Relative Illiquidity
relative_illiquidityCaptures the effect of assets with higher relative illiquidity tending to outperform.
How the factor is constructed
The factor capitalizes on the persistent effect of higher relative illiquidity tending to outperform among mid/large-cap digital assets. Relative illiquidity is the arithmetic mean of half a dozen relative liquidity ratios — including volume, open interest, order-book depth and spread — usually denominated by market capitalization and aggregated across the top ten most reputable exchanges.
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.
Relative Illiquidity
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | -3.58% | +24.10% | — | — | -4.9% |
| 3 months | -3.22% | +17.86% | — | — | -4.9% |
| Year to date | -4.33% | -11.92% | — | — | -8.7% |
| 1 year | -6.63% | -32.28% | 14.9% | -0.33 | -11.8% |
| Since inception (CAGR) | +15.26% | +42.73% | 14.5% | 1.05 | -20.3% |
Putting Relative Illiquidity to work
There are two ways to take Relative Illiquidity 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 Relative Illiquidity to an existing portfolio
Size a Relative Illiquidity 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 Relative Illiquidity, 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; add Relative Illiquidity to the factors list to measure its marginal contribution to the blend.
New to the platform? The five-step guide covers data access, a proof of concept, and licensing.