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
-49%
Volatility
32%
CAGR
49%
Sharpe Ratio
1.40
Max Drawdown
-41%
Volatility
25%
CAGR
41%
Sharpe Ratio
1.49
Max Drawdown
-42%
Volatility
27%
CAGR
36%
Sharpe Ratio
1.28
Max Drawdown
-38%
Volatility
31%
CAGR
64%
Sharpe Ratio
1.73
Max Drawdown
-39%
Volatility
33%
CAGR
49%
Sharpe Ratio
1.39
Max Drawdown
-39%
Volatility
33%
CAGR
54%
Sharpe Ratio
1.47