100.00%
18
BNB
Binance Coin
$12.74 $1,452,532,508 100.00%
19
QTUM
Qtum
$13.11 $1,161,728,542 100.00%
20
OMG
OmiseGO
$10.59 $1,081,079,610 100.00%
21
ZEC
Zcash
$265.27 $1,062,329,116 100.00%
22
ICX
ICON
$2.58 $998,696,754 100.00%
23
LSK
Lisk
$8.73 $927,774,162 100.00%
24
ONT
Ontology
$6.37 $783,855,984 100.00%
25
BTG
Bitcoin Gold
$44.24 $753,423,589 100.00%
26
STEEM
Steem
$2.56 $659,194,068 100.00%
27
XVG
Verge
$0.04 $592,522,311 100.00%
28
NANO
Nano
$4.17 $556,240,986 100.00%
29
PPT
Populous
$12.88 $476,645,170 100.00%
30
DGD
DigixDAO
$141.10 $282,206,000 100.00%

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 rebalancing of the constituents in the index monthly. In addition, the volatility of the space makes it unreasonable to compute the top 30 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 (April 2018) Bitcoin is up by a factor of 28, but with a lot of volatility. The CCi30 is up by a factor of 93, 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): 0.86
  • Bitcoin Sharpe: 0.79
  • Yearly Volatility (σ): 4.54
  • Monthly Volatility (σ): 0.26
  • Bitcoin R2: 0.64247, Beta: 0.82, Alpha: 0.78
  • Euro R2: 0.00001, Beta: -0.03, Alpha: 3.90
  • GLD R2: 0.00326, Beta: 0.34, Alpha: 3.85
  • SPY R2: 0.00167, Beta: 0.25, Alpha: 3.77

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

$288.47 bn
total 30 cap
$11.13 bn
24hr trading volume
88.3%
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.
Several data providers rebroadcast the index to their clients.

contact us