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Altair

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Cross-Sectional Factor

Spectra - 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 uykkdeki
Tier 0
☒ Not point-in-time

1wgihm0v4yl

Max Drawdown

-28%

Volatility

39%

CAGR

228%

Sharpe Ratio

3.24

Get Access

Obfuscated cqcgt4lz
Tier 0
☒ Not point-in-time

s3tin7p39zp

Max Drawdown

-23%

Volatility

30%

CAGR

138%

Sharpe Ratio

3.07

Get Access

Obfuscated ynxv897v
Tier 0
☒ Not point-in-time

tcdwf3yfjfd

Max Drawdown

-27%

Volatility

34%

CAGR

137%

Sharpe Ratio

2.74

Get Access

Obfuscated lgsodd2a
Tier 0
☒ Not point-in-time

8yh7s4fewe8

Max Drawdown

-28%

Volatility

38%

CAGR

202%

Sharpe Ratio

3.13

Get Access

Risk Overlays

Obfuscated i91eus3j
Tier 0
☒ Not point-in-time

3eyuerj1msh

Max Drawdown

-36%

Volatility

44%

CAGR

236%

Sharpe Ratio

3.00

Get Access

Obfuscated fk0irrp7
Tier 0
☒ Not point-in-time

52sf9qn7cvt

Max Drawdown

-32%

Volatility

43%

CAGR

232%

Sharpe Ratio

3.00

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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