Aperiodic · AF-MOMX · FactsheetAs of Jul 24, 2026
AF-MOMX
Enhanced Momentum
momentum_enhancedCaptures short-term momentum effects, measured by a wide range of proprietary methods.
CAGR
+26.95%
Ann. vol
15.3%
Sharpe
1.64
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.
Signals
Momentum
Cross-sectional
Construction
Rank-weighted
Long / short
Risk
Vol-targeted
Inverse-vol scaled
Data
Point-in-time
Reproducible
Enhanced Momentum
Performance & risk by period
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | +0.91% | +5.12% | — | — | -1.6% |
| 3 months | +15.24% | -17.26% | — | — | -2.5% |
| Year to date | +9.84% | -27.77% | — | — | -6.6% |
| 1 year | +22.99% | -45.85% | 12.8% | 1.71 | -6.9% |
| Since inception (CAGR) | +26.95% | +39.55% | 15.3% | 1.64 | -15.2% |