May 2026

Bitcoin declined approximately 6.5% over the period, opening near $78,000 and closing below $73,000 after US military strikes on Iran triggered nearly $1 billion in liquidations on May 28. But the month was not defined by a single event. Forced-flow activity was elevated throughout, producing a sustained and broadly distributed opportunity set.

The strategy returned +7.15% net.

01 / Performance

The strategy returned +7.15% net across 31 active trading days. All 31 days closed positive. No drawdown was recorded at any point during the period.

Two features of this month stand out.

The first is breadth. The system executed across 71 unique symbols, up from 52 in April and the widest coverage in the strategy's history. This expansion was not a decision to trade more aggressively. It was a response to forced-flow dislocations appearing across a broader set of instruments than in prior months.

The second is consistency. May 22 produced the strongest single-day result, driven by broad activity across mid-cap perpetuals. But the daily contributions were otherwise steady and contained. No single day or instrument dominated the outcome.

All returns are reported net of commissions and funding costs.

02 / Market Structure

May unfolded in two distinct phases.

The first three weeks were quietly constructive. Spot Bitcoin ETFs absorbed $1.1 billion in inflows during the first week, with BlackRock's IBIT alone drawing $134.6 million on May 7. BTC traded between $76,000 and $80,000, and leveraged positioning rebuilt steadily from April's base. The environment was not dramatic, but it was consistent. Forced-flow events occurred regularly across a widening set of perpetual instruments.

The final week was different.

On May 18, escalating rhetoric around US-Iran tensions pushed Bitcoin below $77,000. Then on May 28, US military strikes near the Strait of Hormuz triggered the month's defining event. Bitcoin fell below $73,000 in hours. Nearly $960 million in leveraged positions were liquidated across 167,000 traders within 24 hours, with long positions accounting for 93% of the damage. IBIT posted $528 million in outflows on a single day - its second-largest daily outflow ever.

One observation worth noting: the behavioral pattern in May resembled March more than February. During the late-month selloff, dislocations were episodic rather than directionally persistent. Positioning unwound in bursts, not in a sustained cascade. That distinction mattered for the system's engagement throughout the final week, which remained active rather than contracting as it did during February's prolonged deleveraging.

03 / Risk & Execution

Maximum drawdown was zero throughout the period. Leverage remained conservative. No stop events were triggered across all 439 executions.

The elevated return this month was not a product of increased risk-taking. Risk parameters were unchanged from prior months. The increase in activity was a consequence of a broader opportunity set rather than a change in risk posture.

One feature that stood out during May was the breadth of participation. Historically, periods of elevated activity tend to be concentrated in a relatively small number of instruments. During May, qualifying opportunities appeared across a much wider cross-section of the market. From our perspective, this was a more important development than the return itself. Broad participation generally produces a healthier opportunity set than isolated activity concentrated in a handful of assets.

04 / Looking Ahead

These letters have now covered a wide range of conditions: opportunity-rich environments, a historic deleveraging, a recovery phase, a first negative day, and now the broadest deployment in the strategy's history.

What matters to us is not predicting which environment comes next. What matters is ensuring the system continues to respond appropriately when it arrives.

The system continues to operate within all defined parameters.