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. This approach is currently under review against using raw (brut) price. Final methodology will be disclosed transparently in each Index Factsheet. • 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 General 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.
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