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Multi-Factor PortfoliosCross-Sectional FactorsRisk Overlays
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Foundational Factors

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Altair

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

Obfuscated 6xvxfvu7
Tier 0
☒ Not point-in-time

625hihkbuw6

Max Drawdown

-35%

Volatility

35%

CAGR

96%

Sharpe Ratio

2.13

Get Access

Obfuscated dide8zo2
Tier 0
☒ Not point-in-time

y9xwbc5vc6q

Max Drawdown

-34%

Volatility

28%

CAGR

61%

Sharpe Ratio

1.86

Get Access

Obfuscated av1s7j7z
Tier 0
☒ Not point-in-time

dx8r2jhak5l

Max Drawdown

-35%

Volatility

29%

CAGR

60%

Sharpe Ratio

1.75

Get Access

Obfuscated q5caxij2
Tier 0
☒ Not point-in-time

m2nuezawq3b

Max Drawdown

-30%

Volatility

33%

CAGR

73%

Sharpe Ratio

1.84

Get Access

Risk Overlays

Obfuscated mjqmtnbd
Tier 0
☒ Not point-in-time

a4herpczgp7

Max Drawdown

-40%

Volatility

37%

CAGR

81%

Sharpe Ratio

1.80

Get Access

Obfuscated rc9l5zhw
Tier 0
☒ Not point-in-time

d3kcjfiovha

Max Drawdown

-36%

Volatility

36%

CAGR

82%

Sharpe Ratio

1.86

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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