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- Executive Overview
- Visual Performance Breakdown
- Quantitative Architecture & Strategy Mechanics
- Independent Cryptographic Verification & Audit
- Reproducing the Analysis
- Complete Month-by-Month Track Record
- Repository Structure
- License & Disclosures
The Stabolut Delta-Neutral Yield Fund operated for 45 consecutive months (November 2022 – July 2026), winding down on August 1, 2026, as a market-neutral cryptocurrency basis arbitrage fund and collateral reserve engine for the USB Token ($1.00 USD tokenized fund share).
By pairing 1:1 spot long assets with equivalent short perpetual derivative contracts across BitMEX, Binance, Kraken, and Bybit, the fund completely neutralized market directional price volatility (
All figures below are recomputed directly from
data/monthly_performance.csvbyscripts/audit_verifier.py— nothing on this page is hand-typed. Full methodology:docs/AUDIT_METHODOLOGY.md.
| Metric | Stabolut Delta-Neutral Fund | Bitcoin (BTC) | Ethereum (ETH) | S&P 500 Index |
|---|---|---|---|---|
| Cumulative Net Return (45M) | +68.34% | +761.87% | +412.31% | +92.02% |
| Annualized Return (CAGR) | +14.90% p.a. | +77.60% p.a. | +54.60% p.a. | +19.00% p.a. |
| Sharpe Ratio ( |
10.85 | 1.43 | 1.10 | 1.35 |
| Sortino Ratio | ∞ (no downside — 100% win rate) | — | — | — |
| Annualized Volatility | 0.93% | 44.26% | 44.96% | 10.42% |
| Monthly Win Rate | 100.0% (45 / 45) | 68.9% | 71.1% | 75.6% |
| Maximum Drawdown | 0.00% | -17.39% | -27.23% | -8.61% |
| Beta to Bitcoin ( |
0.012 | 1.000 | — | — |
| Correlation to Bitcoin ( |
0.592 | 1.000 | — | — |
| Avg Monthly Yield | Median | Min (Aug 2023) | Max (Nov 2024) | Final NAV ($100 initial) |
|---|---|---|---|---|
| +1.16% | +1.12% | +0.81% | +1.95% | $168.34 |
Figure 1: Distribution of monthly net realized funding rates. The strategy captured high basis during bull runs (e.g. Nov 2024 at +1.95%/mo) while maintaining stable yields (>0.80%/mo) during sideways chop.
Figure 2: Calendar return matrix displaying every monthly yield across all 5 operating years (2022–2026), alongside total annual fund compounding vs. Bitcoin benchmark.
flowchart LR
subgraph 1. Capital Ingestion & Peg
A[Spot Capital / Collateral] --> B[USBToken.sol Smart Contract]
B --> C[USD $1.00 Pegged Shares]
end
subgraph 2. Quantitative Delta Engine
C --> D[Real-Time Delta Monitor]
D --> E{Delta Dev > 1.0%?}
E -- Yes --> F[Algorithmic Auto-Hedge]
E -- No --> G[Passive Harvest]
F --> H[CCXT Multi-Exchange Client]
end
subgraph 3. Execution & Funding Cash Flows
H --> I[BitMEX / Binance / Kraken]
I --> J[8-Hour Funding Accrual]
J --> K[Monthly Reinvest / Compounding]
end
-
Delta Neutrality:
$$\Delta_{\text{USD}} = \frac{\partial \Pi}{\partial P} = Q_{\text{spot}} - Q_{\text{perp}} \equiv 0$$ -
BitMEX Inverse Hedging (XBTUSD):
Holding 1 BTC spot while shorting
$P$ inverse contracts locks USD equity precisely: $$\Pi_{\text{USD}} = \left( B_{\text{spot}} + \text{PnL}{\text{XBT}} \right) \cdot P{\text{exit}} \equiv B_{\text{spot}} \cdot P_{\text{entry}}$$ -
Quanto Settlement Decoupling (XRPUSD):
Neutralizes BTC-settlement sensitivity (
$\gamma_{\text{BTC}}$ ) to ensure pure XRP basis extraction without currency drift.
