June 2026 Crypto Market Making Fund Performance Review & July Strategy Brief

Report Date: July 3, 2026

Core Performance: Fund monthly return rate of 3.08% for June 2026

Strategy Profile: Market-neutral, low drawdown, absolute return, trend-agnostic

I. Core Performance Review for June

1. Market Environment

The global crypto market trended downward in June amid tightening USD liquidity. BTC suffered a sharp unilateral pullback, with spot long-only and trend quantitative strategies logging widespread losses. Heightened market volatility widened order book spreads, while derivatives trading activity remained resilient, creating a favorable profit landscape for neutral market-making strategies.

2. Return Breakdown (Transparent Revenue Streams & Steady Cash Flow)

- Spot high-frequency spread income: 1.72% (55.8% of total return, core baseline revenue)

- Derivatives basis & funding rate arbitrage: 0.95% (30.8% of total return, steady underlying revenue)

- Exchange rebates + liquidity incentives: 0.41% (13.4% of total return, risk-free incremental gains)

3. Key Strengths This Month

The portfolio maintained near-Delta-neutral exposure throughout the period with tightly controlled net position risk, fully hedging systemic risks from unilateral market declines. We only allocated capital to high-liquidity blue-chip assets such as BTC and ETH, completely avoiding risks of liquidity evaporation and price dumps on altcoins. Minimal inventory loss enabled consistent positive returns amid bearish market conditions.

4. Existing Weaknesses (Key Optimization Priorities for July)

Contributions from DEX on-chain market-making and dedicated RWA token strategies remain insufficient. Quote response latency during extreme market conditions leaves room for marginal improvement, unlocking upside potential for excess returns.

II. Core Market Outlook (July)

1. Macroeconomic Outlook: Expectations for liquidity easing have been pushed back. Sustained wide-range volatility will prevail with no unilateral bull run on the horizon. Market-making and arbitrage strategies will continue to capture volatility premiums, while directional trend strategies carry elevated downside risks.

2. Industry Opportunities: Profit margins from traditional spot spread trading are compressed amid fierce competition. Derivatives arbitrage, cross-market CeDeFi spread capture, and RWA token market-making have emerged as new alpha drivers.

3. Overall Conclusion: Current market conditions align well with the fund’s neutral market-making framework, delivering strong strategy fit and sustainable profitability.

III. July Capital Allocation & Core Strategies

1. Capital Allocation (Prudent & Balanced)

- Blue-chip spot market-making: 55% (core revenue backbone)

- Neutral derivatives arbitrage: 30% (stable base returns)

- Cross-market DEX + incremental RWA market-making: 10% (new growth driver for returns)

- Stablecoin risk reserve: 5% (buffer against extreme market shocks)

2. Core Execution Framework

We adhere to a system combining dynamic spread quoting and real-time inventory rebalancing: expand order volume to capture order flow in low-volatility regimes, and widen bid-ask spreads to mitigate risks amid high volatility. We will deepen exposure to basis and funding rate arbitrage while rolling out on-chain cross-market arbitrage and low-volatility RWA market-making to diversify revenue streams and reduce reliance on pure spot spread income.

IV. Risk Control Guardrails (Safeguards for Return Stability)

1. Portfolio net Delta exposure is capped within ±2%, with automated hedging triggered upon breach;

2. Monthly inventory mark-to-market losses and maximum drawdown are subject to strict limits. Automatic position reduction and quoting tapering activate during extreme market swings;

3. Capital is only deployed to high-liquidity flagship assets to eliminate liquidity crunches and cascading liquidation risks from small-cap tokens;

4. Segregation of proprietary and limited partner capital, with rigorous oversight of counterparty and regulatory risks across exchanges.

V. July Performance Targets

- Target return range: 2.8%–3.5%

- Maximum allowable drawdown: ≤1.2%

- Optimization Target: Boost return contributions from DEX and RWA strategies to further diversify the revenue mix

VI. Conclusion

The 3.08% monthly return in June fully validates the downside resilience and profit stability of the fund’s market-neutral market-making strategy, demonstrating robust hedging value and uncorrelated absolute returns during bearish cycles. For July, we will uphold our core low-volatility absolute return philosophy, resolve existing strategy bottlenecks, expand incremental revenue sources, and adhere rigorously to risk limits to consistently deliver steady, sustainable positive returns for Limited Partners (LPs).

Disclaimer

This brief is prepared solely for internal fund operations and LP communication and does not constitute investment advice of any kind. Cryptocurrency trading entails market, liquidity, regulatory and technical risks. Past performance is not indicative of future results.