Common Risk Factors in Decentralized AI Subnets
Portfolio Management
2026-04-01 v1 Pricing of Securities
Abstract
I derive a size premium from the constant-product automated market maker used to price Bittensor subnet tokens and test the prediction using daily data on 128 subnets. A small-minus-big factor earns 1.01% daily (Newey-West t = 3.28). The December 2025 halving of token emissions, which the theory predicts should halve the premium, reduces it from 1.17% to 0.51% (p = 0.044). Exact slippage calculations show the premium is implementable only below $10K in assets under management; at $100K, transaction costs exceed gross returns.
Cite
@article{arxiv.2603.29751,
title = {Common Risk Factors in Decentralized AI Subnets},
author = {Philip Z. Maymin},
journal= {arXiv preprint arXiv:2603.29751},
year = {2026}
}
Comments
40 pages, 11 figures, 7 tables