ROYALTON CRIX CRYPTO INDEX
Royalton CRIX Crypto Index is designed to closely track the total market index (TMI) of cryptocurrencies, with as few as possible but more than 5 liquid cryptocurrencies.
Out of the 1000+ coins in the universe, the index tracks those fully verified as investable, leaving some 500+ cryptocurrencies in the Total Market. Coins linked to non-crypto assets e.g., stablecoins, are excluded. On a quarterly basis, using the proprietary CRIX Technology Decision Curve (CTDC), the optimal number of cryptocurrency constituents is determined by an algorithm to closely represent the Total Market return characteristics with an investable sample. On a monthly basis, in between quarterly reconstitutions, the weights of constituent cryptocurrencies are recalculated based on current market capitalization. Royalton CRIX Crypto Index values are published daily based on the list of weights and constituents provided by Royalton Partners.
Royalton CRIX Crypto Index has been calculated from 16 March 2018 by the team of researchers at Humboldt University in Berlin and from November 2021 by Royalton Partners. Official index data is published on the dedicated website.
Royalton CRIX Crypto Index was developed by professor Wolfgang Härdle and his team of researchers from Humboldt University in Berlin. In 2021 Royalton Partners AG a wholly owned subsidiary of Royalton Partners Holdings acquired IP rights to the index. Royalton Partners SA is a group sister company of RPAG
Royalton Partners is supporting a doctoral network of digital finance scientists co-operating within Maria Skłodowska Curie Actions framework.
In case you are interested in licensing the index, please contact Mr Julian Winkel
Technical data including detailed methodology and historical performance since inception are presented at Royalton CRIX website: www.royalton-crix.com. Please note that the data presented on the www.royalton-crix.com website are not intended for commercial use and presented only on “as is” basis subject to Terms of Use.
CRYPTO MARKET INDEXING CHALLENGE
The cryptocurrency market is unique: volatile with frequently changing market structure where new cryptocurrencies emerge and vanish daily. Following market developments becomes a challenge.
As cryptocurrencies became an investable asset class, a need for an index product emerged.
Some currency indices already exist. Fiat currency markets have SDR offered by the IMF. Prior to the launch of EUR, the ECU existed, which was an index representing the development of European currencies. Typically, index providers decide on a fixed number of constituents to represent the market. It is usually a challenge to agree on a fixed set of constituents and rules. In the frequently changing cryptocurrency market, this challenge is even more severe.
ROYALTON CRIX CRYPTO INDEX SOLUTION
An intuitive choice of index constituents would consider a large number of coins in order to represent the underlying market well. Conversely, financial practice has shown that inclusion of too many smaller coins creates liquidity and tradability issues. Given the rapidly evolving nature of many cryptocurrencies in conjunction with possible liquidity problems for smaller index candidates, the necessity for a tradeoff is evident.
The diversified nature of the cryptocurrency market makes the inclusion of smaller coins in the index critical to improve tracking performance. The research of Professor Härdle has shown that assigning optimal weights to selection of constituents helps to reduce the tracking error of a cryptocurrency portfolio, despite the fact that market caps of some constituents are much smaller relative to Bitcoin.