A short update on the crypto portfolios, because the last few days changed the picture.
First, us versus the market.
2026 Year To Date
| Portfolio / Market | Return | Ann. Vol. | Max DD |
|---|---|---|---|
| High Vol | +17.5% | 20% | -13% |
| Low Vol | +10.2% | 11% | -7% |
| Bitcoin | -12% | 46% | -40% |
| Ethereum | -17% | 65% | -53% |
| Top 50 index | -43% | 61% | -56% |
This is what we are built to do: participate in the market’s movement without importing its full risk. High Vol is currently running at less than half the volatility of Bitcoin, Ethereum and the Top 50 index. Low Vol is running at roughly one-fifth of the market’s volatility.
What Drives The Returns?
Market movement matters more than market direction.
Now the part I find more interesting than the returns themselves: what drives them.
Directional trading is a function of market movement, not market direction. Since January 2022, the correlation between each month’s PnL and the size of Bitcoin’s move is +0.54. With the direction of the move it is only +0.30. Big months in the market are big months for us, whichever way the market went.
The second driver is trendiness. To keep the comparison consistent, here too we use Bitcoin. We measure its trendiness with the Kaufman efficiency ratio: 100 means Bitcoin travelled in a straight line, 0 means it moved a lot and ended where it started. High Vol’s average monthly return was about 4.1× as high in the trendiest third of months as in the least trendy third.
That is how the portfolio is meant to behave. When the market trends, we want beta to that move—positive beta in an uptrend and negative beta in a downtrend. When the market moves sideways, we do not want directional exposure, because there is no persistent move to capture.
The longs and shorts balance each other and net exposure moves closer to zero. The systems stay active on both sides, ready for whichever trend comes next. We do not set the exposure by hand; it follows from the positions. The zoomed-in live-account view below makes this visible: when Bitcoin trends up, exposure moves net long; when it trends down, exposure moves net short; and when there is no clear trend, net exposure stays close to flat.
Both Drivers Are Back
The data shows that moves this strong have significant potential to continue. But if you wait for full trend confirmation, you are too late in crypto: we tested it, and waiting would have reduced High Vol’s return by almost 88%.
A Systematic Approach To Crypto
You do not need one forecast for Bitcoin to define your exposure. Our crypto portfolios combine 20+ systematic strategies within a defined volatility mandate across bull, sideways and bear regimes.