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 | 1.67 | |
69.4% | 87.5% | |
0.00 | 0.68 | |
1.00 | -0.06 | |
-76.6% | -43.6% | |
59.9% | 42.9% | |
0% | 64.9% | |
100% | 5.4% | |
100% | 188.2% |
Enhanced Carry - Top 20 Market Cap
Captures cross-sectional carry premiums, exploiting funding imbalances.
CAGR
43%
Sharpe Ratio
1.18
Volatility
36%
Alpha
0.37
Enhanced Carry - Top 40 Market Cap
Captures cross-sectional carry premiums, exploiting funding imbalances.
CAGR
90%
Sharpe Ratio
1.78
Volatility
41%
Alpha
0.68
Ticker | Name | Arrival Price | Weight | Date |
---|---|---|---|---|
BTC | Bitcoin | 107167.69 USD | 0.00% | 2025-06-30T23:55:00.000Z |
ETH | Ethereum | 2489.664 USD | 0.00% | 2025-06-30T23:55:00.000Z |
SOL | Solana | 155.415 USD | 0.00% | 2025-06-30T23:55:00.000Z |
XRP | Ripple | 2.24 USD | 0.00% | 2025-06-30T23:55:00.000Z |
DOGE | Dogecoin | 0.165 USD | 0.00% | 2025-06-30T23:55:00.000Z |
SUI | Sui | 2.779 USD | 0.00% | 2025-06-30T23:55:00.000Z |
BNB | Binance Coin | 657.158 USD | 0.00% | 2025-06-30T23:55:00.000Z |
ADA | Cardano | 0.573 USD | 0.00% | 2025-06-30T23:55:00.000Z |
TRUMP | TRUMP | 8.892 USD | 0.00% | 2025-06-30T23:55:00.000Z |
LTC | Litecoin | 86.164 USD | 0.00% | 2025-06-30T23:55:00.000Z |
LINK | Chainlink | 13.418 USD | 0.00% | 2025-06-30T23:55:00.000Z |
ONDO | ONDO | 0.769 USD | 0.00% | 2025-06-30T23:55:00.000Z |
AVAX | Avalanche | 17.955 USD | 0.00% | 2025-06-30T23:55:00.000Z |
DOT | Polkadot | 3.406 USD | 0.00% | 2025-06-30T23:55:00.000Z |
BCH | Bitcoin Cash | 507.41 USD | 0.00% | 2025-06-30T23:55:00.000Z |
PEPE | PEPE | 0.00000975444169 USD | 0.00% | 2025-06-30T23:55:00.000Z |
HBAR | Hedera | 0.15 USD | 0.00% | 2025-06-30T23:55:00.000Z |
TRX | TRON | 0.28 USD | 0.00% | 2025-06-30T23:55:00.000Z |
AAVE | Aave | 275.645 USD | 0.00% | 2025-06-30T23:55:00.000Z |
TAO | Bittensor | 334.348 USD | 0.00% | 2025-06-30T23:55:00.000Z |
NEAR | NEAR Protocol | 2.147 USD | 0.00% | 2025-06-30T23:55:00.000Z |
APT | Aptos | 4.909 USD | 0.00% | 2025-06-30T23:55:00.000Z |
TON | Toncoin | 2.913 USD | 0.00% | 2025-06-30T23:55:00.000Z |
ETC | Ethereum Classic | 16.607 USD | 0.00% | 2025-06-30T23:55:00.000Z |
XLM | Stellar | 0.239 USD | 0.00% | 2025-06-30T23:55:00.000Z |
RENDER | RENDER | 3.221 USD | 0.00% | 2025-06-30T23:55:00.000Z |
VET | VeChain | 0.0211695978 USD | 0.00% | 2025-06-30T23:55:00.000Z |
POL | Polygon | 0.189 USD | 0.00% | 2025-06-30T23:55:00.000Z |
SHIB | SHIB | 0.00001142962821 USD | 0.00% | 2025-06-30T23:55:00.000Z |
ICP | Internet Computer | 4.911 USD | 0.00% | 2025-06-30T23:55:00.000Z |
0.00% |
Get started by replicating the historical performance with our code snippets.
Get live weights with the code provided below.
Universe
Top 30 Market Capitalization Cryptocurrencies
Ticker | Name | Funding Rates |
---|---|---|
BTC | Bitcoin | |
ETH | Ethereum | |
SOL | Solana | |
XRP | Ripple | |
DOGE | Dogecoin | |
SUI | Sui | |
BNB | Binance Coin | |
ADA | Cardano | |
TRUMP | TRUMP | |
LTC | Litecoin | |
LINK | Chainlink | |
ONDO | ONDO | |
AVAX | Avalanche | |
DOT | Polkadot | |
BCH | Bitcoin Cash | |
FARTCOIN | FARTCOIN | |
ENA | ENA | |
PEPE | PEPE | |
HBAR | Hedera | |
TRX | TRON | |
AAVE | Aave | |
FIL | Filecoin | |
TAO | Bittensor | |
NEAR | NEAR Protocol | |
WIF | WIF | |
UNI | Uniswap | |
TIA | TIA | |
APT | Aptos | |
TON | Toncoin | |
FET | FET | |
EOS | EOS | |
ETC | Ethereum Classic | |
XLM | Stellar | |
CRV | CRV | |
RENDER | RENDER | |
OP | OP | |
OM | MANTRA | |
ARB | Arbitrum | |
SEI | SEI | |
ATOM | ATOM | |
INJ | INJ | |
VET | VeChain | |
POL | Polygon | |
GALA | GALA | |
APE | APE | |
SHIB | SHIB | |
SAND | SAND | |
MKR | MKR | |
LDO | LDO | |
ALGO | Algorand | |
KAVA | KAVA | |
ICP | Internet Computer | |
STX | STX | |
MANA | MANA | |
IMX | IMX | |
NEO | NEO | |
RUNE | RUNE | |
CAKE | CAKE | |
AR | AR | |
IOTA | IOTA | |
AXS | AXS | |
CRO | CRO | |
COMP | COMP | |
GRT | GRT | |
THETA | THETA | |
SUSHI | SUSHI | |
TRB | TRB | |
CHZ | CHZ | |
CFX | CFX | |
EGLD | EGLD | |
BSV | BSV | |
MASK | MASK | |
XTZ | XTZ | |
QNT | QNT | |
FLOW | FLOW | |
SNX | SNX | |
BONK | BONK | |
QTUM | QTUM | |
KSM | KSM | |
YFI | YFI | |
ZIL | ZIL | |
ZRX | ZRX | |
ONE | ONE | |
LUNC | LUNC | |
BAT | BAT | |
STORJ | STORJ | |
DASH | DASH | |
ZEC | ZEC | |
JST | JST | |
ONT | ONT | |
ICX | ICX | |
UMA | UMA | |
HOT | HOT | |
IOST | IOST | |
XCN | XCN | |
OGN | OGN | |
TWT | TWT | |
BNT | BNT | |
LUNA | LUNA | |
HNT | HNT | |
WAVES | WAVES | |
VIC | VIC | |
SNT | SNT | |
AMP | AMP |