Risk Parity 6
Calibrated launch value from the rulebook. The live reading, the chart and the order panel sit on the desk.
Buy ORP6Why 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.
Six assets weighted so each contributes the same risk to the basket. Reduces concentration in Bitcoin variance and forces the portfolio to depend on more than one asset's volatility regime. The textbook risk-parity construction, applied to crypto.
- Strategy family · Conservative 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.
6 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 | 22% | ||
| 02ETH | 18% | ||
| 03BNB | 17% | ||
| 04LINK | 16% | ||
| 05SOL | 14% | ||
| 06AAVE | 13% | ||
| 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.
- BTC22%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 - ETH18%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 - BNB17%Core anchor
BNB captures the cash flow of the largest centralized crypto exchange. Quarterly burn-and-buy gives it the cleanest token-to-revenue link of any major.
Tracks Binance volume more than crypto beta. Faces regulatory tail risk when Binance is under enforcement scrutiny.
regulatory tail riskexchange concentration - LINK16%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 - SOL14%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 - AAVE13%Yield
Aave is the largest lending protocol in DeFi by TVL and the canonical on-chain credit cash-flow asset.
Performs in DeFi-led cycles and high-utilization lending regimes. Underperforms when leverage demand collapses.
smart-contract exposure
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. ORP6 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 | +20.3% | 0.19 | −0.24 |
| 1 year | −41.1% | −0.88 | −0.08 |
| 6 months | +24.4% | 1.43 | −0.04 |
| 3 months | +21.2% | 2.83 | +1.74 |
| 1 month | +32.2% | 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 are bounded relative to the broader crypto market. Constituent caps and liquidity filters contain concentration risk. Full risk parameters live in the methodology rulebook.
- Top-name weightLow
BTC is the largest position at 22%. Capped by methodology but still drives index direction.
- Deep historical drawdownHigh
Max drawdown reached −80% in the backtest window. Size accordingly.
| Scenario | Loss on net asset value |
|---|---|
| BTC loses half its valueLargest holding, 22.0% of the basket | −11.0%Mechanical |
| The three largest holdings fall 30%BTC, ETH, BNB · 57.0% of the basket together | −17.1%Mechanical |
| The deepest simulated fall repeatsRecorded once in the window, 417 days to recover | −80.0%Recorded |
| A bad month, one in twenty95% historical value at risk over 30 days | −27.7%Measured |
The mechanical rows hold every other holding still, which is the optimistic case. This basket measured 0.84 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
Take a position in ORP6
ConvictionSelective thematic allocation. Size it as a sleeve, not as a core position.
Size a position against the live net asset value, with the full record on the same screen. Funds in this public preview are simulated, so an order here moves a simulated balance and settles nothing. The EVM settlement rail opens with mainnet in the first half of 2027.