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
-44%
Volatility
44%
CAGR
130%
Sharpe Ratio
2.10
Max Drawdown
-42%
Volatility
36%
CAGR
73%
Sharpe Ratio
1.69
Max Drawdown
-43%
Volatility
38%
CAGR
83%
Sharpe Ratio
1.80
Max Drawdown
-37%
Volatility
42%
CAGR
90%
Sharpe Ratio
1.73
Max Drawdown
-25%
Volatility
34%
CAGR
81%
Sharpe Ratio
1.90
Max Drawdown
-44%
Volatility
48%
CAGR
105%
Sharpe Ratio
1.73
Max Drawdown
-42%
Volatility
46%
CAGR
91%
Sharpe Ratio
1.62