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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

90%

Sharpe Ratio

2.08

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

66%

Sharpe Ratio

1.76

Liquidity Premium Index
Tier 3
☑ Point-in-Time

Measures the cost of liquidity in the crypto market.

Max Drawdown

-32%

Volatility

27%

CAGR

52%

Sharpe Ratio

1.66

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

Measures the funding rates of all futures contracts.

Max Drawdown

-23%

Volatility

21%

CAGR

21%

Sharpe Ratio

1.03

Risk Overlays

Percentile Rank
Tier 3
☑ Point-in-Time

Measures the percentile rank of the asset.

Max Drawdown

-35%

Volatility

35%

CAGR

75%

Sharpe Ratio

1.78

Trend
Tier 3
☑ Point-in-Time

Measures the trend of the asset.

Max Drawdown

-40%

Volatility

36%

CAGR

76%

Sharpe Ratio

1.75

Unravel

Cutting-edge, Institutional-grade Factor Portfolios for Crypto.

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