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.
Last 12 months performance
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.
Performance since inception
Note: Results are based on transaction prices.
Month
Portfolio
Sep, 2023
Aug, 2023
Jul, 2023
Jun, 2023
May, 2023
Apr, 2023
Mar, 2023
Feb, 2023
Jan, 2023
Dec, 2022
Nov, 2022
Oct, 2022
Sep, 2022
Aug, 2022
Jul, 2022
Jun, 2022
6.3%*
1.6%
9.8%
10.5%
6.6%
10.7%
-1.4%
2.2%
-1.9%
2.2%
13.8%
-1.4%
2.5%
7.5%
14.6%
8.1%*
Note: Our strategy is optimized to capitalize on predictable investors' behaviour. Strategy is designed to maximize the Sharpe ratio while controlling no correlation with the market. Because of that, comparison with market returns (or Bitcoin) is irrelevant.
*Revision
*Revision
Performance per month
May, 2022
16.3%
Oct, 2023
5.0%
Nov, 2023
12.2%
Dec, 2023
11.8%
Jan, 2024
2.6%
Feb, 2024
14.0%
Mar, 2024
14.4%
Apr, 2024
7.5%
May, 2024
-3.9%
June, 2024
July, 2024
1.7%
-1.0%
The displayed performance covers the period from July 31, 2023, to July 31, 2024.
98%
Total Portfolio Return
3.43
Sharpe Ratio
0.17
market beta
performance
Displayed performance is since portfolio inception (30 April 2022) until 31 July 2024.
410%
Total Portfolio Return
3.71
Sharpe Ratio
~0
market beta
performance
Risk Management
A sophisticated risk management framework is fully integrated into the investment process, to ensure stable outperformance over time. Our comprehensive risk management framework includes the following components:
- Operational risk measures
- Idiosyncratic risk measures
- Trade order management
- Mitigation strategies for extreme events
- Trading restrictions
- Exchange rate risk