The Myth of Factor-Free Crypto

Applying equity-style factors to digital assets

People keep telling you to take what works in equities and apply it to crypto.
Those same people then claim that factors don’t exist in crypto at all.

At first glance, that contradiction seems justified. Crypto markets look nothing like equities: trading is continuous, liquidity is fragmented across venues, listings and delistings are frequent, and returns are dominated by a long tail of illiquid tokens.

Let’s answer once and for all if equity factors exist in crypto and if you can profit from them.

By the end of this article, you’ll have a framework for answering that question yourself. You’ll see how to test new factors and alphas in a way that is robust to listings and delistings, a changing universe, and the realities of trading crypto markets. The full research notebook used in the analysis is available for download at the end of the article for paid subscribers.