Vinter Hashdex Crypto Indexes

Index Methodology


The Vinter Hashdex Crypto 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.

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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. Learn more at



The Vinter Hashdex Risk Parity Momentum Index (“VHASHMOM”) combines the momentum factor and equal-risk weighting into one portfolio. Momentum investing is a popular strategy in factor-based investing. The strategy is designed to provide exposure to the momentum factor, while limiting the risk.

The rebalancing weight for asset ii in an index with nn assets is given by

wi=mirii=1nmiriw_i = \frac{m_i \cdot r_i}{\sum_{i=1}^n m_i \cdot r_i}

where mim_i is the momentum score and rir_i is the risk parity weight. The weight for each asset is always between 0 and 1. The sum of all constituent weights is equal to 100%.

The Risk Parity weights rir_i are set such that the risk contribution from each asset is equal, using 90 days of data.

The momentum score mim_i is higher for assets with a good performance during the past months, compared with its peers. The momentum algorithm is described in the Momentum Score section.


  • Asset universe: All eligible assets that can be listed on SIX, BX Swiss and Xetra.

  • Asset selection: Top 12 by current market capitalization.

  • Rebalancing weights: Proportional to the multiplication of the momentum score and the risk parity weights.

  • Rebalancing frequency: Monthly on the last business day of the month.

  • Rationale: Invest in the momentum factor tilted towards an equal-risk weighted portfolio.


  • Currency: USD

  • Type: Price return

  • Base date: 2021-01-01

  • Base value: 1000.00

  • Dissemination: Daily 4 pm London time (5 pm Zurich time).


  • Long name: Vinter Hashdex Risk Parity Momentum Crypto Index

  • Short name: VHASHMOM

  • Refinitiv: .VHASHMOM

  • Vinter API: vnhx-vhashmom-12-d

Momentum Score

The momentum scores per asset are calculated on the review date as follows.

  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 three months.

  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. Convert the capped and floored Z-score to a positive Z-score by raising 1.5 to the power of Z.

  8. The momentum score is proportional to this positive Z-score. The momentum score per asset is a number between 0 and 1, and they sum to 100%.

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.

Asset Universe

The asset universe is a list of all possible index constituents.

The asset universe consists of all eligible constituents that can be listed on SIX, BX Swiss and Xetra.

Asset Selection

The index constituents are selected from the asset universe, for example selecting the ten largest 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, which is five business days prior to the rebalancing date.

If it is not possible 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

The rebalance weights are calculated on the review date.

The current weights per asset display the current asset allocation, and is relevant for a 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.


All indexes are rebalanced monthly, with the rebalancing date set to the last business day of the month.

Rebalancing involves selection of constituents and 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 bigger the difference between the current weight and the rebalancing weight, the larger the portfolio turnover.

Eligible Constituents

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


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

The quantity per asset is unchanged between rebalances and is set such that the Rebalancing Weight per asset is reached after rebalancing. 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.

A business day is a day when the SIX stock exchange is open for trading.

Constituent Pricing

The Vinter reference rates is used to price assets. The algorithm is described in Vinter's single asset reference rates. This index is using the default calculation method. 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.

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.

Document Versions

Version 1.0 Initial version. October 19, 2022.


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 contained 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, occasionally unintended errors and misprints may 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. Invierno AB and its indexes are protected by various intellectual property rights. All third-party use of Vinter and its indexes require by law a licensing agreement with Invierno AB.

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