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FAQ: S&P Cryptocurrency Index Series

FAQ: S&P Cryptocurrency CME Futures Indices

The S&P Europe 350 ESG Index: A Broad, Sustainable Index Solution

Tracking the Full China Equity Opportunity Set with the S&P China BMI

Explaining the Outperformance of Net Zero Indices

FAQ: S&P Cryptocurrency Index Series

S&P Cryptocurrency Indices

  1. What are the S&P Cryptocurrency Indices? These indices are designed to measure the performance of a selection of cryptocurrencies, also referred to as “coins” in this document, that meet minimum liquidity and market capitalization criteria and are listed on trading facilities (referred to within this document as “exchanges”) included among the primary markets covered by the Lukka Prime data product published by Lukka, Inc. In the cryptocurrency context, market capitalization refers to the product of coin supply (explained in question 18) at a given point in time multiplied by coin price. The term exchange as used in this FAQ does not refer to a “national securities exchange” that has registered with the Securities Exchange Commission (SEC) or other comparable securities exchange registered in another jurisdiction.
  2. Why was the S&P Cryptocurrency Index Series created?  The S&P Cryptocurrency Index Series was launched to bring transparency to the emerging cryptocurrency market. For more background, visit https://www.spglobal.com/spdji/en/landing/investment-themes/sp-cryptocurrency-indices/.

  1. What indices are in the S&P Cryptocurrency Index Series? As of Feb. 4, 2022, the S&P Cryptocurrency Index Series includes the following 16 indices:
  • S&P Bitcoin Index: This index is designed to track the performance of the digital asset Bitcoin.
  • S&P Ethereum Index: This index is designed to track the performance of the digital asset Ethereum.
  • S&P Cryptocurrency MegaCap Index: This index is designed to track the performance of the digital assets Bitcoin and Ethereum weighted by market capitalization.
  • S&P Cryptocurrency Broad Digital Market (BDM) Index: This index is designed to measure the performance of digital assets that meet minimum liquidity and market capitalization criteria and that are covered by our price provider Lukka. The index is meant to reflect a broad investable universe.
  • S&P Cryptocurrency LargeCap Index: This index is a subset of the S&P Cryptocurrency BDM Index designed to track the constituents with the largest market capitalization.
  • S&P Cryptocurrency BDM Ex-MegaCap Index: This index is designed to track the constituents of the S&P Cryptocurrency Broad Digital Market Index, excluding the constituents of the S&P Cryptocurrency MegaCap Index.

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FAQ: S&P Cryptocurrency CME Futures Indices

  1. Why was the S&P Cryptocurrency CME Futures Index Series created? The S&P Cryptocurrency CME Futures Index Series was launched to bring transparency to the emerging cryptocurrency asset class. The indices are designed to measure the performance of the CME Bitcoin and Ether Futures markets. For more background, visit https://www.spglobal.com/spdji/en/landing/investment-themes/sp-cryptocurrency-indices/.

  2. What indices are in the S&P Cryptocurrency CME Futures Index Series? As of Jan. 31, 2022, the S&P Cryptocurrency CME Futures Index Series includes the following four indices:
    • S&P CME Bitcoin Futures Index: This index is designed to measure the performance of the CME Bitcoin Futures market.
    • S&P CME Ether Futures Index: This index is designed to measure the performance of the CME Ether Futures market.
    • S&P Cryptocurrency MegaCap CME Futures Index: This index is designed to measure the performance of the CME Bitcoin and CME Ether Futures markets.
    • S&P CME Bitcoin Futures Daily Roll Index: This index is designed to measure the performance of the CME Bitcoin Futures market. It is rebalanced on a daily basis between the front contract and the next month’s contract.

 See the S&P Futures Indices Methodology for additional details on these indices.

  1. Who is S&P DJI's provider for cryptocurrency futures data? Our cryptocurrency futures pricing is provided by the CME Group. The CME Group owns a 23% equity stake in S&P Dow Jones Indices LLC. For more information about CME cryptocurrency futures, please refer to the website: https://www.cmegroup.com/markets/cryptocurrencies.html.

    Our cryptocurrency spot pricing and reference data are provided by Lukka, Inc. via its Lukka Prime and Lukka Reference Data products. Lukka covers over 950 crypto assets. For more information about Lukka, please refer to the website: https://data.lukka.tech/prime/. For more information about other indices in the S&P Cryptocurrency Index Series, please visit the S&P Cryptocurrency Indices website.

