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Bitcoin is down 27.6% over the past year, and Ethereum has lost 39%. An equal-weight basket of 139 coins is down 34%, with a 56% drawdown. Over the same period, a market-neutral long/short portfolio built on a single factor returned +27.1%, with a fraction of the market’s volatility and almost no exposure to Bitcoin.
Four of the six systematic factors we track generated positive risk-adjusted returns, but the factor landscape has shifted beneath the headline numbers.
One version of momentum is working while another is failing, two factors that look different are holding nearly identical books, and the most useful hedge in the set is the one with the weakest recent returns.
We break down which factors deserve capital, how to combine them, and which coins sit on each side of the trade today.
‘Winning’ Crypto Factor Performance vs. Bitcoin
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