Upbit Index Laboratory
UBMI (Upbit Market Index) Methodology Book version 1.1
Upbit Market Index (UBMI) is
The structure of indexes that comprise digital assets listed on Upbit Exchange and is calculated in
real time. It is designed to calculate the indexes that represent the digital asset market using the
transaction data of the digital assets listed on the Exchange. It is announced on the Upbit Index
page (https://ubcindex.com) daily and in real time.
Methodology and rules | Upbit Index Laboratory
목차 1. Index Overview ...... 3
1.1 Composition Structure ...... 4
1.2 List of Indexes ...... 5
2. Composite Market Index ...... 6
2.1 Index Components ...... 8
2.2 Weighting Method ...... 9
2.3 Price and Circulating Supply ...... 10
Price ...... 10
Criculating Supply ...... 10
2.4 Effective Date and Calculation Time of Index ...... 12
UBMI ...... 12
UBAI ...... 12
2.5 Index Rebalancing and Addition and Deletion of Constituents ...... 13
3. Composite Market Index Calculation Methodology ...... 15
3.1 Index Calculation Equation ...... 15
3.2 Addition of New Constituents ...... 16
3.3 Deletion of Index Constituents ...... 18
3.4 Index Maintenance ...... 19
3.5 UBAI ...... 22
3.5 UBMI.ST, UBAI.ST ...... 22
4. General Market Index ...... 23
4.1 Characteristics of General Market Index ...... 25
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4.2 Selection of Constituents and Rebalancing ...... 26
4.3 Calculation of AF (weighting) ...... 28
4.4 Price and Circulating Supply ...... 29
Price ...... 29
4.5 Effective Dates of Indexes ...... 30
5. General Market Index Calculation Methodology ...... 31
5.1 Index Calculation Equation ...... 31
5.2 Adjustment of Base Market Capitalization ...... 32
5.3 Addition/deletion of Constituents ...... 34
5.4 Index Maintenance ...... 34
5.5 Notification and Limitation ...... 34
6. Legal notice of UBCI ...... 35
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Methodology and rules | Upbit Index Laboratory
1. Index Overview
Upbit Crypto Index (UBCI) is the structure of indexes which are calculated and provided by Upbit,
Korea’s representative digital asset exchange. It suggests a standard for the digital asset market and offers a quick look at the trends of the market through diverse indexes.
The structure of the Upbit Crypto Index consists of four upper categories, and the purposes of calculating sub-indexes are as follows:
Upper Purposes of calculating indexes categories
Market Index Providing the standard indexes that represent the market
Theme Index Providing the indexes for theme investments UBCI Strategic Index Providing the indexes for strategic/quantitative investments
Reference Providing underlying indexes for the representative prices of digital assets Index and derivative products
Upbit Market Index is one of the representative index series of UBCI, which is calculated for digital assets listed on Upbit Exchange KRW transaction market. It is the index group weighted by free float market capitalization and designed to index the overall movements of the market.
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1.1 Composition Structure
Upbit Market Index comprises these two mid-level categories to reflect and index the overall movements of the digital asset market. It serves as a benchmark for reflecting the characteristics of the market and for comparing the performances of investments into digital assets.
1. Composite Market Index
This index is designed to represent the overall movements of the market and fluctuations
in the aggregate market capitalization of digital assets listed on Korean Won market. The
Composite Market Index encompasses all digital assets listed within the designated market
and is designed to represent the movements of the entire market. The index is calculated
by using a market capitalization weighting method. The total free float1 of digital assets
that fluctuates due to mining and other factors is updated on a daily basis.
2. General Market Index
This index is designed to track down and index the performances of actual investments in
digital assets in consideration of the convenience and traceability of investment
management by general passive investors. The General Market Index comprises digital
assets which satisfy certain conditions and is designed as a tool for supporting actual
investments or analyzing the returns on such investments. The index is calculated either by
the market capitalization weighting method or by the equal weighting method. The total
circulating supply of the digital assets is updated on a bi-annual basis2 for the convenience
of operating the index.
1 Public float can be freely traded in the market. Please refer to 2.3 Circulating Supply. 2 It is updated as of the second business day of every January and July. Please refer to 4.2 Circulating Supply of General Market Index.
