Aperiodic · AF-IVOL · FactsheetAs of Jul 24, 2026
AF-IVOL
Instantaneous Volatility
instantaneous_volatilityProprietary measure of volatility, assets with higher instantaneous volatility tend to outperform in certain market conditions.
CAGR
+30.04%
Ann. vol
16.8%
Sharpe
1.65
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.
Signals
Volatility
Cross-sectional
Construction
Rank-weighted
Long / short
Risk
Vol-targeted
Inverse-vol scaled
Data
Point-in-time
Reproducible
Instantaneous Volatility
Performance & risk by period
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | -0.54% | +5.12% | — | — | -3.5% |
| 3 months | -0.73% | -17.26% | — | — | -8.8% |
| Year to date | +3.43% | -27.77% | — | — | -8.8% |
| 1 year | -2.56% | -45.85% | 12.1% | -0.13 | -9.9% |
| Since inception (CAGR) | +30.04% | +39.55% | 16.8% | 1.65 | -38.6% |