引语
Quotes
数字资产行业经过十一年的发展，从小众市场逐步走入大众视野，截至2020年6月30日，行业总市值超2600亿美元。以比特币、以太坊为代表的数字资产已经成为机构投资者和高净值个人投资者优先配置的另类资产。
After 11 years of development in the digital asset sector xff0c; moving from small markets to public view xff0c; xff0c as of 30 June 2020; the total market value of the industry exceeded $260 billion. Digital assets, represented by Bitcoin, have become alternative assets prioritized by institutional investors and high net worth individual investors.
随着美国、印度、巴西等地的疫情持续升温，全球经济面临巨大的不确定性。各国政府纷纷出台救助措施以防止经济陷入通缩，以美联储为代表的全球央行资产负债表出现史诗级扩张，全球将迎来后疫情大通胀时代。
As the epidemic in the US, India, Brazil, etc. continues to warm xff0c; the global economy faces great uncertainty. Governments have put in place bailouts to prevent the economy from collapsing xff0c; an epic expansion of xff0c on the balance sheet of the global central bank, represented by the Federal Reserve; and the world is about to usher in a post-epidemiological period of high inflation.
自2020年3月31日以来，Grayscale Bitcoin Trust增持超7万个比特币，累计持仓量超38.6万个比特币，约占比特币流通量的2.1%；Grayscale Bitcoin Trust二级市场价格较一级市场价格长期保持的5%-30%的溢价率。这说明场外资金具有较强的配置需求。在全球大通胀和经济衰退的背景下，比特币作为数字黄金将逐步显现避险和保值特点。
Since 31 March 2020 & #xff0c; Grayscale Bitcoin Trust, with an increase of over 70,000 bitcoins & #xff0c; accumulated warehouse holdings of over 386,000 bitcoins & #xff0c; about 2.1% of Bitcoin circulation & #xff1b; Grayscale Bitcoin Trust secondary market prices, with a 5-30% premium on first-tier market prices for a long period of time. This suggests a stronger demand for off-site funding. xff0c; Bitcoins as digital gold will gradually emerge as a hedge and value-save feature in the context of global inflation and recession.
量化交易是指通过数据分析挖掘市场运行规律，运用数学模型评估投资概率，进而替代主观判断的一种投资方法。量化交易具有模型严谨、交易延迟低、7*24小时交易、风险规避能力强等优势。量化交易在具有流动性分散、合约类型多样、散户投资人多等特征的数字资产交易市场能够持续赚取Alpha收益。随着数字资产行业的增长，数字资产量化资管行业将会蓬勃发展。
Quantitative transactions are those that exploit market operating patterns through data analysis & #xff0c; use mathematical models to assess investment probabilities & #xff0c; and thus substitute for subjective judgements as an investment method. Quantitative transactions have the advantages of modelling, low transaction delays, 7* 24-hour transactions, and high risk aversion. Quantified transactions can continue to generate Alpha gains in digital asset trading markets characterized by dispersed liquidity, diverse contract types, and multi-household investors. As the digital asset industry grows & #xff0c; and the digital asset quantification capital industry will flourish.
由于数字资产量化产品信息不透明，投资人对量化产品业绩的不信任一直是制约数字资产量化资管行业发展壮大的重要因素。TokenInsight打造了首家公开、透明、实时展示量化产品业绩的“量化展示平台”，并邀请了众多优秀的量化团队加入“量化透明联盟”，极大增强了行业透明度。随着平台的不断完善和联盟的不断壮大，将有更多优秀的量化团队被市场发现，更多的投资人可以找到合适的投资标的。
TokenInsight has built the first “quantitative exhibition platform” & #xff0c to show quantitative product performance in an open, transparent and real-time manner; invited a large number of excellent teams to join the “Quantitative Transparency Alliance” & #xff0c; greatly enhanced industry transparency. As the platform continues to improve and the alliance grows xff0c; more teams of good quantitative players will be found in the market xff0c; and more investors will find suitable investment targets.
要点总结
Summary of key points
1、全球疫情持续升温。全球疫情迎来二次爆发，美国、印度和巴西等国单日新增确诊病例屡创新高，全球疫情形势愈发严重。新冠疫情将对人类的生活产生深刻影响，人类必须做好和新冠疫情长期共存的准备。
1 and the global epidemic continues to warm up. Global Epidemics are on the verge of a second outbreak xff0c; Newly Identified Identified Cases in the US, India, and Brazil are on the rise xff0c; The global epidemic is getting worse. The new one will have a profound impact on human life xff0c; humans must be prepared to coexist with the new one in the long term.
2、各大资本市场踏入“结构性牛市”。在宽货币的背景下，全球各大资本市场无视疫情反复、经济基本面下滑等因素轮番踏入“结构性牛市”。
3、比特币作为数字黄金的特征将逐步显现。以美国为例，2008年次贷危机后，美联储开启量化宽松政策，美股走出十年长牛。法币大量增发的同时，普通人的钱包却缩水了，穷者愈穷富者愈富，美国社会贫富差距不断扩大，社会矛盾加剧。在“后疫情大通胀”时代，比特币作为一种稀缺的非主权资产，将从高波动的另类资产演化为“数字黄金”。
3, Bitcoin as digital gold, will gradually emerge. takes the example of the United States & #xff0c; xff0c after the 2008 subprime loan crisis; the Fed has initiated a quantitative easing policy & #xff0c; the United States shares are out of a ten-year long cow. xff0c while the French coin is growing in large numbers; the wallet of ordinary people is shrinking xff0c; the poor and the rich are getting richer #xff0c; the rich and poor in the United States are getting richer xff0c; the social conflict is getting worse. xff0c in the era of “post-epide inflation”; Bitcoin as a scarce non-sovereign asset #xff0c; it evolves from another asset with high volatility to “digit gold”.
