Indexology^® Blog

For more than a century, index providers have served a specific function in capital markets: define the standard, calculate the benchmark and the data, license the IP. The infrastructure was built for a world of market opens and closes, batch file delivery, and intermediated access. That infrastructure continues to work extraordinarily well.

But a parallel system is being built alongside it, and it operates on fundamentally different assumptions.

On-chain markets run 24/7. Settlement is programmable. Capital moves across protocols without intermediaries. Products that have no equivalent in traditional markets (perpetual futures without expiration, cross-chain margining, prediction markets scaling to billions in monthly volume) are being created and adopted at a pace that traditional market structure was never designed to match. Tokenized versions of traditional instruments (treasuries, credit, equities) are now accessible on-chain, reaching approximately $30 billion¹ and growing rapidly. These are not new asset classes. They are existing assets delivered through new, globally accessible, programmable infrastructure.

S&P Dow Jones Indices has created value by setting the benchmarks markets trust – through transparent methodologies, disciplined governance, and benchmark integrity that institutions rely on to allocate capital with confidence. That same value is now increasingly essential in DeFi, where market growth depends on trusted data, clear standards, and transparent infrastructure.

When spot crypto ETFs launched in the U.S., the benchmarks behind them came from crypto-native providers, not from traditional index firms. Those providers built real-time calculation capability, secured regulatory standing, and locked in relationships with ETF issuers while most of us were still evaluating the space. That is a competitive fact worth acknowledging, not explaining away.

However, the next wave of on-chain financial products will need index standards for asset classes that don’t yet have them: DeFi protocol benchmarks, tokenized equity indices, on-chain structured products. And they will need those standards from providers with the governance, methodology, and institutional credibility that this industry was built on. That is where traditional index providers can meaningfully progress the industry, if we move with intention.

Moving with intention means three things.

First, it means becoming a participant in on-chain infrastructure, not just a licensor to it. Publishing index data through oracle networks. Running validators. Understanding staking not as a speculative activity but as a utility that generates data, connectivity, and credibility within protocol ecosystems. This is unfamiliar territory for the traditional index industry. It requires new models, not the abandonment of old principles.

Second, it means building technology that meets markets where they are. End-of-day batch calculation served a world that closed at 4PM. On-chain markets never close. Real-time, continuous, API-native data delivery is not a feature request. It is the minimum viable infrastructure for credibility.

Third, it means recognizing that standards lock in early. The index methodologies embedded in smart contracts and DeFi protocols today will be the defaults that institutional capital builds on tomorrow. Waiting for the market to mature before engaging is a strategy for irrelevance. The S&P 500^® became the global equity benchmark not only because it was the best U.S. large cap equity index when passive investing scaled. But also, because it was already the standard.

The same dynamic is playing out on-chain. The question is whether the next generation of financial market standards will carry the credibility of the institutions that built this industry, and as the world’s leading index provider, we’re aiming to lead the charge.

From Strategy to Execution

As demand for broader, diversified exposure to DeFi continues to grow, S&P Dow Jones Indices serves as a bridge between markets and investors—transforming complexity into transparency, investability, and governance across digital asset markets.

Some of our work is already visible:

• Facilitating fund tokenization. In July 2025, S&P DJI collaborated with Centrifuge to license the S&P 500 for fund tokenization, leading to the first licensed on-chain S&P 500 index fund in September 2025.
• Pioneering indices on-chain. In early 2026, S&P DJI and Kaiko announced the tokenization of the iBoxx U.S. Treasuries Index on the blockchain. The significance is not only symbolic. It marks the first time a major index provider has made a financial benchmark available as a native digital asset, with embedded index data distribution and permissioning ready for licensing.
• Innovative digital asset indices. In October 2025 the S&P Digital Markets 50 Index was launched, combining cryptocurrencies and publicly traded crypto-linked equities into a single benchmark. That approach reflects an increasingly important market reality: the boundary between digital assets and traditional securities is becoming less useful than the broader ecosystem view investors increasingly need.

These are not side projects. They are early signs of what it looks like when an index provider chooses to help shape on-chain finance rather than simply respond to it.

More broadly, as digital assets and tokenized markets continue to institutionalize, S&P Global is uniquely positioned as an enabler between TradFi and DeFi. Through our sister-divisions, Stablecoin Stability Assessments (now on-chain through Chainlink), the first credit rating of a DeFi protocol (Sky Protocol), and tax solutions for digital assets are among the early solutions S&P Global brings to the digital asset community.

