Predictive Strength
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Predictive Strength
Measures the asset's sensitivity to the US Cloud Computing Index, captures the lead-lag relationship between the two assets.
This factor likely captures a lead relationship, where demand of cloud computing companies is interpreted as a demand for risk-on assets, which leads demand for Crypto assets
The relationship is potentially amplified by blockchain's role in coordinating decentralized compute resources, creating a measurable cross-asset linkage.
The Index track the market-cap weighted average price of the mid-to-large cap US public companies that main business is related to or is cloud computing. The normalization process enables cross-period comparisons while capturing lead-lag relationships between asset performance and technology market market conditions.
To understand a predictive factors predictive power, we create a simple long/short strategy and simulate its past performance (with daily rebalancing):
The strategy is rebalanced daily, on a continuous basis. There are 0.5% transaction costs applied on each position adjustment.
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Predictive Strength