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
-23%
Volatility
38%
CAGR
215%
Sharpe Ratio
3.19
Max Drawdown
-19%
Volatility
32%
CAGR
139%
Sharpe Ratio
2.85
Max Drawdown
-28%
Volatility
33%
CAGR
138%
Sharpe Ratio
2.79
Max Drawdown
-22%
Volatility
36%
CAGR
163%
Sharpe Ratio
2.85
Max Drawdown
-23%
Volatility
31%
CAGR
104%
Sharpe Ratio
2.45
Max Drawdown
-29%
Volatility
42%
CAGR
188%
Sharpe Ratio
2.72
Max Drawdown
-28%
Volatility
42%
CAGR
194%
Sharpe Ratio
2.76