Aperiodic · AF-OID · FactsheetAs of Jul 24, 2026
AF-OID
Open Interest Divergence
open_interest_divergenceQuantifies open interest divergence and systematically takes positions, aiming to capitalize on behavioral inefficiencies.
CAGR
+20.87%
Ann. vol
15.9%
Sharpe
1.27
How the factor is constructed
The index capitalizes on the persistent relationship between open-interest dynamics and future asset performance, systematically identifying and exploiting divergence in open-interest patterns across assets.
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
Derivatives
Cross-sectional
Construction
Rank-weighted
Long / short
Risk
Vol-targeted
Inverse-vol scaled
Data
Point-in-time
Reproducible
Open Interest Divergence
Performance & risk by period
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | -0.97% | +5.12% | — | — | -2.1% |
| 3 months | -3.13% | -17.26% | — | — | -6.2% |
| Year to date | -0.95% | -27.77% | — | — | -6.3% |
| 1 year | -2.75% | -45.85% | 15.3% | -0.07 | -12.7% |
| Since inception (CAGR) | +20.87% | +39.55% | 15.9% | 1.27 | -21.5% |