Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

IRTG1792DP2021 014

Indices on Cryptocurrencies: an Evaluation

Konstantin Häusler
Hongyu Xia

Several cryptocurrency (CC) indices track the dynamics of the rising CC sector,
and soon ETFs will be issued on them. We conduct a qualitative and quantitative
evaluation of the currently existing CC indices. As the CC sector is not yet
consolidated, index issuers face the challenge of tracking the dynamics of a
fast-growing sector that is under continuous transformation. We propose several
criteria and various measures to compare the indices under review. Major
differences between the indices lie in their weighting schemes, their coverage
of CCs and the number of constituents, the level of transparency, and thus their
accuracy in mapping the dynamics of the CC sector. Our analysis reveals that
indices that adapt dynamically to this rising sector outperform their
competitors. Interestingly, increasing the number of constituents does not
automatically lead to a better fit of the CC sector. All codes are available on

Cryptocurrency, Index, Market Dynamics, Bitcoin

JEL Classification: