Aperiodic · AF-ILQ · FactsheetAs of Jul 24, 2026
AF-ILQ
Relative Illiquidity
relative_illiquidityCaptures the effect of assets with higher relative illiquidity tending to outperform.
CAGR
+15.93%
Ann. vol
14.6%
Sharpe
1.09
How the factor is constructed
The factor capitalizes on the persistent effect of higher relative illiquidity tending to outperform among mid/large-cap digital assets. Relative illiquidity is the arithmetic mean of half a dozen relative liquidity ratios — including volume, open interest, order-book depth and spread — usually denominated by market capitalization and aggregated across the top ten most reputable exchanges.
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
Liquidity
Cross-sectional
Construction
Rank-weighted
Long / short
Risk
Vol-targeted
Inverse-vol scaled
Data
Point-in-time
Reproducible
Relative Illiquidity
Performance & risk by period
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | -1.89% | +5.12% | — | — | -2.9% |
| 3 months | -4.51% | -17.26% | — | — | -6% |
| Year to date | -3.49% | -27.77% | — | — | -8.1% |
| 1 year | -8.74% | -45.85% | 15% | -0.49 | -14.5% |
| Since inception (CAGR) | +15.93% | +39.55% | 14.6% | 1.09 | -20.3% |