CoinShares Gold and Bitcoin Index (CGBI)

Diversified Exposure to Alternative Assets Volatility Weighting and Monthly Rebalancing Reduces Risk and Enhances Returns Superior Risk Profile Compared to Holding Gold or Bitcoin in Isolation

Source: Compass Financial Technologies. For full details refer to the CGBI Index Methodology document. The CGBI was launched in October 2021. Figures prior to this date have been derived by applying the methodology as at that date. Investors cannot invest directly in an index. Past performance is no indication of future performance.

What is the CGBI?

Alternative Asset Index

Low Correlation + Volatility Harvesting

Why Gold + Bitcoin?

Volatility Weighting + Monthly Rebalancing

The CoinShares Gold and Bitcoin Index

Diversified Exposure to Alternative Assets

Index Methodology

The index methodology maintains as basket of Bitcoin weighted against gold. The weights between Bitcoin and gold is determined based on a weighted-risk allocation scheme.

The index methodology was created from the research and experimentation conducted with Imperial College of London and with the EU registered benchmark administrator, Compass Financial Technologies to ensure a robust and benchmark compliant index.

Key Statistics

Date Fri, 1 Jul 2022
Daily Value $ 8,451.84
Annualised Return 38.92 %
Annualised Standard Deviation 0.25
Annualised Sharpe 1.57
Annualised Sortino 2.19
Return Since Inception 745.18 %
30 Day High $ 9,782.02
30 Day Low $ 8,451.84
Y-to-Y Return -9.78 %

CGBI vs Bitcoin vs Gold

The CGBI introduces an adapted version of the Shannon’s Demon theory to control and benefit from the high volatility produced by Bitcoin.

The Shannon’s Demon theory is a strategy where two uncorrelated assets -at least one of which is highly volatile (e.g. Bitcoin)- are periodically rebalanced to maintain an ideal weight allocation. We find a Bitcoin–gold weighting based on Weighted Risk Contribution to be historically more effective in terms of Sharpe Ratio than several alternative asset allocation strategies.

The resulting expected growth rate of the CGBI is greater than the individual expected growth rates, while the variance of the returns is less than the individual variances. This strategy is well suited for Bitcoin due to its volatile nature and being an uncorrelated asset class. Gold was chosen on the other hand as an ideal candidate due to being much less volatile and having displayed very low correlation with Bitcoin.

Source: Compass Financial Technologies. For full details refer to the CGBI Index Methodology document. The CGBI was launched in October 2021. Figures for the CGBI prior to this date have been derived by applying the methodology as at that date. Investors cannot invest directly in an index. Past performance is no indication of future performance. Bitcoin and Gold are rebased to 1,000 at Jan 4, 2016. Gold price is GLD price of the day before.

Constituents Weights

Source: Compass Financial Technologies. For full details refer to the CGBI Index Methodology document. The CGBI was launched in October 2021. Figures prior to this date have been derived by applying the methodology as at that date.

Contact Us Want to get in touch?

The index is readily licensable with CoinShares Capital Markets and can be tracked upon request. For more information or questions about the index please complete the form below and one of our team members will reach out shortly.