Index Guide

Trakx Digital Assets Index family

The Trakx Digital Asset Index Family

Version 2 (Dec 2022)

1. Introduction

This document provides the rules for calculating and maintaining the Trakx Digital Assets Index family (the “Indices”).  

TRAKX Index (the “Index Owner”) makes no warranties or representations as to the accuracy and/or completeness of the Indices and does not guarantee the results obtained by persons using the Indices in connection with trading funds or securities. The Index Owner makes no representations regarding the advisability of investing in any fund or security linked to its indices.

The Index Owner reserves the right to update the rules in this Index Guide at any time. The Index Owner also reserves the right to make, in exceptional cases or in temporary situations, exceptions to the rules in this Index Guide. The Indices are the property of TRAKX. The Index Owner is in discussion with several index calculator agents and index administrators to potentially take these 2 roles.

The use of TRAKX Indices in connection with any financial products or for benchmarking purposes requires a license. Please contact the TRAKX Index team at [email protected] for more details.

TRAKX launched this index family in cooperation with CryptoCompare (in the first version) that provides the bulk of underlyings Crypto data and Messari for the digital asset classifications. CoinMarketCap and Coingecko were also used for diverse data related from circulating supplies, digital asset prices to market capitalisations. As of Dec, 2021 - the data providers are in order: CoinGecko, Messari and Kaiko.

2. Guiding Principles

The guiding principles of the TRAKX Digital Assets Indices include:

  • Index and pricing decisions must follow a clear, rules-based, and transparent process;
  • If the judgment of the Trakx Index Committee is required when applying those rules, decisions will be made public with full documentation of the decision-making process;
  • Indices are designed in all aspects to be investable and replicable; as such, they will take into account measures surrounding liquidity, capital controls, exchange stability, custody limitations, and other factors in a rules-based manner.

3. Digital Assets Eligibility

Index membership eligibility for Benchmark Indices

  1. Trades in USD, Crypto assets pegged to legal currencies (“stable coins”), or BTC
  2. Crypto assets must                                                                                                                                              - Be covered by Fireblocks or Coinbase custody                                                                                      - And  trade on 1 Exchange that has passed Trakx's due diligence criteria: Binance, Coinbase, Huobi, Kraken, Kucoin, Okex,, as of November 2022. (FTX has been removed - the list is being reviewed)                                                                                                 There are some risks associated with this 1 exchange rule. The exchange may close temporarily for maintenance and therefore tokens trading may stop for a period up to 48h. Should indices impacted contain 5 or more than 5 tokens (excluding temporary outgoing token), there is no action taken besides keeping outgoing token price constant in the index during the interruption period. In a very rare instance the exchange may declare bankruptcy, and should this event happen, the Trakx index committee will make an educated decision on the course of actions for each index impacted by the event.
  3. Average daily-trading volume of at least $10,000,000 spot equivalent in past 1-month for next month inclusion (source: aggregation volumes taken on CoinGecko).                                                                                                                                                                                                               Crypto markets are highly fragmented. There are thousands of exchanges around the world. New exchanges come and go. As such, keeping track of the aggregate trading volume across all the exchanges is an extremely challenging task. Fortunately, exchanges benefit from network effects. Thus, the vast majority of the global trading volume is concentrated in a handful of exchanges.
  4. Total Market Cap to be Minimum of $200,000,000 - Current Supply is taken into account from midnight UTC on the last business day of the month based on CoinGecko data set. And, the constituent prices taken at 5pm UTC on the last business day of the month. In case of lack of information on certain assets in CoinGecko, an alternative data source is used. The 2 other sources our indices use are Kaiko and Messari.
  5. Digital assets with less than 90 days of pricing history on CoinGecko are excluded.
  6. If a digital asset has a Market Cap (CoinGecko) equals or greater than $400m and average daily Volume of at least $5m (from 1 or more approved Exchanges in 2) then the asset makes into the index with a cap. Capping is defined as (Factor/Number of tokens) eligible in the index.
  7. When a membership blockchain undergoes a hard fork, the newly created token will be added to the index during the next rebalancing date, as long as it meets all the required criteria.
  8. Stable Coins are not index eligible assets in Standard thematic baskets: Benchmark indices. However, smart investment or index strategies such as “Systemic Hedge”, “Vol Control” may include Stable Coins and other pegged assets such as USDc, PAX Gold, WETH etc…
  9. Cap number of tokens in an index to be 10 except when offering a Top 20, Top 50 or 100+  in the future.

