Altair
Market-Neutral
Derivatives Metrics
Single-Factor
Top 40 Market Cap
Tier 3
Altair is a short-term liquidity metric, derived from the estimated slippage of trades (executed market orders) combined with (weighted by) market order imbalances. The data is collected real time and aggregated from the top 10 most reputable exchanges.
These short-term liquidity metrics expressed as a ratio, aggregated daily from the aforementioned sources. Altair is a high turnover (100%+ daily) factor that requires smoothing: a 20 day moving average is applied by default to reduce turnover and transaction costs.
The asset 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 factor is available (point-in-time) daily by 11:55pm UTC, assuming rebalancing at midnight UTC.
| Benchmark (BTC) | Portfolio | |
|---|---|---|
1.10 | 0.13 | |
62.9% | -0.5% | |
0.00 | 0.00 | |
1.00 | 0.05 | |
-76.6% | -71.1% | |
61.8% | 30.1% | |
0% | 217.7% | |
100% | 8.4% | |
100% | 201.5% |
Sharpe Ratio
Rolling 12 MonthsBeta
Rolling 12 Months - Benchmark: BTCNet Exposure of Portfolio
Portfolio Variants
Current Weights
9/16/2025, 11:55:00 PM (UTC)
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 | 116878.615 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| ETH | Ethereum | 4519.653 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| SOL | Solana | 237.867 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| XRP | Ripple | 3.048 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| DOGE | Dogecoin | 0.271 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| SUI | Sui | 3.615 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| BNB | Binance Coin | 957.429 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| ADA | Cardano | 0.882 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| TRUMP | TRUMP | 8.629 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| LTC | Litecoin | 115.253 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| LINK | Chainlink | 23.61 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| ONDO | ONDO | 1.026 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| AVAX | Avalanche | 30.112 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| DOT | Polkadot | 4.276 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| BCH | Bitcoin Cash | 601.073 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| PEPE | PEPE | 0.00001102863645 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| HBAR | Hedera | 0.239 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| TRX | TRON | 0.343 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| AAVE | Aave | 300.58 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| FIL | Filecoin | 2.569 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| TAO | Bittensor | 345.941 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| NEAR | NEAR Protocol | 2.719 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| UNI | Uniswap | 9.372 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| APT | Aptos | 4.46 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| TON | Toncoin | 3.167 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| FET | FET | 0.646 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| ETC | Ethereum Classic | 20.564 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| XLM | Stellar | 0.385 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| RENDER | RENDER | 3.886 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| ARB | Arbitrum | 0.498 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| SEI | SEI | 0.319 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| ATOM | ATOM | 4.561 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| VET | VeChain | 0.0245741639 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| POL | Polygon | 0.259 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| SHIB | SHIB | 0.00001319736957 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| JUP | JUP | 0.519 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| ALGO | Algorand | 0.239 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| PENGU | PENGU | 0.033993129 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| ICP | Internet Computer | 4.784 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| BONK | BONK | 0.00002417570415 USD | 0.00% | 2025-09-16T23:55:00.000Z |
| 0.00% | ||||
Properties
Cross-Sectional | |
Derivative Exchanges | |
400+ Tickers | |
Ratio | |
- | |
20 Day |
2024-01-01 | |
Daily | |
11:55pm UTC | |
Yes | |
2 x 3 | |
No |
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, at midnight UTC, weights are calculated at 11:55pm 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
Live Weights
Get live weights with the code provided below.