DDA Smart Beta Diversified Strategy

The strategy is an actively managed allocation across four proprietary smart beta indices, rebalanced weekly using alternative data and market sentiment tools, and bringing overall decorrelation vs the underlying core market.

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Product information

Product details

Data as of:	31.08.2023
Minimum Investment:	$100,000
Liquidity	instant via API
Management Fees	2% annually
Performance Fees	20% with HWM (* Calculated on the outperformance over Bitcoin)
Structure	Separately Managed Accounts (SMAs) – DDA Alpha AG

Performance Data (Back-tested)*

Strategy Returns / Risk Indicators	Time	Strategy	Bitcoin
Cumulative Returns	YTD	40.59%	56.81%
	3M	-4.98%	-4.67%
	6M	2.47%	12.14%
	BTD	2,818.47%	600.81%
Annualized Returns	1Y	-15.81%	-29.39%
	BTD	106.04%	51.78%
Annualized Volatility	1Y	46.70%	49.27%
	BTD	66.48%	69.49%
Tracking Error	1Y	10.40%
	BTD	16.39%
Information Ratio	1Y	-1.34
	BTD	3.28
Outperforming Months	1Y	41.67%
	BTD	58.18%

General Information

Summary

Enhancing returns vs. traditional indices
Diversification across a large crypto universe
Reducing risk vs. the underlying market
Strategy benchmarked over Bitcoin

Investment Objective

The DDA Smart Beta Diversified Strategy is benchmarked over Bitcoin and designed to provide a global market exposure with improved diversification across a rather large universe of crypto assets. The investment objective is to enhance returns by capturing consistent Alpha over the underlying core market, while reducing overall risk compared to traditional capitalization-weighted indices. The portfolio is built using several smart beta indices, each of them following distinct alpha-seeking methodologies across trend following models, momentum indicators and thematics’ allocation. The volatility of the portfolio’s returns relative to its benchmark will be monitored as a tracking error and recalibrated over time.

Investment Strategy

Bitcoin RV Tilt : A long BTC exposure tilted with several RV trend following models implemented across core and liquid trading pairs.
All Stars 1/n : Long Only models implemented across a curated universe of n rising coins for 1/n % each and allocating to the coin in case of positive trends, or to Bitcoin otherwise.
Top 50 Momentum : The index is designed to pick coins with strongest uptrends based on momentum indicators, with a weekly turnover smoothed over daily rebalancing mechanisms
Global Thematics : The index enables exposure across 10 distinct thematics (Store of Value, Smart Contracts, Privacy, NFTs, Web 3.0, Interoperability, CEXs, DeFi, Memes and Stable Coins) based on sentiment scoring with daily rebalancing.

Calendar Performance Data (Back-tested)*

Calendar	2019	2020	2021	2022	2023
Jan	-6.29%	30.79%	35.85%	-16.42%	40.41%
Feb	14.39%	-3.29%	78.75%	5.41%	-2.29%
Mar	12.71%	-19.67%	44.00%	8.32%	16.83%
Apr	22.93%	32.82%	24.04%	-19.14%	-0.26%
May	60.66%	12.19%	-23.46%	-13.78%	-7.45%
Jun	25.14%	-0.83%	-7.45%	-33.47%	11.44%
Jul	-7.80%	26.99%	16.59%	19.49%	-3.74%
Aug	-8.04%	12.64%	29.95%	-14.07%	-11.42%
Sep	-13.56%	-7.40%	-0.70%	-2.47%
Oct	7.64%	23.52%	38.48%	5.82%
Nov	-13.85%	41.77%	3.39%	-15.33%
Dec	-3.43%	41.73%	-15.64%	-5.74%
Year	95.97%	393.61%	458.33%	-62.56%	40.59%

