Strategy Vault Performance Optimisation Framework

Delta-neutral strategy success depends on multiple profit drivers and their optimization. Below is a summary framework for assessing PnL components:

Delta-neutral Strategy's Profit Function

PnL Driver	Optimisation Strategy
Delta - P&L from spot exposure - P&L from futures positions	Is the portfolio delta-neutral (Δ = 0)? If not, assess remaining exposure and determine if rebalancing is required.
Funding Rate	Reduce exposure when funding turns negative. Optimize timing and hedge composition based on projected funding trends.
Funding Rate Arbitrage Spread	Short on exchanges with negative funding; long on those with positive/neutral funding to benefit from spread between funding rates.
Interest on Balances	Compare lending yields across assets (e.g., ETH, BTC, stables) and allocate accordingly.
Interest Paid on Borrowing	Evaluate whether borrowed collateral should be closed based on spread between interest earned and interest paid.
Leverage Impact	Use leverage only when funding gain > borrow cost. Monitor for liquidation risks.
Liquidation Bonus/Penalty	Monitor liquidation parameters and avoid involuntary closures. Assess potential rewards vs. risks.
Execution Slippage	Use order execution strategies (TWAP, VWAP); size trades to reduce impact per block.
Transaction Fees - Account fees - Trading fees - Gas costs	Choose low-fee networks and batching methods. Optimize for cost efficiency.