The market-neutral Carry portfolio is designed to exploit cross-sectional carry premiums across the crypto market, capturing consistent returns from asset-specific carry premiums. By maintaining balanced long and short exposures, it minimizes directional risk while generating returns from structural inefficiencies. This approach is ideal for investors seeking stable, uncorrelated returns independent of broader market trends.

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.

Benchmark (BTC)Portfolio
1.18
1.18
69.4%
43%
0.00
0.37
1.00
-0.08
-76.6%
-48.1%
59.9%
35.8%
0%
52.7%
100%
0.3%
100%
153.5%

Historical Performance

Alpha

Rolling 12 Months

Sharpe Ratio

Rolling 12 Months

Beta

Rolling 12 Months - Benchmark: BTC

Current Weights

6/30/2025, 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 negligable on the portfolio level.
TickerNameArrival PriceWeightDate
BTCBitcoin107167.69 USD0.00%2025-06-30T23:55:00.000Z
ETHEthereum2489.664 USD0.00%2025-06-30T23:55:00.000Z
SOLSolana155.415 USD0.00%2025-06-30T23:55:00.000Z
XRPRipple2.24 USD0.00%2025-06-30T23:55:00.000Z
DOGEDogecoin0.165 USD0.00%2025-06-30T23:55:00.000Z
SUISui2.779 USD0.00%2025-06-30T23:55:00.000Z
BNBBinance Coin657.158 USD0.00%2025-06-30T23:55:00.000Z
ADACardano0.573 USD0.00%2025-06-30T23:55:00.000Z
LTCLitecoin86.164 USD0.00%2025-06-30T23:55:00.000Z
LINKChainlink13.418 USD0.00%2025-06-30T23:55:00.000Z
AVAXAvalanche17.955 USD0.00%2025-06-30T23:55:00.000Z
DOTPolkadot3.406 USD0.00%2025-06-30T23:55:00.000Z
BCHBitcoin Cash507.41 USD0.00%2025-06-30T23:55:00.000Z
PEPEPEPE0.00000975444169 USD0.00%2025-06-30T23:55:00.000Z
HBARHedera0.15 USD0.00%2025-06-30T23:55:00.000Z
TRXTRON0.28 USD0.00%2025-06-30T23:55:00.000Z
AAVEAave275.645 USD0.00%2025-06-30T23:55:00.000Z
TONToncoin2.913 USD0.00%2025-06-30T23:55:00.000Z
XLMStellar0.239 USD0.00%2025-06-30T23:55:00.000Z
SHIBSHIB0.00001142962821 USD0.00%2025-06-30T23:55:00.000Z
0.00%

Replicate the backtest

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Live Weights

Get live weights with the code provided below.

Constituents

Universe

Top 20 Market Cap

Top 20 Market Capitalization Cryptocurrencies

Net Exposure of Portfolio

TickerNameFunding Rates
BTCBitcoin
ETHEthereum
SOLSolana
XRPRipple
DOGEDogecoin
SUISui
BNBBinance Coin
ADACardano
LTCLitecoin
LINKChainlink
ONDOONDO
AVAXAvalanche
DOTPolkadot
BCHBitcoin Cash
PEPEPEPE
HBARHedera
TRXTRON
AAVEAave
FILFilecoin
TAOBittensor
NEARNEAR Protocol
UNIUniswap
APTAptos
TONToncoin
FETFET
EOSEOS
ETCEthereum Classic
XLMStellar
RENDERRENDER
OPOP
OMMANTRA
ARBArbitrum
ATOMATOM
INJINJ
VETVeChain
APEAPE
SHIBSHIB
SANDSAND
MKRMKR
LDOLDO
ALGOAlgorand
ICPInternet Computer
STXSTX
MANAMANA
IMXIMX
NEONEO
CAKECAKE
IOTAIOTA
AXSAXS
CROCRO
COMPCOMP
GRTGRT
THETATHETA
EGLDEGLD
BSVBSV
XTZXTZ
QNTQNT
FLOWFLOW
SNXSNX
QTUMQTUM
YFIYFI
LUNCLUNC
BATBAT
DASHDASH
ZECZEC
ONTONT
UMAUMA
XCNXCN
WAVESWAVES

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