Aperiodic · AF-COMP · FactsheetAs of Jul 24, 2026
AF-COMP
7 Factor Composite
composite-7Arithmetic averaging of the weights of the 7 orthogonal factors
CAGR
+64.42%
Ann. vol
15.7%
Sharpe
3.25
How the portfolio is constructed
The 7 Factor Composite is a market-neutral portfolio — not a standalone factor. It blends seven orthogonal factors in equal weight (Enhanced Momentum, Enhanced Carry, Retail Flow, Margin Risk, Altair, Mean Reversion, and Enhanced Mean Reversion), averaging their daily target weights. Because the constituents are largely uncorrelated, compositing them lifts the risk-adjusted return well above any single factor.
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
7 factors
Cross-sectional
Construction
Equal-weight
Long / short
Risk
Vol-targeted
Diversified
Data
Point-in-time
Reproducible
7 Factor Composite
Performance & risk by period
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | +0.96% | +5.12% | — | — | -1.2% |
| 3 months | +9.06% | -17.26% | — | — | -3.6% |
| Year to date | +10.12% | -27.77% | — | — | -6.1% |
| 1 year | +32.72% | -45.85% | 9.7% | 3.02 | -6.1% |
| Since inception (CAGR) | +64.42% | +39.55% | 15.7% | 3.25 | -13.5% |