Factor Friday - April 17, 2026

The April Rally Extends but Growth and Momentum Continue to Lag

The market gained 4.7% on the week, extending the April rally to +10.4% month to date and narrowing the year-to-date loss to -23.8%. Size continues to be the standout factor, posting +2.4% on the week and +4.7% over four weeks, the strongest four-week return of any factor. Liquidity also posted a solid +1.6% on the week, and value bounced to +0.6% after several weeks of losses. Growth and momentum remain the clear laggards. Growth finished last at -2.2% on the week and -5.5% over four weeks, extending its year-to-date loss to -6.9%, the worst of any factor. Momentum was second-to-last at -0.8% on the week and sits at -1.5% year to date. Downside beta was modestly negative at -0.4% on the week, though its year-to-date lead has narrowed to +2.8%. The continued divergence between the market's strong performance and the weakness in growth and momentum is the defining feature of April so far. The market is rallying, but the assets with the strongest fundamental growth profiles and the best recent price trends are capturing less upside. This disconnect suggests the rally is being driven by broad directional flows and small-cap speculation rather than a reassessment of protocol fundamentals.

Rolling Factor Rankings and Rotation

The quilt chart shows a clear two-tier structure this week. The market factor leads the weekly rankings at +4.7%, followed by size at +2.4% and liquidity at +1.6%. Value posted a modest +0.6%. Below that, downside beta, momentum, and growth are all negative, with growth at the bottom at -2.2%. On a month-to-date basis, the hierarchy is even more pronounced: the market factor is up +10.4% and size +4.9%, while growth sits at -4.5% and momentum at -1.3%. The gap between the top two factors and the rest of the field is the widest it has been this year. The factor rotation that cycled through every factor between late February and early April has now given way to a more concentrated regime. The market and size factors have dominated April, while growth has been in last place for two consecutive weeks and momentum has sat in the bottom half for three straight weeks. For investors, this concentration is informative. The rally is being led by broad directional exposure and smaller-cap names, while the factors tied to fundamental quality and price trend persistence are not confirming the move.

Market and Key Factor Betas

Market Beta

The market beta rankings remain stable for the eighth consecutive week. The high-beta cohort continues to cluster between 1.5 and 1.6, dominated by meme coins, newer layer-1 and layer-2 platforms, and DeFi infrastructure tokens. The low-beta end is anchored by governance tokens, BTC at 0.9, and a group of established protocols at or near 1.0. With the market up +4.7% this week and +10.4% month to date, high-beta names have delivered the strongest absolute returns in April.

Growth

Growth's position at the bottom of the weekly and monthly rankings for the second straight week warrants close examination. The growth factor captures the expansion of a protocol's network activity and user adoption, measured through fee generation growth and weekly active user growth. At -2.2% on the week and -5.5% over four weeks, it is the worst-performing factor in the short-term. The top 10 growth betas are concentrated among governance tokens, layer-2 scaling platforms, DeFi protocols, and meme coins experiencing rapid user base expansion. The bottom 10 is populated by IoT and data tokens, gaming platforms, AI protocols, and established store-of-value assets including BTC. For investors, the two-week streak of growth underperformance is a meaningful signal. It suggests that protocol-level fundamentals are being overshadowed by macro flows and that tilting toward growth metrics is actively detracting from performance in the current environment.

Momentum

Momentum's continued weakness at -0.8% on the week and -0.6% over four weeks makes it the second-worst performer alongside growth. The momentum factor captures short-term price persistence, identifying assets with the strongest recent performance on both an absolute and risk-adjusted basis. The top 10 momentum betas are dominated by mid-cap infrastructure protocols, established layer-1 platforms, and DeFi tokens. The bottom 10 is populated by meme coins, politically-linked tokens, newer layer-1 platforms, gaming tokens, and notably ETH. The broader signal from momentum's underperformance is that the market is not rewarding recent winners. In a typical recovery, momentum tends to be among the first factors to turn positive as capital chases the strongest performers. The fact that it remains negative while the market is up +10.4% month to date suggests the rally is lifting all boats rather than concentrating in trend-leading names.

What Factors are Driving Markets

The Sectors category has turned positive over the trailing 30 days, with the index returning +4.2%. Cumulative factor contributions stand at approximately +1.0%, led by size at +3.0% and downside beta at +1.7%, offset by a deeply negative growth contribution at -3.9%. The roughly 3 percentage point gap between factor contributions and index performance means the index is outperforming what the factor model would predict. This is the reverse of the pattern seen in prior weeks, when factor contributions exceeded the index. The shift suggests that the April rally in tokens in the Sectors category is being driven by broad market flows that are lifting the category above its factor-implied return. The negative growth contribution remains the largest drag on the factor side, consistent with this week's theme of growth as the worst-performing factor.

