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Title: Deleted Post by: MadZ on March 23, 2019, 06:52:02 AM Deleted
Title: Re: Cryptocurrency Market Index Post by: FIRON on April 11, 2019, 04:15:00 PM This is a great index. Most of the other indices out there (the Bloomberg/Galaxy index comes to mind) are weighted heavily toward a few coins. And they don't adjust for changes in market cap over time.
Have you done any work with regard to the ability to create a product which mimics the index (based on liquidity, custody, trading costs), I'm wondering whether it is realistic to create a fund to track this index, and what you think tracking error would be with such a product. I'm assuming you would rebalance that portfolio daily or weekly or based on subscriptions or redemptions to the fund. Either way, as you point out, this is a much better data set than looking at total market cap. I just read the thesis on your website. Can I ask why you chose the index base that you did - i.e. why Laspeyres instead of Paasche)? Title: Re: Cryptocurrency Market Index Post by: Masterswarm on April 19, 2019, 11:10:46 PM This is a great index. Most of the other indices out there (the Bloomberg/Galaxy index comes to mind) are weighted heavily toward a few coins. And they don't adjust for changes in market cap over time. Have you done any work with regard to the ability to create a product which mimics the index (based on liquidity, custody, trading costs), I'm wondering whether it is realistic to create a fund to track this index, and what you think tracking error would be with such a product. I'm assuming you would rebalance that portfolio daily or weekly or based on subscriptions or redemptions to the fund. Either way, as you point out, this is a much better data set than looking at total market cap. I just read the thesis on your website. Can I ask why you chose the index base that you did - i.e. why Laspeyres instead of Paasche)? You are the OP. Why are you asking yourself questions? |