6.2 Index General Methodology

Introduction

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Index Construction

Asset Universe Eligibility

Eligibility for inclusion in the asset universe is determined by qualitative assessments detailed below.

• Exchange Requirement: Candidate tokens must be traded on any of the following qualified exchanges: Binance, OKEx, Coinbase, Bybit, or Bitget, and must have been listed for at least 30 days.

• Custody Support Requirement: Candidate tokens must be supported by custodians Ceffu or Cobo.

• Data Support Requirement: Candidate tokens must be supported by data providers SoSoValue.

• Trading Pair Requirement: Candidate tokens must support trading with at least one of the following: USD, USDT or USDC.

• Compliance Requirement: Candidate tokens must comply with relevant laws and regulations, ensuring legality and regulatory adherence within the applicable legal framework.

• Exclusions: Candidate tokens must not include stablecoins or any tokens that serve as derivatives of other cryptocurrencies.

• Liquidity Requirements: For all tokens in the market that meet the above criteria, calculate the 30-day average daily trading volume and rank them in descending order, excluding the bottom 20%.

• Market Cap Requirements: For all tokens in the market that meet the above criteria, calculate the 30-day average Market Cap and rank them in descending order, excluding the bottom 20%.

Sector Classification

For industry-focused index compilation, the SoSoValue sector classification system can be referenced to align with the following 12 sectors.

Sector Name	Sector Definition	Sector Composition
Layer1	Refers to general-purpose public blockchain platform that does not depend on other blockchains and provides a wide range of application scenarios, not specifically limited to payment or currency functions.	PoS Public Chain Projects: Public Chain utilizing Proof of Stake mechanism PoW Public Chain Projects: Public Chain platforms utilizing Proof of Work mechanism
Layer2	Refers to protocols and solutions built on top of Layer1 blockchains, aimed at improving blockchain scalability and efficiency, or enhancing network functions and security.	Scalability Solutions Projects Modular Blockchains Projects
DeFi	Refers to financial infrastructures built on blockchain technology, mainly offering a variety of financial services through smart contracts and decentralized applications (DApps), including lending, trading, and yield farming, aiming to provide permissionless and decentralized financial services.	Decentralized Trading Platforms / Protocols Decentralized Options Derivatives Trading Platforms / Protocols Decentralized Derivatives Platforms / Protocols Decentralized Lending Platforms / Protocols Decentralized Yield Platforms / Aggregators Decentralized Staking Platforms / Protocols Decentralized Insurance Platforms / Protocols DeFi Infrastructure - Oracles DeFi Infrastructure - Cross-chain Bridges
RWA	Refers to the digitization of real-world assets (such as real estate, stocks, bonds, commodities, or asset portfolios) through blockchain technology to enable trading, management, and investment on blockchain.	Intangible RWA Products Tangible RWA Products
CeFi	Refers to the model within the cryptocurrency domain that provides financial services and products based on traditional financial institutions or centralized trading platforms, in contrast to Decentralized Finance (DeFi).	Centralized Exchanges Custodial Services Platforms Centralized Lending and Yield Financial Services Platforms）
Payment	Refers to solutions within the cryptocurrency domain that specifically involve cryptocurrency payments and transactions, including platforms focused on government and currency functions, cryptocurrency payment gateways, cryptocurrency payment processing service providers, etc.	Blockchain Projects Specific to Payment or Currency Functions Cryptocurrency Payment and Transaction Infrastructure
Meme	Refers to cryptocurrencies created based on internet memes or cultural phenomena, usually not based on specific technology or use cases, characterized mainly by community support and viral marketing.	Memes or Cultural Phenomena from Outside the Crypto Sphere Native Memes Culture or Social Experiments within the Crypto Sphere
DePIN	Refers to decentralized physical infrastructure networks managed and operated using blockchain technology, aiming to improve efficiency, transparency, and fairness of participation.	Physical Resource Networks (sensors, wireless, energy) Digital Resource Networks (computing, bandwidth, AI, storage) DePIN Modules & Infra
AI	Refers to projects or ecosystems that combine artificial intelligence technology with blockchain or cryptocurrency technology, aimed at enhancing automation, data processing efficiency, and intelligent decision-making capabilities.	AI Agent AI-driven protocol AI-related applications General AI Infrastructure / Platforms
GameFi	Refers to gaming projects and ecosystems that integrate blockchain technology, cryptocurrencies, and economic systems, aiming to enable players to earn real economic value through gaming, including Play to Earn (P2E) video games, blockchain platforms and ecosystems dedicated to gaming, gaming guilds, metaverse applications, etc.	Play-to-Earn video games within GameFi Metaverse Applications Public blockchain platforms specifically for GameFi ecosystems Guilds within gaming ecosystems
NFT	Refers to unique digital assets created using blockchain technology for standard-related projects and industries, including NFT underlying infrastructure, digital art collectibles, and industrialization projects of NFTs.	NFT Infrastructure: Trading / Lending Platforms NFT + Art Projects Related Tokens NFT Industrialization Projects: Entertainment / Music / Multimedia
SocialFi	Refers to platforms or projects that combine social networking features with decentralized finance (DeFi), aiming to create a transparent, decentralized social network and economic system through blockchain technology.	Social Platform Tokens Tokens with Social + Financial Incentives Social Networking Middleware Personal Tokens

