⚖️Delta-Neutral Vault
Optimized delta-neutral strategy for stable returns
The Delta-Neutral Vault employs a delta-neutral strategy, primarily focusing on Solana-based perpetual swap platforms. By hedging against price fluctuations of underlying assets, this vault aims to generate stable returns that are uncorrelated with overall market performance.
Performance
The Delta-Neutral Vault strategy has been rigorously backtesting on the SOL/USDC market. and proven effective. Here are some performance metrics from the testing period:
Performance Metrics (from April 1, 2023 - Jun 30, 2024)
Cumulative Return
45.90%
Annualized Return
37.84%
Max Daily Drawdown
-1.38%
In addition to our primary delta-neutral strategy, the Delta-Neutral Vault has undergone rigorous backtesting on the BTC/USDT market. This backtesting helps validate the effectiveness of our strategies under different market conditions and further demonstrates the robustness of the vault.
Performance Metrics (from Jan 1, 2021 - April 15, 2024)
Cumulative Return
72.43%
Annualized Return
18.04%
Max Daily Drawdown
-0.93%
Risks
Gamma Risk: While delta is neutralized, large market movements can result in changes to delta (gamma exposure), requiring frequent rebalancing and leading to potential losses.
Volatility Risk: Unexpected changes in market volatility can affect the profitability of options positions and the cost of hedging, impacting the strategy's performance.
Liquidity Risk: Difficulties in adjusting positions due to illiquid markets may cause slippage or higher transaction costs, eroding profits.
Execution Risk: Delays or inaccuracies in rebalancing positions could lead to non-neutral exposure, increasing market risk.
Learn More
To explore more about our vault structures and detailed strategies, visit our comprehensive documentation and get started with Moose today!
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