Methodology
Introduction
The DELTAFi Select Sector Vaults are designed to achieve the market-capitalization weighted or equal weighted performance of some of the largest and most liquid digital assets classified in each sector.
Universe Eligibility
To be included in Vault Selection Universe, a digital asset must meet the following criteria as of the Reconstitution Date: The digital asset must be assigned to the appropriate Sector based on recent report by Coinmarketcap, Messari, Coingecko. The digital asset must have traded within the last 30 days up to and including the Reconstitution Date. The digital asset must be ranked in the top 500 on Coinmarketcap.
Constituent Selection
The constituent selection process targets the largest and most liquid digital assets from the Selection Universe subject to a final constituent count between 5 and 10 inclusive, and buffer rules designed to reduce unnecessary turnover.
All digital assets that pass the Eligibility Criteria will be ranked by market capitalization, as of the Reconstitution Reference Date, in descending order. The 20 highest ranked digital assets that meet the Eligibility Criteria form the Selection Universe. Constituents will be selected from the Selection Universe as follows:
For each digital asset in the Selection Universe, calculate the Median Daily USD Value Traded (MDVT) over the previous 30-day calendar period leading up to and including the Reconstitution Date.
For each digital asset in the Selection Universe, determine the closing market capitalization as of the Reconstitution Date.
Based on the results from Step 1 and Step 2, the market cap and liquidity requirements are determined as follows:
Constituent Liquidity Requirement = median MDVT of the Selection Universe
Constituent Market Cap Requirement = median closing market cap of the Selection Universe
Non-Constituent Liquidity Requirement = 1.20 times the median MDVT of the Selection Universe
Non-Constituent Market Cap Requirement = 1.20 times the median closing market cap of the Selection Universe.
All current constituents in the Selection Universe will be evaluated against the Constituent Liquidity and Constituent Market Cap Requirements. Non-Constituents in the Selection Universe will be evaluated against the Non-Constituent Liquidity and NonConstituent Market Cap Requirements. Digital assets that meet or exceed these requirements will be selected as index constituents. Based on the following results:
If fewer than 6 digital assets are selected, the market cap and liquidity requirements for non-constituents will be relaxed to the requirements for constituents
If more than 10 digital assets are selected, the digital asset(s) with the smallest market cap will be removed until 10 digital assets remain.
If Step 4 results in at least 5 digital assets selected as constituents, the selection process is complete. Otherwise, the market cap and liquidity requirements will be relaxed for constituents and non-constituents until a minimum of 5 constituents are selected.
Selection Requirements Table
Included in Selection Universe
Included
Included
Closing Market Cap
>= median Market Cap of the Selection Universe
>= median Market Cap of the Selection Universe * 1.2
Liquidity
>= median 30-day MDVT of the Selection Universe
>= median 30-day MDVT of the Selection Universe * 1.2
Constituent Weighting
Each Constituent is market capitalization weighted or equal weighted at each reconstitution date according to the Vault’s weighting method.
Vault Reconstitution
Each Vault is reviewed on a monthly basis and reconstituted by the rules described above. The removed constituent will be considered for inclusion again on future reconstitutions if it meets the Universe Eligibility and Selection criteria. The added constituent will be weighted according to the Vault’s weighting method with other constituents and contribute to vault performance.
Data Sources
Sector data used to determine Selection Universe are sourced from coinmarketcap.com, messari.io, coingecko.com and AI search engines. Market cap and Traded USD Value data used to determine requirements for closing market cap and liquidity on reconstitution date are sourced from coinmarketcap.com.
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