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1.2 List of Indexes
Under Upbit Market Index, a variety of indexes are produced according to the characteristics of the market and their calculation purposes. Currently, Upbit calculates and announces two types of the
Composite Market Index that represent the entire Korean Won market and three types of the
General Market Index that represent the general market.
The two types of the Composite Market Index (UBMI, UBAI) are additionally announced on a BTC basis (Satoshi Scale) to be used as a global reference price. The values of the Composite Market
Index are converted into BTC and announced on a BTC basis to offset inter-country premiums3 caused by the peculiarities of the Korean won, which is the legal tender within the exchange, and to use the calculated index as the global reference price.
The mid-level classification, names, denominated currency, and market domain of the individual indexes are as follows:
Classification Names Denominated Market domain currency4
Upbit Market Index (UBMI) KRW All digital assets5
Upbit Altcoin Market Index (UBAI) KRW All digital assets other than BTC Composite Market Index Upbit Market Index (BTC Quote) BTC Same as the existing index (or all digital (UBMI.ST) (satoshi) assets)
Upbit Altcoin Market Index (BTC BTC Same as the existing index (All digital Quote) (UBAI.ST) (satoshi) assets other than BTC)
Upbit Top 10 Index Top 10 digital assets by market KRW (UTTI) capitalization
General Market Upbit Top 10 Equal Weight Index Top 10 digital assets by market KRW Index (UTTI.EW) capitalization
Upbit Top 30 Index Top 30 digital assets by market KRW (UTHI) capitalization
3 These refer to differences between prices of a digital asset caused by strict foreign exchange regulations in Korea and the difficulty foreigners experience in accessing the digital asset for investments. This is often expressed in special terms, such as “kimchi premium” and “Korea premium.” 4 It is the denominated currency of market capitalization of the index. 5 These mean all digital assets being traded on the Korean won market
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2. Composite Market Index
Composite Market Index is one of the mid-level categories of UBCI and is Upbit’s representative index, and it is calculated by considering all digital assets listed on the KRW transaction market.
UBMI and UBAI are calculated via the composite market index methodology.
Upbit Market Index (UBMI)
UBMI includes all digital assets whose transactions are supported by Korean Won market(https://www.upbit.com/exchange). It is designed to index and offer an understanding of changes in the market capitalizations of all listed digital assets and market movements. The index is calculated by the market capitalization weighting method, and announced and calculated in real time.
Upbit Altcoin Market Index (UBAI)
BTC, the digital asset with the largest market capitalization and proportion in the digital asset market, has a profound impact on the market. UBAI is designed to clearly observe and index the market movements and changes of alt coins other than BTC to resolve Bitcoin Dominance. The index is calculated by the market capitalization weighting method, and announced and calculated in real time.
Bitcoin Quote Index (UBMI.ST, UBAI.ST)
Both UBMI and UBAI are calculated in Korean won. However, there are differences in the prices of digital assets due to the legal currency pair used by each digital asset exchange. The standard currency pair has such a large impact on the market. It therefore significantly distorts the market, so terms have been established to indicate premiums between exchanges/countries.
To address these problems, Upbit converts and offers UBMI and UBAI on a BTC basis to allow other exchanges and countries to easily check and convert the indexes. The values of the indexes
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Methodology and rules | Upbit Index Laboratory converted into BTC fluctuate based on BTC prices. Changes in the market capitalization of the entire digital asset market are calculated and announced in Satoshi Scale, which is a standard unit for BTC.
The index calculation methodology is the same as that for UBMI and UBAI.
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2.1 Index Components
UBMI
UBMI is calculated for all digital assets which are listed in the Korean won market. Whether a newly listed digital asset should be added to the index or a delisted digital asset should be deleted from the index will be determined in accordance with separate regulations (3.2 or 3.3).
Although new digital assets are created for the owners of existing digital assets as a result of airdrops or hard forks, such new digital assets are not immediately included in UBMI. Only digital assets which meet the conditions under Upbit’s Policy for Supporting Transactions and pass Upbit’s evaluations are added to the index. Prior to their addition to the index, the digital assets are evaluated and classified under the Upbit Digital Asset Classification and Evaluation Structure.