* Back-tested Performance (BTD) : The returns presented herein for the period 1st January 2019 through 31st July 2022 represent back-tested performance and do not reflect trading in actual accounts. Such returns are hypothetical and are provided for informational purposes only to indicate historical performance and simulate how the investment would have performed had the strategy been implemented during that time. Back-tested results have inherent limitations as to their relevance and no hypothetical trading record can completely account for the impact of financial risk or other market related factors in actual trading, therefore no representation is being made that the strategy will achieve performance similar to the simulated results, and past performance is no guarantee of future results.
* Live Performance Results: The strategy was launched at DDA on 1st August 2022 with real AUM and has been trading live ever since on proprietary trading accounts and across the same trading venues used for our investors under separately managed accounts (SMAs). The performance figures shown are net of global execution costs based on our trading accounts’ investment results and are calculated net of 2% annual management fees (paid quarterly) and 20% performance fees (benchmarked over Bitcoin and paid annually with HHM). These investment results are not audited nor verified by a third-party administrator.

DDA Smart Beta Diversified Strategy Performance vs. Bitcoin

The adjacent chart shows the investment performance of the minimum subscription amount of $100,000 into the strategy on a logarithmic scale. The returns presented herein for the period 1st January 2019 through 31st July 2022 represent back-tested performance and do not reflect trading in actual accounts. The strategy was launched at DDA on 1st August 2022 with real AUM and has been trading live ever since on proprietary trading accounts. The performance track shown uses daily points, calculated at 0h00 UTC net of all fees and global trading costs based on our trading accounts’ investment results. Please refer to the previous page for more details.

DDA Smart Beta Diversified Strategy Market Sectors’ Breakdown

The adjacent pie chart represents the portfolio allocation across 10 distinct thematics for the last month. The allocation is actively managed and based on market sentiment data and proprietary scoring models, with a weekly rebalancing.

Store of Value: Coins considered as normally retaining purchasing power over time

USD: Stable Coins

CEX: Centralized Exchanges

Privacy: Coins that are designed with privacy protection in mind

DeFi: Decentralized Finance

Interoperability: Empowering many blockchains to communicate and share data

Web3: New iteration of the Web which incorporates blockchain technologies

Smart Contracts: Enabling programs to run when predetermined conditions are met

Meme: Speculative coins supported by enthusiastic online trading communities

NFT: A non-fungible token (NFT) is a unique digital identifier that cannot be copied

Metrics Comparison Dashboard

Crypto Market Risks

The crypto markets are extremely volatile and subject to additional investment risks relative to traditional investments including, but not limited to inherent technological risks in the blockchain, severe and sudden volatility and market manipulation. The strategy is designed as a long- term investment and investing in the strategy involves the risk that you may receive little or no return from your investment or that you may lose part of even all your investment. The strategy seeks to provide steady returns over time while reducing risks, therefore the strategy’s performance may over-or underperform the overall crypto asset market.

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Please do not forward or send the factsheets or publications displayed to third parties.This material has been prepared by DDA Alpha AG for information purposes only for the sole use of the intended recipient and is suitable for professional investors only. It does not constitute a recommendation to buy or sell any particular investments or to adopt any particular investment strategy.The service provided by DDA Alpha AG does not constitute any trading or trading advice of financial instruments within the definition of Directive 2014/65/EU (MIFID). Neither the services provided by DDA Alpha AG nor the entity itself are subject to a licensing requirement and are thus neither licensed by nor registered with the Liechtenstein Financial Markets Authority FMA.The information should not be considered by recipients as a substitute for the use of their own judgment. Neither DDA Alpha AG nor any of its affiliates nor any of their directors, officers or employees shall have any liability whatsoever for any loss arising from the use of the information in documents published. The data contained herein should not be relied upon as such information is subject to change at any time without notice at the discretion of DDA Alpha AG. Due to the increased inherent volatility of the asset class, investors in digital assets are subject to the risk of total loss of the amount invested. This disclosure statement cannot and does not disclose all risks and other aspects associated with holding, trading or entering into financing or funding transactions with digital assets.

DDA Alpha AG (registration number FL-0002.681,478-9) domiciled at CV Labs Building, Aeulestrasse 74, 9490 Vaduz, Liechtenstein.

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