Altair
altairShort-term liquidity dynamics from slippage and market-order imbalances across venues.
How the factor is constructed
Altair is a short-term liquidity metric that captures intraday market dynamics. The data is collected in real time and aggregated from the most reputable exchanges. Altair is a high-turnover factor that benefits from smoothing to reduce transaction costs.
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.
Altair vs. factor average
This .40 series is a tradeable but demonstrative model portfolio — a liquid top-40 implementation that evidences Altair'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 | EW avg | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | +0.00% | — | — | — | 0% |
| 3 months | +0.00% | — | — | — | 0% |
| Year to date | +0.00% | — | — | — | 0% |
| 1 year | +0.00% | — | 0% | 0.00 | 0% |
| Since inception | +0.00% | — | 0% | 0.00 | 0% |