Index memberships are weighted by their free-float Market Cap based on circulating Supply. In some indices weight caps and floors may apply to the memberships to promote diversification and avoid overweighting or underweighting of a given constituent (token). Capping is defined as (Factor/Number of tokens) eligible in the index.

Exchanges are eligible as a Digital Asset Pricing & Trading Source if all the following criteria are met:

Regulatory Assessment

Obtained the relevant licensing and registrations for its jurisdiction including:

  • The domicile of the exchange does not restrict capital trading to foreign or international investors
  • Operates within the laws of its domiciled country.
  • Does not violate any local or international regulations.

Governance and Institutional Assessment

  • “Know Your Customer” (KYC) and Anti-Money Laundering (AML) controls require, at a minimum, that a user verify name, phone number and bank account prior to using the platform
  • Have a listing policy which lays out clear selection guidelines and protocols for listing of new assets
  • Exchanges must be managed by companies with easily available and verified biographical information on a project’s leadership team
  • Have a withdrawal protocol that allows users to confirm, delay and modify withdrawals

Data Assessment

Accurately report trading activity by real users and not engaging in, or allowing users to engage in, non-economic trading. This is reviewed by confirming the following:

  • Price patterns follow natural patterns that track with the market
  • Volume patterns follow natural patterns that track with the market
  • Trading occurs at natural lot levels
  • Price does not widely diverge from the wider markets

Technical Assessment

  • Have no significant downtime, defined as more than three days in any one-month period.
  • Report a minimum of five million dollars in average daily value over a 30-day period.
  • No meaningful security lapse or breach in the last 12 months.

4. Digital Asset Classification

Digital assets can be categorised in a classification scheme. Trakx’s indices are powered by Messari’s qualitative classification scheme and completed by the company's internal knowledge and research.

Messari Classifications

For a nascent industry like crypto to flourish, a transparent and detailed methodology for metrics and classifications is crucial. The Messari library is composed of a list of 15+ qualitative classifications available throughout Messari’s industry-leading data and research platform.

Table with all possible cryptocurrencies, what primary and secondary platform to retrieve its price for the calculation of the index level.

5. Index Calculation Method

Trakx calculates the NAV (Index Level) of the indices on a continuous basis and a  snapshot is published on a daily basis at 00:00AM UTC.

The Indices are calculated using the Laspeyres’ formula:

Where for all tokens (i) in the Index:

pi = price, Price Source is CryptoCompare

qi = Circulating Supply by CryptoCompare*

cfi = weighting cap factor (if applicable, otherwise set to 1),

fxi = exchange rate (index currency to USD)

M = market capitalisation of the index

D = divisor

Divisor Adjustment:

Index maintenance - reflecting changes in circulating supply, events, addition or deletion of tokens to the Index - should not change the level of the index. This is accomplished with an adjustment to the divisor. Any change to the tokens in the index that alters the total market value of the index while holding token prices constant will require a divisor adjustment.

∆MC = Difference between closing and adjusted closing market capitalisation of the index.

*The supply characteristics of crypto assets differ from all other asset classes. Issuance of new supply is determined by a mix of algorithmic issuance, asset creators’ discretion, decentralised stakeholder voting, and other mechanisms. The variety of approaches taken across the top 20 assets, not to mention the thousands of other existing assets, is extreme.

Under what conditions, Trakx would stop publishing the NAVs of its CTIs and Index level?

Trakx won’t publish the NAV of the index (Index level) as long as the weight of suspended crypto assets prices represents at least 10% of the index.

6. List and Description of Trakx Family of Indices

To ensure highest market capitalisation of digital assets and easy replication of the indices, each Trakx index is limited to top 10 market cap in case the number of eligible constituents is more than 10.

6.1 The Trakx Centralised Digital Asset Exchanges Index

This instrument is designed to replicate the performance of the largest Centralised digital asset Exchanges ("CEX") tokens. A CEX is an execution platform managed by a single operator, which gives access to various financial services. Most of the crypto volumes go through CEX, therefore this index essentially captures the increasing adoption of the asset class.

