TokenInsight-全球加密通证量化基金行业研究报告（英文）-2019.5-39页.pdf

?May?2019?|?TokenInsight?参割?TokenI 2?尤?劣?T+0?7x24?博?博?API?展?博?博?参?劣?劣?担?担?Hedge?Fund?博?对?担?TokenInsight?400?担?劣?200?担?参?博?博?博?担?担?担?担?名?担?TokenInsight?劣?功?担?TokenInsight?担?对?对?担?TokenInsight??Table of Contents1?52?2.1?62.2?82.3?劣?103?3.1?展?133.2?143.3?163.4?173.5?184?对?4.1?204.2?214.3?224.4?对?234.5?对?245?5.1?255.2?265.3?275.4?28 ?Table of Contents6?6.1?296.2?306.3?316.4?317?7.1?327.2?337.3?347.4?展?34?35?37?38?38 501.?1?博?劣?博?博?2?劣?3?T+0?7x24?博?API?博?博?展?博?4?博?博?参?5?博?动?展?展?6?博?导?博?名?博?博?博?博?7?担?滑?劣?劣?担?滑?8?担?2017?2018?担?1,000BTC参割?100-300BTC?9?BitMEx?OKEx?博?劣?担?博?属?Binance?Bitfinex?Huobi?博?对?博?博?BTC?担?ETH?EOS?担?参?10?担?1020?担?担?担?70%?担?功?劣?担?功?11?博?博?博?博?担?TokenInsight?担?12?名?博?展?担?展? 602.?2-1?2018?Savills,?WGC,?CIA,?IIF,?CoinMarketCap,?WFE,TokenInsight?2018?0.08%?博?6.4%?2-1?2018?失?5.97?2018?0.08%?参2019?4?12?2016?红对2015?红?9.96?25.07?2.1?劣?2009?参?10?CoinMarketCcp?2019?5?8?1,860?2,160?博?18,000?功?7%1?1?https:/ 702,3334,6677,0002013/122014/122015/122016/122017/122018/122019/051858132061591797155103?2-3?CoinMarketCap,?TokenInsight?2-3?2013?103?1,858?6?17?2017?58.8?单位：亿美元2018?对?博?72?博?6.4%? 82.2?博?博?/?博?对?参?/?/?参?劣?功博?属?博?博?TokenInsight?博?200?博?滑?2-4?滑?6?52功?/?博?T+0?7x24?博?博?2-5?博?博?参?博?博?2-4?博?滑?TokenInsightHappy New Year From TokenInsight!大洋洲 7亚洲 90北美洲 24南美洲 8非洲 13欧洲 ?2-5?博?博?/?博?24?1.45?9:00?11:30?割?1:30?3:00.?9:00?2:004.36?9:30?16:005.3?A?9:30?11:30?13:00?15:005.8?TokenInsight?博?博?博?2-6?2016?4?2019?4?博?2%参?2%-5%?2.2?5%-10%?9?2-6?2016/4-2019/4?Wind,?TokenInsightBTCGoldS&P500?3000%20%40%60%80%100%0-2%2%-5%5%-10%10%?割?2.3?劣?劣?2-7?对?BTC?3?对?劣BTC?230%?79%?博?2-8?2016?担?1.9?143.5?75.5?劣?2-7?2016?4?11?2019?4?11?gold.org,?CoinMarketCap,?FRED?TokenInsight?-100%0%100%200%300%?0%20%40%60%80%?500?BTC05,33310,66716,0002016/012016/072017/012017/072018/012018/072019/012019/04?2-8?担?300+?担?Cryptofundresearch,?TokenInsight 11?展?2-9?展?割?展?展?参?展?