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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

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

Obfuscated ido49fog
Tier 0
☒ Not point-in-time

oxiiehh7g3

Max Drawdown

-48%

Volatility

33%

CAGR

50%

Sharpe Ratio

1.39

Get Access

Obfuscated d8kvvyft
Tier 0
☒ Not point-in-time

eb34d6cvpok

Max Drawdown

-40%

Volatility

26%

CAGR

41%

Sharpe Ratio

1.46

Get Access

Obfuscated 51w3lx6k
Tier 0
☒ Not point-in-time

3hx6w34yy6i

Max Drawdown

-42%

Volatility

27%

CAGR

35%

Sharpe Ratio

1.23

Get Access

Obfuscated eia94qgf
Tier 0
☒ Not point-in-time

6q1ft9w4klw

Max Drawdown

-37%

Volatility

32%

CAGR

62%

Sharpe Ratio

1.66

Get Access

Risk Overlays

Obfuscated h0c9oplm
Tier 0
☒ Not point-in-time

mvcho3rx7ki

Max Drawdown

-42%

Volatility

34%

CAGR

47%

Sharpe Ratio

1.30

Get Access

Obfuscated m562p7zt
Tier 0
☒ Not point-in-time

smk4d3m9bt

Max Drawdown

-38%

Volatility

34%

CAGR

54%

Sharpe Ratio

1.44

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

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

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