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Multi-Factor PortfoliosCross-Sectional FactorsRisk Overlays
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Altair

Cross-Sectional Factor

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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 9h46qvtb
Tier 0
☒ Not point-in-time

8sr3rd2ee7d

Max Drawdown

-28%

Volatility

39%

CAGR

226%

Sharpe Ratio

3.23

Get Access

Obfuscated fbeyfwz9
Tier 0
☒ Not point-in-time

p22g3cc6dx

Max Drawdown

-23%

Volatility

30%

CAGR

137%

Sharpe Ratio

3.06

Get Access

Obfuscated 6zx7s6z4
Tier 0
☒ Not point-in-time

vlxctal685

Max Drawdown

-27%

Volatility

34%

CAGR

136%

Sharpe Ratio

2.73

Get Access

Obfuscated o06e99j6
Tier 0
☒ Not point-in-time

r0b9wxixxt

Max Drawdown

-28%

Volatility

38%

CAGR

200%

Sharpe Ratio

3.12

Get Access

Risk Overlays

Obfuscated swcobvhi
Tier 0
☒ Not point-in-time

oxz7n8n2vqc

Max Drawdown

-36%

Volatility

44%

CAGR

234%

Sharpe Ratio

2.98

Get Access

Obfuscated 2tjpyzyw
Tier 0
☒ Not point-in-time

v8fgdegxzja

Max Drawdown

-32%

Volatility

43%

CAGR

229%

Sharpe Ratio

2.99

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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