4、套利类和趋势类量化策略优势互补。在本月窄幅震荡的行情中，套利类策略仍取得了稳健收益，但收益率有所下降；趋势/复合类策略多次反转仓位，持续磨损。套利类策略波动小、收益稳健，趋势/复合类策略波动大、收益高，在投资组合中合理配置套利类和趋势/复合类策略能有效降低回撤，提高收益率。
4, arbitrage and trend class quantitative strategies have complementary advantages. , in the context of this month's narrow shock, xff0c; xff0c; but the rate of return has declined xff1b; trend/complex strategies have reversed positions xff0c; continuous wear and tear. arbitrage strategies have been weak and robust xff0c; trend/complex strategies have been highly volatile, high returns xff0c; and strategies have been able to efficiently reduce withdrawals xff0c; and increase the rate of return.
5、高频类策略出现两极分化，强者恒强。优秀高频团队在IT基础设施、手续费、模型等方面大幅领先普通高频团队，出现强者恒强的局面。中小量化团队可以通过第三方资管机构获取更优惠的交易费率，提高策略的竞争力。
6、数字资产量化行业进入下半场。随着更多专业的量化基金进入数字资产资管行业，竞争愈发激烈，量化基金的高收益时代已经过去。未来合规的、稳健的、服务体系完备的资管机构将会受到投资者的青睐。
6; Digital Asset Quantification is in the second half. enters the digital asset management sector with more professional quantitative funds xff0c; competition is becoming more intense xff0c; the high-yielding era of quantification funds is over. Future compliant, robust, well-serviced regulators will be favoured by investors.
7、“可信量化”将成为市场投资主流。过去三年，投资者和量化基金的合作主要靠个人信用维持，在极端情况下，投资者合法权益得不到保障，资产出现巨大损失。数字资产资管行业的规模扩大必须解决投资者和量化团队间的不信任，Blofin将提供风险监控、审计、清结算/托管等服务，保障投资者和量化团队的权利。
第一章宏观经济与市场行情
Chapter I Macroeconomic and market developments
第一节? 宏观经济与大类资产表现
Section I: Macroeconomics and broad asset performance
2020年新冠疫情全球大流行，全球经济停滞，陷入巨大的衰退预期。近期，IMF公布对全球各经济体GDP增速的预测：在全球主要经济体中，仅中国2020年GDP增速预测值为正值；由于美国、欧洲等发达国家管控疫情不力，经济重启困难，陷入高失业率到消费疲软的恶性循环，发达经济体2020年GDP增速预测值为-8%，法国、意大利和西班牙等国家甚至超过-12%。
The 2020 new crown epidemic global pandemic xff0c; global economic stagnation xff0c; falling into huge recession expectations. Recent xff0c; IMF publication of forecasts of GDP growth in global economies xff1a; xff0c in major global economies alone; xff1b in China 2020 alone; xff0c due to poor control of the epidemic in developed countries such as the United States and Europe; xff0c in economic revival difficulties xff0c; xff0c in the vicious cycle of high unemployment to weak consumption xff0c; 8%xff0c in developed economies; and even above -12% in France, Italy and Spain.
本月，美国、印度和巴西等国家迎来疫情二次反扑，单日新增确诊病例屡创新高，全球疫情形势愈发严重。在大放水的背景下，全球各大资本市场无视疫情反复、经济基本面等因素，轮番开启上涨，踏入后疫情大通胀时代的“结构性牛市”。比特币作为高波动的另类资产，自然不会缺席这场通胀盛宴，比特币将逐步展现稀缺、保值、非主权的特点。
This month & #xff0c; #xff0c; #xff0c; new and innovative cases of new diagnosiss on a single day & #xff0c; the global epidemic is getting worse. In the context of the flood, ， global capital markets ignore factors such as repeated epidemics, economic fundamentals & #xff0c; boom #xff0c; #xff0c; enter into the “structary cow” of the post-inflationary era. Bitcoin as a volatile alternative asset & #xff0c; naturally will not be absent from the inflation feast #xff0c; Bitco will gradually exhibit the characteristics of scarcity, preservation and non-sovereignty.
图表 1-1 全球主要经济体GDP预测，来源：IMF，TokenInsight
Figure 1-1 GDP projections for major global economies & #xff0c; source & #xff1a; IMF & #xff0c; TokenInsight
图表 1-2 ?2020年大类资产行情对比，来源：choice、TokenInsight（数据经过归一化处理）
Chart 1-2? Comparison of broad asset profiles by 2020 xff0c; source xff1a; choice, TokenInsight（ data processed by xff09;
由图表 1-2 可以看出，截至6月30日，比特币与黄金是表现最好、年内收益率最高的两类资产。与其他大类资产相比，BTC的波动率更高，在大多数的时间内价格走势相对独立。但3月份以来的行情也表明，全球经济系统性风险将对比特币价格造成巨大影响，比特币仍然是一个被美元定价的资产，无法完全独立于全球金融市场。
Charts 1-2 show xff0c; as of 30 June xff0c; Bitcoin and gold are the two types of asset that perform best and have the highest annual rate of return. xff0c; BTC has a higher volatility rate xff0c; prices are relatively independent for most of the time. But developments since March have also shown xff0c; global economic systemic risks will have a significant impact on the price of the currency xff0c; Bitcoin is still an asset priced by the dollar xff0c; cannot be completely independent from global financial markets.
图表 1-3 2020年比特币价格与各大类资产相关性对比（6月1日至6月30日），来源：wind、TokenInsight（数据经过归一化处理）
Figure 1-3 Comparison of Bitcoin prices in 2020 with relation to the broad categories of assets xff08; 1 June to 30 June xff09; xff0c; Source xff1a; Wind, TokenInsight（ data has been normalized xff09;
同时，由图表 1-3 也可以看出，在各大类资产中，比特币与股票、房地产、原油、黄金等其他资产的相关度较低。因此，在大类资产配置时加入一定比例的比特币，可以较为显著的降低整体组合的波动率，分散投资组合的风险。
At the same time xff0c; as can also be seen in chart 1-3; xff0c; xff0c for each asset group; bitcoin is less relevant to other assets such as equities, real estate, crude oil, gold, etc. So xff0c; a percentage of bitcoinxff0c is added to the asset allocation for the larger group; the volatility of the overall portfolio can be significantly reduced xff0c; and the risk of dispersing the portfolio.
