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Growth and Momentum Outperform in Turbulent Q1

The CF Benchmarks' Factor Report applies a robust multi-factor model to digital assets, enabling investors to track key drivers of crypto returns (Market, Size, Value, Momentum, Growth, Downside Beta, and Liquidity) and understand how these factors evolve across different market regimes.

Gabriel Selby, Mark Pilipczuk

• 3 min read
Growth and Momentum Outperform in Turbulent Q1
Click here to read the full report.


Key takeaways:

  • Growth and Momentum Emerged as Defensive Leaders
    Despite widespread weakness across the crypto market, Growth and Momentum factors are demonstrating resilience on both long and short exposures, outperforming other traditional metrics. This performance pattern indicates investors are increasingly prioritizing assets exhibiting quantifiable network expansion and technical trend persistence, particularly during heightened market volatility.
Source: CF Benchmarks, December 29, 2024 to March 30, 2025
  • Long-Only Market Factor Portfolio Fell Sharply
    The long-only Market factor portfolio, which tracks BTC and ETH, dropped 28% from its Q1 peak. This retracement coincided with deteriorating macroeconomic conditions and illustrates the limitations of broad market exposure during risk-aversion phases. This performance pattern may highlight the benefits to deploy targeted factor-based allocation strategies rather than relying solely on undifferentiated beta exposure.
Source: CF Benchmarks, December 29, 2024 to March 30, 2025
  • Larger-Cap and Liquid Tokens Showed Relative Strength
    Liquidity metrics revealed notable outperformance of larger-capitalization tokens versus their smaller, more speculative counterparts throughout the quarter. This rotation dynamic was clearly evidenced in the relative resilience of our Liquidity and Downside Beta factor exposures, reflecting increased appetite for established protocols with deeper trading volumes during periods of market uncertainty. This dispersion suggested a tactical defensive positioning shift as market participants recalibrated risk parameters amid the prevailing volatility regime.
Source: CF Benchmarks, December 29, 2024 to March 30, 2025
  • Size, Value, and Momentum Lagged Alongside Market
    Beyond the Market factor, Size and Value significantly underperformed last quarter, aligning with the observed capital rotation away from smaller-capitalization assets and protocols exhibiting weaker efficiency metrics or user engagement statistics. This factor behavior pattern was consistent with the risk-reduction positioning adopted by allocators. While Momentum demonstrated notable resilience within short positions, the factor exhibited meaningful weakness across long exposures—indicating that only a select subset of trend-following opportunities remained viable amid the deteriorating market sentiment environment.
Source: CF Benchmarks, December 29, 2024 to March 30, 2025
  • Understanding the CF Large Cap Index’s Factor Footprint
    The factor beta profile of the CF Large Cap Index (free-float market cap weight) indicates a high beta to the market factor, reflecting tight alignment with the general movements of the overall market. It also shows positive exposure to the downside beta factor, suggesting a tilt toward assets with lower downside sensitivity, which may enhance resilience during drawdowns. The index has negative exposures to size and liquidity, consistent with a focus on large-cap and frequently traded assets. Additionally, it shows modest negative exposure to momentum, growth, and value, implying a slight tilt away from trend-following, growth-oriented, or undervalued assets, potentially reflecting the mature and more established nature of large-cap tokens.
Source: CF Benchmarks, December 29, 2024 to March 30, 2025

To read the complete report, kindly click on the provided link (or click here to view a PDF version). Additionally, please do not forget to subscribe to our latest news and research for the most relevant institutional insights on digital assets and the top digital assets by market cap.

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