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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

Relative Illiquidity - 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

Speculative Flow Index
Tier 3
☑ Point-in-Time

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

Max Drawdown

-37%

Volatility

32%

CAGR

59%

Sharpe Ratio

1.60

Liquidity Premium Index
Tier 3
☑ Point-in-Time

Measures the cost of liquidity in the crypto market.

Max Drawdown

-40%

Volatility

26%

CAGR

39%

Sharpe Ratio

1.40

Crypto Trend Consensus
Tier 3
☑ Point-in-Time

Measures the trend consensus of the crypto market.

Max Drawdown

-48%

Volatility

33%

CAGR

47%

Sharpe Ratio

1.34

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

Measures the funding rates of all futures contracts.

Max Drawdown

-42%

Volatility

27%

CAGR

32%

Sharpe Ratio

1.16

Risk Overlays

Percentile Rank
Tier 3
☑ Point-in-Time

Measures the percentile rank of the asset.

Max Drawdown

-38%

Volatility

34%

CAGR

51%

Sharpe Ratio

1.38

Trend
Tier 3
☑ Point-in-Time

Measures the trend of the asset.

Max Drawdown

-42%

Volatility

34%

CAGR

44%

Sharpe Ratio

1.24

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