第二节? 数字资产市场行情
Section II. Digital asset market developments
(一) 全网爆仓金额
(i) Internet-wide explosion amount
图表 1-4 全网每日爆仓金额，来源：币coin、TokenInsight
Figure 1-4 Net-wide daily explosion amounts xff0c; source xff1a; currencycoin, TokenInsight
每日全市场爆仓金额和全市场杠杆水平以及涨跌幅度相关。多空博弈激烈的情形下，全市场杠杆水平增加、涨跌幅度变大，从而导致每日爆仓金额增加。
The amount of daily market busts is associated with market-wide leverage levels and increases and falls. When multispace games are intense, xff0c; market-wide leverage increases and falls xff0c; this leads to an increase in daily blasts.
6月2日，数字货币市场出现大幅波动，多空在比特币10000美金心理关口博弈激烈，全市场爆仓金额接近8亿美金。爆仓主要集中在Bitmex、Binance、OKEX、Huobi和Bybit五个交易所。6月28日，数字货币市场短时下跌，每日爆仓金额出现阶段性高点，达3.2亿美金；随后市场又回到震荡行情，下跌趋势没有持续。
2 June xff0c; significant fluctuations in the digital currency market xff0c; intense xff0c with 10,000 dollars in bitcoin psychological games xff0c; close to $800 million in market busts. The blasts were concentrated on five exchanges: Bitmex, Binance, OKEX, Huobi and Bybit. xff0c June 28; short-time fall in the digital currency market xff0c; a staged high of daily blasts xff0c; up to $320 million xff1b; the subsequent return of the market to tremors xff0c; and no continuation of the downward trend.
总体而言，和历史行情相比，本月市场活跃度低，赚钱效应不明显。
Overall xff0c; compared to historical trends xff0c; low market activity xff0c in the current month; no significant earning effect.
(二) 合约基差
图表 1-5 主流数字资产季度合约(OKEX)基差与现货比值，来源：币coin、TokenInsight
Figure 1-5 Quarterly contract for mainstream digital assets (OKEX) base difference to spot value xff0c; source xff1a; currency coin, TokenInsight
如图1-5所示，BTC、ETH、BCH等五个主流数字资产的季度合约(OKEX)基差与现货比值呈现高度一致性，这从侧面说明了数字资产之间的强相关性。本月中，各主流资产季度合约溢价率大部分时间处于0%-1%区间，2019年3月-7月的牛市中溢价率则处于5%-8%区间。这说明数字资产市场仍处于震荡行情，看涨情绪不浓烈。
xff0c, as shown in figure 1-5; the quarterly contract for the five mainstream digital assets BTC, ETH, BCH, etc. (OKEX) has a high degree of consistency between the base and spot ratios xff0c; this illustrates the strong correlation between the digital assets on the side. xff0c, the quarterly contract premium rate for each major asset for most of the month is between 0% and 1% xff0c; the premium for the cattle market in March-July 2019 is between 5% and 8%. This indicates that the digital asset market is still shaking xff0c; there is no strong mood.
6月2日上午七点，数字货币市场出现大幅拉升，比特币突破10000美元心理关口，季度合约基差迅速扩大至1.5%。6月2日晚十点，比特币率先砸盘，短时下跌超10%，季度合约基差变化剧烈，大多套利策略收获了可观的利润。
On June 2, at 7 a.m. & #xff0c; a significant boost in the digital currency market & #xff0c; Bitcoin breaking the $10,000 psychological threshold & #xff0c; the quarterly contract base spread rapidly to 1.5%. On June 2, at 10 p.m. #xff0c; Bitcoin taking the lead in smashing the disk & #xff0c; short-term drop of over 10% xff0c; quarterly contract base changes dramatically xff0c; and most arbitrage strategies yield significant profits.
6月28日，数字货币市场整体出现下跌。其中BSV现货短时出现超过15%的跌幅，季度合约基差发生剧烈变化；其他数字资产季度合约基差变化幅度较小，没有明显的套利空间。多币种的套利类策略能捕捉更多套利机会，整体收益率更高。
28 June xff0c; there was an overall decline in the digital currency market. Of these, BSV experienced a decline of more than 15% in short supply xff0c; the quarterly contract base changed dramatically xff1b; the quarterly contract base changed less significantly xff0c for other digital assets; there was no obvious arbitrage. Multi-currency arbitrage strategies capture more arbitrage opportunities xff0c; and the overall rate of return was higher.
总体而言，本月行情较为平淡，套利策略套利机会不多，趋势/复合类策略持续磨损。
Overall & #xff0c; less stable this month & #xff0c; few arbitrage opportunities & #xff0c; trend/complex type of strategies continue to wear down.
(三) USDT场外价格与美元汇率对比
(iii) USDT off-site prices in relation to the United States dollar exchange rate
图表 1-6 USDT场外价格与美元汇率对比，来源：wind、币coin、TokenInsight
Figure 1-6 USDT off-site prices relative to the United States dollar xff0c; source xff1a;wind, coin, TokenInsight
理论上而言，每发行1USDT，就有1USD或等值的资产为抵押，因而USDT对美元的汇率应该恒等于1。但由于USDT与美元兑换通道的便捷性、相关法律法规的限制，以及供需关系不平衡等问题，USDT对美元在长时间内总是会出现溢价或者折价。折溢价在很大程度上可以反映出数字资产交易市场内资金的流入和流出情况，是一个评价场内外资金看涨或看跌的关键指标。
In theory, xff0c; for every USDT， issued; for an asset with a USD or its equivalent as collateral xff0c; and therefore USDT’s exchange rate against the US dollar should be constant equal to 1. Due to the ease with which the USDT is channeled to the US dollar, the limitations of the relevant laws and regulations xff0c; and the imbalance between supply and demand xff0c; USDT’s premium on the US dollar will always be higher or worse over a long period of time.
