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The CGI is a low-volatility index that utilises the concept of volatility harvesting through (a) forming an equally weighted basket of bitcoin and ether and (b) combining it with gold using weighted-risk contribution as a rebalancing mechanism. By decreasing volatility levels, it seeks to yield superior risk-adjusted returns when compared to a number of alternative strategies, including holding cryptoassets or gold alone.
The methodologist behind CGI is CoinShares (The CoinShares Group).
You can find the methodology for CGI on https://indexcoop.com/cgi/
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IIP-07 CoinShares Gold and Cryptoassets Index Lite Version (CGCI-LV) - Index Coop Forum