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
-43%
Volatility
45%
CAGR
128%
Sharpe Ratio
2.05
Max Drawdown
-41%
Volatility
35%
CAGR
74%
Sharpe Ratio
1.75
Max Drawdown
-42%
Volatility
37%
CAGR
71%
Sharpe Ratio
1.62
Max Drawdown
-37%
Volatility
44%
CAGR
90%
Sharpe Ratio
1.70
Max Drawdown
-43%
Volatility
49%
CAGR
95%
Sharpe Ratio
1.61
Max Drawdown
-42%
Volatility
47%
CAGR
86%
Sharpe Ratio
1.57