This portfolio integrates two orthogonal factors: momentum and 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.
Together, these factors create a diversified return stream designed to outperform in a range of market conditions.
Universe
Top 30 Market Capitalization Cryptocurrencies
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, at midnight UTC, weights are calculated at 11:55am UTC.
The backtest displayed here assumes fixed 0.5% transaction costs.
Max Drawdown
-41%
Volatility
38%
CAGR
29%
Sharpe Ratio
0.87
Max Drawdown
-48%
Volatility
36%
CAGR
39%
Sharpe Ratio
1.09
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 0.5% transaction costs applied on each position adjustment.
| Portfolio | Benchmark (BTC) | Momentum | Carry | |
|---|---|---|---|---|
-40% | -76.6% | -41.2% | -47.9% | |
37.5% | 63% | 38.3% | 36% | |
1.92 | 1.10 | 0.87 | 1.09 | |
91.3% | 63.6% | 29.4% | 38.9% | |
0.71 | 0.00 | 0.30 | 0.34 | |
0.01 | 1.00 | 0.04 | -0.07 |
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.