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Research article

Crypto Quant Strategy Index IV July 2025

Drawing on real trading data from 9 crypto trading teams managing over $2B, 1Token’s latest benchmark research provides actionable insights and in-depth analysis of Funding Arbitrage and Long Short strategies for July 2025, among the most prominent trading approaches in the cryptocurrency market.

Crypto Quant Strategy Index IV July 2025

Executive Summary

This report presents an index benchmark analysis developed by 1Token in collaboration with 9 crypto trading teams. Among these partners, seven teams contributed Funding Arbitrage strategies, and six teams (with some overlap) provided Long Short strategies.

The comprehensive study evaluates two distinct strategy indices for July 2025, delivering key insights into both Funding Arbitrage and Long Short strategy performance metrics, such as period returns, maximum drawdown, unit leverage returns, and asset concentration, aiming to provide a reference for the market.

Parameters

  • Quote source: CMC
  • Granularity: Daily
  • Index start time: July 1st, 2025 at 00:00 UTC
  • Cut-off-time: 0:00 UTC+0
  • Sample Exchange Distribution: Binance, OKX, Bybit
  • Accum. NAV calculation method: TWR (Time-Weighted Return)
  • Risk-free rate: 3%
  • Daily Minimum Acceptable Return (MAR): 0

Note: The selection of the exchanges - Binance, OKX and Bybit - may influence overall performance, as these platforms have different mechanisms such as fees, commissions, and slippage. This report does not take the mechanism difference into consideration, assuming no confounding variables affect the comparison.

Long Short Strategy

Index

Calculation method

We have retrieved the assets of multiple crypto trading teams to the same starting point (July 1st at UTC 0) utilizing a historical retrieving mechanism, calculating the accumulated NAV for each team using the TWR (Time-Weighted Return) measure, and then taking the arithmetic mean to derive an index benchmark that represents the market’s Long Short strategy.

Note: We use the arithmetic mean instead of the weighted average because the current sample size is relatively small, as weighted averages cannot accurately reflect actual team weights. Therefore, the impact of principal has been normalized.

Indicators

Given the diversity of long-short strategies, this report provides a comprehensive analysis across four key dimensions—returns, risk exposure, strategy characteristics, and coin distributions—to offer market insights.

Profit and Loss (PNL) and Risk

Note: See Index Formula for full methodology and calculations.

We further assessed risk-adjusted performance through Sharpe Ratio (measuring return per unit of total risk), Sortino Ratio (focusing specifically on downside risk), and Calmar Ratio (evaluating returns relative to maximum drawdown), providing a comprehensive framework to gauge strategy effectiveness across varying market environments.

Note: See Index Formula for full methodology and calculations.

Strategy Features

This section introduces two key liquidity metrics for Long Short strategy evaluation: Position Holding Days and Capital Utilization Rate(Turnover Rate).

👍 Position Holding Days serves as a key metric for evaluating capital efficiency.

Key characteristics:

  • Inverse relationship with liquidity: Lower turnover days indicate higher strategy liquidity

👍 Capital Utilization Rate measures capital efficiency like turnover rate, but also incorporates margin.

Key characteristics:

  • Liquidity indicator: Higher ratios reflect more efficient capital deployment

The multi-team dataset analysis reveals that long-short strategies exhibit superior liquidity performance, as demonstrated by consistently shorter position turnover cycles and higher capital utilization rates. The results across both metrics provide robust evidence for the liquidity benefits inherent to long-short strategy structures.

Note: See Index Formula for full methodology and calculations.

Coin Distributions

We have combined daily snapshot data from trading teams to summarize the asset positions from July 1st, 2025, at 00:00 UTC to Aug 1st, 2025, at 00:00 UTC, and aggregated the USD exposure for each underlying currency based on the underlying assets.

🍰Overall, the proportion of large-cap coins (CMC top 20) is significantly higher than that of small-cap coins. Among the large-cap coins, the samples of our collaborators indicate a relatively higher weight on BTC holdings over July.

Note:

  1. USD exposure = Delta * Underlying Price
  2. See Index Formula for full methodology and calculations.

To assess the dispersion across coins, we defined the aggregation degree β (ranging from 0 to 1). When β is closer to 1, it indicates that the investment is more concentrated in a few coins, while when β is closer to 0, it indicates that the investment is more diversified.

👍The value of β is calculated based on the squared sum of coin exposure by underlying, which is then normalized. For the period July 2025, we derived an aggregation degree β=0.033 for Long Short, indicating a highly diversified strategy.
Funding Arb Strategy

Index

Calculation method

We have retrieved the assets of multiple crypto trading teams to the same starting point (July 1st at UTC 0) utilizing a historical retrieving mechanism, calculating the accumulated NAV for each team using the TWR (Time-Weighted Return) measure, and then taking the arithmetic mean to derive an index benchmark that represents the market’s Funding Arbitrage.