The Services category shows cumulative factor contributions of approximately -1.1%, while the index sits at +0.7%. The roughly 1.8 percentage point gap means the index is outperforming its factor-implied return. Growth at -5.0% is by far the largest negative factor contributor, partially offset by size at +3.5% and downside beta at +1.0%. The pattern is consistent across weeks: the Services index has repeatedly outperformed its underlying factor exposure, driven by idiosyncratic flows and sentiment. This week's positive index performance despite negative cumulative factor contributions continues that theme. For investors in tokens in the Services category, the resilience is encouraging, but the persistent negative contribution from growth is a concern. If growth-related selling intensifies further, it may eventually overwhelm the positive residual that has been supporting the category.

The Settlement category presents the widest gap between factor contributions and index performance this week. Factor contributions are effectively flat over the trailing 30 days, with all individual factors near zero, which is typical given Settlement's heavy concentration in large-cap tokens with muted factor exposures. Meanwhile, the index has rallied to +4.7%, creating a roughly 4.7 percentage point gap. The recovery in tokens in the Settlement category is entirely directional, tracking the broad market rally rather than any factor-driven dynamic. This is a continuation of the pattern observed since early April: Settlement moves with the market, and the factor model provides virtually no explanatory power. For investors, Settlement remains the most straightforward expression of broad market direction among the three categories. Its performance advantage or disadvantage relative to Sectors and Services is now driven almost entirely by market-level moves rather than factor differentiation.

Appendix: CF Factor Methodology

Market Factor

The market factor captures the broad, systematic risk that permeates the digital asset ecosystem. It reflects aggregate influences such as macroeconomic conditions, investor sentiment, and overall market volatility. As such, this factor is defined by the daily returns of the CF Broad Cap (Free Float Market Cap Weight) Index, offering a comprehensive and capitalization-weighted representation of the asset class.

Size Factor

The size factor captures the return differential associated with asset scale, reflecting the hypothesis that smaller-cap digital assets tend to outperform their larger-cap counterparts. This effect is understood to compensate for elevated operational and financial risks while exploiting potential market inefficiencies. In this framework, the size factor is defined by each asset’s fully diluted market capitalization. The value is sign-inverted so that higher z-scores are assigned to smaller assets and vice-versa.

Value Factor

The value factor reflects a protocol’s ability to generate economic output relative to its capital base and market valuation, combining measures of both efficiency and user engagement. It is constructed as the average z-score of two key ratios: transaction fees relative to total value locked (Fees/TVL) and daily active users relative to market capitalization (DAU/MCap). This composite metric captures how productively a protocol utilizes its resources while also serving as a proxy for user-driven demand. A higher combined score indicates efficient resource utilization and strong user engagement.

Momentum Factor

The momentum factor captures short-term price persistence by identifying assets that have recently exhibited strong performance. It is computed as the average z-score of two metrics: the 2 weeks cumulative performance and the 2 weeks risk-adjusted cumulative performance. This approach aligns with established findings in traditional financial literature and demonstrates empirical relevance in digital assets, where price trends tend to exhibit momentum over short horizons.

Growth Factor

The growth factor captures the expansion of a protocol’s network activity and user adoption. In the context of digital assets, it reflects metrics such as fee generation and user engagement, which serve as indicators of increased platform utilization and operational scale. The factor is defined as the average z-score of 30-day fee growth and 30-day weekly active user growth, thereby identifying assets exhibiting consistent and measurable increases in underlying network usage.

Downside Beta

The downside beta factor captures an asset’s sensitivity to adverse market conditions by isolating its behavior during periods of negative market returns. Empirical evidence shows that assets with lower downside beta tend to outperform their higher-beta counterparts over the long-term, due to their reduced participation in market drawdowns and more stable return profiles during periods of elevated volatility. As such, it is estimated through a regression of the asset’s daily returns over the most recent four-week period against market returns observed exclusively during negative sessions. The resulting value is sign-inverted to ensure that assets with lower downside exposure are assigned higher z-scores.

Liquidity Factor

The liquidity factor captures the ease with which a digital asset can be traded without significantly impacting its price. Empirical evidence shows that illiquid assets tend to command a higher risk premium than their more liquid counterparts, serving as compensation for trading friction and price volatility. To quantify this, the factor is measured using token turnover, defined as trading volume as a percentage of circulating supply. The value is sign-inverted such that higher z-scores are assigned to less liquid assets.

For further detail, view the CF Factors Methodology Document, the CF Factor Data Suite, and Our paper “A Factor Model for Digital Assets” in Springer Nature’s Mathematical Research for Blockchain Economy