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Multi-Factor PortfoliosCross-Sectional FactorsRisk Overlays
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Portfolio

Foundational Factors

Portfolio

Altair

Cross-Sectional Factor

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Cross-Sectional Factor

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Cross-Sectional Factor

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Cross-Sectional Factor

Foundational Factors - 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

-35%

Volatility

34%

CAGR

101%

Sharpe Ratio

2.20

Liquidity Premium Index
Tier 3
☑ Point-in-Time

Measures the cost of liquidity in the crypto market.

Max Drawdown

-34%

Volatility

28%

CAGR

63%

Sharpe Ratio

1.92

Speculative Flow Index
Tier 3
☑ Point-in-Time

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

Max Drawdown

-30%

Volatility

32%

CAGR

75%

Sharpe Ratio

1.89

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

Measures the funding rates of all futures contracts.

Max Drawdown

-35%

Volatility

29%

CAGR

62%

Sharpe Ratio

1.81

Risk Overlays

Percentile Rank
Tier 3
☑ Point-in-Time

Measures the percentile rank of the asset.

Max Drawdown

-36%

Volatility

36%

CAGR

87%

Sharpe Ratio

1.93

Trend
Tier 3
☑ Point-in-Time

Measures the trend of the asset.

Max Drawdown

-40%

Volatility

37%

CAGR

85%

Sharpe Ratio

1.86

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