展?2-9?Eurekahedge,?TokenInsightBitcoin100FS CryptoFX 1096100FS CryptoFX 408894100FS CryptoFX 250859194100FS CryptoFX 300961009693100FS CryptoFX Agg961009693100100S&P 500(11)(11)(16)(15)(12)14100US Dollar Index232(5)2(1)(14)100MSCI All World Index(3)(5)(9)(4)(5)1682(43)100US Agg Bond Index812152013(4)(35)18(36)100Risk Parity Index(7)(7)(8)(4)(7)1351(38)6915100Comdty TR Index(10)(14)(16)(16)(15)(1)30(42)53(8)71100US Treasury Index(7)12151813(5)(43)21(45)997(12)100Gold(8)(3)(4)(1)(3)116(39)3815516011100Oil(7)(10)(11)(10)(10)(4)20(32)31(12)4571(14)27100BitcoinFS CryptoFX 10FS CryptoFX 40FS CryptoFX 250FS CryptoFX 300FS CryptoFX AggS&P 500US Dollar IndexMSCI All World IndexUS Agg Bond IndexRisk Parity IndexComdty TR IndexUS Treasury IndexGoldOil? 12?博?劣?博?博?劣? 1303.?博?博?博?劣?参?对?属?参?参?2?3.1?展?T+0?7x24?T+0?7x24?博?博?参?博?博?博?属?参?API?博?博?2015?A?咨?博?博?匮?API?对?博?博?2?https:/ 14交易所价差$-64$-32$0$32$64$96$128$160?$0$1,400$2,800$4,200$5,600$7,0002018/9/192018/11/112018/12/312019/2/192019/4/11OKEx?BitMEX?3-1?BitMEX?OKEx?TokenInsight?博?博?博?Coinmarketcap?博?200?博?18,000?功?博?参?博?担?BitMEX?OKEx?3-1?BitMEX?OKEx?BTC?3.2?10?3-2?2009?参?博?2009?1?劣?博?2011?2015?博?博?博?2015?参属?参?1CO?属?功?功?博?1CO?对?1CO?博? 152018?1?参属?1CO?割?博?参?名?担?3-2?博?2009?1?2011?11?博?博?担?2011?11?2015?8?博?担?博?2015?8?1CO?属?80%参?功?名?担?TokenI 16?3.3?3-3?TokenInsight量化交易分类交易方式手动自动化/半自动化交易品种现货交易频率策略类型统计套利传统型期现跨期跨品种跨交易所期货趋势跟踪传统型基本面价量信息技术指标事件跟踪机器学习高频中低频?博?博?博?博?参对咨?博?劣?劣?对博?API?博?博?担?咨?劣?博?担?名?参?担?复合策略?3-4?Cryptofundresearch,?TokenInsight?3-4?2013?参?博?博?博?参?发?2014?-2016?博?博?博?API?对?博?参?博?2017?2018?1CO?博?担?博?博?2018?1CO?割?博?CTA?博?担?展?3.4?1703,0006,0009,0002013/4/292014/2/232014/12/202015/10/162016/8/112017/6/72018/4/3博?24?博?2013?发?2014?-2016?API?对?2017?2018?1CO?2018?1CO?CTA?展?单位：十亿美元3.5?18?3-5?担?&?担?Bloomberg,?TokenInsight?PoS?博?博?导?博?名?博?博?匮?3-5?担?担?1.63?担?担?1.11?0%13%27%40%0%5.5%11%16.5%22%?ArbitrageFixed?IncomeMultiLong-ShortCTAEven-Driven波动率收益率?博?博?对咨?博?参漏?博?博?博?博?博?博?参?博?对属??名?名?参?博?博?博?19?博?博?参?博?动?展?展?博?导?博?名?博?博?博?博? 2004.?对?4.1?劣?劣?担?TokenInsight?600?担?TokenInsight?担?200?担?参对?400?担?担?担?担?担?参?4-1?担?滑?TokenInsightUSA372China212UK48Canada48Russia48Japan21Korea12Australia22South Africa3Brazil20India45Saudi Arabia2Spain6Germany14Switzerland28Singapore45119626432326155848?