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Factor Reports

Factor Friday - March 20, 2025

The market's strongest four-week rally of 2026 saw liquidity top weekly factor rankings for the first time, signaling broadening risk appetite beyond value and growth. Downside beta's lead is eroding fast. The rotation is encouraging, but with YTD losses at -28.4%, a full risk-on pivot is premature.

Mark Pilipczuk
Mark Pilipczuk

Mark Pilipczuk

9 mins read
Factor Friday

The defensive regime remains firmly in control. Downside Beta continues to dominate while Growth and Value have continued to lag since October. Momentum's recent surge and The Settlement category's relative resilience are the two threads worth pulling on this week.

Mark Pilipczuk
Mark Pilipczuk

Mark Pilipczuk

8 mins read
Size and Growth Lag in Market-Wide Selloff

CF Benchmarks’ Quarterly Factor Report breaks down digital asset performance through a systematic factor lens, highlighting the key drivers of risk and return to help investors better understand market behavior across different regimes.

Gabriel Selby
Gabriel Selby

Gabriel Selby

4 mins read
Momentum Outperforms Following New Highs

Key takeaways: Rotation Toward Risk Dominates Factor Returns Q3 2025 extended the digital asset market’s rebound. The CF Broad Cap Index advanced 16.1%, driven by renewed momentum in large-cap assets. Momentum led factor returns (+1.9%), highlighting the continued strength of trend-following strategies amid mixed market signals. In contrast, Size (–7.3%) and Growth (–4.7%) declined as smaller-cap and high-expansion tokens lagged. Value (–2.1%) and Liquidity (–0.6%) also softened, while Downs

Mark Pilipczuk
Mark Pilipczuk

Mark Pilipczuk

4 mins read
Value and Momentum Outperform in Q2 Rally

The CF Benchmarks' Factor Report applies a robust multi-factor model to digital assets, enabling investors to track key drivers of crypto returns (Market, Size, Value, Momentum, Growth, Downside Beta, and Liquidity) and understand how these factors evolve across different market regimes.

Gabriel Selby
Gabriel Selby

Gabriel Selby

3 mins read
Growth and Momentum Outperform in Turbulent Q1

The CF Benchmarks' Factor Report applies a robust multi-factor model to digital assets, enabling investors to track key drivers of crypto returns (Market, Size, Value, Momentum, Growth, Downside Beta, and Liquidity) and understand how these factors evolve across different market regimes.

Gabriel Selby
Gabriel Selby

Gabriel Selby

3 mins read

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