Altair
altairShort-term liquidity dynamics from slippage and market-order imbalances across venues.
How the factor is constructed
Altair is a short-term liquidity metric that captures intraday market dynamics. The data is collected in real time and aggregated from the most reputable exchanges. Altair is a high-turnover factor that benefits from smoothing to reduce transaction costs.
The universe consists of the most liquid and actively traded assets, identified on a rolling basis and survivorship-bias free. Positions are scaled by the inverse of rolling volatility; the factor is available point-in-time with hourly updates.
Altair vs. factor average
This .40 series is a tradeable but demonstrative model portfolio — a liquid top-40 implementation that evidences Altair's cross-sectional predictive power. The product is the raw factor data: clients license it and apply it within their own models, universes and risk frameworks.
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | -3.15% | -14.73% | — | — | -5.2% |
| 3 months | -0.24% | +1.28% | — | — | -7.1% |
| Year to date | -4.76% | -22.25% | — | — | -7.8% |
| 1 year | +18.36% | -32.08% | 10.4% | 1.74 | -8.4% |
| Since inception | +321.30% | +858.10% | 14.7% | 1.59 | -12.4% |