CCi30 Cryptocurrency Index

Current or historical index level

Returns the CCi30 Cryptocurrency Index level. Without arguments it returns the live indicative level and the change on the session. With as_of it returns the official close for that date, or the most recent close before it.

Daily index history

Daily open, high, low, close and volume for the index, from 1 January 2015 to the most recent close. Use for charts, backtests and period returns.

Trailing returns, volatility and drawdown

Trailing total returns over standard windows, annualised volatility over 30, 90 and 365 days, and the deepest peak to trough fall over one year and since inception. Calculated from official closes.

Current constituents

The thirty constituents currently in the index, ranked by adjusted market capitalisation, with live price, market capitalisation, daily change and the published weight from the latest monthly rebalancing.

Published constituent weights

Constituent weights as published at a monthly rebalancing. Without arguments it returns the most recent set. Weights follow the square root of adjusted market capitalisation and sum to 100 percent.

Quarterly composition history

Which assets were in the index at each quarterly reconstitution since 2015. Use to answer questions about when an asset entered or left the index.

Session and trailing statistics

Published session statistics: 52 week change, high and low, year to date and month to date change, session high and low, and the 30 day Market Efficiency Ratio.

Maintenance calendar

The next monthly rebalancing date and the next quarterly reconstitution date, with the rules that govern each. Weights change monthly, membership changes quarterly.

Index methodology

The governing construction rules: eligible universe, exclusions, selection, adjusted market capitalisation, weighting, maintenance schedule and divisor treatment. Use this rather than describing the methodology from memory.

Index identification

Formal identification of the benchmark: names, vendor code, asset class, index type, currency, base date and value, first publication, administrator and registered trade marks.

Glossary

Definitions of the terms used by this index, including adjusted market capitalisation, square root weighting, rebalancing, reconstitution, Market Efficiency Ratio and the Sharpe-Rivin ratio.

Attribution and licence

How to cite the index, the licence covering end of day values, what requires a written licence, and where to request one. Call this before reproducing index data.