在“312”暴跌以来几个月内，USDT长时间处于正溢价，溢价率也长期处于1%左右，表明场外资金在持续进场，这也带动了BTC等数字资产持续2个月的修复行情，并促使BTC一度回到1万美元以上。
In the months since the collapse of “312” & #xff0c; USDT for a long period of time at a positive premium & #xff0c; premium also for a long period of about 1 per cent & #xff0c; indicating that off-site funds continue to arrive & #xff0c; this has also stimulated the recovery of digital assets such as BTC for a period of two months & #xff0c; and has prompted BTC to return at one time to more than $10,000.
本月，A股大幅上涨，纳斯达克指数也持续创下历史新高，导致场内资金持续流出，USDT对美元一直保持-0.5%到-1%的负溢价。不可否认的是，数字资产行业仍是一个资金驱动的行业，场内资金的流出导致流动性萎缩，市场行情较为平淡。
This month xff0c; the large increase in the A share xff0c; the NASDAQ index has also continued to rise to an all-time high xff0c; it has led to the continued outflow of funds from the field xff0c; USDT has maintained a negative premium of -0.5% to -1% on the dollar. Undeniably, xff0c; the digital asset industry remains a capital-driven industry xff0c; outflows of funds from the field have led to shrinking liquidity xff0c; and markets are less stable.
第二章? 量化产品表现
Chapter II: Quantification of product performance
第一节 量化策略平均表现
Section I. Quantified strategy average performance
Blofin拥有全球范围内上百家数字资产量化基金真实的历史业绩数据，真实透明的历史业绩消除了投资者对量化团队的不信任，消除信息不对称，在源头上保护投资者。Blofin将数字资产量化产品按计价本位（BTC本位、USD/USDT本位）和策略类型（趋势/复合、套利、高频策略）分为六个策略组，并构建BTC本位、USD/USDT本位的TI指数。在2020年6月窄幅震荡行情中，套利类策略表现稳健，但收益率降低；趋势类策略持续磨损；高频类策略出现分化，涨跌不一。各类策略相关性较低，FOF组合通过配置多个策略能够有效降低风险。
Blofin has hundreds of digital asset quantification funds worldwide with real historical performance data xff0c; true and transparent historical performance removes investor distrust of quantification teams xff0c; removes information asymmetry xff0c; protects investors at source. Blofin uses digital asset quantification products as denominated xff08; BTC home position, USD/USDT at #xff09; and strategy type xff08; trends/complexity, arbitrage, high frequency strategy xff09; trends xff0c; construction of the BTC home-level, USD/USDDT home-level TI index. In June 2020, in a narrow shock scenario xff0c; xffff0c; fffffb; fffffffb; fffffffffffffb; ; fffffffffffffffft; ; ffffffffffffffffffffffffffffffffffffffffffffffffffffffffffffffff...................
(一) BTC本位策略表现?
(i) BTC's strategy performance?
图表 2-1 BTC本位套利策略表现（规模加权）与TI指数（BTC本位）的比较，来源：TokenInsight
Figure 2-1 BTC local arbitrage strategy performance xff08; size weighted xff09; comparison with TI index xff08; BTC local xff09; xff0c; source xff1a; TokenInsight
主流数字资产在6月处于窄幅震荡行情，市场活跃度低，交易量持续萎缩；市场缺乏热点，无赚钱效应，难以吸引增量资金。其他主流数字资产相对比特币呈单边小幅下跌趋势，TI指数（BTC本位）本月累计下跌0.74%。本月BTC本位套利策略表现稳健，但成交机会减少，收益率降低。
Mainstream digital assets are in a narrow shock xff0c in June; market activity is low xff0c; trade volumes are continuing to shrink xff1b; markets lack hot spots xff0c; no earning effects xff0c; it is difficult to attract incremental capital. Other mainstream digital assets show a slight unilateral downward trend relative to bitcoins xff0c; xff08; BTC’s location xff09; cumulative decline of 0.74% this month. BTC’s primary arbitrage strategy this month is robust xff0c; but transaction opportunities are reduced xff0c; and returns are lower.
图表 2-2 BTC本位趋势/复合策略表现（规模加权）与TI指数（BTC本位）的比较，来源：TokenInsight
Figure 2-2 BTC local trend/complex strategy performance xff08; size weighted xff09; comparison with TI index xff08; BTC local xff09; xff0c; source xff1a; TokenInsight
趋势/复合策略在本月震荡行情中频繁反转仓位，持续磨损。趋势/复合策略指数本月累计亏损9.9%，最大回撤达10.5%，大幅跑输TI指数（BTC本位）。在全球经济下滑和货币增发的背景下，我们预计BTC将重回高波动的上涨通道。因此，在投资组合中配置一定比例的趋势/复合策略，能有效提高组合收益率。
Trends/complex strategies are often reversed during this month’s shock & #xff0c; continuous wear and tear. Trends/complex strategy index accumulated losses of 9.9% & #xff0c during the month; maximum retreats of 10.5% & #xff0c; large run-off of the TI index & #xff08; BTC home position & #xff09; in the context of global economic downturns and currency increases & #xff0c; BTC is expected to return to a high-volatile growth path. & xff0c; configuration of a percentage trend/complex strategy in the portfolio #xff0c; effective increase in portfolio yields.
