Foundational Factors
Combines cross-sectional momentum and carry factors, optimizing for market-neutral risk-adjusted performance.
| Benchmark (BTC) | Portfolio | |
|---|---|---|
63.3% | 67.3% | |
1.10 | 1.52 | |
1.00 | -0.02 |
Quarta
Combines 4 cross-sectional, orthogonal factors, optimizing for market-neutral risk-adjusted performance.
| Benchmark (BTC) | Portfolio | |
|---|---|---|
63.3% | 93.6% | |
1.10 | 2.01 | |
1.00 | -0.09 |
Momentum
Captures short-term momentum opportunities, aiming for uncorrelated returns while minimizing directional exposure.
| Benchmark (BTC) | Portfolio | |
|---|---|---|
63.3% | 30% | |
1.10 | 0.88 | |
1.00 | 0.04 |
Enhanced Momentum
Captures short-term momentum opportunities, aiming for uncorrelated returns while minimizing directional exposure.
| Benchmark (BTC) | Portfolio | |
|---|---|---|
63.3% | 51.8% | |
1.10 | 1.40 | |
1.00 | -0.06 |
Carry
Captures cross-sectional carry premiums, exploiting funding imbalances.
| Benchmark (BTC) | Portfolio | |
|---|---|---|
68.8% | 6.8% | |
1.17 | 0.37 | |
1.00 | -0.21 |
Enhanced Carry
Captures cross-sectional carry premiums, exploiting funding imbalances.
| Benchmark (BTC) | Portfolio | |
|---|---|---|
69.2% | 40.1% | |
1.18 | 1.11 | |
1.00 | -0.07 |
Retail Flow
Quantifies retail money flows, activity and systematically takes contrarian positions, aiming to capitalize on behavioral inefficiencies.
| Benchmark (BTC) | Portfolio | |
|---|---|---|
51.2% | 63.1% | |
0.98 | 1.48 | |
1.00 | 0.00 |
Open Interest Divergence
Quantifies open interest divergence and systematically takes positions, aiming to capitalize on behavioral inefficiencies.
| Benchmark (BTC) | Portfolio | |
|---|---|---|
59.5% | 20.2% | |
1.06 | 0.66 | |
1.00 | -0.10 |