Vinter Pando Crypto Indexes

Index Methodology


The Vinter Pando 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 takes into account 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.

Pando Asset AG ("Pando") is an investment specialist whose investment team consists of seasoned investment experts.

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 Pando Crypto Basket 6 Index (PANDO6) contains the six largest crypto assets. The index is rebalanced quarterly. The weight per asset is proportional to the square root of its market capitalization. The purpose of the index is to provide a diversified portfolio where the two largest assets are not overpowering the basket. The use of square root results in increased weight of smaller assets and a reduction in weight of larger assets.

To illustrate the effect of applying square root, consider a portfolio with six assets. The two largest assets have a weight of 60% and 30% respectively and the remaining four 3% + 3% + 2% + 2%. Applying a square root increases the weight of the smaller assets from 10% to a total of 32%. The two largest assets decrease in weight to 68%. The increased weight in the smaller asset is financed by the largest asset which is weighted at 40% after applying the square root.


  • Asset universe: Eligible constituents.

  • Asset selection: Top 6 by 90 days average market capitalization.

  • Target weights: Square root of current market capitalization.

  • Rebalanced: Quarterly, starting end of January.

  • Rationale: Invests in the largest assets with increased weight in the smaller assets thanks to reduced weight in the larger asset.


  • Currency: USD

  • Type: Price return

  • Base date: 2021-01-01

  • Base value: 1000.00

  • Dissemination: Daily 17:00 CET


  • Long name: Vinter Pando Asset Crypto Basket 6 Index

  • Short name: PANDO6

  • ISIN: SE0017767783

  • FIGI: BBG015DL2M96

  • Bloomberg: PANDO6

  • Refinitiv: .PANDO6

  • Vinter API: vnpa-pando-6-d

Index Construction

Asset Universe

The default asset universe consists of all eligible constituents. It is possible to restrict the universe to certain categories of assets.

Asset Selection

The index constituents are selected from the asset universe. The selection process can be based on a number of factors such as returns, volatility, market capitalization, trading volume, or a combination thereof.

In the asset selection, data up to five business days prior to the rebalancing date is used.

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.

Rebalancing weights

The Rebalancing weights can be determined based on a number of factors such as returns, volatility, market capitalization, trading volume, or a combination thereof - with or without smoothing over time. Caps and floors can be included.

In the calculation of Rebalancing weights, data up to five business days prior to the rebalancing date is used.

The Rebalancing weight per asset is unchanged between rebalances.


All indexes are rebalanced periodically, by default quarterly, 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 quantities per asset are used on the opening of the day after rebalancing. After the rebalance, the portfolio's weights per asset are updated so that they equal the Rebalancing weights per asset.

Eligible Constituents

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

This index methodology restricts the asset universe by adding the following criteria:

  • provide economic incentives for the blockchain’s long-term maintenance.


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. It includes a daily accrued fee, by default set to zero. 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. 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. For Proof-of-Work crypto assets, a block explorer is used to get the circulating supply. For crypto assets issued on smart contract platforms, such as ERC20 issued on Ethereum, the circulating supply is calculated by starting with the total supply and removing the locked tokens e.g. those held by the founding organization.

If the above is insufficient or inapplicable to determine the circulating supply, other readily available data sources determined by the Company's Product Maintenance Department might be considered.


Vinter is the benchmark administrator of the Vinter Pando Crypto Indexes 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.


Vinter is the calculation agent of the Vinter Pando Crypto Indexes 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.


  • Crypto asset: A digital representation of value that is cryptographically secured.

  • Volume: the quantity of a transaction.

  • CET: Central European Time.

  • Business day: A day when the SIX stock exchange is open for trading.

Document Versions

Version 1.0 Initial version. December 15, 2021.


Any product(s) offered with the indexes described in this methodology as underlying is not in any way sponsored, endorsed, sold, or promoted by Invierno, reg. no. 559207-4172 (“Vinter”). Vinter does not make any warranty or representation whatsoever, expressly or impliedly either as to the results to be obtained from the use of the index(es) “Index” described, licenses, used, or referenced under any Programme or Prospectus and/or the figure at which the Index stands at any particular time on any particular day or otherwise. The Index is compiled and calculated solely by Vinter. However, Vinter shall not be liable (whether in negligence or otherwise) to any person for any error in the Index and Vinter shall not be under any obligation to advise any person of any error therein. 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. The Index is a product of Invierno AB. Any Programme referencing the Index is not sponsored, endorsed, sold, or promoted by Vinter and/or its affiliates, and none of such parties makes any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the Index. The Programme is in no way sponsored, endorsed, sold, or promoted by Vinter and its Licensors and neither of the Licensors shall have any liability with respect thereto. Vinter is not a registered investment advisor, tax advisor or broker/dealer. The content of the index methodology or its related documents underlying 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 the index methodology or its related documents constitutes a solicitation, recommendation, endorsement, or offer by Vinter or any third party associated with Vinter to buy or sell any financial instruments in this or any other jurisdiction. Although best efforts are made to ensure that all information on the methodology documents is accurate and up to date, occasionally unintended errors and misprints may occur. 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 to fulfil the benchmark administrator's obligations under the index agreement and the Benchmarks Regulation, including registration of identifiers for indexes. Vinter 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).

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