Performance overview - Model Portfolio Crypto

The signals for our free quantitative asset models are publicly available with a 1 day lag on opening of a trade, though we will share them with you instantly whenever our models close a trade. If you want to see the signals without delay, you can either sign up for a free account, or sign up for a premium account to see additional signals and the full composition of our model portfolio.

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Background on our core model

The LongShortSignal.com crypto model portfolio is our flagship crypto portfolio made up of the best quantitative investment ideas generated by our cryptocurrency models across the entire spectrum of crypto assets covered by LSS signals. If we ran a crypto hedge fund, this is how we would invest. The signals used to build our model portfolio include our freely available Bitcoin model, but also a wide range of other crypto models including for instance Ethereum, Cardano, Ripple and Litecoin. On a monthly basis, our investment team rebalances by picking a number of cryptocurrencies that they favor the most at that point in time.

On a weekly basis, the portfolio weights are adjusted based on a number of variables. Primarily, allocations are adjusted based on the "win rates" of the underlying models, with models that have recently been more successful being favored, and on a day to day basis the position taken is dynamically determined by our long/short signals per asset class resulting from price movements in the days before. In between, assets whose long/short models have resulted in a higher Sharpe ratio get overweighted. As a final step, adjustments are made to ensure that risk contribution of each individual asset stays below approximately 12% of total portfolio risk. Our model portfolio does not employ any leverage. Please sign up for a LSS premium account if you want to have real time access to our model portfolio constituents and updates as they come in.

Performance YTD

Daily returns YTD



Daily returns over the last 30 days

Date Return
2020-12-041.48%
2020-12-032.38%
2020-12-02-3.93%
2020-12-013.91%
2020-11-305.56%
2020-11-293.11%
2020-11-28-1.10%
2020-11-27-9.93%
2020-11-26-5.73%
2020-11-254.22%
2020-11-248.92%
2020-11-23-1.16%
2020-11-222.39%
2020-11-214.04%
2020-11-200.20%
2020-11-19-1.14%
2020-11-183.78%
2020-11-174.94%
2020-11-16-1.13%
2020-11-15-1.14%
2020-11-140.82%
2020-11-130.83%
2020-11-12-1.02%
2020-11-110.51%
2020-11-10-0.82%
2020-11-091.96%
2020-11-08-0.54%
2020-11-07-1.94%
2020-11-061.82%
2020-11-05-0.07%
2020-11-040.56%



Monthly historical returns

Date Portfolio
2020-12-043.72%
2020-11-3017.75%
2020-10-314.08%
2020-09-30-6.40%
2020-08-3115.65%
2020-07-3130.84%
2020-06-30-2.67%
2020-05-317.03%
2020-04-3038.17%
2020-03-3131.52%
2020-02-2911.46%
2020-01-3145.08%

Statistics since inception (Dec. 2019)

Asset Total return Sharpe ratio Positive days Best day Worst day Net delta* Risk delta*
Crypto model portfolio 430.37% 10.22 62% 18.6% -9.9% 92% 211%
Bitcoin (BTC) 172.01% 2.97 57% 18.2% -37.2% - -
Ethereum (ETH) 354.56% 4.68 57% 18.9% -42.3% - -
Litecoin (LTC) 98.68% 1.28 54% 24.3% -37.6% - -
* Net delta is today's net long position across all assets. In a three asset portfolio where 2 are long and 1 is short, the result would be 33.3%.