Hierarchical Risk Parity 12
Calibrated launch value from the rulebook. This basket carries no order panel today.
Why this basket exists
What the construction is trying to capture, who it is built for, and how it is meant to be sized inside a wider allocation.
Twelve assets weighted via the Lopez de Prado HRP algorithm: assets cluster by correlation, then risk is allocated recursively down the tree so each branch carries equal contribution. BTC and ETH anchor the crypto cluster, ETHFI and PENDLE pick up restaking and yield exposure, ONDO and SKY cover the RWA leg, PAXG provides the gold sleeve, USDC absorbs the cash buffer. HRP avoids the matrix-inversion fragility of mean-variance while still respecting the correlation structure. The benchmark expression of modern multi-asset construction.
- Diversified family · Moderate risk tier
- Rule-based, divisor-method NAV
No committee note is published for this basket yet, so the catalogue description above stands in until one is written.
12 holdings, drawn to scale
Each tile's area is its weight in the basket, so the picture and the table below it are the same data read two ways.
| Holding | Share | Weight | |
|---|---|---|---|
| 01BTC | 18% | ||
| 02ETH | 14% | ||
| 03SOL | 9% | ||
| 04ETHFI | 8% | ||
| 05ONDO | 8% | ||
| 06PAXG | 8% | ||
| 07USDC | 8% | ||
| 08LINK | 6% | ||
| 09PENDLE | 6% | ||
| 10HBAR | 5% | ||
| 11MORPHO | 5% | ||
| 12SKY | 5% | ||
| Total | 100% |
Why each name earned its seat
Research notes per constituent: the case for the asset, the regime that suits it, and the risk the seat carries.
- BTC18%Core anchor
Bitcoin is the only crypto asset that clears the institutional bar on every dimension: deepest order books, longest track record, lowest custody friction.
Strongest in flight-to-quality and pro-risk macro phases when liquidity is abundant. Underperforms in altcoin rotations and AI-narrative cycles.
concentration risk - ETH14%Core anchor
Ethereum is the only smart-contract platform with the TVL, developer mindshare, and settlement depth to count as core infrastructure.
Outperforms BTC in DeFi cycles and L2 adoption waves. Lags when narratives shift to alt-L1s or when L2 fragmentation eats into mainnet fee capture.
fee-revenue regime risk - SOL9%Growth
Solana is the highest-throughput smart-contract platform in production and the credible challenger to Ethereum at the application layer.
Highest beta of the L1 majors. Outperforms in retail-led risk-on phases. Drawdowns sharper than BTC in flight-to-quality regimes.
historical outagesvalidator concentration - ETHFI8%Growth
Research note pending for this holding. Its weight and its role in the mandate are published above.
- ONDO8%Yield
Ondo Finance is among the largest tokenized treasury issuers and a category-defining brand in the RWA stack.
Performs in RWA-narrative phases and high-rate regimes. Underperforms in pure-crypto altcoin cycles and if rate cuts compress treasury yields.
regulatory uncertaintyrate-cycle sensitivity
Show the remaining 7 holdings
- PAXG8%Hedge
PAX Gold is the largest tokenized physical gold asset on-chain. The cleanest macro-hedge expression in an on-chain portfolio.
Performs in flight-to-quality, stagflation, and dollar-weakness regimes. Underperforms in pro-risk crypto cycles.
custody concentration - USDC8%Growth
Research note pending for this holding. Its weight and its role in the mandate are published above.
- LINK6%Infrastructure
Chainlink is the dominant oracle network and the only institutional-grade middleware token in the catalogue. CCIP makes it the de facto oracle layer for tokenized assets.
Performs in oracle-narrative phases and RWA cycles. Underperforms in pure-crypto retail rotations where infrastructure is unfashionable.
middleware competition - PENDLE6%Yield
Pendle is the leading yield-trading protocol in DeFi. Tokenizes future yield into principal and yield tokens so traders can express directional yield views.
Performs in restaking and high-yield regimes. Underperforms when underlying yields compress or restaking narratives cool.
yield-curve regime risk - HBAR5%Infrastructure
Hedera is the enterprise-grade DLT used by Google, IBM, Boeing, and the Big Four for tokenization and accounting pilots.
Performs in enterprise-adoption and tokenization-narrative phases. Lower correlation to crypto retail beta because the holder base skews institutional.
governance-model novelty - MORPHO5%Growth
Research note pending for this holding. Its weight and its role in the mandate are published above.
- SKY5%Yield
Sky (formerly MakerDAO) operates the USDS and DAI stablecoin franchises and routes meaningful collateral into RWA strategies.
Performs in RWA-narrative and high-rate regimes when RWA collateral earns wide spreads. Sensitive to DAI peg incidents and stablecoin regulation.
stablecoin regulationpeg event risk
What the numbers say
Simulated on historical constituent prices. A Sharpe is only published once the measured window clears 90 days, and drawdowns keep their sign.
Every figure above is simulated on historical constituent prices for a basket that has not traded. It describes how the rules would have behaved, not how they will behave. OHRP12 is part of a public preview.
Max expected loss over the horizon · 95% confidence · historical distribution. There is a 5% chance the actual loss is larger.
| Window | Return | Sharpe | vs BTC |
|---|---|---|---|
| Full window | −33.8% | −0.88 | +0.12 |
| 1 year | −33.8% | −0.88 | +0.12 |
| 6 months | +22.1% | 1.41 | −0.06 |
| 3 months | +15.5% | 2.21 | +1.11 |
| 1 month | +23.0% | Not graded | · |
Returns are simulated over each window. A Sharpe is published only once that window clears 90 days, so the shorter rows read Not graded and carry no comparison with bitcoin. Short windows flatter and punish at random; read the full window first and treat the rest as texture.
What could go wrong
Priced off this basket's own weights rather than off a generic disclaimer, so every figure below can be checked against the table above.
Drawdowns of 30 to 50% are within historical range during cycle bottoms, tracking the broader crypto market. Family-standard caps and rebalancing rules apply.
- Short price historyMedium
ONDO, PENDLE, SKY have under a year of usable history. Backtest metrics carry wider error bars.
- Deep historical drawdownMedium
Max drawdown reached −57% in the backtest window. Size accordingly.
| Scenario | Loss on net asset value |
|---|---|
| BTC loses half its valueLargest holding, 18.0% of the basket | −9.0%Mechanical |
| The three largest holdings fall 30%BTC, ETH, SOL · 41.0% of the basket together | −12.3%Mechanical |
| The deepest simulated fall repeatsRecorded once in the window, 243 days to recover | −57.4%Recorded |
| A bad month, one in twenty95% historical value at risk over 30 days | −23.4%Measured |
The mechanical rows hold every other holding still, which is the optimistic case. This basket measured 0.85 correlation to bitcoin over its window, so its holdings tend to fall together rather than one at a time. Read the figures as a floor on the damage, never a ceiling.
The research behind the construction
Worth a second look later
OHRP12 is under methodology review, so it carries no buy action today. The weights and the cadence are still being settled, and an order panel over rules that are about to move would put a commitment on the page the research has not earned. Everything above stays visible and updates with the study, so you can follow the work as it lands.