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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 b7ty6ntk
Tier 0
☒ Not point-in-time

e7rtnek8euo

Max Drawdown

-28%

Volatility

39%

CAGR

215%

Sharpe Ratio

3.16

Get Access

Obfuscated jgapmfxw
Tier 0
☒ Not point-in-time

is6tr44f79s

Max Drawdown

-18%

Volatility

29%

CAGR

132%

Sharpe Ratio

3.02

Get Access

Obfuscated fq6j9iql
Tier 0
☒ Not point-in-time

j3deqz63kdg

Max Drawdown

-22%

Volatility

33%

CAGR

130%

Sharpe Ratio

2.69

Get Access

Obfuscated jpxs4oa1
Tier 0
☒ Not point-in-time

6exqxbpitka

Max Drawdown

-27%

Volatility

38%

CAGR

185%

Sharpe Ratio

2.97

Get Access

Risk Overlays

Obfuscated 05dgx2pt
Tier 0
☒ Not point-in-time

14prae018c1

Max Drawdown

-30%

Volatility

43%

CAGR

211%

Sharpe Ratio

2.85

Get Access

Obfuscated mo4q1cw6
Tier 0
☒ Not point-in-time

dsjmtggi5ic

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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