Index Constituent Selection

Constituent token selection may adhere to the following guidelines.

Listing Duration Requirement

Constituent tokens must be listed and actively traded on a qualified exchange for a specified minimum period.

Market Cap Requirement

• Market Cap Ranking: Eligible tokens are ranked by 30-day average market capitalization (in USD), in descending order, with an option to limit the ranking range.

• Market Cap Test: The 30-day average is used, and if the average exceeds a specified threshold, the token is considered to have passed the Market Cap test.

FDV Requirement

• FDV Ranking: Fully Diluted Valuation (FDV) represents the total value of a token’s maximum supply, calculated by multiplying the current price by the total number of tokens that could ever exist, including those not yet in circulation. Eligible tokens are ranked by 30-day average FDV (in USD), in descending order, with an option to limit the ranking range.

Liquidity Requirement

• Trading Volume Ranking：Eligible tokens are ranked by 30-day average trading volume (in USD), in descending order, with an option to limit the ranking range.

• Circulation Test: The circulation ratio is calculated by dividing the token's freely circulating supply by its total supply, measured at 00:00 (UTC). The 30-day average is used, and if the average exceeds a specified threshold, the token is considered to have passed the circulation test.

• Turnover Rate Test: The daily turnover rate is calculated by dividing the 24-hour trading volume (from 00:00 to 24:00, UTC) by the freely circulating supply. The 30-day average is used, and if the average exceeds a specified threshold, the token is considered to have passed the turnover rate test.

Blacklist

A defined set of blacklisted tokens may be designated, excluding them from eligibility for inclusion in the index.

Constituent Selection

Eligible tokens will be ranked by their 30-day average circulating market value in descending order, with a specified number being selected. If two tokens have the same average circulating market value, the token with the higher 30-day average trading volume will be chosen.

Index Weighting & Calculations

Weighting

All constituent tokens are weighted according to their Market Cap

Calculation

Let $P_i$ be the market price of the $i^{th}$token, $S_i$ be its circulating supply, and $N$ be the total number of tokens in the Index. Then, the Market Cap $M_i$ of the $i^{th}$ token is calculated as:

$M_i = P_i \times S_i$

Let $T$ be the total Market Cap, calculated as:

$T = \sum_{i}^n M_i$

Then, the original weight $W'_i$ of the $i^{th}$ token in the Index is calculated as:

$W'_i = \frac { M_i} { T }$ Define the price change rate $R'_i$ as:

$R_{i,t} = \frac { P_{i,t} }{ P_{i,0}}$

where:

$P_{i,t}$ is the price of constituent token $i$ on day $t$

$P_{i,0}$ is the price of constituent token $i$ at the base period

Calculate the overall Index's weighted price change rate $R_{weighted,t}$ as:

$R_{weighted,t} = \sum_{i}^n ( W_{i,0} \times R_{i,t})$

Here, $W_{i,0}$ is the weight of constituent token $i$ at the base period.

