Our guide to the cryptoasset research universe: Indices

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As new asset classes emerge, parallel information markets spring up to accomodate them. After all, financial markets are simply mechanisms to compensate the informed. Ultimately, markets are information-discovery systems, and it’s no surprise that a huge set of cryptoasset information services have appeared in the last few months to cater to investor demand. Coinmetrics.io is one such entity.

There’s a staggering amount of information out there, and it’s hard to sift through it. That said, only a small portion of the news, data, and analysis services out there is relevant to fundamental cryptoasset investors. The vast majority consists of technical analysis and mcap rankings. Technical analysis, in our opinion, may be useful for optimal execution, but is a poor substitute for sincere asset appraisal. We’re therefore compiling a list of some of the best, and possibly overlooked, resources for investors.

This is part I of the series. Future posts will cover coin ranking sites (CoinMarketCap and its peers), a selection of the best blogs, data visualizations, ICO rating sites, academic and industry research, and think tanks.

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We’re starting with indices (I prefer the latin pluralization because I think it sounds nicer, but you can use ‘indexes’ if you like) because they are generally ignored by investors. As the market matures, and assets begin to decisively de-correlate themselves from bitcoin and ethereum, neither will be a reliable proxy for the overall health of the market. Until now, Bitcoin was the de facto index, which has proved problematic as its influence has waned. It’s only a matter of time until an investable index is brought to market – but first, reliable indices need to exist.

Like equity markets have the S&P500 and the Dow Jones, cryptoasset markets have their own benchmarks. These allow you to saying things like “bitcoin is down 5% on the day despite the positive market index” or something like “in the last year, dogecoin is showing a beta of 1.8 against the market, so it’s highly sensitive to market movements” or even “Dash has a negative market beta and is therefore a potential hedge.” (These examples are made up.) The point is, indices are tremendously useful, and underused right now.

Why not add up the total value of all cryptoassets, as many data sources currently do? At time of writing, CoinMarketCap lists this figure at just over $94 billion. This, however is a very poor way of assessing the performance of the market. The essential mcap problem rears its head again here. There are many digital currencies with minuscule circulation relative to their perceived market value. For instance, at the time of writing, Komodo has a mcap of $143m and a 24h circulation of $669k, meaning a mere 0.46% of the currency has turned over on exchanges. For Soarcoin, the 69th ranked asset on CoinMarketCap, that 24h exchange turnover is 0.1%. Bitcoin’s is closer to 2%. Peerplays, ranked 74th, whose $31m mcap is included in the simple index of all cryptoassets, saw just 0.02% of its value turn over on exchanges in the last 24 hours.

These numbers demonstrate that many cryptoassets have a market value that is entirely divorced from the value of coins in circulation. Illiquidity means investors practically cannot ‘buy the index’, so it’s best for indices to exclude highly illiquid assets. Not to mention that the $94b figure includes the $9 billion that Ripple accounts for, which does not satisfy several of the features of a cryptocurrency.

This is a terrible way to track the market index

A weighted, restricted index is therefore required. Recently, new indices have answered the call, enabling investors to get a better feel for how the markets are faring. None of these are mainstream yet but I assume one will eventually come to predominate. First among them is the oldest, CRIX.


The CRyptocurrency IndeX, computed by a team of statisticians at Humboldt University in Berlin, is, to the best of our knowledge, the first serious attempt at building a cryptocurrency index. That is its principal strength: it provides an estimation of the development of the market since August 2014. Its initial value of 1000 has grown to roughly 8500 today, indicating that investors buying the cap-weighted index would have earned a 113% compound annual growth rate.

Hockey stick growth

The CRIX methodology is detailed in this paper, which is about as comprehensible to normal folks as Shakespeare is to a sea cucumber. The important takeaways are as follows:

  1.  The CRIX is statistically designed to be frugal in its construction – i.e. it seeks to mimic market movements while minimizing the number of components
  2. It is designed with a statistical methodology (the Laspyres index) which aims to faithfully track immature and rapidly-changing markets

The CRIX launched in 2014 with 30 members, and currently lists 65 (contrary to the text on the website), although it had as few as 5 members in April of this year. This is probably its greatest drawback. Their willingness to create a dynamic, algorithmically rebalanced index, trades off against predictability in terms of the number of constituents. The index doesn’t offer historical rebalancing data and doesn’t indicate current weights, forcing investors to work it out for themselves. Its unassuming nature, technical obscurity, and general lack of self-promotion probably explain why it hasn’t caught on. Its greatest strengths are its statistical sophistication and the fact that it dates back to 2014, far out-dating the other two indices profiled here.