担?滑?劣?功?担?劣?担?滑?担?担?滑??4-3?滑?TokenInsight2011?2016?担?2017?担?24.44%?2018?担?36.66%?4.2?2017?2018?0%8%16%24%32%40%201120122013201420152016201720182019/03?4-2?担?TokenInsight?滑?0%10%20%30%40%50%2016201720182019/03?担?担?TokenInsight?担?滑?担?展?2017?-2018?滑?40.82%?46.94%??担?1,000功BTC?担?劣?500-1,000BTC?33.33%?500BTC参割?27.78%?1,000-2,000BTC?2,000-4,000BTC?16.67%?4,000BTC参?5.56%?4.3?1,000BTC0%25%50%75%100%4,000?BTC?4-4?TokenInsight0%20%40%60%80%100%700?BTC?4-5?TokenInsight?担?担?TokenInsight?担?担?TokenInsight?300BTC参割?劣?100BTC?27.27%?100-300BTC30.3%?劣?300-500BTC?500-700BTC?9.09%?700BTC参?劣?24.24%??咨?担?博?博?博?咨?博?BTC?ETH?劣BTC?担?ETH?咨?80%?EOS?博?咨?咨?46.67%?担?对博?BCH?ETC?LTC?NEO参对XRP?4-7?博?咨?TokenInsight?4-6?博?咨?滑?TokenInsight?4-6?担?BitMEx?OKEx?博?劣?担?咨?28.21%?属?Binance?Bitfinex?Huobi?15.38%?12.82%?10.26%?博?博?Bitflyer?FCoin?Hitbtc参对KuCoin?4.4?对?劣?BitMExBinanceHuobiFCoinKuCoin?0%6%12%18%24%30%1.28%1.28%1.28%1.28%10.26%12.82%15.38%28.21%28.21%BTCETHEOSLTCBCHETCNEOXRPOthers?0%20%40%60%80%100%5%7%7%7%13%22%47%80%100%?担?担?TokenInsight?4.5?对?72%?参?担?担?及?咨?参?USDT?担?4-8?72%?担?24%?担?4%?担?4%24%72%币本位计价法币本位计价法币/币本位计价?4-8?担?TokenInsight 24?担?滑?劣?劣?担?滑?担?2017?2018?BitMEx?OKEx?博?劣?担?博?参? 2505.?5.1?5-1?担?担?担?担?担?1020?属?展?10?27.8%?30?参?参?尤?C?及?动?博?5-1?担?TokenI?担?担?TokenInsight?26?5-2?TokenInsight5.2?担?担?名?TokenInsight?担?参割?对?担?担?75%?担?担?劣?担?500BTC参?3-5?担?担?对?展?展?名?担?担?劣?40%?劣?担?大于30人12%20人至30人22%10人至20人38%小于10人28%小于10人10人至20人20人至30人大于30人 275.3?担?82%?担?担?担?5-3?担?劣?博?博?65%?博?担?博?参?尤?及?对?博?博?功?25%?担?博?担?5-3?担?TokenInsight?担?担?TokenInsight?其他10%计算机或互联网25%传统金融65%传统金融计算机或互联网其他 28?5-4?担?TokenInsight?担?担?TokenInsight?其他20%交易所8%钱包12%矿池矿场22%私募38%私募矿池矿场钱包交易所其他5.4?担?担?属?担?担?担?TokenInsight?71%?担?功?劣?担?担?参展?参博?展?担?29%?博?博?滑?5-4?38%?22%?担?担?1020?担?担?担?70%?担?功?劣?担?功? 2906.?,?矿?,?参?参?担?担?担?6.1?博?博?博?5?2?博?博?7,000.70?博?10.86?(?N??博?博?担?博?博?博?TokenInsight?滑?博?博?博?博?割?博?博?博?劣?博?博?博?博?博?博?博?博?博?匮?参对?咨?博?博?割??6-1?2019?1?博?Crytopia1?26?2?属?博?76,000功?功?博?Quadrigacx1?30?0博?Gerald?Cotten?博?DragonEx?3?24?0?博?API?博?滑?600?USDT?Dbond?BiKi3?26?0?博?