Calculate the value of day $t$ as:

$M_i = P_i \times S_i$

Consituent Pricing

For the calculation of index weightings, the price of the constituent tokens at UTC 24:00 on the Adjustment Reference Date will be used.

Pricing Input Source

Real-time pricing data for index calculation is sourced from SoSoValue. Data is retrieved at fixed intervals every second.

Data Input Source

Data used in index calculations is accessed through SoSoValue. The data is obtained during the rebalancing reference date of each month and utilized during the monthly rebalancing review.

Capped Market Cap Index Calculation

For the Capped Market Cap Index Calculation, the indices initiate allocation weight assignments based on the blended Market Cap of each respective token reflected on the rebalancing reference date. Subsequently, a weight control mechanism is introduced, which limits the allocation weight of the largest constituent to a predetermined percentage, which differs between indices. The excess weight is distributed proportionately among the remaining index constituents. During this distribution process, a rule is enforced to ensure that subsequent allocation weights do not surpass the size of prior allocation weights, with the weighting process occurring in descending order of market capitalization.

Index Maintenance

Index Reconstitution & Rebalancing

Rebalancing

The Index undergoes rebalancing each month, which may include changes to its constituent tokens and the recalculation of weightings based on the latest list of constituent tokens and their most recent circulating market values.

The new constituent tokens and their weights will be determined on the fifth-to-last calendar day of the current month, designated as the Adjustment Reference Date.

The new constituent tokens and their weights will be implemented and announced by the first calendar day of the following month, designated as the Adjustment Implementation & Announcement Date.

Additions and Deletions

Re-ranking of the constituent tokens from each sector based on the latest Market Cap.

Existing constituent tokens ranked below the lower threshold will be removed from the index, while non-constituent tokens must rank reach or exceed the upper threshold to be included.

For indices with a fixed number of constituent tokens, if the number of tokens added exceeds the number removed, the lowest-ranked constituent token will be removed. Conversely, if the number of tokens removed exceeds the number added, the highest-ranked non-constituent token will be included.

Protocol Forks

Protocol forks occur when validators or miners disagree on the fundamental architecture, leading to the creation of multiple separate networks. These forks are not adjusted during the interim rebalancing process. Consequently, all these separate networks become part of the index, resulting in an increased number of constituents compared to the index before the protocol fork took effect.However, during the scheduled rebalancing date, the standard procedure for determining weights is implemented. This process decides which tokens are included in the index, effectively restoring the index to its original number of constituents prior to the protocol fork.Based on industry consensus, new protocols might be excluded from the index.

Data Management

The indices are calculated at fixed intervals of 1 second. Real-time indices rely on continuous streaming of input data, and any interruptions or delays in data reception can impact the precision of real-time index levels.

Base Data and History Availability

• Base Date: 2024.01.11

• Base Value: 10

• Index Currency: USD

Methodology Review & Governance

Methodology Revisions

By default, rules cannot be modified once created. Any adjustments require an application process. If the application for adjustments is approved, changes can only be made within 3 days following the Rebalance implementation date. Once adjustments are made, a public announcement will be issued to users, and the changes will take effect on the next Rebalance date.

Index Change Announcements

Index change announcements entail events that impact various aspects of index construction, administration, and maintenance. They will be updated monthly and published on the official website (https://ssi.sosovalue.com/) on the Announcement Date.

Index Termination

Index termination requires an application, which must be reviewed and approved prior to termination.

Index Oversight Committee

The final determinations regarding modifications to index methodologies are exclusively made by SoSoValue through Index Oversight Committee. Any modifications to the index methodologies, if implemented, are publicly announced well in advance to ensure equitable access to this information by all market participants.

Appendix 1: Document Revision History

Timing	Description
2024/12/24	Initial version. Members of the public are invited to review and provide their feedback on the document.

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