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Cross-Sectional Factor

Spectra - Factor Risk Overlays | Unravel

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 7wskb7dh
Tier 0
☒ Not point-in-time

x22y6ayl3w

Max Drawdown

-28%

Volatility

39%

CAGR

215%

Sharpe Ratio

3.16

Get Access

Obfuscated avjcv2ff
Tier 0
☒ Not point-in-time

63k0aqtysw4

Max Drawdown

-18%

Volatility

29%

CAGR

132%

Sharpe Ratio

3.02

Get Access

Obfuscated gvs79yb5
Tier 0
☒ Not point-in-time

lsx6honak2j

Max Drawdown

-22%

Volatility

33%

CAGR

130%

Sharpe Ratio

2.69

Get Access

Obfuscated 278qrsf2
Tier 0
☒ Not point-in-time

uie17j6y04j

Max Drawdown

-27%

Volatility

38%

CAGR

185%

Sharpe Ratio

2.97

Get Access

Risk Overlays

Obfuscated bpdji65h
Tier 0
☒ Not point-in-time

3elirxamglz

Max Drawdown

-30%

Volatility

43%

CAGR

211%

Sharpe Ratio

2.85

Get Access

Obfuscated 5z5v69ws
Tier 0
☒ Not point-in-time

58hvmvfz2pf

Max Drawdown

-28%

Volatility

42%

CAGR

204%

Sharpe Ratio

2.84

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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