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
-29%
Volatility
33%
CAGR
57%
Sharpe Ratio
1.51
Max Drawdown
-28%
Volatility
27%
CAGR
40%
Sharpe Ratio
1.38
Max Drawdown
-29%
Volatility
29%
CAGR
50%
Sharpe Ratio
1.55
Max Drawdown
-30%
Volatility
33%
CAGR
39%
Sharpe Ratio
1.17
Max Drawdown
-34%
Volatility
29%
CAGR
32%
Sharpe Ratio
1.10
Max Drawdown
-34%
Volatility
35%
CAGR
32%
Sharpe Ratio
0.97
Max Drawdown
-32%
Volatility
38%
CAGR
47%
Sharpe Ratio
1.21