Unravel
AlphaData
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

Crypto Trend Consensus
Tier 3
☑ Point-in-Time

Measures the trend consensus of the crypto market.

Max Drawdown

-15%

Volatility

30%

CAGR

53%

Sharpe Ratio

1.57

Speculative Flow Index
Tier 3
☑ Point-in-Time

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

Max Drawdown

-17%

Volatility

30%

CAGR

51%

Sharpe Ratio

1.51

Liquidity Premium Index
Tier 3
☑ Point-in-Time

Measures the cost of liquidity in the crypto market.

Max Drawdown

-15%

Volatility

20%

CAGR

31%

Sharpe Ratio

1.43

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

Measures the funding rates of all futures contracts.

Max Drawdown

-23%

Volatility

25%

CAGR

29%

Sharpe Ratio

1.13

Risk Overlays

Percentile Rank
Tier 3
☑ Point-in-Time

Measures the percentile rank of the asset.

Max Drawdown

-22%

Volatility

35%

CAGR

48%

Sharpe Ratio

1.30

Trend
Tier 3
☑ Point-in-Time

Measures the trend of the asset.

Max Drawdown

-26%

Volatility

34%

CAGR

36%

Sharpe Ratio

1.07

Unravel

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

Status Page

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

© Copyright 2026 Unravel. All Rights Reserved.

Catalog
  • Multi-Factor Portfolios
  • Cross-Sectional Factors
  • Factor Risk Overlays
Product
  • Resources
  • Pricing
  • API Docs
  • Changelog
Channels
  • Blog: Research Insights
  • Telegram: Announcements
  • Twitter/X
  • LinkedIn
Company
  • Team
  • Contact
  • Book a call
Legal
  • Terms of Service
  • Privacy Policy
  • LLM? Read this.

NOT INVESTMENT ADVICE

The Content is for informational purposes only, you should not construe any such information or other material as legal tax, investment, financial, or other advice. Nothing contained on our presentation constitutes a solicitation, recommendation, endorsement, or offer by Unravel or any third party service provider to buy or sell any securities or other financial instruments in this or in in any other jurisdiction in which such solicitation or offer would be unlawful under the securities laws of such jurisdiction.

All Content on this presentation is information of a general nature and does not address the circumstances of any particular individual or entity. Nothing in the presentation constitutes professional and/or financial advice, nor does any information on the Presentation constitute a comprehensive or complete statement of the matters discussed or the law relating thereto.

Unravel is not a fiduciary by virtue of any person's use of or access to the Presentation or Content. You alone assume the sole responsibility of evaluating the merits and risks associated with the use of any information or other Content on the Presentation before making any decisions based on such information or other Content. In exchange for using the Presentation, you agree not to hold Unravel, its affiliates or any third party service provider liable for any possible claim for damages arising from any decision you make based on information or other Content made available to you through the Presentation.

INVESTMENT RISKS

There are risks associated with investing in securities. Investing in stocks, bonds, exchange traded funds, mutual funds, and money market funds involve risk of loss. Loss of principal is possible. Some high risk investments may use leverage, which will accentuate gains & losses. Foreign investing involves special risks, including a greater volatility and political, economic and currency risks and differences in accounting methods. A security's or a firm's past investment performance is not a guarantee or predictor of future investment performance.