Momentum

The market-neutral momentum portfolio is designed to exploit cross-sectional price inefficiencies in the crypto market, capturing short-term, asset-specific momentum signals. By maintaining balanced long and short exposures, it aims to deliver alpha while minimizing sensitivity to broader market movements. The strategy is optimized for investors seeking consistent, uncorrelated returns without the directional risks typically associated with crypto investing.

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.