Author: Katula Lamperouge
Keywords: crypto factors, factor analysis, factor construction, factor portfolio, crypto tradability
Abstract: Factor analysis has been dominating the stock market in explanation of risk premium induced excess returns. We analyzed basic price-volume based factors including capitalization, price, liquidity, momentum, volatility, drawdown and beta on top 50 cryptos with largest caps, constructed multiple factor portfolios and confirmed their explanatory power for excess returns in the crypto domain. All these portfolios outperform the bitcoin consistently with reasonable information ratios.