The Smith + Crown Index (SCI)

Smith + Crown will be featuring repeatedly in this series, since they are one of the best resources for investors interested in series research. Their index is more restrictive, requiring that constituents be three months old, have adequate liquidity, have a sufficiently large market cap, and are properly distributed (sorry ripple!). All of these restrictions make a lot of sense, even if the numbers are somewhat arbitrary. Only eleven currencies make the cut. All of the currencies profiled on our data download page are there, aside from Zcash and Decred. Smith + Crown prides practicality, plausibility and an easy-to-follow set of constituents above all else. This makes for a very simple index for investors to actually mimic. It does however only capture 76% of the total cryptoasset market cap, but again, this may be an advantage, since it omits returns from assets which would-be indexers may not actually be able to capture. By definition, micro-caps can’t deliver exceptional returns to a mainstream audience.


The Smith + Crown index is very professionally done, and offers a wealth of information on constituents and performance. Our main criticism would be the arbitrary nature of the selection criteria, although it’s fairly doubtful that many other currencies beyond the 11 profiled are necessary to get a good feel for the market at large. I have trouble imagining how the SCI could backtest itself to, say, 2014, for historical usefulness, since it uses mcap and liquidity thresholds for its selection criteria. Few cryptocurrencies would have satisfied their conditions prior to 2017.

Additionally, Smith + Crown don’t publish detailed information on their divisor, and they didn’t respond to our query. The index abruptly starts at 6,107 points on June 8th. More detail here would be welcome.

Nonetheless, the SCI is simple and easy to understand, contains a plausible basket of cryptoassets, and crucially is backed by the influential Smith + Crown, who are growing in stature. I wouldn’t be surprised if their index became the first one quoted in the financial media once the press begins to understand the cryptoasset market with a bit more sophistication.

The Bletchley Indexes

It’s been a tough week

A new addition to the set, the Bletchley indexes exploded on to the scene recently. Bletchley, named after the British codebreaking headquarters during WWII where the Enigma was cracked, aims to reduce the vast complexity of cryptoasset markets to a simple set of indicators. They present four benchmarks. Chief among them is their top 10 mcap-weighted index, as well as an index tracking the performance of the next 20 assets (i.e. starting with the 11th through 30th-largest cryptoassets that satisfy their criteria). This latter index is called the Bletchley 20, although it could be interpreted as a medium or small cap index. Breaking with index tradition, Bletchley also offer equal-weight alternatives to the top 10 and 20.

In equities, the most persistent anomalies relate to value and size, meaning that assets with a depressed market value (relative to their book value) tend to outperform their more glamorous counterparts, and smaller assets tend to do better. There exists no easy way to determine value in cryptoasset land (although you could start by looking at the market to transaction value), so it’s not easily testable for now. Equal weight indexing is a way to get exposure to the value factor, since most indexes are cap-weighted. Buying a cap weighted S&P500 index, like Vanguard’s ETF VOO, means you buy assets in proportion to their market cap. So you’d buy 3.9% Apple, 2.8% Alphabet, 2.6% Microsoft, and so on. Rebalancing along a cap-weighting has the effect of disproportionately exposing investors to assets which have done well recently, and reducing their exposure to ‘value’ stocks. If you want a moderate value tilt in your portfolio, equal-weight indexing is one way to do it.

The Bletchley indexes also give insight into the size factor in cryptoassets. What the Bletchley20 tells us so far is that small cryptoassets are generally very sensitive to market movements. So when bitcoin/ethereum are up, they’re up big, and when they’re down, they get crushed. The Bletchley20 exploded by a factor of 9 from mid-March to mid-June, compared by a multiple of just 4.5 for the Bletchley10. Whether they outperform in the long term is another matter entirely. Due to network effects and a limited pool of developer talent, cryptoasset value may eventually concentrate in a few large networks, quashing smaller assets.

