Alaya Strategy
Bitcoin beta enhancement strategy
Alaya Strategy runs a single instrument — Bitcoin — executing scaled buy-low/sell-high inside system-defined price bands. The return source is volatility, not a directional call. The product is structured in senior and junior tranches, with the senior tranche carrying an 8% contractual coupon. Bitcoin fell 33.09% in H1 2026; the strategy NAV returned +21.00%, or 42% annualised.
- H1 return
- +21.00%
- Annualised
- 42.0%
- Max DD
- −4.80%
- Senior coupon
- 8%
- BTC same period
- −33.09%
- Lock-up
- 3 months
NAV comparison · H1 2026
Both curves are indexed to 100 at 31 December 2025, entering and settling over the same period. The grey line is unmanaged Bitcoin spot; the gold line is the Alaya Strategy NAV. The gap between them is the period's excess return.
Monthly returns
| Month | BTC spot | Alaya Strategy | Excess | NAV |
|---|---|---|---|---|
| 2026/01 | −5.95% | +2.60% | +8.55 | 102.60 |
| 2026/02 | −12.86% | +1.80% | +14.66 | 104.45 |
| 2026/03 | −4.90% | +4.00% | +8.90 | 108.62 |
| 2026/04 | +11.81% | +7.80% | −4.01 | 117.10 |
| 2026/05 | −3.50% | +2.40% | +5.90 | 119.89 |
| 2026/06 | −20.43% | +0.93% | +21.36 | 121.00 |
| H1 total | −33.09% | +21.00% | +54.09 | 121.00 |
Strategy logic
In H1 2026 Bitcoin fell from $87,613 to $58,625, oscillating within a $60,000—$95,000 band for six months. The strategy's return comes from repeatedly harvesting that range, not from calling the trend.
- 01
Bitcoin only
No altcoin allocation, no new-issue participation, no leveraged futures. A single instrument keeps the risk exposure measurable — and ties the strategy to Bitcoin's long-run pricing.
- 02
Scaled range trading
The system scales in and takes profit across a price grid — adding into declines, trimming into rebounds. The return source is volatility itself, not a directional view.
- 03
15%—40% typical
The book sits mostly in stablecoins, adding size only inside system-flagged value zones. BTC fell 20.43% in June 2026; running light, the strategy still closed the month at +0.93%.
- 04
Sharp rallies / dead flat
In one-way rallies an under-filled book lags spot — April 2026 is exactly that case (+7.80% vs +11.81%). In prolonged low-volatility regimes the spread collapses and returns approach zero; the senior coupon then provides the floor.
Tranche structure and waterfall
The 8% coupon is not an unconditional promise but a structural arrangement: the senior tranche gives up most of the upside in exchange for a fixed return and payment priority; the junior tranche takes the residual return and absorbs first-loss.
- 01
8% coupon, then 70% of the excess
The 8% annualised coupon is backstopped by the junior tranche and distributed first. Above 8%, the investor takes 70% of the excess and the manager accrues a 30% performance fee. Applying that to H1's 42% annualised implies roughly 31.8% to the investor, before management fee.
- 02
First-loss — the floor breaks once exhausted
If the strategy falls short of 8%, the junior tranche makes up the shortfall; if the strategy loses, the junior tranche absorbs it first. But the junior tranche is finite — once exhausted in an extreme market, the coupon no longer holds and senior principal is exposed. This boundary is stated in the fund agreement, not buried in footnotes.
Product terms
A summary of principal terms. The executed fund agreement governs.
- Strategy type
- BTC beta enhanced · systematic range trading
- Underlying
- Bitcoin (spot)
- Currency
- USD
- Senior coupon
- 8% (borne by junior tranche; not principal protection)
- Performance fee
- Above 8%: 70% investor / 30% manager
- Management fee
- 2%
- Minimum
- USD 100,000 (qualified investors only)
- Lock-up
- 3 months
- Redemption
- Monthly after lock-up; submit 5 business days before month end, processed in the first 3 business days of the next month at that day's NAV
- Capacity
- USD 20,000,000
- Track record
- 2026.01.01 — 2026.06.30
Risk disclosure
- 01
The coupon is not principal protection
The 8% senior coupon is a contractual return on the senior tranche, funded by the junior tranche. Once the junior tranche is exhausted, senior principal is exposed to loss. This product does not guarantee principal or return.
- 02
Past performance cannot be extrapolated
The H1 2026 figures are realised historical data, with annualised numbers derived by simply doubling a half-year return. That period was a wide, choppy decline — favourable for range strategies. Returns will fall materially if the volatility regime changes. No projection constitutes a promise.
- 03
Underlying asset volatility
The underlying exposure is Bitcoin, an asset with severe, uncapped price volatility that can draw down sharply in short periods. Running light limits drawdown but cannot eliminate the underlying's tail risk.
- 04
Liquidity risk
The lock-up and monthly redemption windows restrict liquidity. In extreme markets, or where disposal of underlying assets is impaired, redemption proceeds may be delayed.
- 05
Investor suitability
This product is placed with qualified investors only. Participate only after fully understanding the structure and reading the complete agreement, and only with idle capital you can afford to lose. The executed fund agreement governs.
Request the full materials
We will provide the full strategy memorandum, tranche terms, junior-tranche arrangements, and historical settlement statements. We suggest a first subscription at the minimum, completing one full lock-up cycle before considering additions.