CRIX - VCRIX




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Methodology

Royalton CRIX Crypto Index: 

The Royalton CRIX Crypto Index is a market index and follows the Laspèyres construction. The index of Laspèyres is defined as 

 
with Pit the price of the crypto i at time point t and Qi0 the amount of crypto i at time point 0. Pi0 is the price at time point 0. The Royalton CRIX Crypto Index is a slight modification 

where MVit is the market capitalization of the crypto i at time point t. The Divisor ensures that the changes are stable. The Divisor is 
 
The starting value of the Royalton CRIX Crypto Index is therefore 1000. Whenever the amount of coins of a crypto changes, the Divisor is adjusted. This ensures that only price changes cause changes in Royalton CRIX Crypto Index.
 
Divisort-1 is the Divisor before the change in the amount of coins and Divisort directly afterwards.

Constituents:

It may happen, that a crypto has a high market capitalization, but is not traded frequently. One modified version of a liquidity rule from the STOXX Japan 600 and the AEX Family is employed. The applied rule is the following:

  1. 0.25 percentile of ADTV 

where ADTV0.25 is the 0.25 percentile of the ADTV distribution of all cryptos in the last period and ADTVi is the ADTV of a single crypto.

If a crypto fulfills the rule, it is eligible for the Royalton CRIX Crypto Index set of constituents.

Number of Constituents:

A fixed number of constituents may be a good approach for relatively stable markets. The amount of constituents in the Royalton CRIX Crypto Index is computed using a dynamic approach based upon the CRIX Technology Decision Criterion (CTDC). 

(US Patent Pending; Docket Number:  RPAG-100USP; U.S. Patent Application Serial No.: 63/183,373)

Weights:

Each crypto in Royalton CRIX Crypto Index is weighted with its market capitalization.

Reallocation:

Each quarter, the constituents are reevaluated.

Each month, the constituents are rebalanced.