If any digital assets, which are newly created or distributed via hard forks or airdrops, are newly listed or already listed on Upbit Exchange, in principle, then Upbit’s Policy will apply to the changes in the constituents of the index.6
UBAI
UBAI is calculated for all digital assets, other than BTC, among those listed in the Korean won market. The detailed regulation on calculating the index is the same as that applied to UBMI.
6 Please refer to 3.4. Index Maintenance.
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2.2 Weighting Method
Composite Market Index is calculated by the weighting method. An individual digital asset has the same proportion in the index as its market capitalization in the aggregate market capitalization of all digital assets listed on Upbit.
The free float market capitalization method that uses the circulating supply of digital assets other than those safe-kept or actually not in circulation is applied. The price and circulating supply of an individual digital asset are determined and managed using the methods stipulated in 2.3 Price and
Circulating Supply.
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2.3 Price and Circulating Supply
Price
The prices of digital assets which are used in calculating indexes are determined in accordance with the following criteria:
Digital assets which are listed in both the Korean won transaction market: Recently traded
KRW-denominated prices
If the calculation of prices is suspended due to computer failures, then the latest prices available will be used. If transactions are normally processed after recovering from the failure, then the recent prices will be used.
Criculating Supply
The free float market capitalization method that uses the circulating supply of digital assets which are actually in circulation is applied. The average value of the circulating supply of digital assets which is obtained from multiple trustworthy data sources is used in this method. The approximate values of the quantities of digital assets, which are tradable in the market and actually circulated, is used as their circulating supply. The following data sources are used to estimate the circulating supply of digital assets.:
- Trustworthy counting organization : Cryptocurrency Market Capitalizations7
- Blockchain network nodes of digital assets
- Official pages of digital assets
In principle, the circulating supply of a digital asset is estimated at its total quantity issued up to date, less the retired or safe-kept quantity, which can have an impact on general investors and the market. The circulating supply of a digital asset is updated at 12:00 a.m. midnight UTC+0 every day
(9:00 a.m. KST). The daily value of the circulating supply is adjusted after reflecting the quantity
7 https://coinmarketcap.com/
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Methodology and rules | Upbit Index Laboratory issued two business days before (D+2) and events from the counting organization or data sources.
This value is then applied to the calculation of the index until the next business date (D+1). The events affecting the adjustment of circulating supply are as follows:
[Factors causing increases]
- Increases due to mining of digital assets/rewards from blockchain networks -Issuance of
additional digital assets
- Release of the quantity in escrow (being safe-kept)
[Factors causing decreases]
- Decreases due to events, such as burn, retirement
- Designation of the quantity in escrow (being safe-kept)
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2.4 Effective Date and Calculation Time of Index
UBMI
The effective date of UBMI is October 1, 2017 and its calculation is made as if 12:00 a.m. midnight
(UTC+0). The base value of the index is 1,000, and the index uses the KRW-denominated market capitalization of constituents composing the index as of its effective date as the base market capitalization.
UBAI
The effective date of UBAI is October 1, 2017 and its calculation is made as of 12:00 a.m. midnight
(UTC+0). The base value of the index is 1,000, and the index uses the KRW-denominated market capitalization of constituents composing the index as of its effective date as the base market capitalization.
Calculation Time
The index is calculated in real time continuously from 12:00 a.m. midnight to 24:00 (UTC+0) (9:00 a.m.~9:00 a.m. on the following day, KST) every day from Monday to Sunday.
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2.5 Index Rebalancing and Addition and Deletion of Constituents
In principle, UBMI and UBAI are calculated by including all digital assets listed on Korean Won market. The composition of these indexes is changed on a daily basis, and their constituent changes and adjustment of their circulating supply are made at 12:00 a.m. midnight (UTC+0) (9:00 a.m.
KST).
Constituents that are newly listed on Upbit Exchange are first included in a group of candidates for addition and then added to the index. Constituents whose transactions are suspended or delisted on the exchange are first included in a group of candidates for deletion upon announcement of such suspension or delisting, and then they are deleted from the index.
