We understand that some of the non-Adaptive multi-factor portfolios are currently in a drawdown: we treat this as a business-as-usual event that happens a couple of times per year. We don't have any reason to believe the factors contributing to the drawdown have stopped working permanently.
On the other hand, the current state of "Adaptive" portfolios are close to fully risk-off, with zero allocation across - they successfully navigated the recent market downturn.
We do get more requests about how to manage dynamic exposure to factors, and we will release a set of changes to help understand when factors perform well / don't perform well - using different Risk Overlays that can be used to create "Adaptive" versions of any factor or portfolio.
We expect to a full release early next week, but may release individual features and post short updates to Discord & Telegram.
New Factor: Trend Consensus Adaptive (Long-only)
We're breaking the tradition of serving exclusively cross-sectional factors: this long-only portfolio is designed to exploit the asymmetric positive expected returns of assets in the top quantile of Trend Consensus (essentially a continuous variation of trend).
It's only active (conditioned on) when there's an overall market uptrend.
We found multiple reasons to serve it:
- It has way higher CAGR than any other factor.
- It can be effectively be used with other factors in a single multi-factor portfolio, that provides positive tilt when there's a market uptrend.
New Factor: Instantaneous Volatility
Digital assets are different - demonstrating that, the "low-volatility anomaly" can was turned upside-down and made into a high turnover factor using our proprietary volatility measurement.
We conceptualize it as a mix of mean-reversion and "instantaneous momentum" factor - while it exhibits low correlation to all factors in our catalog.
It works especially well during uptrends - it is a prime example of a factor that can be effectively "timed" with the new Adaptive features to be released next week. We believe it'll be a great addition to a portfolio with certain tweaks with its high CAGR and autocorrelated returns.
New Data Offering (Coming Early Next Year)
We are building low-latency infrastructure to serve high-quality, point-in-time market data, standard and unique metrics with full exchange coverage.
If you'd like to receive updates or share input on what data would be most valuable to you, let us know here.
More details coming soon!
Removal of Deprecated Directional Strategies
We're continuing the gradual deprecation of "Directional Strategies" - to be completed by the end of the year. The following time series will be removed from the list and endpoint this week:
- MVRV
- Orderbook Volume Delta
- Spot/ Futures Volume Ratio
- Telegram Sentiment
- Stablecoin Supply Ratio
- Taker Buy/Sell Ratio
- Net Realized Profit/loss
We're working on bringing back these factors in forms that are more suited to the cross-sectional use case we support, and / or as part of the new data offering.
Keep tuned for further updates!
The Unravel Team