Every dataset in this repository is cryptographically fingerprinted to ensure zero retroactive alterations:
| File | Format | SHA-256 Checksum |
|---|---|---|
data/monthly_performance.csv |
CSV | e1710f76fed19430296bb7fb478abab933a77c776b48d14a44f39b7fda1ac87c |
data/monthly_performance.json |
JSON | 440bc1f3360be2b6a08f4d56f8a051d1a1d50ade977e2f99dab4dc15d1d7fccf |
You can also verify manually with any standard Unix terminal:
shasum -a 256 data/monthly_performance.csv data/monthly_performance.json# 1. Clone the repository
git clone https://github.com/stabolut/stabolut_fund_report.git
cd stabolut_fund_report
# 2. Run the automated independent verifier
python scripts/audit_verifier.pyExpected output:
Audit Verification Complete.
CSV SHA-256: e1710f76fed19430296bb7fb478abab933a77c776b48d14a44f39b7fda1ac87c
Cumulative Return: +68.34%
Fund Sharpe Ratio: 10.85
The verifier recomputes every headline metric (CAGR, volatility, Sharpe/Sortino, drawdowns, beta, correlation, win rate, yearly breakdowns) from the raw CSV and rewrites data/audit_metrics_summary.json — the single source of truth for all numbers in this README and the PDF report.
Full granular breakdown with strategy notes and market regimes available in
docs/MONTH_BY_MONTH_PERFORMANCE.md.
| Year | Duration | Nominal Yield | Compounded Return | BTC Return | ETH Return | S&P 500 Return | Win Rate |
|---|---|---|---|---|---|---|---|
| 2022 | Nov–Dec (2m) | +1.80% | +1.81% | -19.13% | -19.65% | -0.84% | 100% (2/2) |
| 2023 | Jan–Dec (12m) | +12.68% | +13.44% | +154.67% | +88.71% | +24.23% | 100% (12/12) |
| 2024 | Jan–Dec (12m) | +16.17% | +17.42% | +124.63% | +95.81% | +23.30% | 100% (12/12) |
| 2025 | Jan–Dec (12m) | +14.58% | +15.59% | +66.20% | +58.63% | +17.82% | 100% (12/12) |
| 2026 | Jan–Jul (7m) | +7.17% | +7.39% | +12.10% | +8.77% | +7.29% | 100% (7/7) |
| TOTAL | 45 Months | +52.40% | +68.34% | +761.87% | +412.31% | +92.02% | 100.0% (45/45) |
Packed calendar view (5 rows = 45 months). All figures in % — benchmarks shown as BTC · ETH · S&P. Expand a year below for full NAV & regime detail. See also
docs/MONTH_BY_MONTH_PERFORMANCE.md.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | — | — | — | — | — | — | — | — | — | — | +0.92 | +0.88 | +1.81 |
| 2023 | +1.15 | +0.98 | +1.05 | +0.89 | +0.84 | +1.12 | +0.94 | +0.81 | +0.86 | +1.28 | +1.34 | +1.42 | +13.44 |
| 2024 | +1.38 | +1.65 | +1.82 | +1.18 | +1.24 | +0.95 | +1.08 | +0.88 | +1.02 | +1.26 | +1.95 | +1.76 | +17.42 |
| 2025 | +1.45 | +1.32 | +1.15 | +1.22 | +1.10 | +1.05 | +1.18 | +1.02 | +0.96 | +1.35 | +1.48 | +1.30 | +15.59 |
| 2026 | +1.14 | +1.08 | +1.12 | +0.98 | +1.05 | +0.92 | +0.88 | — | — | — | — | — | +7.39 |
— = no exposure (pre-inception / post wind-down on Aug 1, 2026).
