Instantaneous Volatility
instantaneous_volatilityProprietary measure of volatility, assets with higher instantaneous volatility tend to outperform in certain market conditions.
How the factor is constructed
The factor capitalizes on the tendency of assets with higher instantaneous volatility to outperform less volatile assets in certain market conditions.
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.
Instantaneous Volatility
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | -2.62% | +24.10% | — | — | -3% |
| 3 months | -3.22% | +17.86% | — | — | -4.3% |
| Year to date | +1.88% | -11.92% | — | — | -8.5% |
| 1 year | -5.70% | -32.28% | 12.1% | -0.39 | -9.8% |
| Since inception (CAGR) | +28.83% | +42.73% | 16.7% | 1.60 | -39.1% |
Putting Instantaneous Volatility to work
There are two ways to take Instantaneous Volatility from factsheet to live book: overlay it as a sleeve on the portfolio you already run, or use it as a building block in a standalone multi-factor portfolio. Both paths are documented in short, runnable notebooks that work out of the box against the public demo key — no signup required.
Add Instantaneous Volatility to an existing portfolio
Size a Instantaneous Volatility sleeve alongside your current book and quantify what it changes: correlation to your existing returns, then CAGR, volatility, Sharpe and maximum drawdown before and after the blend. One parameterized notebook runs for any factor — swap in Instantaneous Volatility, then bring your own daily returns as a CSV or start from the built-in demo book.
Build a portfolio from scratch
Construct a market-neutral multi-factor portfolio from the ground up: ensemble the raw signals, apply inverse-volatility weights with a per-asset cap, and backtest net of transaction costs. The default factor list reconstructs the 7 Factor Composite; add Instantaneous Volatility to the factors list to measure its marginal contribution to the blend.
New to the platform? The five-step guide covers data access, a proof of concept, and licensing.