Spectra
Spectra is a market-neutral portfolio that combines seven orthogonal factors:
- Enhanced Momentum
- Enhanced Carry
- Retail Flow
- Margin Risk
- Altair
- Mean Reversion
- Enhanced Mean Reversion
The asset 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 | |
|---|---|---|
0.91 | 3.03 | |
43.4% | 150.1% | |
0.00 | 0.93 | |
1.00 | 0.08 | |
-76.6% | -26% | |
59.4% | 32% | |
0% | 57.2% | |
100% | 22.7% | |
100% | 201.4% |
Period: Jan 1, 2020 – Oct 8, 2026
Performance
Report Period Start Date Jan 2020 · End Date Oct 2026Cumulative Returns
MTD0.8%
Last Month−17.7%
1M−11.1%
3M−14.7%
YTD0.9%
Annualised Returns (CAGR)
1Y22.1%
3Y113.2%
5Y72.0%
SI150.1%
Risk Profile
Realised Volatility (annualised)
1M30.4%
3M25.3%
1Y22.1%
3Y29.0%
5Y26.9%
SI32.0%
Max Drawdown
%−26.0%
Date2021-06-25
Monthly Returns Heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | +15.4% | −2.9% | −2.1% | +5.7% | +8.1% | +16.8% | +10.5% | +25.3% | +18.6% | +20.6% | +24.9% | +32.0% | +377.3% |
| 2021 | +68.3% | +38.1% | +31.0% | +58.0% | +6.3% | −6.6% | +12.1% | +13.8% | +14.2% | −1.5% | +18.7% | −12.6% | +611.3% |
| 2022 | −7.4% | +2.3% | −0.3% | +5.1% | −4.2% | +3.2% | +6.4% | −6.3% | +7.7% | +6.1% | +7.6% | +9.7% | +32.0% |
| 2023 | −12.8% | +4.2% | +5.3% | −0.4% | +4.2% | +6.1% | +1.1% | +1.3% | +4.5% | +5.0% | +1.3% | +17.8% | +41.4% |
| 2024 | −7.0% | +7.8% | +27.1% | +10.5% | +1.4% | +1.3% | −7.7% | +8.7% | +2.8% | +14.2% | +24.9% | +58.4% | +236.8% |
| 2025 | +15.5% | +5.7% | +6.3% | +3.7% | +2.3% | +5.6% | +10.4% | +10.7% | +1.7% | +4.5% | +16.0% | +5.4% | +131.0% |
| 2026 | −2.2% | −3.3% | +3.4% | +4.9% | +14.8% | −0.9% | +2.5% | +1.5% | −17.7% | +0.8% | — | — | +0.9% |
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
Current Weights
10/8/2026, 6:02:32 AM (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 | 82662.35 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| ETH | Ethereum | 2560.455 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| SOL | Solana | 115.068 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| XRP | Ripple | 1.401 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| DOGE | Dogecoin | 0.08719799606491921 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| SUI | Sui | 1.126 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| BNB | Binance Coin | 767.84 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| ADA | Cardano | 0.253 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| LTC | Litecoin | 64.281 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| LINK | Chainlink | 13.119 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| AVAX | Avalanche | 10.855 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| DOT | Polkadot | 1.098 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| PEPE | PEPE | 0.000004022639703434 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| TRX | TRON | 0.335 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| AAVE | Aave | 172.363 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| FIL | Filecoin | 1.054 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| TAO | Bittensor | 282.901 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| UNI | Uniswap | 7.709 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| ETC | Ethereum Classic | 8.35 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| XLM | Stellar | 0.198 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| RENDER | RENDER | 2.008 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| ATOM | ATOM | 1.721 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| POL | Polygon | 0.101 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| SHIB | SHIB | 0.000005380470630863 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| JUP | JUP | 0.374 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| ALGO | Algorand | 0.117 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| HYPE | HYPE | 87.064 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| ICP | Internet Computer | 3.185 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| CAKE | CAKE | 2.239 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| XMR | Monero | 557.685 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| VVV | VVV | 24.81 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| MORPHO | MORPHO | 2.52 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| DASH | DASH | 53.52 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| ZEC | ZEC | 1239.313 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| JST | JST | 0.137 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| SKY | SKY | 0.07891966135298494 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| WLFI | WLFI | 0.05481012263012084 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| ASTER | ASTER | 0.711 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| GRAM | GRAM | 1.42 USD | 0.00% | 2026-10-08T06:02:32.451504+00:00 |
| LIT | LIT | 3.586 USD | 0.00% | 2026-10-08T06:02:32.451504+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 to subscribers on a paid plan, 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.
