ℓDEFI Monthly rebalancing

ℓDEFI Monthly rebalancing

Jul 7, 2021 · 2 min read · cat

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Dear Linear Community,

On June 17 Linear were pleased to announce the listing of the DEFI index on Linear.Exchange, allowing token holders to collectively invest in blue-chip DeFi tokens such as Chainlink’s LINK, Maker (MKR), Aave, Uniswap’s UNI, Yearn.finance (YFI), Compound’s COMP, Synthetix (SNX) and SushiSwap (SUSHI), and high-growth projects including UMA, Ren, Loopring (LRC), Balancer (BAL), pNetwork (PNT) and Enzyme (MLN).

The DEFI index, curated by financial experts from the PieDAO community, will follow a monthly rebalancing schedule. As we’ve started a new month it’s time to provide the updated allocations of the index.

The process of rebalancing can be simplified into the following steps:

PieDAO provides Linear with the current month’s weightings in spreadsheet format → Linear provides its Oracle partners the spreadsheet → the Oracle partners provide Linear with the updated price data feed for DEFI.

The table and pie chart below shows the resulting percentage allocations which were computed by adjusting the average market cap of all underlying's over the past 30 days.

The allocation methodology PieDAO follows when constructing indexes can be summarized in a tagline as Correlated Risk-Adjusted Market Cap.

As soon as consensus is reached around a shortlist of underlying assets, the Pie modelling follows the steps below:

  1. Computing the 30 Day Average Circulating Market Cap for each underlying asset.
  2. Considering this 30d Market Cap to weight in each asset allocation, applying a max % Cap to their allocation (exceeding allocation would be iteratively redistributed among other assets)
  3. Computing the number of tokens constituting the index for each asset as a function of its live price (Coingecko price feed), and its resulting Overall Weight allocation.

*While DEFI is made up of the same constituents as PieDAO’s DEFI++, it should be noted that DEFI is rebalanced monthly, whereas DEFI++ is updated on a more community demanded approach, i.e. not following a specific rebalancing schedule, therefore we will get an interesting benchmark between the two indexes.

For full details on how PieDAO construct their indexes, this medium post is an excellent read:


We look forward to providing you with the next update in a month.

Kind regards,

Linear Team

About Linear Finance

Linear Finance is a cross-chain compatible, decentralized delta-one asset protocol that allows users to get synthetic exposure to various assets, including cryptocurrency, commodities, and market indices. Users can utilize our cross-chain swap functionality to instantly swap assets across leading blockchain environments and DeFi protocols with unlimited liquidity and zero slippage.

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