Open Interest Divergence

The portfolio is designed to captitalize on the persistent effect of assets with smaller relative open interest tend to outperform. During the weights calculation it'll short assets with larger open-interest-to-market-capitalization ratio and going long assets with smaller ratios.

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.