Systematic alpha

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 scaled to each asset's volatility.

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.