图表 2-3 BTC本位高频策略表现（规模加权）与TI指数（BTC本位）的比较，来源：TokenInsight
Figure 2-3 BTC local HF strategy performance xff08; size weighted xff09; comparison with TI index xff08; BTC local xff09; xff0c; source xff1a; TokenInsight
本月BTC高频策略指数呈单边下跌趋势，本月累计亏损0.6%，最大回撤达1.5%，小幅跑赢TI指数（BTC本位）。高频策略组出现两极分化，出现强者恒强的局面。投资者应正确认识利润和风险，对投资组合进行合理配置。
This month, the BTC HF strategy index showed a unilateral downward trend xff0c; a cumulative loss of 0.6% xff0c this month; a maximum retreat of 1.5% xff0c; a small win-win xff08; a BTC local xff09; a bipolar split in the HF strategy group xff0c; a strong and persistent situation. Investors should properly understand profits and risks xff0c; and a rational configuration of the portfolio.
(二) USDT本位策略指数
(ii) USDT local strategy index
图表 2-4 USDT本位套利策略表现（规模加权）与TI指数（USDT本位）比较，来源：TokenInsight
Figure 2-4 USDT local arbitrage strategy performance xff08; size weighted xff09; with TI index xff08; USDT local xff09; comparison xff0c; source xff1a; TokenInsight
本月TI指数（USDT本位）呈单边震荡下跌趋势，累计跌幅达4.7%。6月2日出现“画门行情”，市场出现短暂套利机会，套利策略指数两日内累计实现2.2%的涨幅，占六月总收益的66.5%。
This month's TI index & #xff08; USDT local & #xff09; unilateral shock downward trend & #xff0c; cumulative decline of 4.7 per cent & #xff0c on 2 June; market short arbitrage opportunities & #xff0c; arbitrage strategy index cumulatively achieving a 2.2 per cent increase xff0c in two days; and 66.5 per cent of total returns in June.
图表 2-5 USDT本位趋势/复合策略表现（规模加权）与TI指数（BTC本位）的比较，来源：TokenInsight
Figure 2-5 USDT local trend/complex strategy performance xff08; size weighted xff09; comparison with TI index xff08; BTC local xff09; xff0c; source xff1a; TokenInsight
6月2日北京时间早7点，比特币出现6%左右的大幅上涨，突破10000美金阻力位，技术面上出现强烈看涨信号。趋势/复合策略普遍大幅加仓，所以在6月2日晚间的下跌行情中损失惨重。仓位管理是趋势/复合策略的核心，仓位管理不善会造成大幅亏损。
On June 2, Beijing morning, at 7 a.m. #xff0c; about 6 per cent of the sharp rise in Bitcoin & #xff0c; over $10,000 resistance & #xff0c; and a strong sign of upwards on the technical side. Trends/complex strategies have generally increased substantially & #xff0c; hence losses in the fall of the night of June 2. Stewardship management is at the heart of the trend/complex strategy & #xff0c; mismanagement of the position causes significant losses.
图表 2-6 USDT本位高频策略表现（规模加权）与TI指数（USDT本位）的比较，来源：TokenInsight
Figure 2-6 USDT local HF strategy performance xff08; size weighted xff09; comparison with TI index xff08; USDT local xff09; xff0c; source xff1a; TokenInsight
本月USDT本位高频策略指数呈单边下跌趋势，本月累计亏损2.1%，最大回撤达10.5%。USDT本位高频策略同样面临两极分化，强者恒强的问题。
The USDT local HF strategy index shows a unilateral downward trend this month xff0c; a cumulative loss of 2.1% xff0c; and a maximum retreat of 10.5% this month. The USDT local HF strategy also faces bipolar xff0c; and persistent problems of the strong.
(三) 策略指数表现汇总
(iii) Summary of performance of strategic indicators
图表 2-7 6月不同策略平均表现与基准指数的比较，来源：TokenInsight
Figure 2-7 Comparison of average performance of different strategies with benchmark indicators in June xff0c; source xff1a; TokenInsight
本月TI指数（BTC本位）和TI指数（USDT本位）均呈单边震荡下跌趋势，市场赚钱效应弱。趋势/复合策略和高频策略持续磨损，只有套利策略保持正收益、跑赢TI指数。对于投资者而言，对各策略的相关性进行研究分析，合理配置多个策略能有效控制投资组合风险，实现资产稳定增值。
This month the TI index & #xff08; BTC local & #xff09; and TI index & #xff08; USDT local & #xff09; both unilateral shock downward trends & #xff0c; market earning effects are weak. Trends/complex strategies and high-frequency strategies continue to wear down & #xff0c; only arbitrage strategies maintain positive returns and win-win TI indices. For investors & #xff0c; research analysis of the relevance of strategies & #xff0c; rational configuration of multiple strategies to effectively control portfolio risk #xff0c; and achieving asset stabilization value added.
第二节? 基础设施类
Section II. Infrastructure categories
通过计算策略间的相关性矩阵，可以对策略间的相关性做出直观的判断。一般而言，相关系数大于0.8即说明策略间强相关；相关系数小于0.3即说明策略间弱相关；相关系数小于0.1即说明策略间不相关或相关性极低。
An intuitive judgement of inter-strategy relevance can be made by calculating the inter-strategy correlation matrix xff0c. In general, xff0c; the correlation factor is greater than 0.8, that is, the strong inter-strategy relationship xff1b; the correlation factor is less than 0.3, that is, the weak inter-strategy relationship xff1b; and the correlation factor is less than 0.1, that is, the non-relationship or very low relevance of the strategy.
图表 2-8 BTC本位策略组产品的相关性矩阵，来源：TokenInsight
Correlation matrix of BTC local strategy group products & #xff0c; source & #xff1a; TokenInsight
表2-8展示了BTC本位的套利策略指数、趋势/复合策略指数、高频策略指数和TI指数的相关矩阵。可以看出，套利策略指数和TI指数间相关性极低，说明套利策略受行情影响小；在本月的窄幅震荡行情中，套利策略指数和趋势/复合策略指数、高频策略指数呈负相关性，说明在投资组合中配置套利策略有助于平滑收益率曲线，降低组合的回撤。
Tables 2-8 show the relevant matrices of BTC-based arbitrage strategy indices, trend/complex strategy indices, high frequency strategy indices and TTI indices. It can be seen that & #xff0c; very low correlations between arbitrage strategy indices and TTI indices & #xff0c; a description of arbitrage strategies with low mobility & #xff1b; xff0c in the current month's narrow concussions; negative relevance of arbitrage strategy indices and trends/complex strategy indices, high frequency strategy indices & #xff0c; an indication that the placement of arbitrage strategies in the portfolio helps smooth yield curves #xff0c; and a reduction in the withdrawal of the portfolio.