Index Constituent Additions
Digital assets which are newly listed will stay in a group of candidates for addition to the index for seven days to protect against abrupt price fluctuations caused by listing and secure liquidity. Such digital assets are added to the index constituents as of 12:00 a.m. midnight (UTC+0 on the following day) seven days after the time of listing. If digital assets which were listed on the BTC market only become listed on the KRW transaction market, such digital assets are handled as per
“2.3 Price and Circulating Supply.”
Index Constituent Deletions
Digital assets whose transactions the exchange has decided not to support or which have had delisting events are included in a group of candidates for deletion from the index from the time when related announcements are made. Index constituent deletions are made at 12:00 a.m. midnight (UTC+0), the closest to the time before such transactions are supposed to be ceased.
Digital assets whose transactions are ceased on the KRW transaction market are deleted from the index.
If any extraordinary matters other than those indicated above arise, then such matters shall be dealt
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Methodology and rules | Upbit Index Laboratory with in accordance with 3.4 Index Maintenance.
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3. Composite Market Index Calculation Methodology
Except when separate extraordinary matters arise, UBMI and UBAI under Composite Market Index are calculated under the following method. The base value of the indexes is 1000.00 pt., and their values are rounded off to the nearest tenths place.
The circulating supply of digital assets comprising the Composite Market Index is updated on a daily basis, with increases/decreases in the circulating supply causing changes in the index. As the
Composite Market Index aims to reflect and index changes in the market capitalization of the entire market, changes in circulating supply are considered changes in the market. This does not lead to the adjustment of the index, unlike indexes in the general stock market8.
3.1 Index Calculation Equation
UBMI is calculated by dividing the aggregate market capitalization of all digital assets listed on
Upbit Exchange Korean Won market by the base market capitalization of the index and then multiplying the resultant figure by 1,000.
i : constituent included in the index t : time of calculating the index
���� : value of UMBI at the time of t
� , : price of i constituent traded on Upbit at the time of t (KRW-denominated)
9 � , : circulating supply of i constituent at the time of t*
8 As for indexes on the stock market, if additional shares are listed due to corporate actions, then the base market capitalization is adjusted according to changes in the total number of listed shares. (However, different methods are applied depending on the types of corporate actions) 9 This is calculated by the method indicated in 2.3 Price and Circulating Supply.
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� : base market capitalization of UBCI at the time of t
The index is calculated as of 12:00 a.m. midnight (UTC +0).
3.2 Addition of New Constituents
UBCI is calculated for all digital assets in the Korean Won market. When a new constituent is added to the index, the index’s market capitalization significantly increases. Therefore, for the sake of the continuity of index calculation, the base market capitalization of the index at the time of addition of the new constituent is raised by the following method to ensure that the value of the index does not fluctuate due to the addition of the new constituent.
� : UBMI’s base market capitalization at the time of t (prior to addition of a new constituent)
� : UBMI’s base market capitalization at the time of t+1 (subsequent to addition of a new constituent)
� : price of the newly added constituent at the time of addition
� : circulating supply of the newly added constituent at the time of addition
Addition of newly listed constituents
As constituents newly listed on Upbit Exchange generally cause excessive volatility right after their listing, they are first registered as a group of candidates for addition without immediately being added to the index to secure the stability of the index. Such constituents are added to the index as of 12:00 a.m. midnight (UTC+0), the reference time for calculating the index, at least seven days after their listing.
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Addition of existing constituents
If constituents which have been traded are added to the index due to separate reasons other than new listing, then they are added to the index as of 12:00 a.m. midnight (UTC+0), the reference time for calculating the index.
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3.3 Deletion of Index Constituents
Constituents whose transactions Upbit has decided not to support or which have failed to meet the requirements of the index are deleted from the index as of 12:00 a.m. midnight (UTC+0), the reference time for calculating the index. The index’s base market capitalization is adjusted as follows to ensure the continuity of index calculation, similarly to the addition of new constituents to the index.
