Predictive Risk Factors

Risk Goes Beyond Historical Volatility

Anticipate exogenous risks and fortify your portfolio with proactive risk management overlays.

Asset: Bitcoin
+ Exogenous Risk Signal
= Risk-Managed Strategy

Bitcoin

Bitcoin's annualized volatility is 64%.
What if there were money flow patterns that can be used to predict and manage risk?

Exchange Outflow

Using an Exogenous PredictiveRisk Factor: When Exchange Outflows are high, investors are moving more money to cold wallets, signalling confidence.

Asset: Bitcoin
+ Exogenous Risk Signal
= Risk-Managed Strategy

A simple risk overlay based on Exchange Outflow Index improves the benchmark's risk-adjusted returns by 131%.

It achieves it by allocating less to Bitcoin when the exogenous risk factor predicts high volatility.

Other Case Studies

Manage risk using Exchange Outflow

Outflow of funds from cryptocurrency exchanges, a leading indicator of investor confidence and potential sell pressure.

Manage risk using Implied Volatility (1 Week)

Implied volatility of Bitcoin, a leading indicator of market sentiment and potential sell pressure.

Manage risk using US Cloud Computing Sector Demand

Demand for cloud computing services, a cross-asset class leading indicator of market sentiment.

Comprehensive Coverage

On-chain Metrics

Predictive factors derived from on-chain data, including money flows, transaction volume.

Liquidity Metrics

Predictive factors measuring the available liquidity, market depth.

Sentiment Metrics

Predictive factors measuring the sentiment of the retail market, news and social media.

Cross-Asset Lead-Lag Relationships

Predictive factors manifesting lead-lag relationships between traditional markets and crypto assets.

Macro Indicators

Predictive factors measuring the macroeconomic environment, including inflation, interest rates, and economic growth.

Stablecoin / Options Market Metrics

Predictive factors describing the stablecoin and options market.

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