Active Alpha
ACTIVE ALPHA
Compose multiple quant strategies into one active-return main sleeve — funding / cross-market arb / options market-making / event-driven, weighted by fractional Kelly with a covariance constraint.
Transparency
Strategy alpha is executed entirely off-chain; the protocol receives only a totalAssets signal from the reporter. Capital boundaries remain enforced by the on-chain vault and capBps, but the strategy behaviour itself is opaque.
The integrator has self-reported a transparency tier; community verification is not yet complete. Treat this assessment as preliminary.
Multi-strategy alpha executed off-chain; position commitments and ZK PoR are on the v1.1 roadmap
Rating
QUANTITATIVE METRICS
HUMAN REVIEW (1-5)
Multi-strategy book; demands disciplined fractional Kelly sizing.
Active Alpha's thesis: crypto markets still contain structural inefficiencies that multiple strategies in parallel can harvest — but any single strategy decays with capacity and regime change. Composing them into a dynamically-weighted main sleeve is more robust than betting on any single one. This is a strategy type no Web3 fund seeking active returns can skip.
Signals
SIGNALSFunding-rate dispersion · CEX/DEX cross-market spread · options IV skew · event-driven (unlocks, ETF flow, policy windows). Each signal has its own OOS threshold.
Sizing
SIZINGFractional Kelly (default f*/4) on estimated (p, b); a multi-strategy covariance matrix caps total leverage ≤ 3x and per-strategy peak ≤ 5x.
Risk bounds
RISK BOUNDSDay -3% suspends new trades · Day -5% liquidates · Month -10% triggers governance review; counterparty diversification: single CEX ≤ 20% AUM.
| POLICY | FIT | SUGGESTED WEIGHT (BPS) | NOTES |
|---|---|---|---|
| ThreePoolPolicy | ★ Recommended | 5000–7000 | B-pool main · source of float dividend |
| KellyPolicy | ○ Compatible | 3000–5000 | Main sleeve when drawdown is controlled |
| Vendor Policy | ○ Mountable | Custom | Requires own covariance evaluation |
Active Alpha sits in the Allocation Engine as a strategy adapter. It registers a weight via AllocationManager.addStrategy(), receives funds pushed from FundVault, reports PnL via IStrategy.totalAssets() to DailyTick, and the mounted Policy decides dividend & NAV in settle(). It does not touch the Custody or Risk Layer governance surface.
ActiveAlphaStrategy.sol implements the minimal IStrategy interface: deposit / withdraw / totalAssets. totalAssets is injected by the off-chain quant system via reportTotalAssets(); the contract does not implement real trading logic (each integrating fund's alpha is not shareable). Source is in the public NGPlateform/fund-vault repo.
For funds in setup: if your core narrative is "active alpha", Active Alpha should be your main sleeve (50–70% weight); reserve the rest for Yield+ (idle USDC backstop) and Staking & MEV (ETH exposure). Mounting ThreePoolPolicy lets float dividend absorb the profitable-day take-out from Active Alpha — this is QDF's current configuration.
Backtest
NAV trajectory (1 year)
2025-06-01 → 2026-06-01Drawdown
Simulator
This simulator uses synthetic backtest data and is not investment advice; actual performance may differ materially.
Skeleton contract · undeployed · demonstrates the IStrategy adapter integration path