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Monthly Report: September 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 September
Crypto HV returned +2.5%, Crypto LV returned +1.4%, Bitcoin returned +6.4%, and the Binance TOP50 returned +18.5%.
2. Performance YTD
YTD returns: Crypto HV +13.9% with a -12.9% max drawdown; Crypto LV +8.4% with a -6.5% max drawdown.
Average YTD correlation: Crypto HV vs BTC -0.0, Crypto HV vs TOP50 +0.1.
3. Volatility
Annualized volatility in September: Crypto HV 35.7%, Crypto LV 19.2%, BTC 41.3%, TOP50 62.1%.
Annualized volatility YTD: Crypto HV 22.5%, Crypto LV 12.0%, BTC 45.9%, TOP50 61.4%.
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 during September 2026.
5. Funding
Net funding contribution to Crypto HV and Crypto LV during September.
6. QQQ Sleeve Contribution
The QQQ mean reversion sleeve started trading in September. Our benchmark accounts are EU-based and cannot trade Binance RWA perpetuals, so the performance figures in this report exclude it. To measure what it adds, we use an internal non-EU account that runs the same Crypto HV portfolio, with crypto trades that match the benchmark account one-for-one, and also trades QQQ.
Closed QQQ trades after commissions and funding, as % of account balance. Crypto LV is estimated from Crypto HV at its 0.53x position size.
QQQ positions closed on 11 and 17 September added +0.067% to Crypto HV, about 3% of the month's +2.5% return. For Crypto LV the estimated contribution is +0.036%.
7. The Numbers
Key metrics across all strategies and benchmarks - GAV (Gross Asset Value), USD denomination.
September 2026
| Strategy | Return | Max Drawdown | Volatility (ann.) |
|---|---|---|---|
| Crypto HV | +2.5% | -5.9% | 35.7% |
| Crypto LV | +1.4% | -3.2% | 19.2% |
| Bitcoin | +6.4% | -6.9% | 41.3% |
| Binance TOP50 | +18.5% | -10.4% | 62.1% |
YTD - 1 January 2026 to 30 September 2026
| Strategy | YTD Return | CAGR | Max Drawdown | Volatility (ann.) |
|---|---|---|---|---|
| Crypto HV | +13.9% | 19.1% | -12.9% | 22.5% |
| Crypto LV | +8.4% | 11.4% | -6.5% | 12.0% |
| Bitcoin | -4.6% | -6.1% | -39.5% | 45.9% |
| Binance TOP50 | -35.2% | -44.0% | -56.5% | 61.4% |
Since Inception - 1 July 2024 to 30 September 2026
| Strategy | Total Return | CAGR | Max Drawdown | Volatility (ann.) |
|---|---|---|---|---|
| Crypto HV | +86.5% | 31.9% | -35.2% | 35.1% |
| Crypto LV | +48.3% | 19.1% | -19.5% | 17.1% |
| Bitcoin | +33.2% | 13.6% | -53.0% | 45.5% |
| Binance TOP50 | -85.4% | -57.5% | -92.6% | 79.7% |
8. Commentary
September ended positive for both portfolios.
Crypto HV returned +2.5% and Crypto LV returned +1.4%. Bitcoin gained +6.4%, while the Binance TOP50 rallied +18.5%.
In August the rally was driven almost entirely by Bitcoin (+25.0% vs +1.0% for the Binance TOP50). In September the broader market started to wake up: the TOP50 rallied +18.5%, nearly three times Bitcoin's +6.4%, with most of the move in the second half of the month. This is the broader participation we pointed to in the August report. The portfolios were close to flat through mid-month, briefly net short around the 15th, and then built long exposure as trends developed across more of the universe. Net exposure peaked at +70% for Crypto HV and +37% for Crypto LV on 23 September, and averaged +25% and +13% for the month, up from +13% and +7% in August.
Most of the month's gain came in a few days around the 20th. Part of it was given back as the move reversed into month-end, which is also where the intra-month drawdown came from: -5.9% for Crypto HV and -3.2% for Crypto LV, versus -6.9% for Bitcoin and -10.4% for the Binance TOP50.
Realized volatility rose with the higher exposure. Crypto HV traded at 35.7% annualized volatility and Crypto LV at 19.2%, compared with 41.3% for Bitcoin and 62.1% for the Binance TOP50.
Funding was close to neutral. Funding received and paid largely offset each other, for a net contribution of roughly +0.02% in both portfolios, after a cost of -0.4% for Crypto HV and -0.2% for Crypto LV in August.
Year-to-date, Crypto HV is +13.9% with a -12.9% maximum drawdown. Crypto LV is +8.4% with a -6.5% maximum drawdown. Bitcoin is down -4.6%, while the Binance TOP50 is down -35.2%.
September was also the first month of the QQQ mean reversion sleeve, the first return stream in the portfolio that comes from outside crypto. On non-EU accounts it added +0.07% to Crypto HV, a small but positive start (section 6).
As always, we do not bet on any specific market setup. The portfolios are broadly diversified across strategies and exposures, designed to adapt across different market regimes.
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.