⚡Volatility Alpha Strategy
Neutral Trade's first non solely crypto strategy — a systematic, cross-asset volatility 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.
The strategy is managed by an ex-Goldman Sachs volatility trader with 12+ years of experience in deriatives trading. It 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.
Strategy Details
Investment Approach
The strategy employs a fully systematic and quantitative approach across three stages:
1. Volatility Trade Opportunity Identification
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. Identification is driven by in-house quantitative models built on T-1 up to 10+ years of historical macro, futures, options, and greeks market data.
2. Alpha Ranking & Position Sizing
Trade alphas are ranked and filtered based on relative attractiveness, risk-adjusted return profile, and portfolio diversification benefits. Positions are sized through capital allocation rules, risk budgeting, and scenario analysis, then executed with a best-execution mandate leveraging multi-venue and block-trade access.
3. Daily Active Risk & Position Management
Exposures and trade alphas are dynamically reviewed and adjusted daily. The strategy focuses on short-dated volatility alpha with an average holding period of 1 to 10 trading days. The portfolio is stress-tested daily on vega and gamma exposure.
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.
Digital Asset Volatility Edge
Digital assets consistently offer higher volatility premium capture opportunities compared to traditional asset classes. This strategy is one of the first volatility strategies to systematically trade and harvest volatility risk premia from digital asset markets through regulated, liquid instruments, actively balancing exposure between digital assets and traditional markets to optimize risk-adjusted returns.
Performance
2026
1.75%
1.55%
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—
—
—
—
—
—
—
—
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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
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.
Risk Management
Portfolio Diversification
Single-Name Exposure: Single asset exposure capped at 25% of Net Asset Value.
Asset Liquidity: For single stock equities, trades only highly liquid companies with market capitalization over $50 billion USD.
Digital Asset Risk: Digital asset exposure capped at 30% of Net Asset Value.
Trading Limits
Leverage: Max 1x leveraged exposure of Net Asset Value.
Maintenance Margin: Margin utilization actively managed and capped at 50%, with actual usage typically maintained between 10-30%, ensuring ample headroom on volatility spikes.
Vega Exposure: Portfolio vega exposure capped at less than 30% of Net Asset Value.
Tail Risk & Drawdown Controls
15% Annualized Volatility Target: Position sizing dynamically adjusted daily based on volatility forecasts and realized portfolio risk.
Drawdown Controls: Dynamic 50% exposure reduction for every 5% drawdown.
Portfolio Stress Testing: Daily VaR metrics monitoring and stress testing on 10% to 30%+ cross-asset market volatility scenarios.
Manager Background
The strategy manager has 12+ years of experience in financial services and derivatives trading. Their career spans senior quantitative roles at Goldman Sachs (securities division, equities cash execution, equities derivatives), a CIO position at a digital asset-focused investment firm responsible for investment strategy, risk capital allocation, and derivatives quantitative trading, and a leadership role in derivatives product development and business strategy at a top-tier digital asset exchange.
The rest of the team brings in 30 years of investment management experience, including leadership positions at major global hedge funds, sovereign wealth funds, international investment banks and family offices.
Subscription Terms on Neutral Trade
Strategy
Volatility Alpha Strategy
Manager
Volatility Alpha Manager [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
Interactive Brokers Singapore Pte. Ltd.
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 (1x), 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.
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.
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