Download Data
All files are free for academic and non-commercial use. Please cite the project and Liu et al. (2022). Each factor file has columns week_start, CMKT, CSIZE, CMOM (weekly, decimal returns).
Factor series
Two construction universes, two independent data sources. The investable series compute breakpoints on the investable universe (the recommended series — see Results); the all-coin series follow the original full-universe convention for comparison with Liu et al. (2022).
| Source | Universe | CSV | Parquet |
|---|---|---|---|
| CoinGecko | Investable (recommended) | factors_cg_investable.csv | .parquet |
| CoinGecko | All-coin (Liu-style) | factors_cg_all.csv | .parquet |
| CoinMarketCap | Investable | factors_cmc_investable.csv | .parquet |
| CoinMarketCap | All-coin (Liu-style) | factors_cmc_all.csv | .parquet |
Canonical spec: stablecoins excluded, sharp calendar, value-weighted, quintile size sort, two-week momentum, gap-corrected returns, investable-momentum signal.
Multiverse & analysis tables
The full specification multiverse and the cross-sectional evidence behind the Results:
| File | Contents |
|---|---|
| multiverse_results.csv | One row per specification (4,608 worlds): factor means + Fama-MacBeth pricing stats |
| factor_survival.csv | Long-short significance of the 10 characteristics, full vs investable |
| calendar_study.csv | Pricing by week-start calendar (investable world) |
| calendar_study_allcoin.csv | Pricing by week-start calendar (all-coin world) |
Use in R / Python
# direct from the site
f <- read.csv("https://opencryptoassetpricing.com/data/factors_cg_investable.csv")
# or parquet via arrow
library(arrow)
f <- read_parquet("https://opencryptoassetpricing.com/data/factors_cg_investable.parquet")import pandas as pd
f = pd.read_csv("https://opencryptoassetpricing.com/data/factors_cg_investable.csv")The underlying coin data is retrieved with the crypto2 R package (CoinMarketCap and CoinGecko), so every series here is fully reproducible from source.
File format
| Column | Description |
|---|---|
week_start |
Week start date (YYYY-MM-DD), sharp-calendar convention |
CMKT |
Market excess return (value-weighted, minus 1-month T-bill) |
CSIZE |
Size factor (small minus big) |
CMOM |
Momentum factor (winners minus losers, two-week) |