Digital Asset Alpha Fund USD

Market-neutral, quantitative-systematic volatility arbitrage strategy.

We exploit mispricing of volatility in options on crypto assets to generate uncorrelated returns within a regulated, tax-efficient Luxembourg fund structure.

Fund Performance (Net of Fees, Measured in USD)
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Historical Performance (Net of Fees, Measured in USD)
Cumulative Return
+109.46%
Sharpe Ratio
1.95
Max. Drawdown
-9.76%
Annualized Return
+48.65%
Sortino Ratio
1.98
Positive/Negative Months
26/1
Monthly Returns (Net of Fees, Measured in USD)
JanFebMarAprMayJunJulAugSepOctNovDec
20223.18%1.00%0.01%0.72%1.27%0.93%2.17%1,04%3.14%3.81%1.73%0.75%
20238.43%2.12%0.14%0.24%2.71%4.18%5.84%2.74%-1.65%12.87%0.90%-0.00%
20240.00%6.16%9.64%
Fund Performance
Investor Type
Accredited (USA),
Professional (EU, Rest of World)
Minimum Investment
Individuals: $250k,
Institutions: $1m
Fee Structure
35% Performance, with High Water Mark
Subscription Currency
USD, EUR, CHF, SGD.
Crypto: BTC, ETH, USDC, USDT.
Redemptions
Monthly, Upon 30 Days' Notice
Reporting
Monthly Statements, Annual Audit
Banking & Custody
Citibank, Sygnum, Copper, Fireblocks
Trading Venues
CME, Kraken, Deribit, Bybit, Paradigm
Investment Vehicles
Luxembourg Limited Partnership (AIF) or Managed Account

Join the fundSchedule a Consultation
  • To qualify for access, you must answer some questions and provide verifiable documentation.
  • Starting from min. $1m, we offer managed account services.
Opportunity

Crypto options are are a novel market within an emerging asset class and exhibit large inefficiencies that can be exploited. The main drivers of these inefficiencies are:

  • A fragmented market structure
  • Regulatory hurdles for institutions
  • Increased volatility due to retail dominance and information asymmetry
Our Strategy

We are deploying a quantitative-systematic volatility arbitrage strategy comprised of a mix of systematic and discretionary volatility and duration strategies aimed at generating returns in a risk mitigated manner.


Systematic core strategy captures mispricing in crypto options when volatility is over/underpriced. Discretionary overlay takes advantage of idiosyncratic market behavior (e.g. front running of structural flows), volatility curve plays, and opportunistic hedging.

Hybrid Approach

Combining rules-based and discretionary strategies, we successfully navigated through the major volatility shocks of '22 and '23, underscoring the importance of human oversight in our risk management.

Infrastructure

We are leveraging our battle-tested, institutional-grade trading infrastructure for finding alpha, modeling risk, and optimizing trade execution.

Risk Management

The portfolio follows a strict risk management framework with fixed exposure limits in regards to position sizing, delta and vega exposure and a number of other risk parameters.


Automated systems and a 24/7 trading team ensure smooth operation and adherence to these risk limits.

Custody

Assets are held and traded through Copper Clearloop’s off-exchange collateral management solution & Sygnum Bank custody - which reduces counterparty risk by 80-90%.

Regulation

Digital Asset Alpha Fund is domiciled in Luxembourg, the world's premier jurisdiction for investment funds and enjoys clear regulation in regards to crypto assets, stable banking relations and advantageous tax treatment.


The fund manager is registered, licensed and supervised by Luxembourg's financial regulator CSSF as an alternative fund manager.

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