# Systematic Strategy Performance Benchmarks

Quantitative crypto funds targeting market-neutral and vol-arbitrage strategies typically report low-single-digit to low-double-digit annual returns with Sharpe ratios between 1.2 and 2.5. Reasonable first-year targets for a small desk are 1.5–2.0 Sharpe and sub-15% max drawdown.

## Industry Benchmarks

BarclayHedge crypto trading indices and proprietary fund databases show median annualised returns of **6–12%** for market-neutral strategies with volatility of 7–10%. Directional trend strategies deliver higher returns but at Sharpe ratios often below 1.0 after fees.

## Crypto-Specific Hurdles

Funding rates, staking yields and borrow costs materially change carry calculations. Exchange credit risk and withdrawal freezes add tail risk not present in traditional equities. Operational-alpha (execution, fee tiering, custody) can dominate model-alpha.

## SoVael Targets

Phase-2 backtest gate:

- **Sharpe ≥1.5**
- **Max drawdown ≤10%**
- **Return/drawdown ≥2.0**

These thresholds are deliberately conservative relative to industry top-quartile to account for small-team operational limits.

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*Source: BarclayHedge Crypto Trader Index; Crypto Fund Research 2025; Eurekahedge; SoVael Trading target model.*