01 · CryptoFactors Day-by-Day Realized Net Returns (105 Coins, UTC Days)
Binance settled: 2026-10-27 · OKX UTC: 2026-10-28Each column reports the net return realized on that UTC day from signals formed at the prior 00:00 UTC close (net of 10 bp round-trip cost for single factors and 15 bp weekly rebalance cost for Product B, including 8h perpetual funding accrual). During the Oct 22–25 deleveraging sell-off (Big-24 EW −7.70%), Low-Price Range gained +7.73% over four consecutive positive days and Product B Beta-Hedged gained +1.52% on the Oct 22 crash day; during the Oct 26–27 short squeeze, Taker Buy / Large-Trade OFI and High-Volume Reversal led.
| Strategy / Factor / Benchmark | Type | Oct 20 | Oct 21 | Oct 22 | Oct 23 | Oct 24 | Oct 25 | Oct 26 | Oct 27 | Oct 28 | Oct 21-Oct 28 (Settled) | Oct 21-Oct 28 | Oct MTD (to Oct 28) | Since Sep 29 | Since Sep 01 |
|---|
| BTC Spot/Perp Benchmark | Benchmark | +1.33% | +1.28% | -3.18% | -0.28% | -0.37% | -0.91% | 0.00% | +0.95% | +0.53% | -2.04% | -2.04% | -4.17% | -2.78% | +5.04% |
| ETH Spot/Perp Benchmark | Benchmark | +1.71% | +1.00% | -3.42% | -0.06% | -1.21% | -1.23% | -0.23% | +1.11% | +0.39% | -3.66% | -3.66% | -12.82% | -11.89% | -2.44% |
| Big-24 Equal-Weight Benchmark | Benchmark | +1.84% | +0.54% | -4.72% | -1.03% | -1.56% | -0.68% | +0.29% | +0.49% | +0.68% | -5.95% | -5.95% | -10.68% | -11.07% | +20.69% |
| Wide-105 Equal-Weight Benchmark | Benchmark | +3.06% | +1.16% | -5.94% | -0.91% | -1.81% | -1.69% | +0.33% | +0.82% | +0.82% | -7.19% | -7.19% | -13.14% | -12.64% | +17.76% |
| Product B · Top-8 Big-Cap Long-Only | Deliverable | +0.40% | +0.70% | -3.20% | -1.03% | -1.92% | -1.15% | +0.19% | -0.14% | +0.33% | -6.10% | -6.10% | -11.00% | -10.70% | +22.41% |
| Product B · Top-8 Beta-Hedged (Market-Neutral) | Deliverable | -1.45% | +0.16% | +1.52% | 0.00% | -0.35% | -0.47% | -0.10% | -0.64% | -0.35% | -0.24% | -0.24% | -0.91% | -0.15% | +0.55% |
| v2.0 · 4-Factor Static Equal-Weight | Composite | -0.94% | -0.06% | +0.12% | -0.05% | -0.62% | -0.10% | -0.24% | -1.09% | -0.34% | -2.35% | -2.35% | -1.23% | -0.88% | -3.28% |
| v2.0 · Inverse-Vol + Funding Squeeze Gate | Composite | -0.91% | +0.08% | -0.26% | -0.35% | -0.77% | -0.22% | +0.16% | -1.02% | -0.08% | -2.45% | -2.45% | +0.36% | +0.09% | -3.72% |
| v2.0 · Gated + 15% Target Volatility | Composite | -1.11% | +0.09% | -0.31% | -0.45% | -0.99% | -0.32% | +0.23% | -1.52% | -0.11% | -3.33% | -3.33% | -1.12% | -1.31% | -4.25% |
| Low-Price Range (AMP_lo, Wide-105) | Single Factor | -0.57% | -1.15% | +4.31% | +2.45% | +0.65% | +0.14% | -1.08% | -0.36% | -1.71% | +3.15% | +3.15% | +3.43% | +4.42% | -6.63% |
| High-Volume Reversal (REV_hi, Wide-105) | Single Factor | -0.08% | +0.75% | +1.97% | -0.34% | -0.55% | +0.55% | +0.97% | -0.01% | +0.97% | +4.37% | +4.37% | +8.54% | +8.58% | +9.66% |
| Taker Buy Ratio (OFI, Big-24) | Single Factor | +0.46% | -0.01% | +0.18% | +0.55% | -0.07% | -0.81% | +0.52% | +0.83% | -1.21% | -0.05% | -0.05% | -0.77% | -0.95% | -13.62% |