The constituents in this Index are capped to enhance diversification.

6.2 The Trakx Decentralised Digital Asset Exchanges Index

This index is designed to replicate the performance of the largest Decentralised Digital Asset Exchanges ("DEX") tokens. A DEX is a decentralised platform enabling the trading of digital assets in a peer-to-peer manner on the blockchain. As a result, a decentralised exchange does not hold customers’ funds, positions, or information and only serves as a matching layer for trade orders. This index essentially captures the rapid growth of the trading activity onto the blockchain.

The constituents in this Index are capped to enhance diversification.

6.3 The Trakx Lending Digital Asset Index

This index is designed to replicate the performance of the largest lending/borrowing protocols tokens. Lending platforms enable the lending of assets in the crypto sphere. This index essentially captures the rapid growth of the lending activity notably driven by high interest rates offered compared to those in traditional finance.  Lending protocoles can be split between centralised and decentralised services. While centralised protocols require users to go through a Know-Your-Customer (KYC) process, decentralised protocols only need a compatible web3 wallet.

The constituents in this Index are capped to enhance diversification.

6.4 The Trakx TOP 10 Crypto Index

This index is designed to tracks the global cryptocurrency ecosystem through the 10 largest digital assets by market capitalisation, representing over 85% of the total market capitalisation of all crypto-assets.

The objective is to track the global cryptocurrency ecosystem through the 10 largest digital assets by market capitalisation, representing altogether over 85% of the total market capitalisation of all crypto-assets.The constituents are weighted according to their market capitalisations with a cap of 30% for the largest and 20% for any other assets. These caps aim at enhancing diversification as the market tends to be over-concentrated on Bitcoin.

6.5 The Trakx TOP 10 DeFi Index

This instrument is designed to replicates the performance of the 10 largest decentralised finance protocols tokens. DeFi protocols provide a digital alternative to traditional financial services (e.g. loans, savings, payments, trading, insurance), accessible to anyone with an internet connection. Most of the applications of DeFi involve the creation and execution of smart contracts, computer programs intended to be automatically executed on the blockchain when the specific conditions of the contract are met. Decentralised Finance aims to disintermediate and reduce transaction costs. This index essentially captures the explosive adoption of blockchain-based finance.    

The constituents in this Index are capped to enhance diversification.                          

6.6 The Trakx Control 15 Index (Smart Investing)

This index is designed to replicate the performance of Bitcoin, the pioneer and most successful digital asset, with a volatility control mechanism set to maintain the volatility around 15%. Investors see bitcoin as an essential investment and are tempted by its historically high returns even though competing concerns exist about its extreme volatility. With this CTI, the bitcoin exposure is controlled by lowering volatility while still gaining a share of the upside return. The volatility is reduced by increasing the amount of cash (USDc) held during periods of higher risk. This process helps create more consistent return in the long run.                      

6.7 The Trakx 50% BTC + 50% ETH Index

This Index is designed to replicates the performance of Bitcoin and Ether, the top two digital assets representing altogether over 50% of the total market capitalisation of all crypto-assets. The value proposition resides in the complementarity of the two assets: store-of-value and blockchain adoption. Bitcoin is the very first decentralised currency and still the most popular reference with the highest trading volumes and market capitalisation. Ether is the native token of Ethereum which goes beyond decentralised payments. It grows alongside decentralised applications running on the blockchain with use cases in all industries.  

The basket is rebalanced every month to equal weights in Bitcoin and Ether.        

6.8 The Trakx NFT Metaverse Index

This instrument is designed to replicate the leading Metaverse and Non-Fungible Tokens, currently disrupting the world of gaming, entertainment, and art. Both universes are intertwined: metaverse protocols create virtual social spaces where users may buy virtual lands, avatars, or other collectibles in the form of NFTs. Non-Fungible-Tokens are “one-of-a-kind” digital assets, each token being unique. Blockchain technology secures authentication of the ownership and is also an augmentative tool to create new mediums and styles for consumption.

The constituents in this Index are capped to enhance diversification.