Interestingly, CRIX and Bletchley differ fairly significantly in their magnitudes. The CRIX is more sensitive than the Bletchley10. For instance, from April 1 to the June 11 market peak, CRIX increased by 415%, as opposed to Bletchley10 which increased by 376% in that same period. Both indices are cap-weighted (so bitcoin makes up the largest portion of the index, followed by ethereum, and so on), but CRIX has 30 constituents to Bletchley’s 10. This might explain their deviation, but so too might the CRIX’ reliance on a more exotic index construction than Bletchley.

The Bletchley indexes are innovative and rigorous – quite simply, a fantastic addition to the index market. Bletchley rebalances monthly according to a criterion assessing volume as a percentage of market cap. Their methodology and monthly weighting data is comprehensive and detailed. It’s easy for investors to follow along and track the index.

September 15 update: Bletchley has also added an index of tokens built on the Ethereum platform (but excluding ethereum and ethereum classic). We welcome this development as it’s fantastically useful to see the market segmented like this. 

Index comparison

 CRIXSmith + CrownBletchley10Bletchley10 EW
Exclusion criteriaLiquidity rules (see website), mcap rankingAge, Mcap threshold, liquidity threshold, no centralized assetsLiquidity rule, dominant exchange rule, mcap ranking, no pegged assetsSame as Bletchley10
RebalancingMonthlyAs neededMonthlyMonthly
WeightingMcap weightedMcap weightedMcap weightedEqual weighted
BTC % (July 6)46.01%55.39 %45.8 %10 %
CalculationLaspyres index basedUnknownSimple adjusted mcap / divisorAdjusted mcap/ 10
InceptionAug. 1, 2014Jun. 6, 2017Mar. 17, 2017Mar. 17, 2017
Exportable dataYesNoYesYes

Finally, here’s a snapshot of the last week at each index (in order: Bletchley10, SCI, CRIX). You can see that CRIX offers significantly less granular data. The SCI and the Bletchley10 look virtually identical, since they have many of the same constituents.

Ultimately, I imagine that the market will continue to mature and segment, and cryptocurrencies will only represent a small corner of the market. I can imagine a fragmentation of the market into at least cryptocurrencies and appcoins (tokens). They will be sufficiently dissimilar that they will be treated and tracked differently, much like how we treat Japanese and American stocks differently.  It will be considered somewhat naive and old-fashioned to lump everything running on a cryptographic ledger together. However, we are not yet at that point, and these indices are still emerging. Indexing innovation should be welcomed by traders, investors, and academics alike.

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Update, July 10: Our readers gave us a lot of valuable feedback on the article, including links to index products. I had looked at Bittwenty and Iconomi in researching the article, but passed them over as they appeared defunct, and poorly-designed, respectively. However they do purport to offer investors exposure to the market index, so I’ll discuss them briefly. 

Bittwenty is a token that trades on BitShares. It tracks the performance of a basket of the top 20 cryptoassets. It’s a cap-weighted index with a threshold cap, so no asset can exceed 10% of the allocation. This gives it a small-size tilt. They claim that Bit20 can faithfully track the index through an ETF-like structure with share creation and redemption, but I haven’t tested this. Invest at your own risk. 

Iconomi is a semi-new product which looks to be some sort of eToro for cryptoassets. Ultimately they want to enable putative traders/asset managers to try out various strategies and attract investors. They call these strategies digital asset arrays (DAAs). The first DAA is ICNX, which is a passive index fund. Except it boasts a hefty 3% management fee and a 0.5% exit fee. And it uses a non-public weighting mechanism (it caps bitcoin at 15%). Both of those things scream ‘active fund masquerading as a passive fund’ to me. INCX is available, as I understand, to Iconomi ICO investors, who are just now gaining access after a long wait. Quite the price for passive indexing. 

The TaiFu 30 is another index that takes the largest 30 cryptoassets on a cap weighting. They rebalance daily. Another one to watch. 


  1. This article is aging a bit by now, but a promising new index product is Crypto20, currently in ICO https://crypto20.com/en/
    Top 20 coins (excluding BCC and USDT), weekly rebalancing,10% max cap weighting
    These parameters selected by extensive data science simulations
    The C20 token itself represents a share in the closed-end fund of these assets and will trade on exchanges, however the smart contract allows liquidation for the underlying asset value in ETH at any time, thereby creating a price floor for the C20 token.
    It seems like the best bet for investable crypto indexes right now.

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