| Large-Trade Taker Imbalance (OFI_big, Big-24) | Single Factor | -0.38% | +0.41% | +0.27% | -0.14% | -0.12% | -1.09% | +0.52% | +1.25% | -1.21% | -0.14% | -0.14% | +4.18% | +2.82% | -16.83% |
| Open-Interest Change (dOI, Big-24) | Single Factor | -1.48% | -0.02% | -1.77% | +0.15% | -0.08% | -0.45% | +1.41% | -0.44% | +0.12% | -1.10% | -1.10% | -13.13% | -12.43% | -20.40% |
| Cross-Sectional Momentum (MOM, Wide-105) | Single Factor | +0.99% | -0.23% | -0.69% | -0.36% | +1.02% | -0.01% | -0.90% | +0.60% | -0.30% | -0.87% | -0.87% | +2.11% | 0.00% | -8.46% |
| Top-Trader Long/Short Ratio (TLS, Big-24) | Single Factor | +2.24% | +0.08% | -1.67% | -0.77% | -0.35% | -0.40% | +1.12% | +0.59% | -0.59% | -2.00% | -2.00% | -8.35% | -8.25% | +15.37% |
| Retail Long/Short Contrarian (GLS, Big-24) | Single Factor | -0.34% | +1.01% | -1.71% | -0.81% | -1.74% | -0.24% | -0.28% | -1.39% | +0.19% | -4.89% | -4.89% | +2.23% | +0.28% | +4.87% |
| Funding-Rate Contrarian Carry (FUND, Big-24) | Single Factor | -1.35% | -0.08% | -0.34% | -2.00% | -1.29% | +0.12% | -1.00% | -2.16% | +0.05% | -6.52% | -6.52% | +2.10% | +3.68% | +6.62% |
Inspect pre-registered 2026-10-23 fixed-holdings signal book day-by-day (6 UTC days)
| UTC Date | Book | BTC | ETH | Big-24 EW | Wide-105 EW | Prod B Long-8 | Prod B Mkt-Neutral | Prod B Top8-Bot5 | Retail L/S | Funding L/S | Low-Price Range L/S | Reversal L/S |
|---|
| 2026-10-23 | Frozen 2026-10-23 Book | -0.28% | -0.07% | -0.76% | -0.72% | -1.14% | -0.38% | -0.31% | -0.63% | -1.69% | +1.49% | -0.16% |
| 2026-10-24 | Frozen 2026-10-23 Book | -0.37% | -1.22% | -1.48% | -1.73% | -2.02% | -0.54% | -0.75% | -2.14% | -1.27% | +0.37% | -0.58% |
| 2026-10-25 | Frozen 2026-10-23 Book | -0.90% | -1.22% | -0.70% | -1.65% | -0.96% | -0.26% | -0.25% | -0.59% | +0.55% | +0.32% | +0.41% |
| 2026-10-26 | Frozen 2026-10-23 Book | +0.01% | -0.22% | +0.41% | +0.34% | -0.04% | -0.45% | -0.97% | -0.19% | -0.82% | -0.19% | -1.28% |
| 2026-10-27 | Frozen 2026-10-23 Book | +0.94% | +1.11% | +0.27% | +0.74% | -0.17% | -0.44% | -0.82% | -1.49% | -1.38% | -0.07% | -0.45% |
| 2026-10-28 | Frozen 2026-10-23 Book | +0.53% | +0.39% | +0.68% | +0.82% | +0.68% | 0.00% | -0.08% | -0.32% | +0.07% | -0.14% | +0.08% |
Download CryptoFactors day-by-day CSV ↗ · Read Live-Readiness Stress Audit ↗
02 · EMFactorTiming Day-by-Day Realized Returns (49 US-Listed EM/DM ETFs)
Latest US trading session: 2026-10-28 (Settled Close)Daily factor spreads and country ETF returns across 7 tradable global/EM style factors, 2 composite timing portfolios, and 21 MSCI EM country ETFs. On Thursday Oct 22 (when EEM fell −2.91% and SPY fell −1.18%), all six fundamental/defensive style factors rallied (Investment +3.09%, Low Risk +1.65%, Value +1.03%, Shrinkage Tilt +1.27%); across Oct 23–28, Momentum rebounded for four consecutive sessions (+0.83%, +1.05%, +1.13%, +1.06%).
