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Multi-Factor PortfoliosCross-Sectional FactorsRisk Overlays
Terminal & API

Spectra

Portfolio

Foundational Factors

Portfolio

Altair

Cross-Sectional Factor

Margin Risk

Cross-Sectional Factor

Retail Flow

Cross-Sectional Factor

Relative Illiquidity

Cross-Sectional Factor

Margin Risk - 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 hvyjq4wg
Tier 0
☒ Not point-in-time

26lky1vbpev

Max Drawdown

-15%

Volatility

30%

CAGR

55%

Sharpe Ratio

1.62

Get Access

Obfuscated 3urld3ti
Tier 0
☒ Not point-in-time

d3c7chx11kt

Max Drawdown

-15%

Volatility

20%

CAGR

33%

Sharpe Ratio

1.48

Get Access

Obfuscated 0av4njns
Tier 0
☒ Not point-in-time

86ps372pm6q

Max Drawdown

-23%

Volatility

25%

CAGR

30%

Sharpe Ratio

1.16

Get Access

Obfuscated m57ax80u
Tier 0
☒ Not point-in-time

uhifl0u558n

Max Drawdown

-17%

Volatility

30%

CAGR

53%

Sharpe Ratio

1.55

Get Access

Risk Overlays

Obfuscated 3kqvuitp
Tier 0
☒ Not point-in-time

yk8rqa3qm3j

Max Drawdown

-21%

Volatility

34%

CAGR

40%

Sharpe Ratio

1.16

Get Access

Obfuscated nhv8b52z
Tier 0
☒ Not point-in-time

msukdrn24y

Max Drawdown

-22%

Volatility

35%

CAGR

52%

Sharpe Ratio

1.37

Get Access
Unravel

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

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

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