OHRP12 · DiversifiedT1LiveS -1.22Cycle-tested
Hierarchical Risk Parity 12
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.
Launch NAV
220.00USD
Static reference NAV from the methodology rulebook. Live NAV, order book and depth are available on the trade view.
Family
Diversified
Risk profile
Moderate
Weighting
HierarchicalRiskParity
Constituents
12
Backtest summary
235d window
Sharpe
-1.22
Max drawdown
−52.6%
Annualised vol
+44.1%
Beta vs BTC
1.02
Total return
−39.0%
BTC reference · Sharpe 0.33, MaxDD -76.6%
OCBE100 reference · Sharpe 0.34, MaxDD -61.1%
95% VaR
1-week−12%
1-month−23%
Max expected loss, 95% confidence, historical.
Performance across timeframes
WindowReturnSharpevs BTCAll (2y)−39.0%-1.22+0.071 year−39.0%-1.22+0.076 months−14.2%-0.64+0.043 months+15.9%2.24-1.171 month+5.7%2.92+3.13
BTC reference · all 0.33 · 1y -0.83 · 6m -0.68 · 3m 3.41 · 1m -0.21
Constituents
12 assets
Weights · sorted high to low
| Symbol | Weight |
|---|---|
| BTC | 18% |
| ETH | 14% |
| SOL | 9% |
| ETHFI | 8% |
| ONDO | 8% |
| PAXG | 8% |
| USDC | 8% |
| LINK | 6% |
| PENDLE | 6% |
| SKY | 5% |
| HBAR | 5% |
| MORPHO | 5% |
Further reading
Trade OHRP12
Live NAV, order book and depth available on the trade view.