| Factor Spread / Timing Portfolio / Benchmark | Category | Oct 20 | Oct 21 | Oct 22 | Oct 23 | Oct 26 | Oct 27 | Oct 28 | Oct 22-Oct 28 | Oct MTD (to Oct 28) | 2026 YTD |
|---|
| Investment / Conservative (IWD - IWF) | Style Factor | +1.05% | -0.69% | +3.09% | -0.23% | -0.71% | -1.06% | -0.53% | +0.50% | +5.99% | +5.05% |
| Low Risk / Min-Vol (USMV-SPY & EEMV-EEM) | Style Factor | +0.39% | -0.30% | +1.65% | -0.25% | 0.00% | -0.60% | -0.69% | +0.09% | +3.65% | +3.34% |
| Momentum (MTUM - SPY) | Style Factor | -0.29% | +0.73% | -2.49% | +0.83% | +1.05% | +1.13% | +1.06% | +1.54% | -5.41% | -4.51% |
| Value (VLUE-SPY & DEM-EEM) | Style Factor | +0.34% | -0.20% | +1.03% | -0.12% | -0.43% | -0.08% | -0.77% | -0.37% | 0.00% | -0.07% |
| EM Multi-Factor (EMGF - EEM) | Style Factor | +0.13% | -0.14% | +0.05% | -0.04% | +0.25% | +0.07% | -0.34% | 0.00% | +0.12% | +0.24% |
| Size / Small-Cap (IWM-SPY & DGS-EEM) | Style Factor | +1.06% | -0.29% | +0.90% | -0.16% | -1.13% | -0.02% | -0.68% | -1.10% | -0.04% | +0.25% |
| Quality (QUAL - SPY) | Style Factor | -0.13% | -0.36% | +0.53% | -0.26% | -0.38% | -0.73% | -0.41% | -1.26% | -0.94% | -0.83% |
| Empirical Bayes Shrinkage Tilt (Defensive/Value) | Timing Portfolio | +0.47% | -0.31% | +1.27% | -0.15% | -0.35% | -0.41% | -0.53% | -0.17% | +1.62% | +1.45% |
| Static Equal-Weight 7-Factor Basket | Timing Portfolio | +0.36% | -0.18% | +0.68% | -0.03% | -0.19% | -0.18% | -0.34% | -0.07% | +0.47% | +0.50% |
| S&P 500 Benchmark (SPY) | Market Benchmark | +0.34% | +0.53% | -1.18% | -0.52% | +0.71% | +0.56% | +0.35% | -0.09% | +1.28% | +0.89% |
| MSCI Emerging Markets Benchmark (EEM) | Market Benchmark | +0.02% | +0.39% | -2.91% | +0.47% | -0.31% | +1.13% | +1.60% | -0.08% | -4.90% | -5.48% |
| EM 21-Country Equal-Weight Benchmark | Market Benchmark | +0.76% | -0.01% | -1.91% | -0.40% | -0.44% | +1.06% | +0.17% | -1.54% | -3.41% | -4.49% |
Inspect all 21 MSCI Emerging-Market country ETFs day-by-day (Oct 20 to Oct 28)
| Country ETF | Universe | Oct 20 | Oct 21 | Oct 22 | Oct 23 | Oct 26 | Oct 27 | Oct 28 | Oct 22-Oct 28 | Oct MTD (to Oct 28) | 2026 YTD |
|---|
| QAT (QAT) | MSCI EM Country | -0.16% | +0.49% | -0.49% | -0.74% | +3.39% | +3.98% | -0.13% | +6.04% | +0.06% | -1.72% |
| KOR (EWY) | MSCI EM Country | -1.65% | +1.88% | -4.98% | +1.48% | +0.97% | +3.10% | +5.35% | +5.74% | -9.25% | -9.64% |
