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Nickel Digital Arbitrage Fund Cuts Crypto Volatility by More Than 20X

Nickel Digital Arbitrage Fund Cuts Crypto Volatility by More Than 20X

Crypto Volatility is turning the trading ecosystem into a volatile ecosystem. London-based digital asset hedge fund management Nickel Digital Asset Management (Nickel) has kept annualized volatility of its flagship Arbitrage Fund at an industry-leading 3.4% over the three years since inception (please see the attached press release).  This compares to volatility of over 77% for Bitcoin and the broader crypto market.

  • In the three years since inception, Nickel’s Arbitrage Fund delivered uncorrelated returns with annualized volatility of 3.4%
  • That compares with the underlying crypto market’s annualized volatility of over 77%
  • The fund celebrates its third anniversary with net returns of 30.5% since inception compared with -5.9% for the HRFX market neutral index
  • Nickel Digital exploits market inefficiencies and price dislocations to harness extreme crypto volatility without expressing directional views on the crypto market

Risk management and capital protection at the time of distress has been the fund manager’s paramount focus. This has been validated through multiple market corrections since Fund’s inception three years ago, including March 2020, May 2021, and the most recent May-June 2022 selloff, arguably the most brutal quarter for the bitcoin market ever (BTC was down -57% in Q2 2022).

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Despite these deep market draw-downs, Arbitrage Fund’s return profile exhibited highly appealing asymmetry of returns: its best month was +4.1%, while its worst month was -0.5%. This “up-or-flat” return profile reflects Fund’s ability to capture returns during favorable market conditions, while protecting capital at the times of market distress.

Nickel’s Arbitrage Fund, which has received numerous hedge fund industry awards in the last 3 years, has delivered industry-leading risk adjusted returns, with cumulative return of 30.5% with annualized crypto volatility of 3.4%. This compares extremely favourably to other lower volatility investments, such as HFR Market Neutral Equity Index (HFRX Index), 10Y US Treasuries, as well as US and European High Yield indices.

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