Foundational Factors
This portfolio integrates three orthogonal factors: momentum, mean reversion and enhanced carry. The momentum component captures assets with strong, persistent price trends, while the mean reversion component captures assets with medium-term mean reversion effects, and the carry strategy seeks to profit from funding rates and related statistical price distortions. All 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.
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, with hourly updates provided, 5 minutes past the hour (UTC).
Download data
| Benchmark (BTC) | Portfolio | |
|---|---|---|
0.85 | 2.02 | |
38.9% | 68.4% | |
0.00 | 0.54 | |
1.00 | 0.03 | |
-76.6% | -31.4% | |
59.7% | 27.7% | |
0% | 56.5% | |
100% | 7.2% | |
100% | 148% |
Period: Jan 1, 2020 – Aug 11, 2026
Performance
Report Period Start Date Jan 2020 · End Date Aug 2026Cumulative Returns
MTD1.4%
Last Month−1.9%
1M−0.2%
3M−0.7%
YTD7.5%
Annualised Returns (CAGR)
1Y28.0%
3Y44.0%
5Y30.5%
SI68.4%
Risk Profile
Realised Volatility (annualised)
1M11.0%
3M16.9%
1Y17.7%
3Y21.6%
5Y21.1%
SI27.7%
Max Drawdown
%−31.4%
Date2022-02-27
Monthly Returns Heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | +15.1% | −7.3% | −5.0% | −0.4% | +17.6% | +10.5% | +9.2% | +18.2% | +2.7% | +13.5% | +27.9% | +21.2% | +206.3% |
| 2021 | +58.6% | +5.7% | +21.9% | +33.0% | −8.9% | +1.0% | +8.0% | +1.6% | +0.4% | −1.4% | +8.7% | −10.7% | +163.7% |
| 2022 | −10.5% | −3.5% | +7.8% | +0.5% | +11.0% | +2.8% | +7.0% | −4.3% | +1.7% | +1.7% | +9.5% | +7.5% | +33.0% |
| 2023 | −7.0% | +11.8% | −0.8% | −3.7% | +3.4% | +0.4% | −6.3% | +0.9% | +0.6% | +2.5% | +6.8% | +28.6% | +38.0% |
| 2024 | −5.9% | −0.8% | +8.7% | +2.0% | −0.3% | −6.2% | −9.3% | −0.4% | +9.5% | +1.0% | +32.6% | +18.8% | +52.5% |
| 2025 | +1.3% | +4.4% | −1.6% | +3.1% | −1.4% | −1.2% | −0.2% | +7.7% | +0.2% | +4.9% | +6.1% | +3.1% | +29.0% |
| 2026 | −1.7% | +0.1% | −1.7% | +2.6% | +14.9% | −5.2% | −1.9% | +1.4% | — | — | — | — | +7.5% |
Rolling Metrics & Exposure
Net Exposure of Portfolio
Last 30 days hidden — subscribe for live portfolio weights.
Sharpe Ratio
Rolling 12 MonthsBeta
Rolling 12 Months - Benchmark: BTCPortfolio Variants
Foundational Factors - Top 20 Market Cap
Tier 1
Combines cross-sectional momentum and carry factors, optimizing for market-neutral risk-adjusted performance.
Foundational Factors - Top 30 Market Cap
Tier 1
Combines cross-sectional momentum and carry factors, optimizing for market-neutral risk-adjusted performance.
Current Weights
8/11/2026, 7:02:58 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 | 63298.287 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| ETH | Ethereum | 1862.957 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| SOL | Solana | 75.16 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| XRP | Ripple | 1.012 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| DOGE | Dogecoin | 0.07070153406273018 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| SUI | Sui | 0.679 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| BNB | Binance Coin | 608.86 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| ADA | Cardano | 0.185 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| LTC | Litecoin | 45.339 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| LINK | Chainlink | 8.554 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| ONDO | ONDO | 0.333 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| AVAX | Avalanche | 6.228 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| DOT | Polkadot | 0.782 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| BCH | Bitcoin Cash | 211.35 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| ENA | ENA | 0.08840981432827243 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| PEPE | PEPE | 0.000002791332394869 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| HBAR | Hedera | 0.06602711077616598 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| TRX | TRON | 0.335 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| AAVE | Aave | 87.271 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| FIL | Filecoin | 0.704 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| TAO | Bittensor | 197.024 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| WLD | WLD | 0.334 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| NEAR | NEAR Protocol | 1.565 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| UNI | Uniswap | 3.71 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| APT | Aptos | 0.576 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| ETC | Ethereum Classic | 6.325 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| XLM | Stellar | 0.161 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| ARB | Arbitrum | 0.07754423826506993 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| INJ | INJ | 4.451 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| POL | Polygon | 0.07492521238956529 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| SHIB | SHIB | 0.00000443710717721 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| HYPE | HYPE | 54.072 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| ICP | Internet Computer | 2.225 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| XMR | Monero | 386.721 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| AERO | AERO | 0.416 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| DASH | DASH | 30.437 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| ZEC | ZEC | 471.137 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| WLFI | WLFI | 0.054912263859755436 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| ASTER | ASTER | 0.601 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| GRAM | GRAM | 1.324 USD | 0.00% | 2026-08-11T19:02:58.871190+00:00 |
| 0.00% | ||||
Properties
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, with hourly updates, 5 minutes past the hour (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
Replicate Foundational Factors
Reproduce the Foundational Factors multi-factor portfolio from its constituent Unravel factors
Replicate Spectra — our flagship multi-factor portfolio
Reproduce Spectra, our 6-factor market-neutral portfolio, from its constituent Unravel factors
Replicate Portfolio Backtest
Replicate a portfolio backtest with Unravel API
Get Live Weights
Get the live weights of the portfolio or the live factor data