| KWT (KWT) | MSCI EM Country | +0.44% | -0.84% | -0.52% | -0.71% | +2.91% | +0.93% | 0.00% | +2.60% | -2.80% | -3.33% |
| MYS (EWM) | MSCI EM Country | +1.14% | +0.26% | -0.11% | +0.23% | -0.34% | +0.30% | +0.49% | +0.56% | -2.12% | -3.14% |
| THA (THD) | MSCI EM Country | -0.80% | -0.07% | -0.04% | +0.16% | +1.19% | -0.42% | -0.35% | +0.52% | +0.92% | -1.88% |
| SAU (KSA) | MSCI EM Country | -1.02% | -0.66% | -2.46% | -0.03% | +0.92% | +1.82% | +0.30% | +0.51% | -4.39% | -6.02% |
| TWN (EWT) | MSCI EM Country | +0.07% | +1.55% | -4.59% | +0.88% | +0.68% | +1.55% | +1.56% | -0.06% | -3.53% | -4.60% |
| IDN (EIDO) | MSCI EM Country | +7.18% | +2.23% | +0.95% | -0.28% | -0.75% | -1.71% | +1.26% | -0.57% | -10.74% | -11.79% |
| IND (INDA) | MSCI EM Country | +0.80% | -1.07% | +0.19% | -1.90% | +0.28% | +0.32% | +0.15% | -0.97% | +0.28% | -0.59% |
| EGY (AFK) | MSCI EM Country | +0.98% | -0.37% | -2.71% | -0.66% | +0.43% | +1.09% | +0.82% | -1.07% | -4.52% | -6.23% |
| MEX (EWW) | MSCI EM Country | +0.19% | +0.07% | -0.79% | +0.41% | +0.05% | -0.40% | -0.48% | -1.20% | +4.99% | +3.14% |
| ARE (UAE) | MSCI EM Country | +0.36% | +0.20% | -2.28% | -1.14% | +0.63% | +2.56% | -1.17% | -1.47% | -3.19% | -3.81% |
| ZAF (EZA) | MSCI EM Country | +1.28% | -0.18% | -2.24% | -1.13% | +0.55% | +0.83% | +0.49% | -1.51% | +0.55% | -0.21% |
| POL (EPOL) | MSCI EM Country | +0.27% | +1.97% | -2.13% | -1.41% | +0.21% | +1.26% | +0.09% | -2.00% | -0.32% | -1.07% |
| GRC (GREK) | MSCI EM Country | +1.30% | +0.21% | -3.52% | -1.54% | +1.05% | +1.59% | +0.49% | -2.01% | -6.91% | -7.14% |
| CHN (MCHI) | MSCI EM Country | +0.18% | -1.79% | -2.06% | -0.04% | +0.24% | -0.08% | -0.08% | -2.02% | -6.04% | -6.66% |
| CHL (ECH) | MSCI EM Country | +0.73% | -0.35% | -2.29% | -0.85% | -1.22% | +2.28% | -0.55% | -2.66% | -4.34% | -5.61% |
| PHL (EPHE) | MSCI EM Country | -0.26% | -0.52% | -0.83% | -0.92% | -1.20% | +1.39% | -1.55% | -3.09% | -2.11% | -3.68% |
| TUR (TUR) | MSCI EM Country | +2.52% | -1.32% | -3.33% | -1.22% | +0.33% | +0.03% | -0.19% | -4.35% | -8.96% | -13.18% |
| PER (EPU) | MSCI EM Country | -0.01% | -0.85% | -4.41% | -0.71% | +0.24% | +1.29% | -1.03% | -4.62% | -4.64% | -5.40% |
| BRA (EWZ) | MSCI EM Country | +2.41% | -1.00% | -1.55% | +1.77% | -19.82% | +0.44% | -1.92% | -20.87% | -9.69% | -7.10% |
Download EMFactorTiming day-by-day CSV ↗ · Read EM Live-Readiness Audit ↗