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Multi-Factor PortfoliosCross-Sectional FactorsRisk Overlays
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Cross-Sectional Factor

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Cross-Sectional Factor

Spectra - Factor Risk Overlays

Portfolio Weights
Risk Overlay
Risk Scaled Weights
Portfolio Weights
Risk Overlay
Risk Scaled Weights

Risk Overlays can help adjusting factor exposures based on shifting market regimes. They help downweight factors like when is negative, and substantially boost risk-adjusted returns in certain cases. There are two types:

Factor Risk Overlays: based on the factor's own past performance (endogenous)

Risk Regimes: based on overall crypto market performance and state (exogenous), like funding rates, etc.

Risk Regimes

Obfuscated yxif469b
Tier 0
☒ Not point-in-time

q92f9ijjzx

Max Drawdown

-28%

Volatility

39%

CAGR

225%

Sharpe Ratio

3.23

Get Access

Obfuscated uqjkdtbt
Tier 0
☒ Not point-in-time

vir9571ubml

Max Drawdown

-23%

Volatility

29%

CAGR

136%

Sharpe Ratio

3.06

Get Access

Obfuscated n9a5kdkg
Tier 0
☒ Not point-in-time

hir9y1o1mlh

Max Drawdown

-27%

Volatility

33%

CAGR

136%

Sharpe Ratio

2.73

Get Access

Obfuscated ki5hvp87
Tier 0
☒ Not point-in-time

slhoniolx8q

Max Drawdown

-28%

Volatility

37%

CAGR

199%

Sharpe Ratio

3.11

Get Access

Risk Overlays

Obfuscated 6hufi084
Tier 0
☒ Not point-in-time

nd8tlcpaic8

Max Drawdown

-36%

Volatility

43%

CAGR

232%

Sharpe Ratio

2.98

Get Access

Obfuscated 4y0ce58d
Tier 0
☒ Not point-in-time

xt5rdq8ydxi

Max Drawdown

-32%

Volatility

43%

CAGR

228%

Sharpe Ratio

2.98

Get Access
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Cutting-edge, Institutional-grade Factor Portfolios for Crypto.

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Cutting-edge, Institutional-grade Factor Portfolios for Crypto.

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