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Kaiko Multi-Asset Indices Rulebook
Kaiko Multi-Asset Indices Rulebook.
Kaiko Multi-Asset Indices Rulebook
Kaiko Indices provides institutional-grade benchmarks under the EU BMR and IOSCO frameworks. Indices are organized into four families:
- Blue-Chip (e.g., Top 5/10/15 by size and liquidity)
- Market (e.g, Large/Mid/Small Cap segments)
- Sector (e.g., DeFi, Layer 2, Meme)
- Thematic (e.g, AI, Tokenization).
Data sources include:
- Kaiko Reference Rates (executed trades from centralized exchanges)
- Proprietary supply metrics (total and circulating supply).
Asset eligibility follows a two-tier vetting process that excludes stablecoins, tokenized assets, and low-liquidity assets.
Index construction uses a dual weighting scheme (50% by market cap + 50% by liquidity), with individual caps of 30%. The Laspeyres formula calculates index values. Quarterly rebalancing applies buffer rules (e.g., 80/120 rules for Blue-Chip indices) to reduce turnover.
Governance is managed by an Index Administration Committee, with provisions for extraordinary reviews due to fraud or volume loss. Publication occurs in real-time and as daily fixings (London, Singapore, New York).