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 5,646.25
-97.24 -1.69%
52 week change 139.39%
52 week high 20,796.64
52 week low 2341.07
Average bid/ask spread 1.62%
Year to date change -62.63%
Month to date change 2.29%
Daily high 5,750.34
Daily low 5,449.15

Constituents

# Name Price Market cap Change (day)
1
BTC
Bitcoin
$6,738.50 $115,591,218,225 100.00%
2
ETH
Ethereum
$470.93 $47,445,000,017 100.00%
3
XRP
XRP
$0.48 $18,677,576,839 100.00%
4
BCH
Bitcoin Cash
$793.70 $13,685,146,662 100.00%
5
EOS
EOS
$8.01 $7,179,654,002 100.00%
6
LTC
Litecoin
$83.89 $4,819,422,149 100.00%
7
XLM
Stellar
$0.23 $4,320,243,095 100.00%
8
ADA
Cardano
$0.15 $3,971,923,498 100.00%
9
MIOTA
IOTA
$1.07 $2,966,648,262 100.00%
10
USDT
Tether
$1.00 $2,710,064,057 100.00%
11
TRX
TRON
$0.04 $2,419,057,122 100.00%
12
NEO
NEO
$36.32 $2,360,949,500 100.00%
13
XMR
Monero
$136.97 $2,223,557,527 100.00%
14
DASH
Dash
$247.22 $2,027,099,607 100.00%
15
ETC
Ethereum Classic
$17.07 $1,759,767,813 100.00%
# Name Price Market cap Change (24h)
16
XEM
NEM
$0.17 $1,569,393,000 100.00%
17
BNB
Binance Coin
$13.15 $1,499,106,971 100.00%
18
OMG
OmiseGO
$7.29 $1,022,087,426 100.00%
19
VEN
VeChain
$1.84 $1,020,829,526 100.00%
20
ZEC
Zcash
$186.30 $814,771,378 100.00%
21
QTUM
Qtum
$8.16 $723,232,910 100.00%
22
BCN
Bytecoin
$0.00 $582,850,075 100.00%
23
LSK
Lisk
$5.28 $571,183,280 100.00%
24
ICX
ICON
$1.46 $567,490,055 100.00%
25
ZIL
Zilliqa
$0.07 $566,609,919 100.00%
26
DCR
Decred
$69.02 $559,115,292 100.00%
27
ONT
Ontology
$3.61 $545,620,100 100.00%
28
BTG
Bitcoin Gold
$28.93 $495,543,809 100.00%
29
AE
Aeternity
$1.81 $421,130,909 100.00%
30
BTM
Bytom
$0.32 $322,279,457 100.00%

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): 0.83
  • Bitcoin Sharpe: 0.77
  • Yearly Volatility (σ): 4.00
  • Monthly Volatility (σ): 0.26
  • Bitcoin R2: 0.64863, Beta: 0.83, Alpha: 0.64
  • Euro R2: 0.00009, Beta: -0.08, Alpha: 3.31
  • GLD R2: 0.00321, Beta: 0.34, Alpha: 3.28
  • SPY R2: 0.00088, Beta: 0.18, Alpha: 3.22

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

$243.44 bn
total 30 cap
$11.79 bn
24hr trading volume
89.8%
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