If the next era of capital markets will be more programmable, more continuous, and more globally accessible, then the role of the index provider must evolve with it. The opportunity is not just to extend existing benchmarks into new channels. It is to bring the transparency, governance, and institutional trust that defined the last century of market infrastructure into the one now being built.

¹ Tokenized Real-World Assets Hit $30 Billion as Crypto Market Matures – CoinCentral

In the previous wrap-up of the webinar “Benchmarking Digital Asset Funds: Are Managers Measuring Performance Effectively?” we discussed the manager perspective; here, we take a look at the allocator perspective and the index provider response to a maturing market and the institutional market’s requirements for better benchmarks.

The ETF Effect: Bitcoin Beta Has Become Cheaper

If Bitcoin is an imperfect benchmark, it remains an unavoidable one for a different reason: it may now be considered the clearest expression of cheap, accessible crypto beta.

Chris Solarz framed the issue from the allocator’s perspective. For him, benchmarking is the prerequisite for identifying alpha, because outperformance only has meaning relative to a credible alternative. And that alternative has changed materially since the arrival of spot Bitcoin ETFs. Solarz noted that Bitcoin exposure can now be obtained at low cost—he cited fee competition driving ETF pricing down to as little as 14 bps.¹

That has major implications for active managers. If investors can access core crypto beta passively and cheaply, then the justification for paying hedge fund-style fees rests on true excess return, not simply exposure to a rising market. Solarz put it plainly: the only thing investors should pay for is alpha. If net returns are not above what could have been achieved through a passive index or ETF, then the value proposition of active management becomes difficult to defend.

This is one of the webinar’s most important institutional takeaways: the commoditization of beta is leading to more precise conversations about what active crypto managers actually do. That is healthy for the market, but it may raise the bar considerably.

A More Segmented Way to Measure Crypto Funds

Solarz’s solution is not to abandon broad reference points, but to use a more segmented framework. When evaluating liquid digital asset managers, he starts with four benchmarks:

• Bitcoin;
• Ethereum;
• Solana; and
• Altcoins.

This approach recognizes that digital assets are not one homogeneous pool of risk. Bitcoin remains the dominant reference asset; Ethereum reflects a distinct smart-contract and ecosystem; Solana increasingly represents another major asset and the remaining altcoin universe requires its own lens.

This framework helps allocators ask sharper questions. Is a manager outperforming because they generated security selection alpha? Because they made a successful allocation call across crypto subsegments? Or because they simply maintained exposure to the best-performing beta bucket?

Solarz was also candid that no single framework fully resolves the issue. Institutional committees will still ask the obvious question: why not just own Bitcoin? That remains a fair opportunity-cost benchmark, especially for investors starting from zero. But he argued that relying on Bitcoin alone may do an injustice to the complexity of the asset class, where sectors such as DeFi, payments, gaming, metaverse and other subsectors can behave very differently.

In other words, Bitcoin may still be a starting point, but it may no longer be the end of the conversation.

Why Building Indices in Crypto Is Harder than It Looks

Rounding out the discussion with the index provider’s perspective, S&P Dow Jones Indices (S&P DJI) approaches the market through several lenses: single-coin indices, multi-coin strategies, crypto-linked equity indices and hybrid cross-asset benchmarks that blend digital assets with traditional asset classes.

Even apparently simple questions like the following can become complex in this market.

• How should the price of a single token be constructed?
• Which exchanges should be used in the pricing methodology?
• What qualifies as large cap, mega cap or broad market in crypto?
• Should an index be purely market-cap weighted, equal weighted, capped or filtered?
• How should benchmark construction adapt as market concentration changes over time?

Index names alone never tell the full story. Methodology matters. Definitions matter. And in a market as dynamic as crypto, those definitions can change quickly as market structures evolve. At S&P DJI, we offer a range of digital asset solutions for different market objectives.

Learn more about our capabilities and view the full webinar replay.

¹ As of the time of the webinar. For more information, please see Daodu, Sam, “Bitcoin News: Morgan Stanley Just Launched the Cheapest Bitcoin ETF on the Market,” Yahoo Finance, April 11, 2026.

During recent years, Latin American flagship indices have exhibited strong performance, surpassing the gains of the broader emerging markets segment: in local currency terms, the S&P Latin America BMI has posted 10.0% annualized performance over the past five years, while the S&P Emerging BMI has trailed with 7.7% annualized performance. During this period, all local flagship benchmarks of the region have also outperformed the emerging markets benchmark, including the S&P/BMV IRT for Mexico (up 10.9%), S&P Colombia Select Index for Colombia (up 19.3%), S&P IPSA for Chile (up 19.5%) and S&P Peru Select 20% Capped Index for Peru (up 24.3%). Performance such as this would be expected to be translated into increased liquidity in the local markets. In this blog post we are going to explore how liquidity has behaved in the same period.