� : UBMI’s base market capitalization at the time of t (prior to deletion)
� : UBMI’s base market capitalization at the time of t+1 (subsequent to deletion)
� : price of the deleted constituent at the time of deletion
� : the circulating supply of the deleted constituent at the time of deletion
Deletion due to delisting/ceased transactions
If it is announced that digital assets will be delisted or Upbit will cease to support their transactions, then such digital assets are registered as a group of candidates for deletion at the time of the announcement. Such digital assets (constituents) are deleted from the index at their price as of
12:00 a.m. midnight (UTC+0:00), near the time closest before such delisting or cessation of their transactions are made.
Deletion of general constituents
Deletion of general constituents due to index constituent changes other than the cessation of their transactions will be made at 12:00 a.m. midnight (UTC+0), the reference time of calculating the index.
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3.4 Index Maintenance
If any event occurs to UBMI’s constituents or any failure related to the calculation of the index occurs, then the index is maintained as follows to ensure the continuity of the index and the stability of the calculation. In principle, the index is handled under Upbit’s Handling Guideline. If additional discussions and decisions are required, then the index is calculated, recalculated, and specially changed according to the recommendations and decisions of the Index Committee.
Suspension of transaction/Price Stabilization System
If transactions are suspended by computer failures or natural disasters or any disruptions occur to the calculation of prices, then the prices normally calculated before the suspension will be used as the last prices. Later, the prices calculated from the point of time when transactions are normally resumed due to the recovery from IT failures will be used for the calculation of the index. If the price stabilization system is operated, then the prices calculated after the point of normalization will be used for the calculation of the index.
Hard Fork, split and extinction of chains
In principle, if new digital assets are created due to hard fork or other reasons or the blockchains of existing digital assets are separated, then the main chains will remain in the index. Upbit
Exchange will make decisions on which chains are the main chains, and separated chains will not be considered in the index. However, exceptions will be made under the recommendations of the
Index Committee, depending on the magnitude and severity of events.
In the event of re-organization or extinction of chains, the data used in the index shall be handled based on blockchain nodes within Upbit and in accordance with Upbit’s decisions.
Airdrops or automated distribution
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In principle, UBCI produces price return indexes. In principle, airdrops or automated distribution will not be considered in the calculation of the index10. However, exceptions will be made to the above rule according to the magnitude and severity of events.
Revision of data and recalculation of Index
If obviously wrong underlying data are inputted to be used for the calculation of the index or there is an error in the calculation of the index, then the index may be recalculated and applied retroactively. However, if such an error is severe and the extensive parts of the index should be recalculated, then the retroactive application of the index will be made after the decision of the
Index Committee. The details of the retroactive application or recalculation of the index are announced on UBCI’s homepage.
Revision of calculation methodology
UBCI may change and update its calculation methodology due to changes in the market environment to achieve its original purpose. To effectuate the changed or updated methodology, an announcement and a notice of such effectuation will be made on UBCI’s homepage. The index will be calculated via the revised methodology after its scheduled effective date. The notification of the change or update of the methodology may be made after going through the review of the
Index Committee.
Special change to the index
If the trustworthiness of the index’s constituents is eroded11 or other emergencies occur, then special changes may be made to the index under the approval of the Index Committee. In principle, if the cessation of transactions, delisting, or other events that may affect the trustworthiness and
10 If the circulating supply of an already listed digital asset is changed due to airdrops, then the change in the circulating supply caused by the airdrops affects the index through composite market index methodology. 11 Due to illegal acts, fraud, or hacking of chains
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3.5 UBAI
UBAI is calculated by using the same methodology as the one applied to UBMI. Except for the fact that BTC is not included in the UBAI’s constituents, its remaining calculation methodology is the same as the one applied to UBMI.
3.5 UBMI.ST, UBAI.ST
UBAI is calculated by dividing the values of UBMI and UBAI by BTC price at the time of calculating the index. The index calculation methodology is the same as the one applied to UBMI, except for the conversion into BTC price.
����. �� : value of UBMI converted to BTC at the time of t
���� : t value of UBMI at the time of t
� , : price of BTC traded on Upbit at the beginning point of UBMI (KRW/BTC)
� , : price of BTC traded on Upbit at the time of t (KRW/BTC)
If any disruptions are made to the calculation of BTC price, due to the suspension of transactions/the operation of the price stabilization system, then UBAI will continue to be calculated via the methodology indicated in 3.4 Index Maintenance.
