Enhanced Carry
carry_enhancedCaptures cross-sectional funding premium across a wide range of exchanges, exploiting funding imbalances.
How the factor is constructed
The market-neutral carry index exploits funding premiums, capturing the associated statistical inefficiencies in addition to the funding payments. It ingests funding rates from the top ten most reputable exchanges, avoiding reliance on any single venue.
The universe consists of the most liquid and actively traded assets, identified on a rolling basis and survivorship-bias free. Positions are scaled by the inverse of rolling volatility; the factor is available point-in-time with hourly updates.
Enhanced Carry
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | -4.03% | +24.10% | — | — | -5% |
| 3 months | -2.59% | +17.86% | — | — | -5% |
| Year to date | +8.45% | -11.92% | — | — | -5% |
| 1 year | +18.73% | -32.28% | 10.2% | 1.75 | -5% |
| Since inception (CAGR) | +23.55% | +42.73% | 13.5% | 1.63 | -15.3% |
Putting Enhanced Carry to work
There are two ways to take Enhanced Carry from factsheet to live book: overlay it as a sleeve on the portfolio you already run, or use it as a building block in a standalone multi-factor portfolio. Both paths are documented in short, runnable notebooks that work out of the box against the public demo key — no signup required.
Add Enhanced Carry to an existing portfolio
Size a Enhanced Carry sleeve alongside your current book and quantify what it changes: correlation to your existing returns, then CAGR, volatility, Sharpe and maximum drawdown before and after the blend. One parameterized notebook runs for any factor — swap in Enhanced Carry, then bring your own daily returns as a CSV or start from the built-in demo book.
Build a portfolio from scratch
Construct a market-neutral multi-factor portfolio from the ground up: ensemble the raw signals, apply inverse-volatility weights with a per-asset cap, and backtest net of transaction costs. The default factor list reconstructs the 7 Factor Composite — Enhanced Carry is one of its seven constituents, so its contribution is in the blend from the first run.
New to the platform? The five-step guide covers data access, a proof of concept, and licensing.