Vinter Trakx Crypto Indexes
Index Methodology
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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 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). Read more at 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") is tracking the foundational assets in the crypto ecosystem by investing in the 10 largest smart contract platforms. Constituents are weighted by the market capitalization with a maximum weight of 30% to promote diversification. The index is rebalanced monthly.
Construction
Universe: All eligible assets with the label SmartContractPlatform as defined by the Vinter Taxonomy.
Selection: Top 10 by current market capitalization.
Weighting: 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: Monthly on the last business day of the month.
Rationale: Invest in the top 10 largest smart contract platforms building the foundation of a global cryptocurrency ecosystem. Altogether they capture over 85% of the total market capitalisation of all crypto-assets.
Dissemination
Currency: USD
Type: Price return
Base date: 2022-01-01
Base value: 100.00
Calculation: Daily at 4:00 pm London time
Publication: Daily after 4:10 pm London 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
TRXESG
The Trakx Crypto ESG Index ("TRXESG") is tracking the crypto assets with the highest ESG rating using the Green Crypto Research asset scores. The constituents are weighted according to their current market capitalization with a maximum weight of 25%. The index is rebalanced monthly.
Construction
Universe: All eligible assets with an ESG rating.
Selection: Top 10 ESG rated, as described in the ESG scoring section below.
Weighting: Proportional to the current market capitalization, with a maximum weight of 25%. 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: Monthly on the last business day of the month.
Rationale: Invest in assets with a high ESG rating, which are more likely to gain support, usage and funding from ESG-focused individuals and institutions.
Dissemination
Currency: USD
Type: Price return
Base date: 2023-01-01
Base value: 100.00
Calculation: Daily at 4:00 pm London time
Publication: Daily after 4:10 pm London time
Identifiers
Long name: Trakx Crypto ESG Index
Short name: TRXESG
FIGI: BBG019M5DMG3
Bloomberg: TRXESG
Refinitiv: .TRXESG
Vinter API: vntx-trxesg-10-d
ESG scoring
Crypto assets are rated based on environmental, social, and governance dimensions.
E: The environmental score measures the energy consumption of miners and the awareness and efforts to reduce emissions.
S: The social score measures the distribution of assets and people's social and economic empowerment.
G: The governance score measures behavioral guidelines and principles.
The environmental, social, and governance dimensions are independent and relative. Independent means that the rating of one dimension does not impact another. Relative means that the best and worst asset is rated the highest and lowest, respectively.
The relative ratings range from A to D, where A is the highest.
A means the asset is sustainable. It can be held and traded without negative environmental or social impact within a governed framework.
B means the asset has potential. It has a low environmental and/or social impact, with improvement areas in governance.
C means the asset has sustainability issues. It has a negative environmental and/or social impact either today or in the future, with potential governance issues.
D means the asset is not sustainable. It has a negative environmental and/or social impact, along with potential deficiencies in governance.
The environmental dimension is evaluated by asking the following questions.
What is the plan to reduce the carbon footprint? If it's currently at net zero emissions, we give it the highest rating. Otherwise, we evaluate how much carbon dioxide can be saved in the next three years. We rate the plan according to its depth, and if there is no plan to reduce emissions, we give it the lowest rating.
What is the power consumption of each transaction? We estimate the yearly average power consumption of each transaction.
The social dimension is evaluated by asking the following questions.
How equal is the distribution of the digital asset? The more evenly distributed the ownership is, the better the rating.
What are the transaction fees? We reward low transaction fees with a high rating and penalize high transaction fees with a low rating. The reason is that if the transaction fees are high, it acts as a blocker to people with low amounts of crypto assets to transact on chain.
What is the vision? If the vision has a positive impact on the average human being, the currency is rewarded with an A rating. If there are negative aspirations, the cryptocurrency is rated D. If the vision is neutral, we rate it B or C.
The governance dimension is evaluated by asking the following questions.
How secure is the network? The longer it has existed without any known security incidents, the better the rating. It also takes into account whether there are experts who have doubts about the security of the technology.
Are there conflicts of interest? The more conflicts of interest, the more likely it is to be given a D score. If there is a single entity that controls the asset, it gets a lower rating. If there is a large community or non-profit organization behind the asset, it gets a higher rating.
What is the distribution of the miners? We reward assets with larger and more diversified mining pools to get a higher rating.
The ESG rating is calculated as the minimum rating for the three dimensions. Mathematically, we can express this as min(E, S, G). This means that a weakness in one dimension causes a low ESG rating.
The ESG sum is calculated as the sum of the numerical ratings scores for the three dimensions that are provided by Green Crypto Research. Mathematically, we can express this as sum(E, S, G).
When we select index constituents based on ESG, we give first priority to the ESG rating and second priority to the ESG sum.
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.
Universe
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.
Selection
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, which is two business days prior to the rebalancing date. Note that Review Date is not the same as the Yearly Review.
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.
Weighting
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%.
Rebalancing
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 bigger the difference between the current weight and the rebalancing weight, 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.
This index methodology expands the asset universe by replacing the eligibility criteria #7, #9, #12 and #13 mentioned above with:
have a market capitalization above $400M and a 30-day average daily trading volume above $5M. Alternatively, a market capitalization above $200M and a 30-day average daily trading volume above $10M.
trade on at least one eligible exchange.
trade against USD, USDT or USDC.
This index methodology also restricts the asset universe by adding to the eligibility criteria mentioned above that an asset must:
be supported by the custodians Fireblocks or Coinbase.
Calculation
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.
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
Date of update
Change
1.0.
2022-07-02
Publish Initial version.
2.0.
2023-03-13
Add TRXESG.
2.1.
2023-09-06
Add Vinter Taxonomy to VTRXBC
Disclaimer
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 fulfill 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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