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Monthly Report: March 2026
GAV (Gross Asset Value) — USD denomination
All statistics are calculated using Binance Futures USDⓈ-M, Fee Tier 0, USDT collateral.
Results may vary depending on the exchange, fee tier, or collateral type used.
1. Performance in March
March closed negative. The Crypto HV portfolio delivered -6.0%, while the Crypto LV portfolio returned -3.5%. Both portfolios outperformed the broad market Top 50 Index, which fell -13.7%, but underperformed Bitcoin, which gained +1.9%.
2. Performance YTD
YTD returns of Crypto HV portfolio are +3.65% with a −7.12% max drawdown. Crypto LV portfolio returned +2.49% with a −4% max drawdown.
Average YTD correlation: Crypto HV vs BTC -0.08, Crypto HV vs TOP50 -0.08.
3. Volatility
Annualized volatility in March: Crypto HV 12.8%, Crypto LV 7.0%, BTC 49.0%, TOP50 44.8%.
Annualized volatility YTD: Crypto HV 19.5%, Crypto LV 10.8%, BTC 58.9%, TOP50 69.2%.
How We Calculate Rolling Volatility
For each day t, we take the previous 30 daily returns:
ri = (Balancei - Balancei-1) / Balancei-1
Daily Vol = StdDev(r1, r2, ..., r30)
Annualized Vol = Daily Vol × √365
Standard deviation is calculated using the population formula (dividing by N, not N-1). Annualization uses √365 to account for 365 calendar days of crypto trading.
4. Net Exposure
Daily net exposure for Crypto HV and Crypto LV portfolios throughout March 2026.
5. The Numbers
Key metrics across all strategies and benchmarks — GAV (Gross Asset Value), USD denomination.
March 2026
| Strategy | Return | Max Drawdown | Volatility (ann.) |
|---|---|---|---|
| Crypto HV | -6.0% | -7.1% | 12.8% |
| Crypto LV | -3.5% | -4.0% | 7.0% |
| Bitcoin | +1.9% | -11.8% | 49.0% |
| Binance TOP50 | -13.7% | -16.7% | 44.8% |
YTD — 1 January 2026 to 31 March 2026
| Strategy | YTD Return | CAGR | Max Drawdown | Volatility (ann.) |
|---|---|---|---|---|
| Crypto HV | 4% | 15.7% | -8.9% | 19.5% |
| Crypto LV | 2% | 10.5% | -5.1% | 10.8% |
| Bitcoin | -22% | -63.7% | -35.1% | 58.9% |
| Binance TOP50 | -39% | -86.3% | -45.4% | 69.2% |
Since Inception — 1 July 2024 to 31 March 2026
| Strategy | Total Return | CAGR | Max Drawdown | Volatility (ann.) |
|---|---|---|---|---|
| Crypto HV | +70% | 35.3% | -35.2% | 37.8% |
| Crypto LV | +40% | 21.3% | -19.5% | 18.2% |
| Bitcoin | +9% | 4.9% | -49.5% | 47.4% |
| Binance TOP50 | -85% | -66.1% | -90.2% | 85.2% |
6. Commentary
March was characterized by challenging market conditions, with Bitcoin trading largely sideways while the broader crypto market weakened. The elevated volatility observed in February faded quickly during the second week of March.
As a result, the momentum sleeve strategies experienced a modest drawdown, which the mean reversion sleeve was unable to offset as declining volatility reduced the opportunity set for mean reversion trades.
Performance Overview
Crypto HV Portfolio: −6.01% return
Crypto LV Portfolio: −3.50% return
Despite this, both portfolios continue to maintain strong relative year-to-date performance and remain in a low-exposure mode, reflecting the currently subdued volatility environment. This positioning has also contributed to realized volatility in both portfolios remaining meaningfully below their long-term average.
An additional benefit at the portfolio level is the low relationship to Bitcoin, with year-to-date correlation to BTC at -0.08. This highlights that portfolio returns are being driven by diversified, idiosyncratic strategy behavior rather than broad market direction alone.
Pavel Kycek
CEO & Co-Founder, Robuxio
Data & factsheet
Latest CSV export and factsheet PDF.
All performance data shown as GAV (Gross Asset Value). Past performance does not guarantee future results.