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StraBerry: Investment Letters

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SQRT 20230828

This letter is exclusively for our StraBerry users. Please do not circulate it.

Welcome back 🍂 🌻

Though the days remain scorching, we're beginning to feel something new in the air—the coming of the fall season with its crisp, refreshing morning breezes. (Seriously, where did the time go?) As we near the end of August, our Project StraBerry is also coming to an end. In fact, this may be our final investment letter sent to your inbox. How has your experience been over the past 100 days? We’d love to hear from you — Any comments or feedback would be very much appreciated!
Well, on our end, it’s been one heck of a journey. Having all of you on board and receiving your feedback has been immensely helpful in terms of iterating on our product features and solidifying our business model. SQRT will continue to move forward with new exciting projects, but the memory of launching our very first closed-beta product and serving our very first customers (ya’ll!) will forever hold a special place in our hearts. You all so willingly placed your trust in us when we were nothing more than a pitch deck with some prop trading track records. We’ll never forget that.
Before we move on to our final farewell speech, which will come in a separate email/letter upon the project's official conclusion on August 31st, let's recap the events of the last three weeks.

Performance Review: Yi Sun-Sin

Trading period: 2023-05-19~2023-08-26 (100 days)
Average trade count (daily): ~1800 times
Average size of trading universe (daily): ~40 cryptocurrencies

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A recap of the past 3 weeks

[Aug 1 - Aug 26, 2023]
An impressive +9.3% over the past +3 weeks. That's certainly something worth celebrating!
Never a dull moment in crypto trading: Halfway through the period, we witnessed a peak performance, as shown by +16% in cumulative returns. A few days later, there was an abrupt drawdown of 8.7%, marking the most significant decline since the FTX collapse last year. This later event is believed to have been triggered by a series of market events, including:
Evergrande's filing of bankruptcy, which sparked concerns regarding potential repercussions for China's economy due to real estate vulnerabilities.
Reports of SpaceX's sale of their BTC holdings.
Fears surrounding the possibility of interest rate hikes.
Despite such challenges, Yi Sun-Sin displayed a robust performance, especially when compared to the significant declines observed in BTC, ETH, and the broader market. Refer to the chart below for the comparison.

Recent Performances of Yi Sun-Sin vs. BTC vs. ETH vs. Market Average
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A summary of StraBerry: The 100 days

[May 19 - Aug 26, 2023]
Here’s a quick summary of Yi Sun-Sin’s performance since Project Straberry’s inception.
% Profit and Loss (PnL): 14.3%
This is the averaged PnL across our StraBerry users since the launch of the project. For those of you who got initiated from the very first day of the service (May 19, 2023), your performance should align with 14.3%, within a deviation of 0.5%.
You know where to check your performance: StraBerry website (
)
Annual return: 52%
As the name itself indicates, the annual return is calculated by annualizing the performance. In the case of Yi Sun-Sin, a +14.3% gain was recorded over the past 100 days: 14.3% * 365 days / 100 days = 52%.
Maximum drawdown (MDD) = 8.8%
As a refresher: MDD refers to the largest percentage decline an investment or portfolio has experienced from its peak value to its lowest point. what that means is that hypothetically, you would’ve experienced -8.8% if you entered at the peak and exited at the lowest point of Yi Sun-Sin’s performance during Project StraBerry.
Sharpe ratio (SR) = 2.0
The calculation is simple: SR = annual_return / annual_volatility. In the case of Yi Sun-Sin, the annual_return is 52%, while annual_volatility = std(daily_return) * sqrt(365). This suggests that one can statistically anticipate the annual return to be 2.0 times the annual standard deviation of daily return.
(Note: We used annualized terms for both annual_return and annual_volatility, as we lack a complete year's worth of data.)
Number of users = 12
The user count is 12, not accounting for our own SQRT members (=4), as they are categorized under the "prop trading group."
Total Assets Under Management (AUM) = 134,933,864 KRW (median value)
The AUM amount to ~135M KRW, presented as the median value. The AUM value has fluctuated over time due to users joining at various points.
Total Fiat PnL: 16,974,218 KRW
Together, we've made an profit of ~+17M KRW across the StraBerry users!
Including our own prop, we’ve made a total profit of +45M KRW.

Comments from Juho 🚥

The annual return for this period (52%) has been lower compared to Yi Sun-Sin's past performances (140%). One straightforward explanation for this is that it’s been a challenging period in the market, and Yi Sun-Sin's effectiveness has been negatively impacted by it. That said, we cannot say with statistical significance that the strategy has indeed become less effective, as it has gone through similar periods in the past since its launch in April 2021.
The MDD has been managed quite effectively with a value of 8.8%, which stands significantly below the historical average of 21%.
With an SR of ~2.0, it indicates that Yi Sun-Sin's projected annual return is roughly double the measured annual volatility. The volatility here is one of the important risk metrics, representing the standard deviation of daily returns over a year. Given the annual return of 52%, the annual volatility is approximately half of that value.
Simply, all this implies two things: i) a positive return and ii) the magnitude of the return being twice the level of risk undertaken. Hedge funds with an SR of 1.0 to 2.0 are generally regarded as demonstrating strong to excellent performance.

Going forward: What happens next?

On August 31st, 2023, we’ll halt all trading activities on our StraBerry users' accounts by 12pm KST. Subsequently, your account will transition to holding your net value in KRW instead of cryptocurrencies. To ensure no further access or trades are conducted on your account afterwards, your API key information will be deleted from our system.
If you wish to terminate all trades on your account before August 31, please notify us separately. A summary of your ultimate performance will be accessible on your personal dashboard.
Feel absolutely free, and encouraged, to reach out to us with any questions, comments, feedback, and whatnot via email (general@sqrt.co) or your personal contact at SQRT.

➕ Also, some exciting news to share

SQRT’s closed-beta v. 2 is launching soon


Project Name: “StraSaurs”
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Exchange: Binance (perpetual and spot markets)
Currency: USDT
Min. & Max: 5K-50K USDT
Service period: Sept to Nov 2023
Service fees: TBD
If you’re interested in joining our second closed-beta that runs on Binance, please get in touch with your point person at SQRT or email us at (in English or Korean, whichever you prefer!). We’ll also send out a separate announcement in the upcoming weeks with further information about Project StraSaurs, along with the promotional discounts we're preparing for our current StraBerry users. Get excited!

Thank you — and we’ll be back

It has been our privilege to have you as a part of this journey for the past three months. We will reach out to you again with our final report after completing all the necessary steps to conclude your StraBerry trades.

With lots of love,
Your friends at SQRT



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