# Volatility Alpha Strategy
### Overview
The strategy exploits relative mispricings in volatility and harvests risk premia across different asset classes (i.e. equities, fixed income products, commodities and cryptocurrencies), different option maturities and different market volatility regimes. As a result, the strategy is well-diversified and with strict risk controls in place, it is targeted to achieve steady returns with decent downside protection.
This strategy has been vetted and curated by Neutral Trade before selection as our first traditional finance offering on the platform. This product represents NT's expansion into Real World Asset (RWA) strategies, bringing the same transparency and rigor we apply to on-chain vaults to curated off-chain opportunities.
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### Strategy Details
The strategy systematically scans a predefined universe of asset classes and instruments to identify volatility alpha opportunities meeting its risk criteria. Alpha is generated from term structure arbitrage, cross-asset volatility relative value, and volatility risk premium harvesting.
#### Strategy Sub-Strategies
The Volatility Alpha Vault deploys capital across three core volatility sub-strategies:
**Cross-Asset Volatility Arbitrage:** Exploiting relative volatility mispricings across equities, digital assets, and other asset classes.
**Term-Structure Volatility Trading:** Capturing implied volatility term-structure dislocations across option maturities.
**Long–Short Volatility Arbitrage:** Harvesting long–short volatility risk premia, particularly during periods of market stress.
#### Instruments Traded
The strategy trades across highly liquid equity and fixed income instruments, VIX derivatives, and digital asset equity proxies including Bitcoin ETF (IBIT), Ethereum ETF (ETHA), Strategy (MSTR), Coinbase (COIN), and Circle (CRCL). This cross-asset approach enables the strategy to identify the most efficient instruments for expressing volatility views at any given time.
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### Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
| ---- | ----- | ----- | ------ | ------ | ----- | ----- | ----- | ----- | ------ | ------ | ----- | ----- | ---------- |
| 2026 | 1.75% | 1.55% | — | — | — | — | — | — | — | — | — | — | **3.33%** |
| 2025 | 1.47% | 0.31% | -1.15% | -0.16% | 2.09% | 1.27% | 1.30% | 1.15% | 1.99% | 1.99% | 1.37% | 1.48% | **13.88%** |
| 2024 | 1.15% | 1.07% | 1.06% | 0.48% | 1.36% | 1.05% | 1.12% | 1.51% | -0.42% | -0.71% | 2.49% | 0.97% | **11.67%** |
#### Performance Statistics
| Metric | Value |
| ----------------------- | ------ |
| Annualized Return (Net) | 13.43% |
| Sharpe Ratio | 2.96 |
| Max Drawdown | -1.3% |
| Annualized Volatility | 3.01% |
> Returns presented from Jan 2024 to Mar 2025 reflect the performance of internal pre-launch trading and backtest. Past performance is not necessarily indicative of future results. Estimated returns are provided for informational purposes only and may not reflect actual performance. Returns are before applicable fees and expenses charged by Neutral Trade.
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### Risk Management
The risk management framework prioritizes capital preservation through rigorous diversification and strict liquidity mandates.
Portfolio construction is governed by disciplined concentration limits across both traditional and digital assets, ensuring that exposure remains diversified and restricted to highly liquid, large-cap instruments.
Financial stability is maintained through a conservative leverage profile and proactive margin management, leaving significant headroom to absorb sudden market shifts. To mitigate downside risk, the strategy employs dynamic drawdown triggers, continuous stress testing against extreme market scenarios, and daily position adjustments to keep the overall risk profile aligned with long-term stability goals.
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### Subscription Terms on Neutral Trade
| Parameter | Details |
| ---------------------- | --------------------------------------------------------------------------------------------------------------------------------------------------- |
| Strategy | Volatility Alpha Strategy |
| Manager | Multi-Asset Volatility Arbitrage \[Full Name Hidden on Purpose] |
| Subscription Currency | USDC |
| Minimum Subscription | USDC 50,000 |
| Minimum Redemption | USDC 50,000 |
| Annual Service Fee | 1% |
| Commission | 0% |
| Subscription Frequency | Monthly (5 business days before first business day of each calendar month) |
| Redemptions | Quarterly, first Business Day of each calendar quarter. Settlement time is within 11 business days. USDC is returned within 3 days post-settlement. |
| Redemption Notice | 30 days advance notice required, before the first Business Day of each calendar quarter |
| Redemption Gate | Capped at 25% of the products AUM ($200M) per quarter |
| Broker & Custodian | Traditional Broker |
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### Why Neutral Trade Selected This Strategy
Neutral Trade has vetted and curated this opportunity through a rigorous due diligence process before selecting it as the first not solely crypto related strategy on our platform. Key factors in our selection:
* **Track Record:** Consistent positive monthly returns since April 2025 inception, with pre-launch backtest and internal trading extending to January 2024. The strategy has demonstrated strong risk-adjusted performance.
* **Risk Framework:** Institutional-grade risk controls including hard leverage limits, dynamic drawdown reduction, daily stress testing, and conservative margin management.
* **Structural Alpha Source:** Volatility risk premia represent a well-documented and persistent source of returns. The strategy's ability to trade across both traditional and digital asset volatility markets provides a differentiated and underexploited opportunity set.
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### Disclaimers
This material is for informational purposes only and does not constitute an offer to sell, a solicitation of an offer to buy, or a recommendation for any security or strategy. Past performance is not necessarily indicative of future results and there can be no assurance that the strategy will achieve comparable results or that target returns will be met.
Investing in volatility strategies involves significant risks, including the risk of loss of principal. The value of investments may fluctuate and investors may not receive back the amount originally invested. Digital asset-related instruments carry additional risks including regulatory uncertainty and heightened volatility.
Neutral Trade does not provide investment, legal, or tax advice. Prospective investors should consult their own professional advisors before making any investment decisions.
