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May 19, 2026

CFB Index Bytes Episode 07: A Factor Model for Digital Assets

In this episode of Index Bytes, Head of Product, Thomas Erdösi sits down with Product Manager, Cristian Isac to unpack CF Benchmarks' Factor Model for Digital Assets — a framework built to identify the systematic drivers of crypto returns.

Drawing on Fama-French and Fama-MacBeth techniques, they walk through how seven systematic factors — from Market and Momentum to Liquidity and Downside Beta were constructed using a combination of exchange data, order book signals, and on-chain metrics, then rigorously validated and published with Springer Nature.

Whether you're building quant strategies, attributing portfolio risk, or exploring smart beta, this is the research behind the CF Factor Intelligence suite.


The information contained within is for educational and informational purposes ONLY. It is not intended nor should it be considered an invitation or inducement to buy or sell any of the underlying instruments cited including but not limited to cryptoassets, financial instruments or any instruments that reference any index provided by CF Benchmarks Ltd. This communication is not intended to persuade or incite you to buy or sell security or securities noted within. Any commentary provided is the opinion of the author and should not be considered a personalised recommendation. Please contact your financial adviser or professional before making an investment decision.


Note: Some of the underlying instruments cited within this material may be restricted to certain customer categories in certain jurisdictions.


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CF Benchmarks

CF Benchmarks

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