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Systematic Risk
Insurance in Crypto.
 

We are a proprietary investment fund focused on Tail-risk & Black Swan Investing Strategies for Crypto Markets.

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License: No. 3637.

Fund Structure: Proprietary investment fund

Dubai | Sydney

The problem.

The Gaussian distribution assumes extreme events are very unlikely. Making this traditional Gaussian assumption in crypto markets is naive, where severe market dislocation is frequent. 

The solution

We believe in taking an orthogonal approach by applying tail risk strategies that focus on explosive downside protection to capitalise on asymmetric consequential events. 

Business Verticals.

The GDA High Volatility Protocol: Black Swan Insurance For Crypto & Hybrid Asset-backed Securities (ABS)


The fund's core trading tail risk strategy which is planned for inception in Q4 2020 aims to hedge against the underlying volatility of Bitcoin and provide convexity against the fund’s other long exposed investment buckets in the event of a systematic crash. This tail risk strategy will be transparently tracked and monitored as an index under Regulation (EU) 2016/1011 of the European Parliament and of the Council (known as the Benchmark Regulation), and the index pricing will be captured daily at 00:00 UTC and then be disseminated in the Ethereum blockchain. In Q1 2021, the fund aims to scale this index up by also building a hedge amongst traditional asset classes, like through S&P500 options, allowing for more dynamic exposure and enabling the conversion of this index into the first hybrid traditional-crypto Asset-backed Security (ABS) that will be offered to investors through a unit trust structure under the Dubai Financial Services Authority (DFSA). 

 

 

Investing In DeFi & Emerging Protocols


The GDA VC arm is focused exclusively on protocols, equities, digital assets (utility tokens, governance tokens). We invest exclusively in highly liquid assets, yield generating protocols, and invest in ICOs, STOs, IEOs, IGOs. Most of the value will be captured in participating and investing in protocols/projects that are way ahead of the crowd and focusing on technological innovation specifically, lower parts of new technology stacks.

On-Chain Trading Execution

 

On-chain analysis is an emerging field that examines the fundamental factors of cryptocurrencies to improve investment and trading decisions. On-chain execution capabilities are becoming feasible. Our on-chain trading capabilities will allow us to trade directly with DEXs and DeFi protocols. 
 


DeFi Due Diligence & HNPTTS Score
 

DeFi has had extraordinary growth in terms of both existing and new users using different DeFi protocols. Our HNPTTS Score and DeFi risk distribution framework allows us to invest and calibrate our investment baskets across tail risk strategies. We are currently in progress of developing on-chain metadata models to measure the collateralisation and liquidation levels effectively across each of the key DeFi projects, distinguishing original and synthetic lockups across and capturing and storing a historical and live APY data (hourly and daily).

Long-Only Index & Multi-Strategy Trading


The GDA Long-Only Index is an equally weighted index of BTC, ETH and USDC. The index is designed to provide a broad measure of the performance of an underlying long-only exposure, aimed at institutional investors who pursue wider exposure with flexible investment mandates. We aim to launch our Long Only Index labelled as “The Underlying” as a financial derivative based on a selected token through a transparent selection protocol. This index itself will be using smart contract mechanisms in Q4 2020, for wholesale clients.
 

Portfolio.

GDA Portfolio Buckets (PB 1-4)

GDA PB 1, 2, 3 & 4: Long Only & Active trading

PnL: +1,351%

Ave. annual

APY: +28%

Ave. annual

R&D lab.

The R&D Lab was set up under GDA Fund earlier this year (2020), bringing together a group of academics, professors, researchers, developers, quants and traders from backgrounds in both traditional and crypto markets and AI and ML modelling and research. The purpose of the lab is to leverage its expertise, insights and resources to conduct a wide variety of tests, develop relevant hypothesis, and research into crypto-native market structural problems. 

Deep Dive into Bitcoin Market Manipulation.

Developing models that understand, navigate and embrace the manipulation, accept it as part of the cut-and-thrust of crypto trading and allow us to keep strong transparency on where the action is at. 

Applying Nassim Taleb’s Black Swan Principals to Crypto.

Systematic risk events are almost impossible to predict and completely avoid and can’t be simply mitigated through diversification. 

Market Microstructure and Order Book Dynamics.

Studying elements of the Bitcoin market microstructure to build rich intraday strategies that gain data into market manipulation, exchange network impacts, derivatives and spot market relationships.

Does On-Chain Analysis and Social Signals Still Work?

Translating on-chain metrics and social signals into price appreciation metrics in order to see the potential impact on the current and future price of Bitcoin.

Data layers.

We work with L2/L3 exchange data,  on-chain analytics and fine-tuned machine insight data to model market fluctuations and build complex data sets.

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