6.9 The Trakx Interoperability Index

This index is designed to replicate the performance of the leading Interoperability tokens. Interoperability enables blockchains to share and access their data and interoperate with one another, a cornerstone feature of a multi-chain world. This index essentially captures the growth of web3 architecture so dependent on interoperability protocols.

The constituents in this Index are capped to enhance diversification.

6.10 The Trakx Digital Inflation Hedged Index (Smart Investing)

This Index is designed to hedge against inflation through digital assets. Trakx has built an equally-weighted basket composed of Pax Gold and a dynamic exposure to Bitcoin:

- Pax Gold (PAXG) is a digital asset, backed by physical gold. Each token is backed by one fine troy ounce (t oz) of a 400 oz London Good Delivery gold bar, stored in Brink’s vaults. Investing in Pax Gold is similar to investing in physical Gold, held in custody at Paxos Trust Company AXG, regulated by the New York State Department of Financial Services.

- Controlled Bitcoin: Bitcoin is the most mature crypto-asset. It enjoys the highest trading volumes and has the largest market capitalization. Investors are typically attracted by bitcoin's high historical returns, though some are rather uncomfortable about its extreme price volatility. To address this concern, this CTI's exposure to bitcoin is controlled to lower its volatility while retaining part of its potential upside. The volatility is reduced by increasing the amount of cash (USDc) held during periods of higher risks. This volatility control mechanism (detailed in page 2), decreases bitcoin's risk exposure to levels similar to gold's long term volatility (around 15%). This process helps create more consistent potential returns in the long run.

6.11 The Trakx Diversifier Index (Smart Investing)

This instrument is designed to replicate the performance of a basket of securities that has the lowest correlation to a traditional securities portfolio (composed of 60% ETF US Equities and 40% ETF US Bonds). The constituents of this basket (3-5 tokens) are picked through a quantitative algorithm which selects those holding the lowest 3 month correlation to the standard portfolio, and then allocates them in order to enhance the historical Sharpe ratio.

The optimal basket is rebalanced every month, picking 3 to 5 digital assets among a wide universe of the largest digital assets of both Coinbase Custody and Ethereum ERC20 universes.

6.12 The Trakx Proof of Stake Index

This instrument is designed to replicate the 10 leading Proof of Stake (PoS) tokens. The constituents are weighted according to their market capitalisations with a cap of 15%, to enhance diversification.  Some PoS blockchains like Binance SC, Cardano, Polkadot are among the next generation of Layer 1 protocols, in direct competition with Ethereum.

6.13 The Trakx TOP Blockchains Index

This instrument is designed to replicate the Vinter Trakx Top Blockchains Index which tracks the foundational assets in the crypto ecosystem by investing in the tokens issued by 10 largest smart contract platforms. The constituents are weighted according to their market capitalisations with a cap of 30%, to enhance diversification. Investors may invest in this Top Blockchains to gain exposure to the broader crypto market beyond bitcoin.

6.14 The Trakx ESG Index

This instrument is designed to replicate the 5 to 10 top ESG rated tokens and coins, based on the sum of E, S & G scores by Green Crypto Research. The constituents are weighted according to their market capitalisations with a cap to enhance diversification. In case of equal ESG scores between two coins/tokens, the highest market capitalisation is to be selected.

7. Index rebalancing and publication

The Trakx Digital Asset Indices are rebalanced on a monthly basis. Adjustments to constituents and their weights are calculated on prices taken at 00:00 pm UTC 2 business days prior to the last business day of the month (ie. midnight UTC between D-2 and D-1). The rebalancing takes place on the last business day of the month.

At this time, a forward-looking index universe, reflecting the new composition of the index and each constituent respective weights, will be provided to clients to help adjust their portfolio constituents before or on the rebalancing date.

The daily index level or Price is calculated in USD at 5 pm UTC and distributed each day by 6:30 pm UTC, unless data or other issues preclude or delay the publication of an accurate price. In that event, Trakx will distribute the daily index level as soon as reasonably possible. Fixed 5pm UTC exchanges rates will be used.

