Momentum
momentumCaptures short-term momentum opportunities, aiming for uncorrelated returns while minimizing directional exposure.
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.
Momentum
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | -0.70% | +24.10% | — | — | -2.4% |
| 3 months | +0.90% | +17.86% | — | — | -2.5% |
| Year to date | -2.54% | -11.92% | — | — | -11.6% |
| 1 year | -4.95% | -32.28% | 14.6% | -0.25 | -14.4% |
| Since inception (CAGR) | +17.75% | +42.73% | 17.5% | 1.02 | -20.1% |
Putting Momentum to work
There are two ways to take Momentum 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 Momentum to an existing portfolio
Size a Momentum 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 Momentum, 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, which already ensembles Momentum into Enhanced Momentum — add Momentum as its own entry in the factors list to weight its signal beyond what Enhanced Momentum alone captures.
New to the platform? The five-step guide covers data access, a proof of concept, and licensing.