    S&P Global, Inc., the parent of S&P Dow Jones Indices LLC, is an investor in Lukka. For information on S&P Global's investment in Lukka, please see here. In addition, representatives of Lukka may provide consultative services to the S&P Digital Assets Index Committee from time to time.

  2. Which cryptocurrencies are covered by the cryptocurrency futures data provider? As of January 2022, the CME trades Bitcoin and Ether futures contracts.
  3. Are the futures indices calculated on a real-time basis? Yes. S&P DJI performs intraday index calculations using the CME's real-time exchange-traded futures prices every five seconds. At each fixed interval, the index is computed with the latest real-time pricing for each underlying constituent included in the index. If a new price is not available since the last real-time calculation, the calculation will use the last available traded price provided by the exchange. Please refer to the Real-time Index Calculation section of the S&P Commodities Indices Policies and Practices Methodology for more information.
  4. What pricing is used as end of day for futures index calculation? S&P DJI uses the CME's provided settlement prices for official end-of-day index calculations. Please refer to the End-of Day-Calculations (EOD) section of the S&P Commodities Indices Policies and Practices Methodology.
  5. When are the S&P Cryptocurrency Indices calculated? In addition to real-time calculations,the indices are calculated at end of day five days a week (Monday through Friday) in U.S. dollars. End-of-day pricing is reported by 6:00 p.m. EST. Index files are published after that time following S&P DJI's standard file delivery format.
  6. Which cryptocurrencies are included in the indices? The S&P Cryptocurrency CME Futures Indices include Bitcoin and Ethereum.

    The S&P Digital Assets Index Committee reserves the right in its sole discretion to cease or suspend publication of an index or remove a digital asset that becomes subject to a legal, regulatory, or practical concern (e.g., because the digital asset may be an unregistered security, allegations of trading manipulation, potential implications of U.S. or other economic sanctions, inclusion of privacy features that may pose anti-money laundering concerns, assets being subject to a hacking event, etc.) or due to potential market disruption. If there is a market disruption, or a disruption with the data provider, the indices are calculated based on the last available price.

  7. How often do the indices rebalance? How does the rebalance process work? CME Bitcoin and Ether futures contracts roll monthly. S&P DJI publishes daily and monthly rebalanced S&P Cryptocurrency CME Futures Indices.

    The daily rebalanced index rebalances (or rolls) on a daily basis between the front contract into the next month futures contracts using an equal percent each day. On t-2 market close—that is, two business days before the expiry of the front contract—the index will be entirely in next month's contract.

    The monthly rebalanced indices use a five-day rebalance (or roll) between the front contract into the next month futures contracts, from t-6 to t-2—that is, from six business days through two business days before expiry of the front contract. On t-2 market close—that is, two business days before the expiry of the front contract—the index will be entirely in next month's contract.

  8. How is the S&P Cryptocurrency MegaCap CME Futures Index weighted? How often is the weighting adjusted? The index is market capitalization weighted, using the allocation of coin supply of the S&P Cryptocurrency MegaCap Index as of the last rebalance date. Using the coin supply value is intended to add stability because exposure will not change when the futures price of the cryptocurrency changes relative to the price of underlying cryptocurrency. Coin supply is the total number of coins mined (or issued) for a given cryptocurrency since inception. See the S&P Digital Assets Index Mathematics Policies and Practices Methodology for details. The weighting of the indices is adjusted on a quarterly basis.
  9. Can cryptocurrency futures prices deviate from spot prices? Yes. While futures prices can deviate from spot prices, futures can also add price discovery and price transparency to an emerging market.
  10. How do the S&P Cryptocurrency CME Futures Indices address price spikes or price outliers? What happens if the futures price is significantly different from futures prices at other futures exchanges? S&P DJI uses pricing from third-party sources for all its indices. Price checks take place at the pricing provider, CME. CME futures trade exclusively on the CME exchange, a regulated market. See question 6 for additional details.

    There are other exchanges that trade Bitcoin and Ethereum futures and it is possible that their futures prices may be different from CME's futures pricing.

  11. What types of reference data fields are provided to S&P Cryptocurrency CME Futures Index subscribers? Subscribers of the S&P Cryptocurrency CME Futures Indices receive the roll weights, contracts, and settlement prices.
  12. How much history is available for these indices? Back-tested index history for these indices varies based on the constituents, with the earliest inception date being December 2017.

