| Breakpoint universe | Mean CSIZE (%/wk) | % of specs positive | Mean CMOM (%/wk) |
|---|---|---|---|
| All coins (Liu) | 1.57 | 100 | 0.29 |
| Investable ($100M floor) | 0.33 | 80 | 0.71 |
| Investable (top 100) | 0.33 | 77 | 0.67 |
The Investable Cross-Section
What survives when you can only hold what’s actually investable
We construct the cryptocurrency three factors (market CMKT, size CSIZE, momentum CMOM) over a multiverse of defensible specification choices — data source (CoinMarketCap / CoinGecko), exclusions, the week-start calendar, weighting, breakpoints, momentum horizon, and the data-handling and universe rules described in the Methodology. Rather than report one “preferred” set of numbers, we report the distribution of results across all defensible specifications and ask a practitioner’s question: do the factors price the assets an investor can actually hold?
The central finding: the celebrated crypto size premium is an artifact of non-investable microcaps. Once breakpoints are computed on the investable universe — the standard NYSE-breakpoint discipline, which crypto needs even more than equities because it has no listing threshold — the size premium essentially vanishes, while short-horizon momentum survives and prices the cross-section.
2 · Only short-horizon momentum survives investability
| Characteristic | Mean L–S (%/wk) | % sig — full universe | % sig — investable universe |
|---|---|---|---|
| MAXDPRC | -1.85 | 100 | 0 |
| MCAP | -0.85 | 100 | 0 |
| PRC | -1.92 | 100 | 0 |
| r2,0 | 2.25 | 100 | 100 |
| r3,0 | 1.81 | 100 | 75 |
| r1,0 | 1.69 | 75 | 88 |
| r4,0 | 1.47 | 75 | 38 |
| r4,1 | 0.98 | 12 | 0 |
| PRCVOL | -0.40 | 0 | 0 |
| STDPRCVOL | -0.47 | 0 | 0 |
Size, price and maximum-price are significant in 100% of full-universe specifications but in 0% of investable ones — they are pure microcap artifacts. Short-horizon (1–3 week) momentum is the only anomaly that survives restriction to investable assets.
3 · A market + momentum model prices the investable cross-section
| World | Mean CSIZE | Mean CMOM | Cross-sec. adj R² | Momentum premium t (Shanken) |
|---|---|---|---|---|
| Investable | 0.33 | 0.71 | 0.51 | 2.76 |
| Liu (all / full) | 1.57 | 0.29 | 0.43 | 1.85 |
In Liu’s world there is a large size premium but momentum is not reliably priced; in the investable world the size factor is gone and momentum is a robustly priced factor with a higher cross-sectional R². The pricing-model intercept is insignificant in 89–98% of specifications — the model prices the cross-section.
4 · Calendar choice: dispersion without signal
The week-start convention (Monday … Sunday, or Liu’s calendar-year weeks) adds dispersion to the results but yields no robust effect — the best-pricing start-day is inconsistent across data source and universe, and is not Monday. Calendar choice is a non-standard-error dimension, not an exploitable phenomenon.
Replication data for every figure on this page is in the downloadable result tables. Factor construction is detailed in the Methodology.