图表 2-9 USDT本位策略组产品的相关性矩阵，来源：TokenInsight
Diagrams 2-9 USDT-based strategy group products relevance matrixxff0c; sourcexff1a; TokenInsight
表2-9展示了USDT本位的套利策略指数、趋势/复合策略指数、高频策略指数、TI指数和BTC/USDT交易对的相关矩阵。可以看出，TI指数与BTC/USDT交易对的相关系数达到0.99，说明山寨币和比特币同涨同跌、相关性极强。
Tables 2-9 show the arbitrage strategy index, trend/complex strategy index, high frequency strategy index, TI index, and BTC/USDT trade pairs. The & #xff0c; the relative coefficient of the TI index to BTC/USDT trade is 0.99 & #xff0c; it shows that the Shanco and Bitcoin have the same ups and downs and are highly relevant.
USDT本位的套利策略和BTC本位的套利策略表现一致，受行情影响小，和趋势/复合策略、高频策略间呈负相关性。对投资者而言，合理配置套利策略和趋势/复合策略，或套利策略和高频策略，或套利策略和被动型购买指数策略的投资组合可以提高投资组合的适应性。
The USDT-based arbitrage strategy is consistent with the BTC-based arbitrage strategy & #xff0c; little #xff0c; and negative correlation between trend/complex strategy and high frequency strategy. For investors & #xff0c; rational configuration of arbitrage and trend/complex strategy #xff0c; or arbitrage strategy and high frequency strategy & #xff0c; or a portfolio of arbitrage strategy and passive purchasing index strategies can improve the adaptiveness of the portfolio.
第三节? 量化产品业绩表现
Section III: Quantification of product performance
(一) 夏普比率分布
图表 2-10 BTC本位产品夏普比率及策略分布，来源：TokenInsight
Chart 2-10 BTC local product Sharp ratio and strategy distribution xff0c; source xff1a; TokenInsight
图表 2-11 USDT本位产品夏普比率及策略分布，来源：TokenInsight
Chart 2-11 Sharp Ratios and Strategy Distribution for USDT Local Products
从策略容量上看，趋势/复合策略 > 套利策略 > 高频策略；从产品数量上看，较多的量化团队偏爱高收益的趋势/复合策略，高频策略由于技术难度较大，数量较少。
xff0c; Trends/complex strategy & gt; arbitrage & gt; HF strategy & #xff1b; xff0c in terms of number of products; higher number of quantitative teams favour high yield trends/complex strategy xff0c; HF strategy due to technical difficulties xff0c; smaller number.
两种本位的套利类产品的夏普比率分布集中在[2,8)区间内，整体表现稳健；趋势/复合类产品夏普比率分布集中在[-6,0)区间内；高频类产品出现两极分化，其夏普率分布集中在[-6,-2)和[0,4)两个区间，产品间差异明显，出现强者恒强的局面。
The Shapp ratio distribution for the two local arbitrage groups is concentrated within [2,8); the overall performance is robust & #xff1b; the trend/complex product & #xff1b is concentrated within the [-6,0] zone; the high frequency group product is polarized xff0c; its Shape distribution is concentrated between [-6,-2) and [0,4); the product variation is significant xff0c; and there is a strong and strong situation.
(二) 最大回撤分布
(ii) Maximum evacuation distribution
图表 2-12 BTC本位产品最大回撤分布，来源：TokenInsight
Figure 2-12 Maximum recovery distribution for BTC-based products xff0c; source xff1a; TokenInsight
图表 2-13 USDT本位产品最大回撤分布，来源：TokenInsight
Figure 2-13 Maximum retreat distribution for USDT-based products xff0c; source xff1a; TokenInsight
图2-12和图2-13分别展示了BTC本位产品最大回撤分布和USDT本位产品最大回撤分布。可以发现，市场中性的套利类产品在震荡行情中表现平稳，最大回撤均小于2%；趋势/复合类产品和高频类产品的最大回撤分布较为分散，说明各产品的杠杆率、模型、换手率具有一定的差异。
Figures 2-12 and 2-13 show, respectively, the largest recovery distribution of BTC and the largest recovery distribution of USDT. & #xff0c can be found; market-neutral arbitrage products perform smoothly in concussion behaviour & #xff0c; maximum withdrawals are less than 2% & #xff1b; trend/complex and high frequency products have a more dispersed recovery distribution xff0c; and there are some differences in leverage, models, and hand exchange rates across products.
第三章? 行情展望
Chapter three?
第一节?2020数字资产行情展望
Section I? 2020 Digital asset scenario
图表 3-1 全球大类资产收益率表现对比（2020年数据截至2020年6月30日），来源：Wind，TokenInsight
Figure 3-1 Comparison of global asset rate of return performance & #xff08; 2020 data as at 30 June 2020 & #xff09; & #xff0c; source & #xff1a; Wind， TokenInsight
由图表3-1可以看出，2016年至今，比特币的表现优于股票类资产、大宗商品类资产以及不动产，是全球范围内收益率最高的资产。随着比特币的投资价值在全球范围内被广泛认可，高收益、高波动的数字资产逐渐走入主流视野，越来越多的机构及个人投资者开始配置以比特币为代表的数字资产。
Figure 3-1 shows xff0c; from 2016 to date xff0c; bitcoin outperforms stock-type assets, bulk commodity-type assets, and real estate xff0c; it is the asset with the highest rate of return worldwide. With Bitcoin’s investment value widely recognized worldwide xff0c; high-yield, volatile digital assets moving into mainstream view xff0c; and an increasing number of institutions and individual investors are beginning to configure digital assets represented by bitcoin.
