dxFeed Launched Crypto Ortho 500™ Index Based on Decorrelation Between Stocks and Crypto
NEW YORK,Dec. 22, 2022/PRNewswire/ -- dxFeed, a leading data solutions and index management provider for the global financial industry, both traditional andcrypto, has launched thedxFeedCryptoOrtho 500™Indexalso referred as COSM™. The index reflects a selectedcryptocurrencyportfolio's market price that minimizes the correlation with the broad stock market represented by the S&P 500®1index.
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.
"Althoughcryptocurrenciesare strongly correlated as an asset class, the index achieves correlation twice as low as theBitcoinagainst the S&P 5001index 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-Collinearindex 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 introducingdxFeed Bixie, a US Dollar Index ("USDX")crypto-twin, and dxFeedHonest Gold Index("HAU").
About dxFeed
dxFeed is a leadingmarket data and services providerandcalculation agentfor 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 andcrypto。That includes brokerages, prop traders, exchanges, individuals (traders, quants, and portfolio managers), and academia (educational institutions and researchers).
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1A registered trademark of Standard & Poor's Financial Services LLC or its affiliates
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