矿?Bithumb3?31?3博?博?矿?TokenInsight6.2?功?对?博?博?6-1?2019?博?博?博?博?参?博?博?博?展?展?博?博?博?TokenInsight?滑?博?6.3?劣?TokenInsight?展?展?参对?展?Reg?D?担?咨?担?Reg?D?Reg?S?担?担?展?担?担?6.4?担?担?担?担?担?博?TokenInsight?功?担?担?参?担?31?担?博?博?担?TokenInsight?担? 3207.?7.1?/?动?失?博?功?参对?参对?博?博?属?展?参对?展?7x24?展?功?博?参?对?博?滑?TokenInsight?300?漏?STO?参Security?Token?ETF?功?7-1?展?TokenInsight博?功?0369121520142015201620172018?展?展? 337.2?展?展?展?7.2.1?担?担?咨?展?担?担?TokenInsight?20%?博?名?参?展?功?参?割?100%?割?名?担?7.2.2?博?2019?博?博?滑?博?展?Bakkt?博?担?博?博?名?2?参?展?博?博?博?参对?劣?博?展?担?博?ATS?SEC?展?滑?漏?博? 347.3?劣?博?担?名?担?担?7.4?展?展?2018?割?属?展?TokenInsight?30?担?劣?20%?50%?,?36%?匮?担?展?0%-20%20%-50%50%-100%100%-200%200%0%10%20%30%40%50%?7-2?担?TokenInsight?担?TokenInsight?名?博?展?担?展? 35Amber AI Group预测2019年数字通证量化基金年化收益在20%到 30%之间。我们认为从策略层面讨论，随着竞争加剧，套利类型策略收益空间将被压缩。由于加密通证交易市场是一个全球性的市场，海内外的量化基金并没有本质上的区别。唯一存在的差异有可能是因为海外基金会由于一些政策原因的制约，只能在有限的合规交易所开户。导致一些跨交易所的策略难以获得可观的alpha收益。Tony,Cofounder Amber AI Group 在传统证券金融领域，量化对冲是行业的主力军之一。而区块链以技术为底层，以数字资产为金融业务的上层展现。这种金融与技术的有机结合，为量化的发展奠定了更坚实的基础。券商作为交易服务的提供者，将在底层服务构建与支撑、交易流动性增强、交易品种与交易方式创新等领域，为量化投资提供更强有力的基础技术、更好的市场波动性、更丰富的投资工具等。可以说：量化投资，券商打底。券商的底打得越扎实，量化就能在这个新舞台上绽放更大的光彩。史亮,CTO 港盛科技?对?及?及? 36在目前加密通证量化处于早期阶段，缺乏必要的第三方审计和风控。如果要面向普通用户，势必需要第三方托管确保用户资产安全。同时对于不同策略也需要实行不同风险级别的保障措施。作为托管方可以帮助量化基金分担托管风险以及为投资者提供实时的风控和定期的资产审计报告。神鱼,创始人&CEO Cobo加密通证券商利用自身的技术、产品和资源优势，为量化交易团队提供技术基础建设，可以帮助量化基金降低入场难度。包括历史数据、回测平台（多交易所，多标的，参数优化，一键实盘）、全球交易所的统一API接口，以及跨境高速专线等。同时也为其提供金融服务，降低交易成本及大单的冲击成本，提高资金使用率。包括折扣费率、大宗交易、跨交易所杠杆、小币种底仓等。保证量化基金将主要精力放在策略的开发与改进上。大门,创始人&CEO 1Token 由于加密通证交易市场的特性，吸引了非常多的量化基金进入这个市场。对于期货交易所而言量化基金十分重要。一些量化基金的做市策略保证了期货交易所的流动性和高效性，对于市场所有的参与方都是有利的。我们认为，不论量化基金使用何种策略，完善的风控以及根据市场情况调整策略方针都是十分重要的。Deribit作为现在市场上唯一提供欧式期权现金结算的交易所可以帮助量化基金拥有更多手段对冲风险、提高收益。Ulla,Business Development Manger Deribit ? 38?TokenInsight?对?参?TokenInsight?对?对展?劣?TokenInsight?对?担?TokenInsight?TokenInsight?/?功?参?滑?头?TokenInsight?TokenInsight?参?割?劣?TokenInsight?Inc.?Global?Token?Data?&?Rating?Agency??展??|?Tokenin?Twitter?|?TokenInsight?|?TokenInsight?Telegram劣?http:/t.me/TokenInsightChinese?TOKEN INSIGHT?39扫码关注：金融干货精选获取更多干货资料