Index Glossary
We introduced the different investment styles in an article for the different indices. For a short recap please see below.
Market
The market index is the market cap weighted index of cryptocurrencies.
Bitcoin
The bitcoin index follows the performance of bitcoin.
Small Cap Index
The small capitalization index attempts to capture returns that are unique to smaller sized assets. It is is calculated based on the market capitalization of cryptocurrencies, taking an overweight position in smaller cryptocurrencies.
Trend Index
The trend index attempts to capture returns that arise from momentum in the price of an asset. It is calculated based on the price returns using time series momentum and is long-only. We discussed this at length here.
Value Index
The value index attempts to capture returns that arise from investing in undervalued assets. It is calculated based on the Network-to-transaction volume (NVT) that we discussed here.
Low Vol Index
The low volatility index attempts to capture returns that are unique to assets with the lowest volatility across its peers. It is calculated based on EWMA volatility of cryptoassets.