The full methodology for the TLS index

Any token included in the index must meet all the criteria below.

Project and token characteristics

  1. The token should be listed on CoinGecko with pricing data spanning at least 1 month prior to the date of inclusion in the index.

  2. No rebasing tokens, the staking yield should accrue to the token's price.

  3. The token should be 100% collateralised by the underlying assets.

Pricing requirements

  1. Token should have a reliable price feed from one of our authorised providers.

Liquidity Requirements

  1. The token must be listed on a supported exchange on a supported chain.

  2. The price should experience no more than 5% price impact when executing a $100k trade.

Security Requirements

  1. The project must have been audited by smart contract security professionals with the audit report(s) publicly available. Alternatively, the protocol must have been operating long enough to create a consensus about its safety.

Weighting requirements

  1. Each token is weighted according to its market cap.

  2. The maximum weight any one token can have is 15%.

  3. All excess weight is proportionally redistributed to all uncapped tokens. After this has been completed, if another token now exceeds the maximum weight the excess will be redistributed to the remaining uncapped tokens. This process will occur iteratively until there are no tokens that exceed the maximum weight.

  4. Any asset with a weight below 0.5% will be removed from the index.

Index maintenance


TLS is rebalanced quarterly, on the third Friday of March, June, September, and December.

Investment cycles

The index allows a maximum reserve weight of 4.99%. If the reserve is worth 5% or greater it will be traded for the constituents assets. This is to ensure we minimise the tracking error caused by having a reserve. As the index scales we will reduce the maximum reserve weight.


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