受新冠疫情影响，全球经济停滞、失业率高企，以美联储为代表的各国央行大量增发货币以应对经济下行的压力。在后疫情大通胀时代，普通人面临财富缩水的预期，导致全球各大资本市场脱离基本面，不约而同的踏入“结构性牛市”。
xff0c affected by the new crown epidemic; global economic stagnation and high unemployment rates xff0c; and central banks, represented by the Federal Reserve, have significantly increased their currencies in response to downward pressures. During the post-epidemiological period of inflation xff0c; ordinary people face expectations of shrinking wealth xff0c; leading major global capital markets away from their fundamentals xff0c; and undesired entry into the “structed cattle market”.
截止6月30日，比特币总市值约1700亿美元，黄金总市值超11万亿美元；比特币第三次减半后，比特币的年度发行率降至1.8%，与黄金持平，比特币已成为通胀率最低的资产之一。比特币将从高波动的另类资产逐渐演变为保值、抗通胀的“数字黄金”。
As of 30 June xff0c; the total market value of Bitcoin is about $170 billion xff0c; the total market value of gold is over $11 trillion xff1b; after the third halving of Bitcoin xff0c; the annual distribution rate of Bitcoin has fallen to 1.8% xff0c; the same value as gold xff0c; and Bitcoin has become one of the lowest-inflation assets. Bitcoin has evolved from a highly volatile alternative asset to a “digit gold” against inflation.
第二节? 数字资产量化发展趋势
Section II. Trends in the quantitative development of digital assets
数字资产行业经过十一年的发展，从小众市场逐步走入大众视野，截至2020年6月30日，行业总市值超2600亿美元。以比特币、以太坊为代表的数字资产已经成为机构投资者和高净值个人投资者优先配置的另类资产。
After 11 years of development in the digital asset sector xff0c; moving from small markets to public view xff0c; xff0c as of 30 June 2020; the total market value of the industry exceeded $260 billion. Digital assets, represented by Bitcoin, have become alternative assets prioritized by institutional investors and high net worth individual investors.
数字资产量化交易行业经过三年的高速成长期，我们估算，当前全球数字资产量化团队的数量在500家左右，总规模仅在十亿美元的量级，对整个数字资产市场的影响比较有限。可以预见，在未来的数字资产市场里，数字资产量化基金将会成为时代的新宠，基金数量和规模都会快速提升，一批优秀的数字资产资管机构将会崛起。
The digital asset Quantification Trading Industry, after three years of high speed xff0c; we estimate xff0c; the current number of global digital asset quantification teams is around 500 xff0c; the total size of only $1 billion xff0c; the impact on the entire digital asset market is relatively limited. xff0c; xff0c in future digital asset markets; xff0c; xff0c; the digital asset quantification fund will become the new pet of the times; the number and size of funds will increase rapidly xff0c; and a number of excellent digital asset regulators will rise.
我们认为在未来很长一段时间内，数字资产量化交易行业还会呈现以下几个趋势：
We believe that for a long time to come xff0c; the digital asset quantification industry will show the following trends xff1a;
1、透明、合规的数字资产量化基金将成为主流。随着各国监管政策日趋明朗，不透明、不合规的量化基金会面临法律诉讼和税收问题，难以取得投资人信任。
The Digital Assets Quantified Fund for Transparency and Compliance will be mainstreamed. As national regulatory policies become clearer & #xff0c; non-transparent and non-compliant quantitative foundations face legal litigation and tax problems & #xff0c; and it is difficult to gain investor trust.
2、数字资产资管行业集中度将不断提高，赢者通吃。随着市场竞争加剧，量化交易的收益率降低，中小量化团队在各方面处于劣势，顶级量化团队将赚取市场上大部分利润，行业集中度不断提高。
2. The concentration of the digital asset management industry will continue to increase xff0c; the winner will eat all. As competition in the market increases xff0c; the return on quantitative transactions decreases xff0c; small and medium-sized teams are disadvantaged in various ways xff0c; top-level teams will earn most of the profits in the market xff0c; and industry concentration is increasing.
3、市场主流投资者的风险偏好从进取型转向稳健型。自2017年以来，数字资产行业经历了2年的高波动行情，各类策略都收获了极高的收益率。从2019年Q4开始，行业竞争加剧，市场环境发生变化，投资者的预期收益降低，更偏爱稳健型基金。
3. The risk preferences of mainstream market investors have shifted from an evolutionary to a robust one. Since 2017 & #xff0c; the digital asset industry has experienced two years of high volatility & #xff0c; strategies have all yielded very high returns. Starting in Q4 in 2019 xff0c; increased industrial competition & #xff0c; changing market environment xff0c; reduced expected returns for investors xff0c; and a more prudent fund.
4、将会涌现一批专业的数字资产资管机构。与数字资产量化相配套的托管、清结算、审计等服务的缺乏一直是制约数字资产量化发展的重要因素。随着专业服务机构的入场和服务标准的建立，数字资产量化资管的配套服务会越来越规范，也越来越被投资者重视。“虚假量化”将被快速淘汰出局，而“可信量化”将成为现实。
The lack of hosting, clearing, auditing, etc. services associated with the quantification of digital assets has been an important constraint on the quantitative development of digital assets. As professional services establish entry and service standards xff0c; support services for the quantification of digital assets are increasingly regulated xff0c; and are increasingly valued by investors. “Fake quantification” will be quickly phased out xff0c; and “credible quantification” will become a reality.
