FACTOR RISK MODEL FOR CRYPTO
- Control exposures of your portfolio to systematic risks
- Separate Portfolio Manager’s skill from luck
- Improve signal to noise ratio
Risk management staple. Now for digital assets.
QUESTIONS DARA RISK MODEL WILL HELP YOU ANSWER
What factors are driving my PnL?
Can I decrease the volatility of my portfolio?
How can I improve risk adjusted performance of my strategies?
What is the idiosyncratic performance of my portfolio?
Which PMs on my platform are the best performers?
How can I make covariance matrix predictions more robust?
Why am I suffering a sharp drawdown?
Is my portfolio bearing excessive risk?
common use cases
Have meaningful and transparent performance attribution
See whether active management adds value or just bears the trading costs
See whether active management adds value or just bears the trading costs
Distinguish skill from luck in portfolio selection:
Get robust covariance and volatility estimates:
Lowering number of parameters to estimated leads to stable covariance matrix predictions
Much more accurate out of sample estimation for asset covariance matrix and individual volatilities
Much more accurate out of sample estimation for asset covariance matrix and individual volatilities
Identify unwanted risk exposures
Assess the portfolio performance
Assess the portfolio performance
Improve risk adjusted portfolio returns:
Eliminate factor risks that add noise but not signal
Focus on your unique competitive edge
Focus on your unique competitive edge
- Broad universe of tokens
- No survivorship bias
- History back to Q4 2022
Get historical model DATA
Leave us your e-mail to request a demo and download historical data
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