AHL Crypto Diversified Multi-Strategy Programme
- Systematic multi-strategy solution that plans to trade physical crypto coins, tokens and crypto futures
- Aims to extract Alpha in an asset class which is hard to access
- Employs traditional and crypto-native strategies
- Applies a consistent approach to risk management and portfolio construction, targeting 15% return volatility
Approach
The proposed AHL Crypto Diversified Multi-Strategy Programme is a systematic multi-strategy solution that plans to trade physical crypto coins, tokens and crypto futures. It is proposed that the Programme will target 15% return volatility1 and will have unconstrained access to AHL’s models, applying our existing quantitative framework to this hard to access asset class.
The proposed Programme will comprise of both crypto native and traditional finance systematic strategies, initially delta-one arbitrage, momentum style models, and seasonality. The momentum strategies are directional in nature, with systems sampling multiples of prices daily, seeking to identify and realise gains from trend following opportunities.
Delta-one arbitrage is an opportunistic strategy that aims to take advantage of the carry premia displayed in crypto markets between the physical coin and the future. The persistent nature of this premia can be partially attributed to market micro-structure dynamics such as the divide in access levels between institutional and retail investors.
| Style | Multi-Strategy systematic |
| Investment Approach | Trend-Following |
| Volatility Target1 | 15% |
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