COINSHARES Gold & Cryptoassets Index
Diversified Exposure to the Alternative Asset Space
The CoinShares Gold and Cryptoassets Index (CGCI) is a low-volatility index that utilises the concept of volatility harvesting through,
a.) Forming a basket of equally-weighted cryptoassets and;
b.) Combining it with gold using weighted-risk contribution as a rebalancing mechanism.
By decreasing volatility levels, the CGCI seeks to yield superior risk-adjusted returns when compared to a number of alternative strategies, including holding cryptoassets or gold alone. Further, it presents a moderate turnover, which should translate into moderate operating costs.
Two noteworthy characteristics of the returns of non-stablecoin cryptoassets are their high volatility, which brings with it a high level of risk, and their high intraclass correlation, which limits the benefits that can be had by diversifying across multiple cryptoassets. Yet cryptoassets exhibit no correlation with gold, a highly-liquid yet scarce asset which has proved to function as a safe haven during crises affecting traditional financial systems.
Although volatility poses challenges in terms of increased uncertainty, there are also benefits to be had from its proper management through diversification and regular rebalancing. This is exemplified by the so-called Shannon’s Demon approach in which two, ideally uncorrelated, assets – at least one of which is highly volatile – are periodically rebalanced to maintain an ideal target allocation. The resulting expected growth rate is greater than the arithmetic mean of the individual expected growth rates, while the variance of the returns is less than the mean of the individual variances.
Key characteristics of the index
Composition: The index is composed of two baskets that contain alternative assets. The first is a basket of 5 eligible cryptoasset constituents, which are equally weighted. The second is a basket of physical gold. The two baskets are risk-weighted and rebalanced monthly.
Calculation Frequency: The CGCI closing level is calculated and monitored by Compass Financial Technologies and is announced on each Index Calculation Date at 16:00 BST.
Index Distribution: The Index is published via Compass Financial Technologies (http://compassft.com) and CoinShares Group (https://coinshares.com) and is distributed to Bloomberg and Reuters under the tickers COINCGCI and .COINCGCI, respectively.
Index Governance: The Compass Oversight Committee (composed of senior representatives of Compass and external index governance experts) and the CGCI Steering Committee (the steering committee is composed of senior representatives of Compass and CoinShares and may include individuals or representatives of companies such academics, external counsels or major Index stakeholders) are in charge of the Index governance.
EU Benchmarks Regulation (EU BMR): The index is approved as a benchmark under the EU Benchmarks Regulation (EU BMR)
LAST INDEX VALUES
Cryptoassets Basket / Gold Breakdown
Cryptoassets Basket Constituents