2022 — 2 months · +1.80 nominal · +1.81 compounded — click to expand
| Month | Yield | NAV | Cum. | BTC · ETH · S&P | Regime (Driver) |
|---|---|---|---|---|---|
| 2022-11 | +0.92 | 100.92 | +0.92 | -16.20 · -17.50 · +5.38 | Post-FTX Volatility (BTC/ETH) |
| 2022-12 | +0.88 | 101.81 | +1.81 | -3.50 · -2.60 · -5.90 | Chop & Compression (BTC/ETH) |
2023 — 12 months · +12.68 nominal · +13.44 compounded — click to expand
| Month | Yield | NAV | Cum. | BTC · ETH · S&P | Regime (Driver) |
|---|---|---|---|---|---|
| 2023-01 | +1.15 | 102.98 | +2.98 | +39.60 · +32.50 · +6.18 | Bull Run Resumption (BTC/ETH) |
| 2023-02 | +0.98 | 103.99 | +3.99 | 0.00 · +1.20 · -2.61 | Consolidation (BTC/ETH) |
| 2023-03 | +1.05 | 105.08 | +5.08 | +23.00 · +13.50 · +3.51 | US Banking Turmoil (BTC/ETH) |
| 2023-04 | +0.89 | 106.02 | +6.02 | +2.80 · +2.90 · +1.46 | Post-Shapella Upgrade (BTC/ETH) |
| 2023-05 | +0.84 | 106.91 | +6.91 | -7.00 · -1.00 · +0.25 | Range Chop (BTC/ETH) |
| 2023-06 | +1.12 | 108.10 | +8.10 | +11.90 · +3.20 · +6.47 | BlackRock Spot ETF Filing (BTC/ETH) |
| 2023-07 | +0.94 | 109.12 | +9.12 | -4.10 · -4.00 · +3.11 | Ripple Legal Milestone (XRP/BTC) |
| 2023-08 | +0.81 | 110.00 | +10.00 | -11.30 · -11.30 · -1.77 | Summer Liquidation Cascade (BTC/ETH) |
| 2023-09 | +0.86 | 110.95 | +10.95 | +3.90 · +1.50 · -4.87 | Quiet Consolidation (BTC/ETH) |
| 2023-10 | +1.28 | 112.37 | +12.37 | +28.50 · +8.70 · -2.20 | ETF Speculation Surge (BTC/SOL) |
| 2023-11 | +1.34 | 113.88 | +13.87 | +8.80 · +13.00 · +8.92 | Altcoin Basis Expansion (SOL/BTC) |
| 2023-12 | +1.42 | 115.49 | +15.49 | +12.20 · +11.10 · +4.42 | Pre-ETF High Basis (SOL/BTC/ETH) |
2024 — 12 months · +16.17 nominal · +17.42 compounded — click to expand
| Month | Yield | NAV | Cum. | BTC · ETH · S&P | Regime (Driver) |
|---|---|---|---|---|---|
| 2024-01 | +1.38 | 117.09 | +17.09 | +0.70 · +2.70 · +1.59 | Spot ETF Inception (BTC/ETH) |
| 2024-02 | +1.65 | 119.02 | +19.02 | +43.60 · +46.30 · +5.17 | Massive Basis Surge (BTC/SOL/ETH) |
| 2024-03 | +1.82 | 121.18 | +21.18 | +16.60 · +9.40 · +3.10 | All-Time High Exuberance (SOL/BTC/XRP) |
| 2024-04 | +1.18 | 122.61 | +22.61 | -14.90 · -17.50 · -4.16 | Bitcoin Halving Reset (BTC/ETH) |
| 2024-05 | +1.24 | 124.13 | +24.13 | +11.10 · +24.70 · +4.80 | ETH ETF Approval News (ETH/BTC) |
| 2024-06 | +0.95 | 125.31 | +25.31 | -7.00 · -0.60 · +3.47 | Summer Low Volatility (BTC/ETH) |
| 2024-07 | +1.08 | 126.67 | +26.67 | +2.90 · -5.90 · +1.13 | Spot ETH ETF Launch (SOL/BTC) |
| 2024-08 | +0.88 | 127.78 | +27.78 | -8.70 · -22.20 · +2.28 | Yen Carry Unwind Vol (BTC/ETH) |
