Foundational Adaptive

This portfolio integrates two orthogonal factors: momentum and enhanced 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. Both have been inspired by the academic literature, with proprietary enhancements.

The Adaptive overlay reduces the portfolio's gross exposure when the market conditions are adverse. This may results in prolonged periods of very small (<10%) gross exposure.

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, at midnight UTC, weights are calculated at 11:55pm UTC.