Foundational Adaptive
This portfolio integrates three orthogonal factors: momentum, mean reversion and enhanced carry. The momentum component captures assets with strong, persistent price trends, while the mean reversion component captures assets with medium-term mean reversion effects, and the carry strategy seeks to profit from funding rates and related statistical price distortions. All have been inspired by the academic literature, with proprietary enhancements.
The Adaptive overlay reduces the portfolio's gross exposure when the market conditions are adverse. This may results in prolonged periods of very small (<10%) gross exposure.
Together, these factors create a diversified return stream designed to outperform in a range of market conditions.
Its universe consists of the most liquid and actively traded assets, identified on rolling basis - various techniques employed to keep it both stable and relevant, as well as survivorship-bias free.
To balance each asset's risk contribution, positions are scaled according to the inverse of their rolling volatility.
The portfolio is rebalanced daily, with hourly updates provided, 5 minutes past the hour (UTC). s
Download data
| Benchmark (BTC) | Portfolio | |
|---|---|---|
0.87 | 2.15 | |
40.4% | 60.2% | |
0.00 | 0.47 | |
1.00 | 0.05 | |
-76.6% | -24.1% | |
60.3% | 23.1% | |
0% | 36% | |
100% | 3.9% | |
100% | 84% |
Period: Jan 1, 2020 – Jun 13, 2026
Performance
Report Period Start Date Jan 2020 · End Date Jun 2026Cumulative Returns
MTD3.6%
Last Month11.3%
YTD16.3%
1Y30.8%
Annualised Returns (CAGR)
1M216.8%
3M81.7%
1Y30.8%
3Y39.1%
5Y22.7%
SI60.2%
Risk Profile
Realised Volatility (annualised)
1M14.6%
3M15.2%
1Y12.5%
3Y17.8%
5Y15.9%
SI23.1%
Max Drawdown
%−24.1%
Date2021-02-18
Monthly Returns Heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | +0.7% | −5.4% | −0.4% | +0.8% | +5.0% | +9.8% | +4.7% | +15.2% | +2.3% | +14.3% | +25.1% | +13.2% | +120.2% |
| 2021 | +72.3% | +4.6% | +16.2% | +43.5% | +13.6% | +0.0% | +0.5% | +2.0% | +0.3% | +1.2% | +7.4% | −3.3% | +268.5% |
| 2022 | +0.3% | −0.1% | −0.0% | −2.9% | −0.7% | +0.0% | +0.7% | −2.4% | −1.0% | −0.5% | +1.0% | +0.2% | −5.4% |
| 2023 | −6.8% | +11.3% | −0.7% | −2.8% | +1.2% | −1.3% | −7.9% | +1.1% | −0.3% | +2.7% | +5.8% | +25.2% | +26.1% |
| 2024 | −6.4% | −1.2% | +14.2% | +0.2% | −0.5% | −2.2% | −3.5% | −0.5% | +2.9% | +0.5% | +26.3% | +19.0% | +53.6% |
| 2025 | +3.9% | +1.7% | +0.0% | +0.1% | +0.7% | −0.7% | +2.7% | +7.8% | −0.7% | +3.4% | −0.0% | +0.3% | +20.6% |
| 2026 | +0.2% | +0.0% | −0.0% | +0.7% | +11.3% | +3.6% | — | — | — | — | — | — | +16.3% |
Rolling Metrics & Exposure
Net Exposure of Portfolio
Last 30 days hidden — subscribe for live portfolio weights.
Sharpe Ratio
Rolling 12 MonthsBeta
Rolling 12 Months - Benchmark: BTCPortfolio Variants
Foundational Adaptive - Top 20 Market Cap
Tier 1
Combines cross-sectional momentum, mean reversion and carry factors - while reducing exposure dynamically in adverse market conditions..
Foundational Adaptive - Top 30 Market Cap
Tier 1
Combines cross-sectional momentum, mean reversion and carry factors - while reducing exposure dynamically in adverse market conditions..
Current Weights
6/13/2026, 9:03:09 PM (UTC)
Adaptive Portfolio weights can be all zero when the risk signal scales the portfolio weights down.
