PureGamma ResearchSeveral signals. One portfolio.
PG Composite Strategy brings higher-timeframe research, CTA and multi-factor signals, and machine learning into a shared portfolio framework. TWAP and VWAP connect portfolio decisions to execution across digital asset markets.
Explore the reported track record, the role of each layer, and the research behind the strategy. SMA and API partnerships begin with a review of the mandate, operating boundaries, and reporting methodology.
Performance
01 / THE TRACK RECORDReported daily net asset value, September 2022 to October 2026.
| Period | Return | Max. drawdown | Closing NAV |
|---|---|---|---|
| 2022Sep–Dec | +7.25% | -2.54% | 1.0725 |
| 2023Full year | +34.19% | -2.57% | 1.4391 |
| 2024Full year | +18.82% | -4.54% | 1.7100 |
| 2025Full year | +29.91% | -9.42% | 2.2215 |
| 2026YTD · Oct 09 | +24.95% | -3.76% | 2.7758 |
2022 starts September 1. 2026 is year-to-date through October 9. Annual returns use the previous year-end NAV where available; drawdowns use the running peak within each period, including its opening NAV.
Explore monthly returns
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | — | — | — | — | — | — | — | — | +1.51% | +2.06% | +1.72% | +1.78% |
| 2023 | +6.41% | +2.10% | +4.59% | +2.84% | +4.22% | -0.13% | -0.59% | +2.68% | +0.91% | +6.57% | +1.08% | -0.57% |
| 2024 | +1.91% | +2.02% | -3.79% | +4.62% | +1.37% | +0.73% | +6.22% | +5.87% | +1.77% | -1.04% | +1.95% | -3.71% |
| 2025 | +4.13% | +0.44% | -0.26% | +3.82% | +2.74% | -0.01% | +2.52% | +3.45% | +4.60% | +2.25% | +3.42% | -0.46% |
| 2026 | +1.78% | +4.01% | +2.16% | +2.76% | +4.73% | +2.40% | +0.54% | +1.99% | +2.94% | -0.67% | — | — |
Month-end NAV divided by the preceding month-end NAV, minus one. September 2022 begins at the first observation; October 2026 is a partial month. — indicates no observations.
Strategy architecture
02 / THE FRAMEWORKDistinct roles for research, portfolio construction, and execution.
HTF · CTA · Factors · ML
Allocation · Exposure · Hedges
TWAP · VWAP
HTF & CTA
TIME HORIZON / DIRECTIONHigher-timeframe context and systematic trend research provide a framework for directional signals across market regimes.
Multi-factor
SIGNAL COMBINATIONMomentum, relative-value, and market-structure research contribute complementary inputs to portfolio construction.
Machine learning
MODEL RESEARCHWavelet decomposition, LSTM/ARIMA research, and RSI-based filters form part of the published signal research framework.
TWAP & VWAP
EXECUTIONTime-weighted and volume-weighted execution approaches translate portfolio decisions into orders with attention to liquidity and market impact.
The performance above belongs to the reported CTA composite. Architecture describes the research and execution framework; it does not attribute returns to individual components.
Risk & methodology
03 / THE CONTEXTA track record needs a calculation basis.
A strategy needs operating boundaries.
Portfolio risk
Exposure limits, diversification, and hedge research are reviewed alongside drawdown and market conditions.
Execution risk
Liquidity, slippage, funding, and venue dependencies are part of the execution review.
Model risk
Validation and stress scenarios examine regime changes, estimation error, and the limits of historical evidence.
Account boundaries
SMA/API discussions define custody, permissions, execution responsibilities, and reporting before access.
How are the performance figures calculated?
Cumulative return is latest NAV / first NAV − 1. Annualized return uses that ratio raised to 365.25 / elapsed calendar days, minus one. Maximum drawdown is the lowest NAV / running peak − 1.
The source contains 1,500 daily observations from 2022-09-01 to 2026-10-09. Annual and monthly results are calculated from that same series. The workbook does not specify fee treatment or provide an independently audited reconciliation; those details should be reviewed during diligence.
What is available for due diligence?
Request the strategy memo, NAV methodology and fee assumptions, drawdown review, account and execution boundaries, and supporting reporting where available. The review establishes the basis and scope of any proposed relationship.
Request diligence materials ↗What should an allocator consider?
Digital asset strategies can lose substantial value. Historical returns do not establish future performance. Leverage, liquidity, model error, and exchange or counterparty events can change outcomes.
Read the risk disclosure ↗Research behind the strategy
04 / THE READINGMethods, model fragility, and the framework behind the portfolio.
Wavelets, sequence models & signal fusion
Multi-scale wavelet decomposition and RSI cointegration research.
The Fat-Tail MSTR Effect
Pre-asymptotic inference, epistemic tails, and model fragility.
Open the paper reader
Portfolio construction & research process
Signal design, allocation, and the operating framework.
Machine learning for structured data
Feature engineering, model selection, and interpretability.
Access & partnerships
05 / THE NEXT STEPStart with the mandate, the evidence, and the right account structure.
| Pathway | Discussion | Next step |
|---|---|---|
| SMA | Mandate, custody separation, allocation constraints, and reporting. | Discuss a mandate ↗ |
| API partnership | Account permissions, integration scope, and execution responsibilities. | Discuss integration ↗ |
| Research | Portfolio design, model evaluation, and diligence materials. | View service scope ↗ |
Availability and terms are assessed individually after review of suitability and operating requirements.
Let’s discuss your mandate.
Tell us your account structure, research interests, and reporting needs.