Methodology
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Vinter Trakx Crypto Indexes
Index Methodology

Introduction

The Vinter Trakx 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 crypto-asset 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.
Trakx is a global fintech company creating new standards for digital asset investments. Through its trading platform, the firm offers thematic Crypto Tradable Indices (CTIs) and customized solutions, providing sophisticated investors with a high degree of compliance, custody and liquidity. Trakx is registered with the French regulator (AMF). For more information, learn more online at www.trakx.io
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 vinter.co

Indexes

VTRXBC

The Vinter Trakx Top Blockchains Index (“VTRXBC”) tracks the foundational assets in the crypto ecosystem by investing in the 10 largest smart contract platforms.
Construction
  • Asset universe: All eligible constituents in the smart contracts category.
  • Asset selection: Top 10 by current market capitalization.
  • Rebalancing weights: Proportional to the current market capitalization, with a maximum weight of 30%. If a constituent exceeds the maximum weight, its weight will be reduced to the maximum weight and the excess weight will be redistributed equally to all other index components.
  • Rebalancing frequency: Monthly on the last business day of the month.
Details
  • Currency: USD
  • Type: Price return
  • Base date: 2022-01-01
  • Base value: 100.00
  • Dissemination: Daily 17:00 Central European Time.
Identifiers
  • Long name: Vinter Trakx Top Blockchains Index
  • Short name: VTRXBC
  • ISIN: SE0018168726
  • FIGI: BBG017TD6MS8
  • Bloomberg: VTRXBC
  • Refinitiv: .VTRXBC
  • Vinter API: vntx-vtrxbc-10-d

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 default asset universe consists of all eligible constituents. In general, it is possible to restrict the universe to certain categories of assets such as Metaverse, Decentralized Finance, or Layer 1.

Asset Selection

The index constituents are selected from the asset universe, for example selecting the 10 largest based on 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 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.
The 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 changes 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.

Rebalancing

All indexes are rebalanced periodically, 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 with the following exceptions:
  • trade against USD, USDT or USDC.
  • trade on at least one eligible exchange.
  • have a market capitalization above $400M and a 1-month average daily trading volume above $5M, alternatively, a market capitalization above $200M and a 1-month average daily trading volume trading volume above $10M.

Calculation

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 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. 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.

Disclaimer

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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Outline
Introduction
Indexes
VTRXBC
General Construction Parameters
Asset Universe
Asset Selection
Rebalance Weights
Rebalancing
Eligible Constituents
Calculation
Constituent Pricing
Market Capitalization
Index Provider
Benchmark Administrator
Calculation Agent
Disclaimer