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Jan 27, 2025

CFB Talks Digital Assets Episode 36: Goodbye to ‘Random Walks’: How CF Benchmarks built a robust Factor Model for Digital Assets

The potential for factor-based investing to one day be applied to digital assets has long been a tantalizing prospect. But it's not been possible - till now.

CF Benchmarks’ recent report ‘A Factor Model for Digital Assets’ has now demonstrated the existence of ‘classic’ factors, like Momentum, Liquidity, Value and others, within the crypto asset class, beyond any reasonable doubt.

For the clearest possible exploration of our research, the CFB podcast team were stoked to welcome back CF Benchmarks quant and product manager Cristian Isac.

Listen in to their chat to 5x your understanding of Crypto Factors!

Key points discussed include ....

  • Why the pace of institutional participation means the time for a digital asset factor model is now
  • How classic models like CAPM and Fama-French were adapted for crypto’s unique dynamics
  • How our researchers surmounted the data quality challenge, with observations across rebalances, universes, and monetary regimes
  • Impressive results, for example: the risk premium for 'Size' was ~9% annualized, with a Sharpe Ratio of 0.5. For 'Growth', the premium was ~25%, with a Sharpe of 1.5.

All in all, this episode should be essential listening for quants, portfolio managers, and investment professionals in general; anyone, in fact, serious about the evolution of digital asset investing.

Grab that coffee and dive in on your favourite platform!

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Watch on YouTube (Audio)

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Catch all episodes here

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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.


Sui Chung
Sui Chung

Sui Chung

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