Aperiodic · AF-MOM · FactsheetAs of Jul 24, 2026
AF-MOM
Momentum
momentumCaptures short-term momentum opportunities, aiming for uncorrelated returns while minimizing directional exposure.
CAGR
+18.50%
Ann. vol
17.7%
Sharpe
1.05
How the factor is constructed
The market-neutral momentum index exploits cross-sectional price inefficiencies, capturing short-term, asset-specific momentum signals. By maintaining balanced long and short exposures, it aims to deliver alpha while minimizing sensitivity to broader market movements.
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
Momentum
Performance & risk by period
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | +1.62% | +5.12% | — | — | -1.6% |
| 3 months | +10.65% | -17.26% | — | — | -4.4% |
| Year to date | -1.41% | -27.77% | — | — | -11.6% |
| 1 year | +4.00% | -45.85% | 14.8% | 0.34 | -14.4% |
| Since inception (CAGR) | +18.50% | +39.55% | 17.7% | 1.05 | -20.1% |