Unravel

Spectra High-Turnover

Market-Neutral
Survivorship-Bias Free
Multi-Factor
High-Turnover
Top 30 Market Cap
Tier 3

Spectra High-Turnover is a market-neutral portfolio, optimzed for high turnover, that combines six orthogonal factors:

  • Enhanced Momentum
  • Enhanced Carry
  • Retail Flow
  • Margin Risk
  • Altair
  • 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, at midnight UTC, weights are calculated at 23:55 and 00:15 UTC.

Benchmark (BTC)Portfolio
0.99
2.50
51.4%
112%
0.00
0.80
1.00
0.01
-76.6%
-22.9%
60.8%
32.1%
0%
141.1%
100%
16.8%
100%
201.7%

Sharpe Ratio

Rolling 12 Months

Beta

Rolling 12 Months - Benchmark: BTC

Net Exposure of Portfolio

Current Weights

1/21/2026, 2:05:43 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.
TickerNameArrival PriceWeightDate
BTCBitcoin88700.503 USD0.00%2026-01-21T14:05:43.775467+00:00
ETHEthereum2929.367 USD0.00%2026-01-21T14:05:43.775467+00:00
SOLSolana127.116 USD0.00%2026-01-21T14:05:43.775467+00:00
XRPRipple1.894 USD0.00%2026-01-21T14:05:43.775467+00:00
DOGEDogecoin0.123 USD0.00%2026-01-21T14:05:43.775467+00:00
SUISui1.473 USD0.00%2026-01-21T14:05:43.775467+00:00
BNBBinance Coin873.716 USD0.00%2026-01-21T14:05:43.775467+00:00
ADACardano0.353 USD0.00%2026-01-21T14:05:43.775467+00:00
LTCLitecoin67.619 USD0.00%2026-01-21T14:05:43.775467+00:00
LINKChainlink12.148 USD0.00%2026-01-21T14:05:43.775467+00:00
AVAXAvalanche12.032 USD0.00%2026-01-21T14:05:43.775467+00:00
DOTPolkadot1.912 USD0.00%2026-01-21T14:05:43.775467+00:00
BCHBitcoin Cash584.937 USD0.00%2026-01-21T14:05:43.775467+00:00
ENAENA0.176 USD0.00%2026-01-21T14:05:43.775467+00:00
HBARHedera0.107 USD0.00%2026-01-21T14:05:43.775467+00:00
TRXTRON0.295 USD0.00%2026-01-21T14:05:43.775467+00:00
AAVEAave154.539 USD0.00%2026-01-21T14:05:43.775467+00:00
TAOBittensor230.088 USD0.00%2026-01-21T14:05:43.775467+00:00
WLDWLD0.473 USD0.00%2026-01-21T14:05:43.775467+00:00
NEARNEAR Protocol1.505 USD0.00%2026-01-21T14:05:43.775467+00:00
UNIUniswap4.826 USD0.00%2026-01-21T14:05:43.775467+00:00
TONToncoin1.528 USD0.00%2026-01-21T14:05:43.775467+00:00
ETCEthereum Classic11.507 USD0.00%2026-01-21T14:05:43.775467+00:00
XLMStellar0.209 USD0.00%2026-01-21T14:05:43.775467+00:00
POLPolygon0.132 USD0.00%2026-01-21T14:05:43.775467+00:00
SHIBSHIB0.000007806834825442739 USD0.00%2026-01-21T14:05:43.775467+00:00
HYPEHYPE20.764 USD0.00%2026-01-21T14:05:43.775467+00:00
ZECZEC358.339 USD0.00%2026-01-21T14:05:43.775467+00:00
WLFIWLFI0.169 USD0.00%2026-01-21T14:05:43.775467+00:00
ASTERASTER0.595 USD0.00%2026-01-21T14:05:43.775467+00:00
0.00%
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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, weights are calculated at 23:55 and 00:15 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.

Live Weights

Get live weights with the code provided below.

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