July 2026｜Crypto Market‑Making Fund Performance Review & August Strategy Brief

Report Date: 2026‑08‑03

July Return: 3.12%

Strategy Profile: Market‑Neutral, Low Drawdown, Absolute Return, Non‑Trend‑Dependent

I. July Performance Overview

In July 2026, the market‑making fund delivered a monthly return of 3.12%. July saw a corrective‑rally market for crypto. BTC and ETH trended upward with frequent intraday swings and rapid shifts between bullish and bearish sentiment, resulting in highly dispersed returns among trend‑following strategies. Adhering to market‑neutral market‑making logic without directional bets, the fund generated steady cash flow via order‑book spreads, derivatives basis and funding‑rate arbitrage. The maximum monthly drawdown was well‑contained. Returns were well‑diversified, and monthly performance targets were met.

Return Breakdown

‑ Spot High‑Frequency Market‑Making Spread Gain: 1.81% (58.0% of total return, core base return)

‑ Derivatives Basis & Funding‑Rate Arbitrage: 1.03% (33.0% of total return)

‑ Cross‑Venue Spread & Other Arbitrage Gains: 0.28% (9.0% of total return)

II. July Market Environment Review

1. Macro Background: Markets priced in prolonged high‑interest‑rate expectations. The US Dollar remained strong, pressuring valuations across risk assets. Crypto staged a recovery from June’s sharp sell‑off, yet incremental capital inflows stayed limited, and trading remained stock‑driven.

2. Trading Characteristics: Crypto prices traded within ranges with frequent wick spikes. Order‑book spreads widened overall. Derivatives maintained solid trading activity; funding rates on perpetual swaps alternated between positive and negative, creating favorable conditions for market‑making and basis arbitrage. Spot trading volume was muted, and liquidity contracted in certain sessions, raising execution slippage risks for market‑making operations.

3. Benchmark Comparison: Returns for long‑only directional products diverged. Several trend strategies suffered drawdowns amid swift market pullbacks. Most market‑neutral market‑making vehicles posted positive monthly returns.

III. Operational Strengths & Existing Limitations

Strengths

1. Volatility conditions matched market‑making models well. Dynamic parameter tuning effectively constrained directional net exposure; no large directional losses occurred.

2. Multi‑strategy returns were balanced with stable cash flow, largely insulated from extreme price swings.

Existing Limitations

1. Liquidity dried up on certain spot trading days, lifting high‑frequency market‑making slippage and moderately compressing spot spread profitability.

2. During the sharp late‑month market plunge, some derivatives basis converged rapidly. Arbitrage windows shortened, and certain opportunities were not fully captured.

IV. Core Strategy Plan for August

1. Spot Market‑Making: Adjust order depth and order‑placement intervals dynamically amid shrinking liquidity to mitigate slippage impacts. Prioritize large‑cap mainstream tokens and avoid liquidity risks from small‑cap assets.

2. Derivatives Arbitrage: Continuously monitor basis levels and funding‑rate dynamics. Shorten holding cycles and tighten signal‑filtering criteria to reduce unproductive position openings.

3. Risk Control Enhancement: Strictly cap overall net exposure while keeping single‑asset position limits unchanged. Increase sensitivity of circuit‑breakers and position‑reduction triggers for extreme market moves to mitigate inventory risk from sudden price spikes and crashes.

4. Position Allocation: Maintain balanced multi‑strategy allocation. Avoid deliberate incremental directional beta exposure. Continue targeting returns from trading fees, bid‑ask spreads and basis opportunities.

V. Risk Disclaimer

Macroeconomic policy shifts, black‑swan market events and sudden exchange liquidity depletion may adversely affect market‑making returns. As a market‑neutral vehicle, the fund does not guarantee positive returns in every month.