Enhanced Carry
carry_enhancedFunding carry with basis and term-structure adjustment for cleaner premium capture.
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 vs. factor average
This .40 series is a tradeable but demonstrative model portfolio — a liquid top-40 implementation that evidences Enhanced Carry's cross-sectional predictive power. The product is the raw factor data: clients license it and apply it within their own models, universes and risk frameworks.
| Period | Return | EW avg | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | +0.00% | — | — | — | 0% |
| 3 months | +0.00% | — | — | — | 0% |
| Year to date | +0.00% | — | — | — | 0% |
| 1 year | +0.00% | — | 0% | 0.00 | 0% |
| Since inception | +0.00% | — | 0% | 0.00 | 0% |