Note: We use the arithmetic mean instead of the weighted average because the current sample size is relatively small, and the weights in a weighted average cannot accurately reflect the actual weights of the trading team. Therefore, the impact of principal has been normalized.

Indicators

Given the relative stability of Funding Arbitrage, the Sharpe Ratio is not included in the scope of this study. Instead, we have selected 1-2 metrics from four perspectives—returns, risk, strategy characteristics and investment preferences—for market reference.

Profit and Loss (PNL) and Risk

Note: See Index Formula for full methodology and calculations.

Strategy Features

The perpetual contract funding rate management capability serves as a critical performance indicator for Funding Arbitrage strategies. In this report, we analyze July 2025 execution records across all participating teams, decomposing strategy returns into discrete components including funding income, trading fees, interest paid, and trading P&L. A higher proportion of funding income relative to total returns reflects greater proficiency in funding rate management.

To further enhance the evaluation framework, we introduce a new standardized metric: Funding Yield per Gross Exposure (FYpGE). This KPI measures funding income generated per unit of gross exposure. Higher FYpGE values demonstrate specialized expertise in capturing funding fees.

Note:

  1. The PNL Decomposition is calculated using various records to generate detailed PNL data, breaking down portfolio performance into individual components.
  2. See Index Formula for full methodology and calculations.

Coin Distributions

We have combined daily snapshot data from trading teams to summarize the asset positions from July 1st, 2025, at 00:00 UTC to August 1st, 2025, at 00:00 UTC, and aggregated the USD exposure for each underlying currency based on the underlying assets.

🍰Overall, the proportion of small-cap coins and that of large-cap coins (CMC top 20) are relatively equally weighted in July. Among the large-cap coins, the samples of our collaborators indicate a relatively higher weight on BTC, ETH, DOGE and XRP holdings over July.

Note:

  1. USD exposure = Delta * Underlying Price
  2. See Index Formula for full methodology and calculations.

To assess the dispersion across coins, we defined the aggregation degree β (ranging from 0 to 1). When β is closer to 1, it indicates that the investment is more concentrated in a few coins, while when β is closer to 0, it indicates that the investment is more diversified.

👍The value of β is calculated based on the squared sum of coin exposure by underlying, which is then normalized. For the period July 2025, we derived an aggregation degree β=0.069 for Funding Arbitrage, indicating a highly diversified strategy.

The total AUM of the teams we collaborate with has exceeded $2.0 billion. In the future, we aim to increase the number of teams we monitor, along with the total AUM, which will also lead to a noticeable improvement in diversity.

Authored by Quinn Hu and Gloria Yao from 1Token, with data kindly provided by nine trading teams.

Reference

Thanks to the following leading crypto trading teams for collaborating with 1Token on our first crypto strategy-related performance analysis:

