STAT-ARB STRATEGY

Investment solution designed to profit solely from the predictability of asset returns, that arise from predictable patterns in investors' behaviour

Concept

Our models output attractiveness score for every cryptocurrency traded on exchange. The higher the score is, the more likely is the asset to outperform the broad market in the future. Contrary, the lower the score is, the more likely is the asset to underperform broad market in the future. Therefore, our systems buy assets with high attractiveness scores and short the assets with low attractiveness scores, taking into account expected return, risk, transaction cost and AuM. We construct a portfolio that is market neutral, and profit solely from the predictable patterns in investors' decision-making.

Note: Results are based on transaction prices.

Concept

Our models output attractiveness score for every cryptocurrency traded on exchange. The higher the score is, the more likely is the asset to outperform the broad market in the future. Contrary, the lower the score is, the more likely is the asset to underperform broad market in the future. Therefore, our systems buy assets with high attractiveness scores and short the assets with low attractiveness scores, taking into account expected return, risk, transaction cost and AuM. We construct a portfolio that is market neutral, and profit solely from the predictable patterns in investors' decision-making.

Note: Results are based on transaction prices.

The displayed performance covers the period from December 31, 2023, to December 31, 2024.

76%

Total Portfolio Return

2.78

Sharpe Ratio

0.11

market beta

performance

Displayed performance is since portfolio inception (30 April 2022) until 31 December 2024.

539%

Total Portfolio Return

3.66

Sharpe Ratio

0.03

market beta

performance