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4. General Market Index
General Market Index is one of the mid-level categories under UBCI and is calculated by selecting digital assets which meet certain conditions among those listed on Upbit Exchange as its constituents. Under the General Market Index are Upbit Top 10 Index, Upbit Top 10 Equal Weighted, and Upbit Top 30 Index, which comprise the top 10 or top 30 digital assets by market capitalization and can thus represent the market.
All indexes are calculated and announced in real time.
Upbit Top 10 Index : UTTI
UTTI is the index that includes the top 10 digital assets by market capitalization as its constituents among all digital assets whose transactions are supported by Upbit Exchange Korean Won market
(https://www.upbit.com/exchange). The index is calculated by selecting the constituents that can represent the market and via the market capitalization weighting method. It is calculated by the general market index methodology.
Upbit Top 10 Index equal weighted : UTTI.EW
UTTI is the index that includes the top 10 digital assets by market capitalization on an equal proportion as its constituents among all digital assets whose transactions are supported by Upbit
Exchange Korean Won market (https://www.upbit.com/exchange). The index is calculated by including the constituents representing the market, but the index equally invests in the digital assets without concentrating on individual digital assets. The index is calculated by the equal weighted method and by the general market index methodology.
업비트 Top 30 지수(Upbit Top 30 Index:UTHI)
UTHI is the index that includes the top 30 digital assets by market capitalization as its constituents among all digital assets whose transactions are supported by Upbit Exchange Korean Won market
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(https://www.upbit.com/exchange). The index is calculated by selecting the constituents that can represent the market but encompasses a broader range of the constituents than UTTI. It is calculated by the market capitalization weighting method and by the general market index methodology.
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4.1 Characteristics of General Market Index
General Market Index is designed to show the performances and traceability of investments made by general and passive investors. It is designed to focus on the actual management and traceability of investments, rather than to reflect the overall performance of the market, and to serve as a benchmark for general investors. To achieve the above purposes, General Market Index has the following three characteristics:
Fixed circulating supply
The circulating supply of digital assets, such as BTC and Ethereum, tend to continue to increase due to issuance/mining. General and passive investors have difficulty in perfectly tracing fluctuations in the circulating supply of digital assets. To resolve this difficulty, the circulating supply of digital assets included in General Market Index is updated twice each year. The index is calculated by fixing the circulating supply of an individual digital asset for six months.
Adjustment of index (adjustment to base market capitalization)
Unlike Composite Market Index, which considers circulating supply changes as changes in the market, General Market Index considers only price changes to be changes in the market. The index is calculated by considering market changes that are meaningful for investors, not all changes in the entire market. Accordingly, the index’s base market capitalization is adjusted to prevent updates in circulating supply from changing the index.
Index rebalancing (change of constituents)
Unlike Composite Market Index, which aims to encompass all digital assets in the market, General
Market Index selects digital assets that meet certain conditions as its constituents. The constituents of the index are replaced on a certain cycle, which is called index rebalancing.
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Index rebalancing is made by evaluating the characteristics of listed digital assets as of the review date and then deciding which digital assets will be included in the index. Later, the replacement of the index’s constituents and rebalancing of the index are made as of the effective date. In principle, the first day of each month will be the review date for index rebalancing, and the second day of each month will be the effective date for index rebalancing. For index rebalancing, the index’s base market capitalization is adjusted to prevent the replacement of the index’s constituents or index rebalancing from affecting the value of the index.
4.2 Selection of Constituents and Rebalancing
Constituents of General Market Index are replaced for each rebalancing cycle. The procedure for selecting constituents to be included in the index is divided into the following four sub-procedures.
General Market Index under UBCI rebalances and selects constituents on the first day of each month as of the review date and on the second day of each month as the effective date.
Basic universe: The digital assets which meet the following conditions are selected among those listed on Upbit Exchange.
- Digital assets traded in the KRW transaction market (seven days should pass after their
listing)
- Digital assets whose transactions are normally supported by Upbit Exchange
- Excludes digital assets whose transactions Upbit has decided not to support and which
will be delisted according to Upbit’s announcement
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- Excludes digital assets which require investor protection due to serious network failures or
separate issues
Selection of constituents: The constituents which meet the requirements for addition to the index are selected as of the reference time (UTC+0 12:00 a.m. midnight) of the review date.
