Systematic Alpha

Algorithmic crypto strategies and a return-stacked traditional portfolio. Two independent return streams with near-zero correlation.

Portfolio Construction

The portfolio combines two uncorrelated components, each targeting approximately 18–25% annualized volatility. Thanks to diversification, the overall portfolio volatility is lower. With a target Sharpe ratio above 1 and low correlation between components, we aim for 20–30% annual returns after fees.

Crypto Algorithmic Strategies

Systematic, quantitative strategies trading cryptocurrency markets. The portfolio includes, among others, momentum strategies exploiting price persistence, carry strategies capturing funding rate inefficiencies, and trend following strategies targeting significant market moves. Additional components analyze derivatives metrics and project fundamentals including tokenomics. Unused capital is deployed to DeFi yield strategies (vaults, liquidity provision). All strategies are automated with daily rebalancing. The crypto component is approximately market neutral with balanced long/short exposure, where position sizes are set proportionally to volatility.

Traditional Portfolio — Return Stacking

The traditional component uses a return stacking approach. The base is a buy-and-hold allocation primarily in equities, harvesting the long-term risk premium known as ERP (Equity Risk Premium), supplemented by bonds and gold. On top, we layer managed futures (e.g. trend following) across a broad universe of asset classes: equities, bonds, commodities, FX, interest rates, energy, and volatility. Futures are derivatives that require only a fraction of the position's value as margin. The remaining capital stays invested in underlying assets. This gives the portfolio greater market exposure than the invested capital alone. Trend following has historically low correlation with buy-and-hold, so the combination targets higher returns relative to risk than either approach alone.

Key Principles

Principles we build on:

  • Crypto strategy market neutrality. The crypto component maintains approximately balanced long/short exposure, with position sizes proportional to asset volatility. Returns come primarily from strategy alpha, not market direction
  • Position sizing inverse to volatility. Higher asset volatility means smaller positions. Each asset within a strategy contributes equally to its overall risk
  • Uncorrelated return streams. Crypto strategies are uncorrelated to the crypto market, the traditional portfolio has lower correlation to equity indices thanks to managed futures. Combined, the portfolio offers truly uncorrelated returns
  • Hierarchical weight allocation (HRP). Crypto strategies are clustered by correlation and weights distributed so that no group of similar strategies dominates the portfolio
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