Aperiodic · AF-CRYX · FactsheetAs of Jul 24, 2026
AF-CRYX
Enhanced Carry
carry_enhancedCaptures cross-sectional funding premium across a wide range of exchanges, exploiting funding imbalances.
CAGR
+24.64%
Ann. vol
13.6%
Sharpe
1.69
How the factor is constructed
The market-neutral carry index exploits funding premiums, capturing the associated statistical inefficiencies in addition to the funding payments. It ingests funding rates from the top ten most reputable exchanges, avoiding reliance on any single venue.
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.
Signals
Carry
Cross-sectional
Construction
Rank-weighted
Long / short
Risk
Vol-targeted
Inverse-vol scaled
Data
Point-in-time
Reproducible
Enhanced Carry
Performance & risk by period
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | +0.77% | +5.12% | — | — | -2% |
| 3 months | +6.78% | -17.26% | — | — | -2% |
| Year to date | +11.90% | -27.77% | — | — | -4.1% |
| 1 year | +20.43% | -45.85% | 10.1% | 1.87 | -5.5% |
| Since inception (CAGR) | +24.64% | +39.55% | 13.6% | 1.69 | -15% |