附录：行业大事记
Appendix & #xff1a; highlights of industry
1、6月1日，中共中央、国务院印发《海南自由贸易港建设总体方案》，方案提出，加强区块链技术在知识产权交易、存证等方面应用，探索适合自由贸易港发展的新模式；
1 June xff0c; General Program for the Construction of the Hainan Free Trade Port xff0c issued by the Central and State Councils of the Communist Party of China; proposal xff0c; enhancement of the application of block chain technology in intellectual property transactions, documentation etc. xff0c; exploration of new models suitable for the development of free trade ports xff1b;
2、6月3日，投资管理公司 VanEck 旗下子公司 MV Index Solutions （MVIS）与 数字资产指数提供商 CryptoCompare 达成合作，推出每小时「比特币基准价格指数」（代号：MVIBTC），该指数为希望在比特币上构建金融产品（例如衍生品和 ETP）的基金、资产管理者和交易所提供参考汇率，新利率汇总了 CryptoCompare 交易基准中排名前五交易场所的比特币价格，每小时跟踪一次；
2 June & #xff0c; Investment Management Company Van Eck subsidiary MV Industries & #xff08; MVIS） cooperation with digital asset index provider CryptoCompare & #xff0c; introduction of the "bit currency base price index" & #xff08; code #xff1a; MVIBTC #xff09; #xff0c; index to build financial products on Bitcoin xff08; e.g. derivatives and ETP #xff09; reference exchange rate xff0c for funds, asset managers and exchanges; new interest rates aggregate the price of the top five trading locations in the CrystalCompare base xff0c; follow-up of #xff1b per hour;
3、6月9日，DeFi代币总市值突破20亿美元，近两个月增长120%；
3 & 9 June & #xff0c; total market value of DeFi counter-currencys exceeded $2 billion & #xff0c; growth of 120% #xff1b in the last two months;
4、Bakkt 与金融服务和投资管理公司 Galaxy Digital 建立合作关系，双方将合作为机构投资者提供比特币交易和托管服务；
4. Bakkt entered into a partnership with the financial services and investment management company Galaxy Digital xff0c; the parties will cooperate in providing Bitcoin trading and hosting services to institutional investors xff1b;
5、6月16日，据泰国媒体 The Nation Thailand 报道，泰国财政部下属的公共债务管理办公室（PDMO）将通过区块链平台向公众发行储蓄债券。债券面值为 1 泰铢（约合 0.030 美元），将总计发行 2 亿泰铢（约合 650 万美元）。
5 & 16 June & #xff0c; according to Thai media The Nation Thai News & #xff0c; Public Debt Management Office & #xff08 under the Ministry of Finance of Thailand; PDMO & #xff09; savings bonds will be issued to the public through a block chain platform. Bond face value is 1 Thai baht & #xff08; approximately $0.030 & xff09; xff0c; will be issued for a total of 2 billion Thai baht xff08; approximately $6.5 million xff09;
6、6月26日，亿邦国际在美国纳斯达克正式上市，最终发行价为每股5.23美元，总发行规模约为1.075亿美元，成为继嘉楠之后的矿机第二股；
6 June xff0c; Billion States International was officially listed in NASDAQ, USA xff0c; the final distribution price was $5.23 xff0c per share; the total distribution was approximately $107.5 million xff0c; and the second share of the mine machine after becoming the successor to Carina xff1b;
7、6月26日，据 Cointelegraph 报道，SEC就Telegram项目向法院提交一份拟议的终审判决提案。SEC 要求纽约南区法院对与该案有关的多名被告处以罚款。根据该文件，Telegram 同意向投资者偿还 12 亿美元的不当得利（约占私募融资的 70% 左右），并将向 SEC 支付 1850 万美元的民事罚款。
& 26 June & #xff0c; According to Cointelegraph & #xff0c; SEC submission to the court of a proposed final decision on the Telegram project. SEC demanded that the South District Court of New York impose a fine on the multiple defendants involved in the case. According to this document & #xff0c; Telegram agreed to repay the investors $1.2 billion xff08; approximately 70% of the private fund-raising & xff09; xff0c; and will pay a civil fine of $1.85 million to SEC.
8、6月28日，纳斯达克（Nasdaq）宣布推出市场服务平台（ Marketplace Services Platform），旨在帮助公司搭建基于分布式账本技术（ DLT） 技术的金融工具，让客户更好地发行、交易和管理其数字资产和通证资产。
August, 28 June & #xff0c; Nasdak & #xff08; Nasdaq & #xff09; announcing the launch of a market service platform & #xff08; Marketplace Services Platform & #xff09; & #xff0c; designed to help companies build distributed book-based technology & #xff08; DLT #xff09; technology financial instruments & #xff0c; enabling customers to better issue, trade and manage their digital and translator assets.
END.
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本文基于本公司认为可靠的产品信息进行撰写。本公司不对该信息的准确性及完整性作出保证。在任何情形下，本文所载的观点、结论和建议仅供参考，并不构成投资建议。在不同时期，本公司可能发出与本文所载意见、评估及预测不一致的内容。Blofin将持续跟踪相关标的，定期或不定期根据跟踪情况决定是否调整相关观点，并及时对外公布。
This paper is based on what the company believes to be reliable product information. The company does not guarantee the accuracy and completeness of this information. In any case & #xff0c; the views, conclusions and recommendations contained herein are only referred to & #xff0c; do not constitute investment advice. At different times & #xff0c; the company may issue content that is inconsistent with the observations, assessments and projections contained herein.
本公司力求文章内容客观、公正，结论不受第三方的授意或影响。
The company seeks to be objective and impartial in the content of the article & #xff0c; the findings are not subject to the direction or influence of third parties.
参与投资活动可能引发价值变动及流动性等风险。投资者应当充分考虑自身特定状况、理解投资风险，不应视本文为做出投资决策的唯一因素。对依据或者使用本文所造成的直接或间接损失，本公司及作者均不承担任何法律责任。
Investors should take full account of their particular circumstances and understand investment risks & #xff0c; this should not be seen as the only factor in making investment decisions.
本文版权仅为本公司所有。未经书面许可，任何机构或个人不得以翻版、复制、引用或再次分发他人等形式侵犯本公司版权。
The copyright is only owned by the company. xff0c is not authorized in writing; no institution or individual can violate the copyright of the company by reprinting, copying, quoting or redistributing it.
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