Methodology Construction
Foundation page of the Index Methodology Rulebook
Purpose
This page lays out the guiding principles and step-by-step workflow OLTA uses to craft Structured Index Products. It also maps the external standards that inform our approach, ensuring every index combines institutional rigour with crypto-native market intelligence.
Index Principles
Transparency
Investors must understand how an index is built and maintained.
Publish rulebooks, snapshots, and change logs; store archived versions onchain.
Objectivity
Rules should minimise discretion and bias.
Rely on pre-defined data screens and formula-based weightings.
Liquidity & Tradability
Constituents must be investable at scale.
Apply minimum free-float, volume, and onchain-liquidity thresholds.
Data Integrity
Accurate, multi-source pricing prevents manipulation.
Aggregate data from oracles and vetted market feeds; apply outlier filters.
Governance Oversight
Methodology changes need a formal process.
Require DAO or designated committee approval; timestamp updates.
Key steps
Define the universe • Fix the asset-class and sector scope (e.g., large-cap majors, DeFi, RWA, infrastructure). • Pull an initial list from CoinMarketCap and CoinGecko snapshots, starting broad so later screens can narrow the field.
Apply eligibility screens • Check free-float and circulating-supply minimums. • Verify 30-day average volume, on-chain pool depth, and venue dispersion. • Apply exchange, custody, and compliance filters to keep only investable, auditable assets.
Run inclusion / exclusion rules • Remove wrapped or synthetic versions when the native token already meets liquidity rules. • Exclude any asset that triggers the OLTA Discretionary Governance Exclusion list, guarding against reputational or legal concerns.
Determine weighting & caps • Choose a rules-based model (e.g., risk-balanced, liquidity-tiered, thematic tilt) so allocation isn’t driven by a single raw market-cap metric. • Set single-asset and sector caps to prevent concentration; record the formula and thresholds in the prospectus.
Calculate index units • Set an initial base factor (divisor) on launch day so the index starts at a clear reference level and can adjust efficiently for future component changes. • Use VWAP or TWAP over a defined window to price each constituent, then lock weights for the initial basket. • Publish the calculation sheet so third parties can replicate the index exactly.
Schedule rebalancing & reconstruction • Rebalance monthly or quarterly to steer weights back toward the target formula. • Conduct a full universe reconstruction once a year to add newly eligible assets, while any asset that breaches the exclusion criteria is removed immediately according to those rules. (See Exclusion Criteria for details.)
Governance review & publication • Draft an updated prospectus whenever rules or constituents change. • Submit the update for community review; once approved, announce effective dates and publish a changelog to maintain a clear audit trail.
Version Control & Auditability
Each methodology change is stored and publicy available.
Historical constituents, weights, and rule versions remain publicly accessible for back-testing and compliance.
A changelog is appended to the prospectus after every governance-approved update.
By aligning proven index-design frameworks with crypto-native data and on-chain governance, OLTA offers investors a transparent, repeatable, and robust yet retail-friendly path to digital-asset exposure.
Last updated