Aperiodic · AF-IMOM · FactsheetAs of Jul 24, 2026
AF-IMOM
Instantaneous Momentum
instantaneous_momentumProprietary measure of momentum, assets with higher instantaneous momentum tend to outperform.
CAGR
+40.26%
Ann. vol
17.1%
Sharpe
2.06
How the factor is constructed
The factor capitalizes on the tendency of assets with higher instantaneous momentum to outperform assets with lower instantaneous momentum.
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
Momentum
Cross-sectional
Construction
Rank-weighted
Long / short
Risk
Vol-targeted
Inverse-vol scaled
Data
Point-in-time
Reproducible
Instantaneous Momentum
Performance & risk by period
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | +2.19% | +5.12% | — | — | -1.8% |
| 3 months | +16.91% | -17.26% | — | — | -3.1% |
| Year to date | +19.07% | -27.77% | — | — | -5% |
| 1 year | +50.01% | -45.85% | 12% | 3.47 | -5% |
| Since inception (CAGR) | +40.26% | +39.55% | 17.1% | 2.06 | -15.3% |