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Author Topic: Cryptocurrency Market Index  (Read 84 times)
MadZ
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March 23, 2019, 06:52:02 AM
 #1

My years spent on this forum have been a big catalyst for my interest in crypto, so I am excited this is one of the first places I get to share this project.

Maha Digital Core Index is a market cap weighted index I've created that is designed to serve as a benchmark for investment return in crypto markets. While there are a bunch of price aggregators out there, I feel that there is still a gap in services that actually track the market as a whole. Total market cap really isn't a good measure for traders or investors, since that number includes tons of inflation from mining and new coins that have been created out of thin air. While there have been a few attempts at such an index, most are either based off of arbitrary weightings, include only a few coins, or provide limited (daily) data.

This project aims to solve all these problems. Currently, the index tracks the performance of 57 coins and is re-balanced every 5 minutes from live price data. This accounts for changes in price and circulating supply, meaning any mining activities, newly minted coins, or new additions to the index won't affect the index value. Essentially, the index shows you exactly what your return would be if you invested evenly across crypto markets based on each coin's total market capitalization.

While I only recently hooked it up to live data, it has 5 years of historical data based on the same objective market cap weighted investment methodology, so there is no selection bias in terms of historical return either.

I've put a lot of work into this project, and I would really appreciate any feedback to help improve it. As a little warning, I am not a web developer, nor do I have any coding background, so please go easy on me in terms of the presentation Smiley

I am posting this in the Securities section because I have seen a few people here ask about the possibility of a crypto "mutual fund". Ultimately, that is what we are building this index towards, and I would also like to gauge interest in a product like that.

More information is available on our website: https://www.mahaadvisors.com/index
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April 11, 2019, 04:15:00 PM
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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)?
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April 19, 2019, 11:10:46 PM
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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?
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