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Meta Risk Index (Ethereum)

Our composite predictive risk factor, encompassing liquidity,on-chain, cross-asset factors.
Tier 1
☑ Point-in-Time
Preview
Backtest Performance - Risk Managed (Long Only) Strategy
Benchmark (Ethereum)Strategy
-79.4%
-41.8%
82.4%
50.4%
1.18
1.57
87.7%
94.1%
0.00
0.25
1.00
0.55

Predictive factors are designed to be translated into simple long-only strategy, with simulated past performance:

  • 100% Long when the predictive factor is close to 1, with a position size equivalent to the predictive factor value.
  • Flat when the predictive factor is close to 0, with a position size equivalent to the predictive factor value.

The strategy is rebalanced daily, on a continuous basis. There are 0.05% transaction costs applied on each position adjustment.

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-0.08
1.56
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-0.03
0.06

Factor Analysis

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ETH Price with Meta Risk Index

Factor Plot

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▆ Very Low▆ Low▆ Moderate▆ High▆ Very High

Our composite predictive risk factor, encompassing liquidity,on-chain, cross-asset factors.

Components

BTC Implied Volatility (1 Month)Exchange OutflowUS Cloud Computing Sector Momentum Spillover
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Scatter plot - Meta Risk Index and ETH 30 and 90 Day Average Returns

Replicate the backtest

Get started by replicating the historical performance with our code snippets.

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