Following identifiers will be available for each Trakx index: Bloomberg ticker and Reuters. Bloomberg tickers TRXCEX, TRXDEX, TRXLEN, TRXCRYP, TRXDEFI, TRXPOS, TRXBTCET, TRXBTCVT, TRXMETA, TRXINFL, TRXDIV, TRXINTER

Trakx IntraDay indicative index-level will be disseminated every 15 seconds on Trakx platform through its Crypto Traded Indices (being fully asset-backed and tracking the underlying index) and 3rd party data providers - using CryptoCompare and/or CoinMarketCap real-time prices.

In case CryptoCompare and/or CoinMarketCap production index data source fails - TRAKX will go to top 3 exchanges with real volume capabilities to source the prices of the constituents.

Emergency Loss of Eligibility for Digital Assets: In the event that the TRAKX Index Committee determines that an asset must be removed from the index on an emergency basis, such removal will take place at 6pm UTC following Day of that decision and price of the digital asset will stay fixed in the interim.

In very rare instances, the Index committee reserves the right to retire any Trakx Index should the number of assets in a particular index go below 3 assets either during rebalancing period or when the sole exchange where a token trades stopped its activity for maintenance purposes or fallout.

8. Index and Data Reviews

Vinter and/or Moorgate benchmark alongside Trakx index committee will review the index rules of construction and data inputs on an annual basis (at minimum) to determine whether they continue to reasonably measure the intended Digital Asset market interest, the economic reality or otherwise align with their stated objective.

Any resulting change to the methodology deemed to be material will be communicated in advance to affected stakeholders whose inputs will be solicited. The stakeholder engagement will be set forth the rationale for any proposed changes as well as the timeframe and process for responses.

* Trakx’s intention is to have Vinter and/or Moorgate benchmark to become Trakx index calculators and administrators by the end of 2022. Most liquid indices such as the TOP 10 Crypto index will be deployed first though these calculating agents.

9. Definition linked to Crypto Traded Indices on Trakx Exchange

CTI Market Price; A CTI market price is the price at which shares in the CTI can be bought or sold on the exchanges during trading hours (~24h/7d);

CTI Net Asset Value; The net asset value of an CTI represents the value of each share’s portion of the fund’s underlying assets and cash at the end of the trading day. CTIs calculate the official daily NAV at 00:00 pm UTC after the markets "close".  As Cryptocurrencies Markets do not close, Trakx marks CTIs end of the day NAV at 00:00 pm UTC

Index Price; The index level or Price is calculated in USD on a continuous basis on the platform, unless data or other issues preclude or delay the publication of an accurate price. In that event, Trakx will resume index level as soon as reasonably possible.

10. Disclaimers

Copyright © 2022 by Trakx. All rights reserved. Redistribution, reproduction and/or photocopying in whole or in part are prohibited without written permission. All information provided by Trakx is impersonal and not tailored to the needs of any person, entity or group of persons. Trakx may receive compensation in connection with licensing its indices to third parties.

Trakx makes no assurance that a product (such as utility or security token) based on a Trakx index will accurately track the index performance or provide positive investment returns. Trakx is not an investment advisor or an investment manager, and it makes no representation regarding the advisability of investing in any Financial Product or Utility Token. A decision to invest in any Financial Product or Utility Token should not be made in reliance on any of the statements set forth in this document.

Prospective investors are advised to make an investment in any Financial Product or Utility Token only after carefully considering the risks associated with investing in such instruments, as detailed in an offering memorandum or similar document that is prepared by or on behalf of the issuer of the Financial Product or Utility Token. Inclusion of a crypto asset within an index is not a recommendation by Trakx to buy, sell, or hold such an asset, nor is it considered to be investment advice.

These materials have been prepared solely for informational purposes based upon information generally available to the public from sources believed to be reliable. No content contained in these materials (including index data, ratings, credit-related analyses and data, model, software or other application or output there from) or any part thereof (Content) may be modified, reverse-engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Trakx.

The Content shall not be used for any unlawful or unauthorised purposes. Trakx and its third-party data providers and licensors (collectively “Trakx Indices Parties”) do not guarantee the accuracy, completeness, timeliness or availability of the Content. Trakx Indices Parties are not responsible for any errors or omissions, regardless of the cause, for the results obtained from the use of the Content. THE CONTENT IS PROVIDED ON AN “AS IS” BASIS. TRAKX INDICES PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall Trakx Indices Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs) in connection with any use of the Content even if advised of the possibility of such damages.