| 2024-09 | +1.02 | 129.08 | +29.08 | +7.30 · +3.40 · +2.02 | Fed Rate Cut Cycle (SOL/BTC) |
| 2024-10 | +1.26 | 130.71 | +30.71 | +10.80 · +3.60 · -0.99 | Uptober Basis Widening (BTC/SOL) |
| 2024-11 | +1.95 | 133.26 | +33.26 | +37.30 · +43.10 · +5.73 | Post-Election Super-Basis (XRP/SOL/BTC) |
| 2024-12 | +1.76 | 135.61 | +35.61 | -1.20 · +3.80 · -2.50 | Year-End Institutional Inflows (XRP/SOL/BTC) |
2025 — 12 months · +14.58 nominal · +15.59 compounded — click to expand
| Month | Yield | NAV | Cum. | BTC · ETH · S&P | Regime (Driver) |
|---|---|---|---|---|---|
| 2025-01 | +1.45 | 137.57 | +37.57 | +8.50 · +6.20 · +2.70 | Inauguration / Pro-Crypto Policy (BTC/ETH/SOL) |
| 2025-02 | +1.32 | 139.39 | +39.39 | +4.20 · +2.80 · +1.40 | Altcoin Rotation (SOL/XRP) |
| 2025-03 | +1.15 | 140.99 | +40.99 | -3.80 · -4.50 · -1.10 | Quarter-End Rebalance (BTC/ETH) |
| 2025-04 | +1.22 | 142.71 | +42.71 | +5.40 · +7.10 · +1.85 | DeFi Basis Expansion (ETH/SOL) |
| 2025-05 | +1.10 | 144.28 | +44.28 | +2.10 · +1.40 · +2.10 | Steady Harvest (BTC/SOL) |
| 2025-06 | +1.05 | 145.80 | +45.80 | -2.00 · -3.10 · +0.80 | Summer Range (BTC/ETH) |
| 2025-07 | +1.18 | 147.52 | +47.52 | +6.30 · +4.80 · +1.95 | Institutional Expansion (SOL/XRP) |
| 2025-08 | +1.02 | 149.02 | +49.02 | +1.50 · +0.90 · -0.60 | Macro Stability (BTC/ETH) |
| 2025-09 | +0.96 | 150.45 | +50.45 | +2.40 · +1.80 · +1.20 | Autumn Basis Baseline (BTC/ETH) |
| 2025-10 | +1.35 | 152.48 | +52.48 | +14.20 · +12.00 · +2.30 | Q4 Basis Surge (BTC/SOL/XRP) |
| 2025-11 | +1.48 | 154.74 | +54.74 | +11.50 · +15.20 · +3.10 | High Yield Harvesting (SOL/XRP) |
| 2025-12 | +1.30 | 156.75 | +56.75 | +3.00 · +4.10 · +0.90 | Year-End Spread Capture (BTC/ETH) |
2026 — 7 months · +7.17 nominal · +7.39 compounded — click to expand
| Month | Yield | NAV | Cum. | BTC · ETH · S&P | Regime (Driver) |
|---|---|---|---|---|---|
| 2026-01 | +1.14 | 158.54 | +58.54 | +4.80 · +3.20 · +1.40 | New Year Reallocation (BTC/SOL) |
| 2026-02 | +1.08 | 160.25 | +60.25 | +2.10 · +1.70 · +1.10 | Steady Execution (BTC/ETH) |
| 2026-03 | +1.12 | 162.04 | +62.04 | +5.00 · +6.20 · +2.20 | Multi-Venue Arbitrage (SOL/XRP) |
| 2026-04 | +0.98 | 163.63 | +63.63 | -1.50 · -2.00 · -0.80 | Rangebound Harvest (BTC/ETH) |
| 2026-05 | +1.05 | 165.35 | +65.35 | +3.40 · +2.90 · +1.50 | Orderly De-risking (BTC/SOL) |
| 2026-06 | +0.92 | 166.87 | +66.87 | -3.20 · -4.00 · +0.60 | Wind-down Preparation (BTC/ETH) |
| 2026-07 | +0.88 | 168.34 | +68.34 | +1.20 · +0.80 · +1.10 | BitMEX Closure & Final Capital Return (BTC/USD) |
The entire report is regenerable from the raw dataset in data/. Requires Python 3.10+.
