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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

Crypto Trend Consensus
Tier 3
☑ Point-in-Time

Measures the trend consensus of the crypto market.

Max Drawdown

-28%

Volatility

40%

CAGR

248%

Sharpe Ratio

3.29

Speculative Flow Index
Tier 3
☑ Point-in-Time

Measures the asset's sensitivity to speculative flows, captures the lead-lag relationship.

Max Drawdown

-29%

Volatility

39%

CAGR

221%

Sharpe Ratio

3.21

Liquidity Premium Index
Tier 3
☑ Point-in-Time

Measures the cost of liquidity in the crypto market.

Max Drawdown

-24%

Volatility

31%

CAGR

144%

Sharpe Ratio

3.02

Crypto Market-Wide Funding Rates
Tier 3
☑ Point-in-Time

Measures the funding rates of all futures contracts.

Max Drawdown

-28%

Volatility

35%

CAGR

142%

Sharpe Ratio

2.72

Risk Overlays

Percentile Rank
Tier 3
☑ Point-in-Time

Measures the percentile rank of the asset.

Max Drawdown

-36%

Volatility

44%

CAGR

259%

Sharpe Ratio

3.10

Trend
Tier 3
☑ Point-in-Time

Measures the trend of the asset.

Max Drawdown

-38%

Volatility

45%

CAGR

259%

Sharpe Ratio

3.06

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