Benchmark Construction
How OLTA defines and builds reliable benchmarks for Structured Index Products.
Purpose of a Benchmark
A benchmark represents the reference portfolio against which an OLTA index product is compared. It serves as a transparent, rule-based indicator of performance, risk exposure, and asset composition. Benchmarks ensure investors can evaluate whether the index is effectively capturing the intended market segment.
General Construction Principles
In addition to OLTA’s internal rules, benchmark construction may be guided or cross-referenced against leading industry indices to ensure coherence with institutional standards. These external indices serve as validation points for asset selection, sector alignment, and market representativity.
Reference indices include:
CoinMarketCap Top 10 & Top 20 (excluding stablecoins)
CoinGecko Large Cap Index
Bitwise 10 Crypto Index
CF Benchmarks (e.g. CF Diversified Large Cap Index)
Galaxy Crypto Indexes (Bloomberg Galaxy Crypto Index)
Messari Sector Indices (e.g. DeFi, Smart Contract Platforms, Web3)
Only assets eligible under OLTA’s own framework will be included, even if referenced externally. OLTA benchmarks are constructed using the following core rules:
Eligible Universe: Only assets that pass OLTA’s Eligibility Criteria are considered.
Exclusion of Stablecoins: Benchmarks exclude stablecoins (e.g. USDC, USDT, DAI) as they do not represent market volatility.
Minimum Data Integrity: All assets must have consistent and verifiable price feeds from reliable oracles.
Weighting Methodologies
Benchmarks apply a weighting method aligned with the fund’s objective:
Market Capitalization Weighting: Default for broad market exposure (e.g. Core Index)
Equal Weighting: Common for sector-focused indices
Custom Weighting: Used for strategic allocations (e.g. low-volatility funds)
Example: OLTA Core Benchmark v1
The Core Benchmark is based on a selection of major crypto-native assets:
Universe: Top 10 eligible non-stablecoin, non-security tokens by adjusted market cap
Filters: Assets must pass eligibility and liquidity criteria
Weighting: Market cap-weighted, capped at 30% per asset
Illustrative Allocation:
BTC – 30%
ETH – 25%
SOL – 15%
AVAX – 10%
LINK – 8%
Others – 12%
Sector and Custom Benchmarks
Benchmarks for sector-specific or strategy-driven indices follow a similar methodology, with adapted parameters:
Thematic Filters: e.g. DeFi, RWA, AI
Weighting Model: Equal or custom, based on project maturity, volatility, or strategy alignment
Maximum Weight Cap: Lower thresholds may apply (e.g. 20%) to ensure balanced exposure
Recalibration Frequency
Benchmarks are recalibrated on a quarterly basis, in sync with OLTA’s index rebalancing schedule. Exceptions may apply in the event of:
Major asset delisting or collapse
Regulatory reclassification
Fundamental protocol changes or economic redesigns
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