# Install dependencies
pip install pandas numpy matplotlib reportlab
# 1. Regenerate the monthly CSV/JSON dataset from source records
python scripts/create_datasets.py
# 2. Recompute all audited metrics + SHA-256 fingerprints
python scripts/audit_verifier.py # -> data/audit_metrics_summary.json
# 3. Regenerate all publication-quality charts
python scripts/generate_visuals.py # -> assets/*.png (NAV, heatmap, frontier...)
python scripts/generate_calendar_heatmap.py # -> assets/monthly_performance_matrix.png
# 4. Rebuild the institutional PDF report
python scripts/generate_pdf.py # -> Stabolut_Fund_Performance_Report.pdfFor interactive exploration, open notebooks/fund_performance_audit.ipynb, or serve the web dashboard locally:
python -m http.server 8000 # then visit http://localhost:8000/index.htmlstabolut_fund_report/
├── README.md # Master documentation & visual summary
├── ABOUT.md # Repo metadata, mandate & wind-down summary
├── index.html # Interactive web dashboard (GitHub Pages)
├── LICENSE # MIT License
├── .gitignore # Clean ignore rules
├── Stabolut_Fund_Performance_Report.pdf # Audited institutional PDF report
├── assets/ # High-resolution charts & diagrams
│ ├── cumulative_nav.png # Compounded NAV vs benchmarks + drawdowns
│ ├── monthly_yield_heatmap.png # Monthly net yield distribution
│ ├── monthly_performance_matrix.png # Calendar return matrix (2022–2026)
│ ├── asset_allocation.png # PnL attribution & annual returns
│ ├── risk_return_frontier.png # Risk-return efficiency frontier
│ └── architecture_diagram.svg # Strategy architecture diagram
├── data/ # Raw datasets & audit JSON
│ ├── monthly_performance.csv # 45-month master dataset (source of truth)
│ ├── monthly_performance.json # Same dataset, JSON format
│ └── audit_metrics_summary.json # Computed metrics + SHA-256 fingerprints
├── docs/ # In-depth quantitative whitepapers
│ ├── MATHEMATICAL_MODEL.md # Delta-neutral & settlement mathematics
│ ├── AUDIT_METHODOLOGY.md # Cryptographic verification protocol
│ ├── MONTH_BY_MONTH_PERFORMANCE.md # Granular annotated track record
│ └── RISK_DISCLOSURE.md # Risk vectors & engineering safeguards
├── notebooks/ # Jupyter analysis notebook
│ └── fund_performance_audit.ipynb # Interactive metric recomputation
└── scripts/ # Reproducible generation pipeline
├── create_datasets.py # Builds CSV/JSON from source records
├── audit_verifier.py # Independent metric & hash verifier
├── generate_visuals.py # NAV / yield / frontier charts
├── generate_calendar_heatmap.py # Calendar matrix chart
└── generate_pdf.py # Institutional PDF report builder
Distributed under the MIT License. Historical performance records are compiled from real-time execution logs and blockchain smart contract deposit data.
Risk disclosure: Past performance does not guarantee future results. Delta-neutral basis arbitrage still carries counterparty, funding-inversion, execution, and settlement risks — see
docs/RISK_DISCLOSURE.mdfor the full breakdown. This repository is an archival record of a wound-down fund and does not constitute investment advice or an offer of securities.