Vinter Crypto Finance Indexes

Index Methodology

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The Vinter Crypto Finance Indexes are a family of benchmarks. The indexes are developed to provide a rule-based and transparent way to track the value of a portfolio. Each index measures the value of an investment strategy.

This methodology clearly determines what constitutes an active market for the purposes of each index, and establishes the priority given to different types of input data. The methodology considers factors like the size and liquidity of the market, the transparency of trading, the positions of market participants, market concentration, and the adequacy of any sample to represent the market or economic reality that the benchmark is intended to measure.

Crypto Finance has offered crypto and blockchain services to institutional and professional clients since 2017. Its market-leading, integrated platform enables secure access to invest in, manage, trade, and store digital assets. Crypto Finance is helping to professionalize the emerging digital asset market thanks to its industry experience and market-leading technological solutions. The firm received several awards and recognitions over the past few years, including being named one of the Top 50 blockchain companies in the Crypto Valley and one of the Top 100 Swiss startups. Read more at

Invierno AB ("Vinter") is a pioneering index provider specialized in crypto assets, playing a key role in the emerging crypto ETF industry. The firm collects digital asset data from hundreds of sources, transforming proprietary strategies into investable products. Read more at



The Vinter CF Crypto Web3 Index ("VCFWB3") contains the crypto assets enabling the emergence of the third iteration of the internet: the Web3. The index selects the largest assets and weighs them based on a combination of market capitalization, momentum score, and social media interest. It is rebalanced quarterly on the third Friday of the month, starting at the end of March.


  • Universe: All eligible assets with the “Web3Ecosystem” label as defined in the Vinter Taxonomy.

  • Selection: As many assets as possible with a minimum of 5 assets.

  • Weighting: Proportional to the Asset Score, which is a linear combination of market capitalization, momentum, and social media interest. The weight per asset is capped at 30% and floored at 2% to ensure that no asset has a weight above 30% or below 2% after rebalancing. The excess weight is redistributed proportionally among the non-capped assets. The Asset Score is defined in the section of the same name, below.

  • Rebalancing: Quarterly on the third Friday of the month, starting at the end of March.

  • Rationale: Invest in the crypto assets that make Web3 possible. The Web3 vision imagines the next iteration of the internet, where users control their online data and online services are provided by decentralized protocols.


  • Currency: USD

  • Type: Price return

  • Launch date: 2023-05-15

  • Base date: 2021-01-01

  • Base value: 1000.00

  • Calculation: Daily at 4.00 pm London time (5.00 pm Zurich time)

  • Publication: Daily after 4.10 pm London time (5.10 pm Zurich time)


  • Full name: The Vinter CF Crypto Web3 Index

  • Ticker: VCFWB3

  • ISIN: SE0020180263


  • Bloomberg: VCFWB3

  • Refinitiv: .VCFWB3

  • Vinter API: vncf-wb3-50-d

Asset Score

The Vinter CF Crypto Web3 Index uses a ranked scoring system to identify the most promising assets based on i) market capitalization, ii) social media interest, and iii) momentum.

The Asset Score is a weighted sum of these three factors, with a 70% weight on the market capitalization score, 15% on the social media interest score, and 15% on the momentum score.

All scores are calculated at review date. Every score is scaled so that the minimum score is 1, the maximum score is 10, and all other assets are scored between 1 and 10 yet in proportion. The final value of the score is given by the normalization formula:

Vf=9Vmin(V)max(V)min(V)+1V_f=9\cdot\frac{V - min(V)} { max(V) - min(V)} + 1

i) Market capitalization is given by price times circulating supply, calculated at midnight UTC.

ii) Social media interest is calculated based on the frequency count from large online text corpora (Reddit, Twitter, Telegram, and Bitcointalk).

iii) Momentum is calculated using the following algorithm:

  1. Get the 30-day and 60-day returns for all assets.

  2. Calculate the risk-adjusted return by dividing the returns with the volatility of the asset. The volatility is calculated using daily data for the last 90 days.

  3. Convert the 30-day risk-adjusted returns to a Z-score by subtracting the assets’ mean and dividing by the assets’ standard deviation.

  4. Convert the 60-day risk-adjusted returns to a Z-score by subtracting the assets’ mean and dividing by the assets’ standard deviation.

  5. Average the two Z-scores.

  6. Apply a cap and a floor so the value cannot be above 3 or below minus 3.

  7. Attribute the score of 10 to the asset with the highest score.

  8. Attribute the score 1 to the asset with the lowest score.

  9. Derive the other assets' scores by attributing a score between 1 and 10, proportional to the asset Z-score.


The Vinter CF Crypto Momentum Index ("VCFMOM") is selecting the largest assets by market capitalization and weighting them according to their number of active addresses as well as price momentum. A cap of 15% promotes diversification while a floor of 2% eliminates any asset with weak active addresses and price momentum scores. The index is rebalanced monthly on the third Friday of the month.


