Crypto Market-Making Fund

February 2026 Operational Report

Report Period: February 2026 (Calendar Month)

Core Performance: Total Fund Revenue +3.16% for the Month

Fund Positioning: Low-volatility, Conservative Crypto Asset Market-Making Strategy Fund

I. Performance Overview 

- Monthly Total Return: 3.16%

- Maximum Drawdown: ≤ 0.45%

- Average Daily Portfolio Volatility: 0.12%

- Strategy Win Rate: 92.3%

Amid wide market swings and intensified long-short competition in the crypto market this month, the fund achieved steady positive returns through a combined strategy of algorithmic market-making, spread capture, liquidity provision, and risk hedging. Drawdown and volatility were significantly lower than mainstream crypto assets, consistent with its positioning as a low-risk, sustainable compounding product. 

II. Market Environment Review 

The crypto market trended upward with structural divergence this month:

1. BTC traded in the range of $69,500 – $75,900, with continuous net inflows from institutional ETFs and favorable liquidity conditions.

2. Rotation between major coins and altcoins accelerated, intraday volatility increased, and market-making spread opportunities expanded.

3. Exchange order book depth and liquidity improved, boosting the efficiency of high-frequency market-making strategies.

4. Macroeconomic sentiment was cautious, tail risks were controllable, creating ideal conditions for neutral / low-delta market-making.

In a reasonably volatile and risk-controlled environment, returns from fee rebates, bid-ask spreads, and liquidity incentives were fully realized.

III. Strategy Execution & Revenue Breakdown

All monthly returns came from market-making activities, with no directional speculation and no unhedged high-leverage positions.

1. Spot Two-Way Order Market-Making: ~58% of returns

Narrow spreads, high depth, high-frequency execution to capture micro-profits, with strict control of directional exposure.

2. Futures Basis & Funding Rate Arbitrage: ~27% of returns

Inter-period convergence and funding rate hedging, providing stable returns with extremely low risk.

3. Liquidity Mining & Platform Incentives: ~15% of returns

Passive income from compliance exchange depth tasks, market-making rebates, and point monetization.

Key Risk Controls

- Net delta exposure for the month: ≤ ±1.5%, maintaining market neutrality.

- Single-asset concentration: ≤ 25%, focused on BTC/ETH; low-risk liquidity provision only for small-cap coins.

- Full coverage of per-trade stop-loss, real-time risk control, and power/disconnection circuit breakers.

IV. Operations & Compliance

1. Trading Venues: Only licensed, high-reputation, deep-liquidity centralized exchanges.

2. Fund Security: Cold-hot wallet separation, multi-signature custody, whitelist withdrawals, no fund misappropriation.

3. Strategy Transparency: Full transaction logs verifiable, returns traceable and reconcilable.

4. Risk Disclosure: Crypto assets are highly volatile; past performance is not indicative of future results.

V. Outlook & Strategy Adjustment for Next Month

1. Market View: Continued high-range consolidation with moderate volatility expected, supporting a favorable market-making environment.

2. Strategic Directions:

- Maintain neutral market-making as the core strategy, with moderate improvement in capital efficiency.

- Increase focus on BTC/ETH core liquidity, strictly limit exposure to non-core assets.

- Strengthen tail-risk hedging against black swan events and extreme wick movements.

3. Objective: Sustain steady monthly returns, with priority on capital preservation and drawdown control.

VI. Conclusion

The fund delivered a stable 3.16% return in February, demonstrating the low-volatility, sustainable, and replicable advantages of the market-making strategy in a volatile market.

The team will continue to uphold the principle of Risk First, Return Second, providing stable returns for investors.