7 Factor Composite
composite-7Arithmetic averaging of the weights of the 7 orthogonal factors
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.
7 Factor Composite
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | -0.76% | +24.10% | — | — | -4.3% |
| 3 months | +2.81% | +17.86% | — | — | -4.3% |
| Year to date | +10.67% | -11.92% | — | — | -6.1% |
| 1 year | +25.77% | -32.28% | 10.3% | 2.32 | -6.1% |
| Since inception (CAGR) | +62.68% | +42.73% | 15.6% | 3.19 | -14.1% |
Putting the composite to work
The composite is a complete, market-neutral portfolio: you can allocate to it directly, or treat it as a reference blend and rebuild it to your own specification. Both paths are documented in short, runnable notebooks that work out of the box against the public demo key — no signup required.
Deploy as a complete portfolio
Allocate to the composite directly, or add it to your existing book as a single sleeve and measure what changes — correlation, CAGR, volatility, Sharpe and maximum drawdown, before and after. One parameterized notebook covers every factor; list AF-COMP's seven constituents to blend them into the composite sleeve.
Customize the blend
Rebuild the composite from its constituents and make it your own: reweight or drop factors, change the ensembling, adjust the allocation cap, and backtest the result. The notebook's default factor list is exactly the seven constituents, so its starting point replicates AF-COMP.
Reweight or drop any constituent · re-backtest
New to the platform? The five-step guide covers data access, a proof of concept, and licensing.