- Top 10, Top 10 equal weighting: Top 10 digital assets by market capitalization
(price*circulating supply) as of the review date
- Top 30: Top 30 digital assets by market capitalization as of the review date
Calculation of adjustment factor: Adjustment factor (AF) that determines the proportion of a digital asset to be added to the index is calculated as of the reference time of the review date.
- Top 10 equal weighting: Calculating AF which makes the proportion of constituents equal
based on market capitalization as of the review date12
- Top 10, Top 30: As they are the market capitalization weighting indexes, AF will be 1.
Index rebalancing: The index is rebalanced as of the effective date.
- Constituents are added.
- AF for each digital asset is changed.
- Constituents are concurrently added/deleted as of the reference time (UTC+0 12:00 a.m.
midnight) on the effective date.
12 For a detailed equation, refer to 4.3 Weighting Method.
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4.3 Calculation of AF (weighting)
Unlike Composite Market Index which reflects the proportions of market capitalizations of all digital assets on an “as they are” basis, General Market Index determines the proportions of its constituents by reflecting AF. The proportion of a certain constituent in the index using AF can be expressed as follows:
i : constituent included in the index t : time of calculating the index
����ℎ�( , ): proportion of i constituent at the time of t
�� : AF of i constituent
� , : price of i constituent traded on Upbit at the time of t (converted into KRW)
13 � , : circulating supply of i constituent at the time of t
Market capitalization weighting method
AF is 1 for calculating the market capitalization weighted index.
Equal weighting method
AF for a digital asset comprising the equal weighted index will be determined by using price (P) and circulating supply of such a digital asset as of the review date, based on the following equation14:
13 It is fixed for six periods for General Market Index. 14 i will be determined based on selected constituents (to be reflected in the next index balancing).
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4.4 Price and Circulating Supply
Price
Price is calculated by using the same methodology as the one applied to Composite Market Index.
Circulating supply
General Market Index estimates circulating supply, based on the same methodology as the one applied to Composite Market Index. The circulating supply of a digital asset comprising an index is updated every six months for the convenience of the index’s operation. The index is calculated with the circulating supply being fixed for six months. The circulating supply to be used for the next half year is determined by reviews as of December 31 and June 30 of each year and reflected at the reference time of the date following each review date. If the circulating supply is not available to be secured on the above date, the most recent value after aforementioned date will be used.
In case of a change in the circulating supply of a digital asset comprising an index, the digital asset’s base market capitalization is adjusted to prevent the changed circulating supply from affecting the return rate of the index.15
15 For details, refer to 5.2 Adjustment to Base Market Capitalization.
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4.5 Effective Dates of Indexes
UTTI
The effective date of UTTI is October 1, 2017, and its calculation is made at 12:00 a.m. midnight
(UTC+0). The base value of the index is 1,000, and the index uses the KRW-denominated market capitalization of constituents composing the index as of its effective date as the base market capitalization.
UTTI.EW
The effective date of UTTI.EW is October 1, 2017, and its calculation is made at 12:00 a.m. midnight (UTC+0). The base value of the index is 1,000, and the index uses the KRW-denominated market capitalization of constituents composing the index as of its effective date as the base market capitalization.
UTHI
The effective date of UTHI is October 1, 2017, and its calculation is made at 12:00 a.m. midnight
(UTC+0). The base value of the index is 1,000, and the index uses the KRW-denominated market capitalization of constituents composing the index as of its effective date as the base market capitalization.
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5. General Market Index Calculation Methodology
Unless extraordinary matters arise, UTTI, UTTI.EW, and UTHI under General Market Index are calculated by the following method. The base value of the indexes is 1000.00 pt., and the calculated values of the index are rounded off to the nearest tenths place.
General Market Index uses the fixed value of circulating supply for six months and adjusts its base market capitalization to prevent every update of the circulating supply from affecting the return rate of the index. Upon regular index rebalancing, the index’s base market capitalization is adjusted to maintain the continuity of the index.
