This portfolio integrates two orthogonal factors: momentum and enhanced carry. The momentum component captures assets with strong, persistent price trends, while the carry strategy seeks to profit from funding rates and related statistical price distortions. Both have been inspired by the academic literature, with proprietary enhancements.
Together, these factors create a diversified return stream designed to outperform in a range of market conditions.
Universe
Top 30 Market Capitalization Cryptocurrencies
Constructing a portfolio based on these factors leads to a substantial improvement across all performance metrics, as demonstrated in the table.
This market-neutral portfolio selects assets for inclusion based on their cross-sectional factor rankings, allocating capital to those exhibiting the strongest and weakest signals. It is rebalanced daily, on a continuous basis. There are 0.05% transaction costs applied on each position adjustment.
| Portfolio | Benchmark (BTC) | Momentum | Enhanced Carry | |
|---|---|---|---|---|
-39.6% | -76.6% | -41.3% | -26% | |
38.6% | 62.5% | 38.3% | 31.4% | |
1.85 | 1.13 | 1.06 | 1.39 | |
89.5% | 65.9% | 39.2% | 47.7% | |
0.70 | 0.00 | 0.38 | 0.43 | |
0.01 | 1.00 | 0.04 | -0.01 |
Using the historical weights endpoint (api/v1/historical-weights) to get the weights for the requested time period and the price endpoint (api/v1/price) to get the price series for each underlying asset.
Get the live weights of the Portfolio to integrate it into your production environment.