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.
Max Drawdown
-39%
Volatility
35%
CAGR
89%
Sharpe Ratio
1.98
Max Drawdown
-32%
Volatility
28%
CAGR
49%
Sharpe Ratio
1.56
Max Drawdown
-39%
Volatility
31%
CAGR
49%
Sharpe Ratio
1.43
Max Drawdown
-31%
Volatility
34%
CAGR
84%
Sharpe Ratio
1.94
Max Drawdown
-30%
Volatility
29%
CAGR
40%
Sharpe Ratio
1.33
Max Drawdown
-49%
Volatility
39%
CAGR
69%
Sharpe Ratio
1.55
Max Drawdown
-42%
Volatility
38%
CAGR
76%
Sharpe Ratio
1.67