  • Universe: All eligible assets.

  • Selection: Assets from the Top 15 by current market capitalization that have a Ultimate Weight superior to 0. The Ultimate Weight is defined in the Enhanced Momentum Score section below.

  • Weighting: Equal to an asset's Ultimate Weight.

  • Rebalancing: Monthly on the third Friday of the month.

  • Rationale: Invest in the assets presenting the highest level of blockchain adoption as defined by on-chain activity combined with a price momentum factor. By blending those metrics, investors get a more comprehensive and nuanced position to extract optimized market performance.


  • Currency: USD

  • Type: Price return

  • Launch date: 2023-05-15

  • Base date: 2021-01-01

  • Base value: 1000.00

  • Calculation: Daily at 4.00 pm London time (5.00 pm Zurich time)

  • Publication: Daily after 4.10 pm London time (5.10 pm Zurich time)


  • Full name: The Vinter CF Crypto Momentum Index

  • Ticker: VCFMOM

  • ISIN: SE0020180255

  • FIGI: BBG01G7N7T59

  • Bloomberg: VCFMOM

  • Refinitiv: .VCFMOM

  • Vinter API: vncf-mom-15-d

Enhanced Momentum Score

The momentum score is calculated in three steps: i) Momentum Sharpe Signal, ii) Combined Weight, iii) Ultimate Weight.

i) Momentum Sharpe Signal

First, the Momentum Sharpe Signal (MSSMSS) per asset is calculated for the number of Active Addresses and the Price Momentum by dividing the Signal (SS) with its standard deviation. Mathematically, it is expressed as

MSSi,t,d,h=SσSMSS_{i,t,d,h} = \frac{S}{\sigma_S}

where the asset is denoted as ii , the review date as tt, the data as dd= data (which is either "AAAA" for Active Addresses or "PMPM" for Price Momentum), and the horizon as hh which represents different momentum lookbacks (Quick, Medium and Long) optimally combined to calculate the signal.

The Signal in the Momentum Sharpe Signal compares a short moving average with a long moving average, given by


whereSMAi,tSMA_{i,t} is the Short Moving Average and LMAi,tLMA_{i,t}is the Long Moving Average – both with a set of lags and length parameters. The standard deviation of the signal (σS\sigma_S) is the standard deviation of SS.

ii) Combined Weight

Second, to overweight the assets with the highest Momentum Sharpe Signals, the methodology sorts assets by their MSSMSS values, distributes them into 5 Quintiles of 3 assets and attributes a specific weight to each asset of the same Quintile. The distribution of the weights is then normalized to get the Final Quintile Weights. This is done for both Active Addresses and Price Momentum data sets.

The Quick/Medium/Long lookback weights are calculated by taking the mean of the Final Quintile Weights given nine combinations of SMASMA/LMALMA.

The Active Addresses/Price Momentum Combined Weight can be then computed by taking the weighted average of the Quick, Medium and Long lookback weights with respective weights of 25%, 32.5% and 42.5%.

The Combined Weight of an asset is calculated by calculating the weighted average of the Active Addresses Combined Weight and Price Momentum Combined Weight with respective weights of 35% and 65%.

iii) Ultimate Weight

The Optimized Consolidated Weight are calculated using a MinMax optimization algorithm enforcing different sets of caps and floors. The cap is enforced first. If a cap is enforced, the excess weight is spread equally across the non-capped assets. Subsequently, any asset with a weight under the floor is eliminated and its weight is redistributed equally across the non-capped assets.

Then, the Newly Optimized Consolidated Weights can be computed by taking the mean of the resulting Optimized Consolidated Weight.

Finally, the Ultimate Weight can be derived by applying a 15% cap and 2% floor to the Newly Optimized Consolidated Weights. The cap is enforced first, if relevant. If a cap is above 15%, the excess weight is spread equally across the non-capped assets. Subsequently, any asset with a weight under the 2% floor is eliminated and its weight is redistributed equally across the non-capped assets.

General Construction Parameters

This section defines the general construction parameters used in designing the index such as the asset universe, the asset selection and the rebalancing weights. This section contains the details needed to calculate each index.


The asset universe is a list of all possible index constituents. The default asset universe consists of all eligible constituents. It is possible to restrict the universe to assets that only contain a certain label e.g. Metaverse or Web3 as defined in the Vinter Taxonomy.


The index constituents are selected from the asset universe. One example is to select the ten largest assets based on the current market capitalization. In general, the selection process can be based on a number of factors such as market capitalization, trading volume, returns, volatility, or a combination thereof.

