Relative Illiquidity
relative_illiquidityAmihud-style illiquidity premium from price impact per unit of traded volume.
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 vs. factor average
This .40 series is a tradeable but demonstrative model portfolio — a liquid top-40 implementation that evidences Relative Illiquidity'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% |