The portfolio is designed to be market-neutral on a volatilty-adjusted basis, therefore it may have net directional exposure on any given day. The weighting mechanism ensures that volatility-weighted directional exposure is negligible on the portfolio level.
| Ticker | Name | Arrival Price | Weight | Date |
|---|---|---|---|---|
| BTC | Bitcoin | 64248.684 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| ETH | Ethereum | 1675.592 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| SOL | Solana | 68.202 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| XRP | Ripple | 1.146 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| DOGE | Dogecoin | 0.08762553139471664 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| SUI | Sui | 0.764 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| BNB | Binance Coin | 608.59 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| ADA | Cardano | 0.172 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| LTC | Litecoin | 43.86 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| LINK | Chainlink | 7.982 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| ONDO | ONDO | 0.364 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| AVAX | Avalanche | 6.713 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| DOT | Polkadot | 0.979 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| BCH | Bitcoin Cash | 207.546 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| PEPE | PEPE | 0.000002844638232697 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| HBAR | Hedera | 0.0780308490406827 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| TRX | TRON | 0.318 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| AAVE | Aave | 66.363 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| FIL | Filecoin | 0.786 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| TAO | Bittensor | 255.327 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| UNI | Uniswap | 2.546 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| APT | Aptos | 0.67 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| TON | Toncoin | 1.738 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| ETC | Ethereum Classic | 7.183 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| RENDER | RENDER | 1.761 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| ARB | Arbitrum | 0.08539373545125219 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| ATOM | ATOM | 1.957 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| POL | Polygon | 0.07577947102427283 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| SHIB | SHIB | 0.000004995553179316 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| JUP | JUP | 0.173 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| ALGO | Algorand | 0.08859218839172253 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| HYPE | HYPE | 59.91 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| PENGU | PENGU | 0.006711962555470294 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| ICP | Internet Computer | 2.573 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| BONK | BONK | 0.000004479378938633 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| DASH | DASH | 35.1 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| JST | JST | 0.07475417255087453 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| PUMP | PUMP | 0.001532055364505992 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| WLFI | WLFI | 0.058847621916115894 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| ASTER | ASTER | 0.639 USD | 0.00% | 2026-06-13T21:03:09.720589+00:00 |
| 0.00% | ||||
Properties
Frequently Asked Questions
What is the construction methodology of the model portfolio on display? How do I replicate it?
The portfolio is constructed by applying cross-sectional binning - quantiles. This ensures that the weights are calculated in proportion to the strength of the factor. The assets are then weighted according to the inverse of their rolling volatility, to mitigate the impact of widely different volatilities of digital assets. We provide a replication notebook in the "Resources" section that will produce a very similar portfolio than what's shown on the site.
Is the raw factor data available?
Yes, we serve the raw factor data via the "portfolio/factors" endpoint, please see the API Docs for more information.
What is smoothing? Some factors have by default setting (eg. 10 Day Moving Average) applied. Why is that?
Some of the cross-sectional factors have very high turnover, and despite being highly predictive, the alpha does not survive transaction costs. Smoothing (applying a simple moving average) is a way to reduce the turnover and the impact of transaction costs.
What is the universe of assets? How is it determined? Is it survivorship-bias free?
The universe of assets (there are multiple variants, for example, top 20, 30, 40 market cap digital assets) is the most liquid and actively traded assets, identified on rolling basis - various techniques (volume, open interest, volatility filters) are employed to keep it both stable and relevant. The universe is survivorship-bias free.
What is the rebalancing frequency?
The portfolio is rebalanced daily, with hourly updates, 5 minutes past the hour (UTC), and available point-in-time.
What are the transaction cost / slippage assumptions?
There are 0.05% transaction costs applied on each position adjustment. This is a parameter that can be adjusted in the backtest settings. Slippage, spread is not considered in the simplistic backtest that's on our site. We encourage using an independent backtesting infrastructure to validate performance.
When have been the factors developed? Is there an out-of-sample period?
Our cutoff date for our research process is 2024-01-01, we consider any data onwards as out-of-sample. Many factors have been traded live in some form from 2025-01-01.
Some of the factors look great! Should I pick an individual factor and start trading it?
We recommend using a portfolio of factors to maximize risk-adjusted returns. Alpha from individual factors is simply not consistent enough, and even running a simple arithmetic average of 3-5 relatively orthogonal factors will produce superior results.
Replication & API
Replicate Foundational Adaptive
Reproduce the Foundational Adaptive multi-factor portfolio from its constituent Unravel factors
Replicate Spectra — our flagship multi-factor portfolio
Reproduce Spectra, our 6-factor market-neutral portfolio, from its constituent Unravel factors
Replicate Portfolio Backtest
Replicate a portfolio backtest with Unravel API
Get Live Weights
Get the live weights of the portfolio or the live factor data
