Enhanced Momentum
momentum_enhancedMomentum refined with volatility scaling and turnover control for steadier risk-adjusted carry.
How the factor is constructed
Enhanced Momentum exploits cross-sectional price inefficiencies, measured by a collection of proprietary methods capturing short-term momentum-related effects. It blends Instantaneous Momentum, Polaris and 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.
Enhanced Momentum vs. factor average
This .40 series is a tradeable but demonstrative model portfolio — a liquid top-40 implementation that evidences Enhanced Momentum's cross-sectional predictive power. The product is the raw factor data: clients license it and apply it within their own models, universes and risk frameworks.
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | +10.19% | -14.73% | — | — | -1.5% |
| 3 months | +14.32% | +1.28% | — | — | -2.6% |
| Year to date | +9.91% | -22.25% | — | — | -6.6% |
| 1 year | +25.34% | -32.08% | 13.1% | 1.82 | -6.9% |
| Since inception | +378.90% | +858.10% | 15.4% | 1.66 | -15.2% |