Measuring market liquidity can be challenging, as the liquidity of constituents is highly correlated with market capitalization, and some measures such as the average can be influenced by extreme values; an increase in liquidity among the largest constituents can raise the index average and suggest improved liquidity conditions, even as a majority of constituents experience tighter conditions.

To analyze this subject, we use the 12-month median daily value traded (MDVT)¹—a measure that is more robust than the average with regard to the presence of extreme values—and analyze its evolution in the previously mentioned flagship indices (see Exhibit 1). For each market, we include both the median and average 12-month MDVT alongside the component with the highest liquidity (represented by the blue dotted line), while the gray shaded area signals the liquidity measure for 80% of the constituents between the 10^th and 90^th percentiles.

While the average liquidity has risen in Mexico, Peru and Chile, suggesting improved liquidity in these markets, median liquidity has declined in all markets except for Chile. This difference can be explained at least partially by the fact that the most liquid constituent in each index, (shown in blue) is far more liquid than all other constituents—even compared to the second-most liquid name—and this gap has widened over time. This difference is most pronounced in Peru, where Southern Copper Corporation (listed outside of the region) had a 12-month MDVT that is two orders of magnitude above the median.

Liquidity conditions also differ considerably across countries: Mexico showed the highest median liquidity, while Peru lagged the rest of the region, even with the presence of the most liquid constituent in the region.

Conditions in the region remain challenging, with liquidity improvements concentrated in a small number of large-cap companies, while the rest of the market experiences tightening conditions even as regional performance surpasses other emerging markets. Depreciation of exchange rates could influence the measured liquidity, but overall, a differentiated trend toward concentration of liquidity in large names remains visible.

¹12-Month MDVT is defined as the median of the daily value traded for a company over the past 12 months. The value traded is calculated by multiplying the number of shares traded by each stock’s price.

How can a disciplined capital return strategy influence performance? Get to know the S&P 500 Resilient Shareholder Yield Index. 

Equity markets have experienced volatility YTD, with Q1 2026 drawdowns driven by geopolitical uncertainty and stretched valuations giving way to a strong rebound in April and May. Amid these market swings, the S&P 500^® Resilient Shareholder Yield Index has stood out.

Shareholder yield combines dividends, share buybacks and net debt reduction into a single metric that measures the various ways companies distribute value to investors. The S&P 500 Resilient Shareholder Yield Index focuses on companies that return significant capital to shareholders while maintaining balance sheet strength and cash flow discipline.

YTD Outperformance

In Q1 2026, the S&P 500 Resilient Shareholder Yield Index demonstrated its defensive qualities by outperforming the S&P 500 by more than 10%. Although the broader market has since rebounded, the index has maintained a solid lead, outperforming the S&P 500 by 5.63% YTD.

Q1 2026 Performance Attribution

Exhibit 3 presents the performance attribution for Q1 2026, highlighting the top contributors. The results show that overall performance was primarily driven by stock selection, with sector effects also playing a role.

Long-Term Performance Characteristics

Over the longer term, back-testing indicates that the S&P 500 Resilient Shareholder Yield Index outperformed the S&P 500 by 2.7% annualized since June 2000, with lower volatility and reduced downside capture. Notably, these defensive qualities have not come at the expense of upside participation—the index has tended to perform well during months when the S&P 500 delivered positive performance.

Drawdown Behavior

The index’s focus on capital return and balance sheet strength has translated into lower drawdowns in several major market stress events, including the tech bubble, the COVID-19 sell-off and the 2022 inflation shock. The index has historically shown greater resilience during periods of prolonged market stress.

Historical Macroeconomic Performance

Historically, the strongest relative performance has tended to occur during periods of slowing growth and rising inflation. In these environments, income, valuation discipline and lower volatility have been more consistently rewarded—aligning with the index’s emphasis on shareholder yield and quality.

Conclusion

The S&P 500 Resilient Shareholder Yield Index reflects a disciplined approach that prioritizes sustainable capital return and financial resilience rather than dividend yield alone. By combining shareholder yield with quality and balance sheet metrics, the index has historically outperformed the broad market benchmark during periods of market stress and recovery.

1 Free cash flow (FCF) comprises operating cash flow minus capital expenditure.

² Methodology is available at: https://www.spglobal.com/spdji/en/methodology/article/sp-500-shareholder-yield-indices-methodology/

³ “A Historical Perspective on Factor Index Performance across Macroeconomic Cycles,” S&P Dow Jones Indices.