    Information presented prior to an index's launch date is hypothetical back-tested performance, not actual performance, and is based on the index methodology in effect on the launch date applied retroactively. For more information on back-tested history, please see the Performance Disclosure at the end of this document.

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The S&P Europe 350 ESG Index: A Broad, Sustainable Index Solution

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Reid Steadman

Managing Director, Global Head of ESG & Innovation

Launched in 2019, the S&P Europe 350 ESG Index was designed to meet the growing market need for new benchmarks holistically integrating sustainability principles.

Spanning the 11 GICS® sectors, the index provides insights into a wide range of sustainability issues, such as governance, gender diversity, the environment, human rights, risk culture, cyber security, tax strategy, and many others. 

THE INDEX FOUNDATION

The natural starting point to the S&P Europe 350 ESG Index is the S&P Europe 350. The European counterpart to the S&P 500, this index is a float-adjusted, market-capitalization-weighted index that includes the largest and most liquid stocks from developed Europe.

Exhibit 1 provides a brief methodology overview with comparisons to MSCI Europe, STOXX Europe 600, and Euro STOXX 50, three widely used European equity indices.

Exhibit 1: Rules-Based Methodology Comparison of the S&P Europe 350 to Peer Indices

When comparing this index to its peers it’s important to note that the S&P Europe 350 is inclusive of both the eurozone and non-eurozone, which allows the index to provide a more comprehensive view of the region.

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Tracking the Full China Equity Opportunity Set with the S&P China BMI

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John Welling

Director, Global Equity Indices

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Michael Orzano

Senior Director, Global Equity Indices

Over the past two decades, the Chinese economy and equity markets have substantially increased in size and prominence. During this period, China embarked on a major transition from a manufacturing-led economy, reliant on the traditional industrial and banking sectors, to a more mature consumer and service-oriented economy. In parallel, the country’s equity market has become more diversified, as consumer and technology-oriented companies now represent a large share of China’s equity market.

Introduced in 1997, the S&P China Broad Market Index (BMI) is designed to represent the full investable opportunity set of Chinese equities. By maintaining eligibility for large, mid, and small caps, as well as all Chinese share classes, the index enjoys an advantage compared to several popular Chinese equity benchmarks that cover narrower segments of the market. Leveraging the well-established methodology used in the underlying S&P Global BMI, the framework is consistent, modular, and allows pairing with other global regions without gaps or overlaps.

In this overview we will cover the following key points.

  • As the world’s second-largest equity market and representing over 35% of emerging market equities, China is highly relevant to market participants, and has grown steadily over the past several decades.
  • Improved access to onshore-listed A-shares has allowed for greater inclusion in equity benchmarks, significantly increasing the investable opportunity set.
  • The S&P China BMI provides potential advantages over peer indices since it includes large-, mid-, and small-cap companies, A-shares, and offshore-listed companies, and it enjoys a long track record dating back to the mid-1990s.

CHINA MATTERS

Between Dec. 30, 1994, and Dec. 31, 2021, China's representation within global benchmarks grew considerably, increasing from less than a 0.1% share in the S&P Global BMI to nearly 4% today. Meanwhile, its share of emerging market benchmarks swelled to 35.5% of the S&P Emerging BMI (see Exhibit 1).

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Explaining the Outperformance of Net Zero Indices

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Ben Leale-Green

Associate Director, Research & Design, ESG Indices

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Barbara Velado

Senior Analyst, Research & Design ESG Indices

INTRODUCTION

The S&P PACT™ Indices (S&P Paris-Aligned & Climate Transition Indices) represent a sophisticated, multifaceted approach that aims to align with a 1.5°C scenario and net zero emissions by 2050 (see Exhibit 1).  The indices are also intended to meet the EU’s minimum standards for EU Climate Transition Benchmarks (CTBs) and EU Paris-Aligned Benchmarks (PABs) and the recommendations of the Task Force on Climate-related Financial Disclosures (TCFD), with the goal of being as efficient as possible to allow for a broad, diversified index.  So, how have the indices performed?

Exhibit 1: The S&P PACT Index Methodology

PERFORMANCE

Across all regions tracked by the S&P PACT Indices, both the S&P Climate Transition (CT) Indices and S&P Paris-Aligned (PA) Indices have shown outperformance over their market-cap-weighted underlying benchmarks.  In Exhibit 2, we can see that the outperformance over the benchmarks was positive for every listed index since inception.

Exhibit 2: Strong Relative Performance Across Markets

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