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Kaiko Multi-Asset Indices Rulebook: Factor
Kaiko Multi-Asset Indices Rulebook: Factor.
multi-asset indices rulebook: Factor
Kaiko Factor Indices employ systematic, rules-based methodologies to identify digital assets with positive factor attributes supported by academic research. They are designed for reproducible investment outcomes beyond simple market-cap weighting.
The index family includes three distinct factor indices:
- Kaiko lowVol Index (selects top 10 most stable assets using realized volatility for defensive positioning)
- Kaiko Size Index (overweights smaller-cap assets excluding Bitcoin based on 90-day average market capitalization)
- Kaiko Momentum Index (selects top 5 assets with the strongest positive price trends using an 8-week Relative Strength Index).
All indices draw from the Kaiko Investable Universe after rigorous two-tier asset vetting. Pricing uses Kaiko’s Reference Rates from executed trades on centralized exchanges. The lowVol and Size indices rebalance quarterly, while Momentum rebalances monthly with a 30% individual cap. Index calculation follows the Laspeyres formula with divisor adjustments for token events (burns, forks, unlocks). Governance is overseen by the Index Administration Committee, with provisions for extraordinary reviews.