Assets are selected on the review date, five business days before the rebalancing date. Note that Review Date is not the same as the Yearly Review.

If it is impossible to reach the intended number of constituents, the Index Committee can decide to either include non-eligible constituents or allow the index to have fewer constituents than intended. The decision shall be made publicly available.


Rebalance weights are calculated on the review date.

The current weights per asset display the current asset allocation, and is relevant for an ETF creation/redemption. The current weights change every day, based on price movements, whereas the rebalance weights are unchanged between rebalances. The rebalance weights are updated only when the index is rebalanced.

The weight for each asset is always between 0 and 1. The sum of all constituent weights is equal to 100%.


All indexes are rebalanced periodically, following the rebalancing calendar.

Rebalancing involves the selection of constituents and the calculation of their rebalancing weights. Calculations are done using the closing prices on the rebalancing date. The new weights per asset are used on the opening of the day after rebalancing.

After the rebalance, the portfolio is updated so that its current weights per asset equal the rebalancing weights per asset. The greater the difference between current and rebalancing weights, the larger the portfolio turnover.

Eligible Assets

Assets are eligible as index constituents if they meet the eligibility criteria listed in Vinter’s benchmark statement.

An otherwise eligible asset may be excluded from the index if the constituent is deemed to impose heightened investment risks due to factors such as integrity and transparency of the network or criminal investigations against stakeholders with substantial influence on the network or protocol.


The index value is given by the weighted sum over all constituents of quantity times price divided by a divisor.

The price per asset is calculated by Vinter, as detailed in the constituent pricing section.

The quantity per asset is set to the Rebalancing Weight per asset after rebalancing. In a price return index, the quantity per asset is unchanged between rebalances.

The divisor enforces index continuity on rebalancing. The divisor is defined so that the index starts at a certain start value, which ensures each index tracks the value of a certain amount of capital invested on the start date.

Constituent Pricing

The Vinter reference rates are used to price assets and can vary from one index to another. The algorithms are described in Vinter's single asset reference rates. The Benchmark Statement defines the eligibility criteria for input data.

Market Capitalization

The market capitalization is given by price times circulating supply. Using circulating supply is similar to using public float for an equity index. The market capitalization is calculated at midnight UTC.

Index Provider

Invierno AB, Reg. No. 559207-4172, Box 5193, 10244 Stockholm, Sweden (“Vinter”)

Benchmark Administrator

Vinter is the benchmark administrator and the central recipient of input data with the ability to evaluate the integrity and accuracy of input data on a consistent basis. Vinter is responsible for the development of the index and controls all aspects of the provision of the benchmark. Vinter has established a permanent and effective oversight function, governance processes subject to periodic reviews and audits, policies regarding complaints, ethics, conflicts of interest, and contingency, and has established a clear internal organizational structure with consistent roles and responsibilities to identify, prevent, disclose, mitigate, and manage conflicts of interest. The European Securities and Markets Authority has included Invierno AB in its register of Benchmark Administrators approved to carry on the regulated activity of administering a benchmark.

Calculation Agent

Vinter is the calculation agent and is responsible for determining the value of the index described in the index methodology. Vinter calculates the index values in accordance with the index methodology. Upon the request of the benchmark administrator, the calculation agent shall provide all information available on the composition and details of the calculation of the requested index.

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Invierno AB is not a registered investment or tax advisor or a broker/dealer. The content of this document is intended only to provide general and preliminary information and shall not be construed as investment, tax, legal or financial advice. The reader shall ensure that all of his or her investment decisions are not made based on the content of this document and shall be solely responsible for all financial losses made in connection with investment decisions. Nothing in this document constitutes a solicitation, recommendation, endorsement, or offer by Invierno AB or any third party associated with Invierno AB to buy or sell any financial instruments in this or any other jurisdiction. Although best efforts are made to ensure that all information on this document is accurate and up to date, unintended errors and misprints may occasionally occur. Invierno AB (559207-4172) is a registered Benchmark Administrator by Finansinspektionen (FI) and the European Securities and Markets Authority (ESMA) under Article 34 of the European Benchmarks Regulation (2016/1011). The index owner grants the benchmark administrator an exclusive, royalty-free, non-transferable, non-sublicensable license to use the index owner's intellectual property rights for the purpose of fulfilling the benchmark administrator's obligations under the index agreement and the Benchmarks Regulation, including registration of identifiers for indexes. Vinter is a registered trademark owned by Invierno AB. Various intellectual property rights protect Invierno AB and its indexes. All third-party use of Vinter and its indexes require by law a licensing agreement with Invierno AB.

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