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Multi-Factor PortfoliosCross-Sectional FactorsRisk Overlays
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Altair

Cross-Sectional Factor

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Cross-Sectional Factor

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Cross-Sectional Factor

Altair - 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 6cw5zuhx
Tier 0
☒ Not point-in-time

o2suz4kb3ps

Max Drawdown

-41%

Volatility

35%

CAGR

83%

Sharpe Ratio

1.91

Get Access

Obfuscated lih8xtyv
Tier 0
☒ Not point-in-time

jpit0s3i2ar

Max Drawdown

-34%

Volatility

27%

CAGR

45%

Sharpe Ratio

1.51

Get Access

Obfuscated 7lvehrcx
Tier 0
☒ Not point-in-time

qpyabi0b16a

Max Drawdown

-45%

Volatility

31%

CAGR

38%

Sharpe Ratio

1.19

Get Access

Obfuscated ijtkljtg
Tier 0
☒ Not point-in-time

xbqm2j6mrb

Max Drawdown

-34%

Volatility

34%

CAGR

84%

Sharpe Ratio

1.95

Get Access

Risk Overlays

Obfuscated sfbzkpau
Tier 0
☒ Not point-in-time

aex7hjgluyd

Max Drawdown

-58%

Volatility

38%

CAGR

62%

Sharpe Ratio

1.46

Get Access

Obfuscated ttotvooh
Tier 0
☒ Not point-in-time

x0ofpb3mf0k

Max Drawdown

-52%

Volatility

37%

CAGR

72%

Sharpe Ratio

1.64

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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