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 3,459.89
-26.00 -0.75%
52 week change -22.44%
52 week high 20,796.64
52 week low 3485.89
Average bid/ask spread 2.52%
Year to date change -77.10%
Month to date change -7.65%
Daily high 3,597.13
Daily low 3,270.02

Constituents

# Name Price Market cap Change (day)
1
BTC
Bitcoin
$5,546.00 $96,375,882,786 100.00%
2
XRP
XRP
$0.46 $18,598,273,463 100.00%
3
ETH
Ethereum
$177.37 $18,308,062,880 100.00%
4
BCH
Bitcoin Cash
$430.46 $7,515,674,018 100.00%
5
XLM
Stellar
$0.23 $4,316,122,055 100.00%
6
EOS
EOS
$4.56 $4,136,133,871 100.00%
7
LTC
Litecoin
$42.76 $2,529,980,603 100.00%
8
USDT
Tether
$0.98 $1,666,428,114 100.00%
9
ADA
Cardano
$0.06 $1,598,062,759 100.00%
10
XMR
Monero
$86.23 $1,429,029,057 100.00%
11
TRX
TRON
$0.02 $1,212,376,961 100.00%
12
MIOTA
IOTA
$0.42 $1,160,461,633 100.00%
13
DASH
Dash
$133.83 $1,130,307,571 100.00%
14
BNB
Binance Coin
$8.06 $1,054,547,433 100.00%
15
NEO
NEO
$12.79 $831,354,318 100.00%
# Name Price Market cap Change (24h)
16
XEM
NEM
$0.09 $830,767,679 100.00%
17
ETC
Ethereum Classic
$7.81 $828,257,382 100.00%
18
XTZ
Tezos
$1.10 $666,859,599 100.00%
19
ZEC
Zcash
$107.48 $563,331,884 100.00%
20
BTG
Bitcoin Gold
$26.22 $454,712,401 100.00%
21
VET
VeChain
$0.01 $422,625,512 100.00%
22
MKR
Maker
$533.46 $388,481,149 100.00%
23
OMG
OmiseGO
$2.69 $377,050,754 100.00%
24
DOGE
Dogecoin
$0.00 $310,188,734 100.00%
25
DCR
Decred
$33.45 $295,022,779 100.00%
26
ZRX
0x
$0.53 $290,636,955 100.00%
27
ONT
Ontology
$1.36 $280,523,080 100.00%
28
QTUM
Qtum
$3.08 $274,427,881 100.00%
29
LSK
Lisk
$2.09 $234,049,584 100.00%
30
BCN
Bytecoin
$0.00 $203,823,306 100.00%

about CCi30

Constituents selection

The top 30 cryptocurrencies by adjusted market capitalization are selected and included in the index. 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 much 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 ratio (annualized): 0.77
  • Bitcoin Sharpe: 0.75
  • Yearly Volatility (σ): 3.16
  • Monthly Volatility (σ): 0.25
  • Bitcoin R2: 0.64724, Beta: 0.85, Alpha: 0.43
  • Euro R2: 0.00011, Beta: -0.09, Alpha: 2.42
  • GLD R2: 0.00187, Beta: 0.26, Alpha: 2.41
  • SPY R2: 0.00221, Beta: 0.28, Alpha: 2.33

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

$168.28 bn
total 30 cap
$23.63 bn
24hr trading volume
91.8%
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