dxFeed, a leading data solutions and index management provider for the global financial industry, both traditional and crypto, has launched the dxFeed Crypto Ortho 500™ Index also referred as COSM™. The index reflects a selected cryptocurrency portfolio’s market price that minimizes the correlation with the broad stock market represented by the S&P 500®1 index.
The portfolio weights are optimized using a custom numerical procedure. Special care is taken to avoid bias (e.g., outlier removal is performed during the index construction) and ensure the index’s statistical properties remain relatively stable after the end of the parameter estimation period. The resulting instrument can therefore be considered an investment alternative to the broad market and may be used in portfolio diversification scenarios.
“Although cryptocurrencies are strongly correlated as an asset class, the index achieves correlation twice as low as the Bitcoin against the S&P 5001 index during certain periods. In my opinion, it’s an impressive result achieved by the dxFeed quant team,” comments Oleg Solodukhin, CEO at dxFeed.
COSM is based on a more general dxFeed Benchmark Orthogonal-Collinear index methodology, which allows to construct similar indices, but for different benchmarks and correlation optimization types.
The firm started its indices pool in the fall of 2022 by introducing dxFeed Bixie, a US Dollar Index (“USDX”) crypto-twin, and dxFeed Honest Gold Index (“HAU”).
dxFeed is a leading market data and services provider and calculation agent for the capital markets industry. According to the WatersTechnology 2022 IMD & IRD awards honors, it’s the “Most Innovative Market Data Project”. dxFeed focuses primarily on delivering financial information and services to buy- and sell-side institutions in the global markets, both traditional and crypto. That includes brokerages, prop traders, exchanges, individuals (traders, quants, and portfolio managers), and academia (educational institutions and researchers).