  • 4-Alpha
    • Funding Arb
    • 4Alpha Group (formerly known as “Huobi Asset Management”), founded in 2018, is a top private wealth management firm in the cryptocurrency sector in Asia with AUM over US$ 600m now.
    • The Company has consistently delivered value to 60+ ultra high net worth clients over the last 6 years with proven track records.
    • The Company now has a team of 40+ staff including quant traders, researchers, computer scientists, risk managers, and institutional sales. Its quant team comprises Ph.Ds. from prestigious institutions and/or former engineers from leading global tech giants and also seasoned OG developers from the cryptocurrency industry, building profound technological prowess.
  • Binquant
    • Funding Arb and Long Short
    • Founded in 2018, Binquant focuses on quantitative development and asset management in the digital asset market and is now one of the largest digital asset managers. The main strategies include market-neutral arbitrage, CTA, high frequency, and DeFi. Main clients include hedge funds, VC funds, large financial institutions, family offices, and exchanges for asset accretion.
  • Grandline
    • Funding Arb and Long Short
    • GrandLine Technologies is a systematic multi-strategy trading firm established in 2018. Grandline specializes in deploying mid-frequency market-neutral strategies across major digital assets on both centralized and decentralized exchanges. With decades of expertise in quantitative portfolio management , the team is recognized for its exceptional research and risk management process, earning accolades from esteemed institutions like Hedgeweek and HFM.
  • KFQuant
    • Long Short
    • Founded in 2017, KFQuant is a top low-latency trading systems provider from traditional finance, powering a significant share of multi-billion-dollar hedge funds and proprietary trading desks. Specializing in ultra-fast systems and cross-sectional multi-factor strategies—hallmarks of traditional finance. We integrate tick-by-tick data, alternative alpha signals, streaming-learning models, and automated portfolio optimization into a seamless research-to-execution pipeline. Our market-neutral derivatives long-short strategies deliver high capacity and Sharpe ratios, combining institutional-grade infrastructure with cutting-edge quantitative frameworks to sustain uncorrelated returns across cycles.
  • Lepton
    • Funding Arb
    • Founded in 2021 by seasoned quant traders with 10+ years of arbitrage expertise in traditional finance, we specializes in systematic crypto arbitrage strategies. Our proprietary low latency execution system enables algorithmic capture of funding rate arbitrage, basis arbitrage, and market making opportunities within CEX venues. Through adaptive risk frameworks and dynamic exposure management, we maintain rigorous operational discipline to proactively mitigate tail risks while exploiting transient market inefficiencies.
  • Luxtech
    • Funding Arb and Long Short
    • Luxtech Capital Group Ltd was established in 2018 by a group of fund managers from both domestic and international backgrounds. Focused on the meticulous study of quantitative strategies, we utilize mathematical models and computer technology to discover robust quantitative strategies that transcend market fluctuations. Our expertise lies in asset management for digital assets. Shareholders and team members are derived from the professional traditional asset management industry, with a cumulative managed fund scale exceeding 10 billion RMB, and their collective experience is traceable. Research personnel hold Master's and Ph.D. degrees from renowned universities such as the University of Illinois at Urbana-Champaign, Tsinghua University, and Shanghai Jiao Tong University. They have previously worked in core departments at Akuna Capital and Citadel, demonstrating solid foundational knowledge and extensive experience in the quantitative industry.
  • Pythagoras
    • Funding Arb and Long Short
    • Established in 2014, Pythagoras manages a suite of crypto funds based on quantitative modeling. As one of the longest-running crypto hedge funds, it is known for delivering outstanding returns in both bearish and bullish market cycles. Using systematic, non-discretionary, and automated trading strategies, Pythagoras specializes in market-neutral and dollar-neutral strategies to consistently outperform the crypto market.
  • Quantrend Technology | Directional, Long short, Pair-trading, HFT
    • Long Short
    • Founded in 2020, Quantrend Technology is an AI-driven quantitative trading firm specializing in high-frequency, multi-strategy execution in the cryptocurrency markets. Quantrend leverages proprietary deep learning models and a large-scale factor library to generate consistent alpha with low decay.
    • Built entirely in Rust, Quantrend’s infrastructure delivers ultra-fast and stable performance. The firm has ranked among the top 10 global market makers on Binance, recognized as VIP 9 and top-tier Market Maker status for multiple consecutive years.
    • Quantrend’s strategies span directional, long-short, and pair-trading approaches, dynamically allocated across changing market conditions. With a strong R&D culture, the team continuously improves its models and system performance.
    • The team comprises talent from Google, Jane Street, WorldQuant, UBS, and other top institutions, including IMO medalists and AI research experts.
  • Trade Terminal
    • Long Short
    • Trade Terminal (TT), a crypto quantitative hedge fund, delivers high Sharpe quantitative strategies, market-making services, early-stage funding, and consulting. Named Binance's TOP 2024 Liquidity Provider of the Year, TT operates globally across spot and derivatives markets, leveraging advanced technology and strong risk management to optimize performance.

Collaboration teams for this study primarily come from Asia. In the future, we hope to expand the diversity of our sample to include teams across various regions around the world. If you'd like to be part of our benchmark study, please feel free to contact our partnership manager at joey.shi@1tokentech.com.

About 1Token

1Token(https://1token.tech/) is a SOC2 Compliant software for institutional Crypto Portfolio, Risk, Operations, Accounting and Lending Management, named Hedgeweek's 2024 "Portfolio Management Solution of the Year", serving 70+ top-tier institutional clients in the crypto industry, including Family Offices, SMA Allocators, Multi-Strategies Trading Funds, DMA Prime Brokers, Asset Managers, Lending Institutions, Fund Admins & Auditors across the US, EU, and APAC, collectively managing over $20 billion in assets.

For general inquiries like authorization requests of the report, product demo, or general collaboration opportunities, please email service@1token.trade.

Disclaimer

The information contained in this report is provided by 1Token for general informational purposes only and does not constitute professional advice. While every effort has been made to ensure the accuracy of the information, no warranty or representation, express or implied, is made regarding its completeness or reliability. The contents of this report reflect the views and opinions of the author(s) as of the date of publication, and may be subject to change without notice.

The reader should independently verify any information or conclusions presented herein before making decisions based on the report. 1Token and any affiliated parties are not responsible for any actions taken or not taken as a result of reading this report.

This report may contain forward-looking statements, estimates, and projections based on current expectations. These statements are subject to risks and uncertainties that could cause actual results to differ materially from those anticipated. 1Token assumes no obligation to update or revise any forward-looking statements.

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