December performance and newsletter
A busy month of trading activity in December, with futures basis and spot both volatile over the month. We saw some great trading opportunities across all the main crypto exchanges and expect these trading opportunities to continue over the new year. A potentially interesting development over 2025 will be the continued increase in options-related activity as ETF options increase in popularity. Additional liquidity in ETF options should broadly assist basis market liquidity, which will in turn assist trading opportunities in the Digital Income Class.
November performance and newsletter
November was a busy month of trading activity. There were good volumes in the futures spread across both the Deribit and Okx exchanges. Futures basis found a steady bid, in line with a strong bid in spot. The market was relatively well behaved. However, we would expect it to become more chaotic, and conducive to the volatility strategy, if $100k convincingly breaks to the upside.
We’re starting to see the benefits of our engineers’ development work undertaken earlier this year, on DAFM’s algorithm.
October performance and newsletter
Crypto markets were relatively benign until the final days of the month as we approached the US election. The march higher and then through 70k in BTC saw yields rally materially which the strategy took advantage of. The uptick in yields and prices also saw the return of trading/volume differences
across venues and contracts. The desk remains prepared to take advantage of November’s volatility regardless of the outcome.
September performance and newsletter
Yields remained subdued from the tail end of August. The strategy captured cross-exchange opportunities when they presented during sporadic bursts of volatility. The addition of futures spread products delivered a positive incremental source of returns.
August performance and newsletter
Another great month due to the volatility of the basis throughout the month. Absolute yields haven’t bounced back to the lofty heights seen at the start of August, but we remain well placed to capture value from any volatility that results, whether cryptocentric induced or otherwise.
July performance and newsletter
Another good performance in July (2.67% after fees) as the digital asset yield structure remained volatile in a month mirroring June in many ways. We believe crypto as an election issue will remain a persistent source of volatility for markets and feel well placed to take advantage of those changes in sentiment as they evolve.
June performance and newsletter
Another solid performance in June (1.88% after fees) as the digital asset yield curve remained volatile. There were no significant events to speak of, just a steady flow of trading between exchanges and yield maturities, enhancing our alpha extraction. We continue to increase volumes on the CME and look forward to strategy enhancements on Deribit and OKX exchanges shortly.
Hedgeweek Global Digital Assets Award 2024
Digital Asset Funds Management’s Digital Income Class (previously know as Opportunities Class) won the Hedgeweek Global Digital Asset Award for Relative Performance of the Year – Digital Assets Fund (Trailing 24 Months).
May performance and newsletter
The trading environment in May paled in comparison to April as we saw a steady increase in the dated futures yields without any commensurate uptick in the volatility. With the yields at loftier levels at month end than where they started we expect the near term performance of the strategy to remain solid. We returned to trading on the CME as the yield differential between there and the other exchanges tightened. Further system enhancements have been deployed during May, with more in the pipeline over the coming months.
3 Year Investor Report
Digital Asset Fund has reached a 3 year milestone! The ‘Investor Letter’ takes you through the successful journey of Digital Asset Fund since its launch in 2021.