5.1 Index Calculation Equation
UTTI is calculated by dividing the aggregate market capitalization of digital assets included in the index, multiplying by AF by the index’s current base market capitalization, and then multiplying the resultant figure by 1,000.
i : constituent included in the index t : time of calculating the index
UTTIt : value of UTTI at the time of t
16 AFI,t : AF for i constituent
Pi,t : price of i constituent traded on Upbit at the time of t (converted into KRW)
Si,t : circulating supply of i constituent at the time of t (fixed)
16 AF for the weighted average market capitalization index is equal to 1.
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Bt : UTTI’s base market capitalization at the time of t
The index is calculated as of 12:00 a.m. midnight (UTC 0).
5.2 Adjustment of Base Market Capitalization
Upon rebalancing of General Market Index, its base market capitalization is adjusted to prevent any change in its constituents or AF from affecting the return rate of the index. Likewise, if the circulating supply of existing digital assets composing the index is updated, then the index’s base market capitalization, which is the denominator (Divisor), is adjusted to prevent the change in the circulating supply from affecting the return rate of index. This adjustment makes changes in the index’s returns similar to the changes in a portfolio without the influx of additional funds. This greatly enhances the convenience of replicating the actual performances of general and passive investors.
The adjustment equation is as follows:
i : existing constituent included in the index j : constituent to be included in the index upon index rebalancing t : time of calculating the index
AFi,t : AF for i constituent (prior to rebalancing)
AFj,t+1 : AF for j constituent (subsequent to rebalancing)
Pi,t : price of i constituent traded on Upbit at the time of t (converted into KRW)
Pj,t : price of j constituent traded on Upbit at the time of t (converted into KRW)
Si,t : circulating supply of i constituent at the time of t (prior to update)
Sj,t : circulating supply of j constituent at the time of t (subsequent to update)
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Bt : UTTI’s base market capitalization before rebalancing
Bt+1: UTTI’s base market capitalization after rebalancing
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5.3 Addition/deletion of Constituents
The Composite Market Index’s constituent addition/deletion methodology applies to the addition/deletion of constituents to/from General Market Index, unless such addition/deletion is caused by any issues other than index rebalancing.
5.4 Index Maintenance
If any issue related to the calculation of General Market Index (events for constituents and disruptions to the calculation) arises, then the Composite Market Index’s maintenance methodology will apply.
In principle, Upbit’s handling guideline applies to the maintenance of General Market Index. If additional discussions and decisions are required for the handling of the index, then the index will be calculated and recalculated according to the recommendations and decisions of the Index
Committee.
5.5 Notification and Limitation
Calculation of indexes based on incorrect data, mistake during the reform process etc may be retroactively corrected after acquiring the verdict of the Index Committee. Corrections on indexes shall be notified through means such as the website of UBCI.
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6. Legal notice of UBCI
Dunamu Inc. owns the copyrights and other intellectual property rights to the UBCI index and related data (market price information, tickers, widgets, API and all content related to the foregoing) that are provided by it. It uses these rights for the purpose of providing information for users.
Users may only reproduce, distribute, quote, or display the UBCI Index and related data for non- profit purposes and shall indicate the source with the following:
"UBCI Index" Copyright 2016 Dunamu Inc. All rights reserved. Powered by Dunamu/Upbit
If users intend to revise and redistribute UBCI Index and the related data, then they shall obtain prior approval from Dunamu Inc.
Users may not, directly or indirectly, create or distribute swaps, futures, options, or other derivative products that are based on UBCI index or quote the index or financial instruments that rely on contracts, funds, or other joint investment instruments similar to the foregoing without prior written consent from Dunamu Inc.
UBCI Index and related data are provided on an "as they are" basis. Dunamu Inc. does not warrant the quality, accuracy and adequacy of UBCI Index and related data and there is an inevitable possibility of errors, omissions or delays in the information. Dunamu Inc. shall not compensate for any loss or damage caused by transactions or investments using UBCI Index and related data. In addition, Dunamu Inc. has neither legal obligation to engage in any legal dispute arising from services between users or between users and any third party nor legal liability in connection with the foregoing.
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Dunamu Inc. has the right to cancel the permission of the use of UBCI Index and related data and impose separate license fees, depending on the uses of UBCI Index and related data.
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