Smart Beta 12
Calibrated launch value from the rulebook. The live reading, the chart and the order panel sit on the desk.
Buy OSB12Why 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.
Smart Beta 12 layers three factor tilts (size capped, liquidity weighted, low-vol filtered) onto the top 12 majors. It is an attempt to engineer the same alpha that smart-beta ETFs delivered in equity (think IWO, USMV) but on crypto.
- Three-factor model documented in the methodology rulebook
- Lower realised vol than market-cap weighted indices (back-tested 22 to 26% vs ~38%)
Written by the OLTA investment committee for this basket.
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 | 15% | ||
| 02ETH | 13% | ||
| 03SOL | 11% | ||
| 04BNB | 10% | ||
| 05XRP | 9% | ||
| 06ADA | 8% | ||
| 07LINK | 8% | ||
| 08AVAX | 7% | ||
| 09GRAM | 6% | ||
| 10SUI | 5% | ||
| 11APT | 4% | ||
| 12NEAR | 4% | ||
| 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.
- BTC15%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 - ETH13%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 - SOL11%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 - BNB10%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 - XRP9%Core anchor
XRP is the payments-rail asset that retained its market position through the SEC litigation period and the 2024 settlement.
Outperforms when payments-narrative or banking-partnership news drives flow. Underperforms in DeFi or smart-contract-led cycles.
narrative dependencecentralized issuance
Show the remaining 7 holdings
- ADA8%Core anchor
Cardano sits in the basket for persistent top-ten market-cap status and a research-driven engineering culture that allocators recognise.
Tracks broader crypto beta. Has lagged in 2024 to 2026 as DeFi capital concentrated on ETH and SOL.
TVL trails peersslow shipping cadence - LINK8%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 - AVAX7%Growth
Avalanche is the highest-quality EVM-compatible alt-L1 by liquidity and institutional integration. The subnet architecture appeals to enterprise pilots.
Performs in enterprise-adoption and alt-L1 rotation phases. Underperforms in flight-to-quality and meme-led cycles.
subnet fragmentation - GRAM6%Growth
Research note pending for this holding. Its weight and its role in the mandate are published above.
- SUI5%Growth
Sui is the Move-language L1 spun out of the Diem project. Parallel-execution architecture targets the throughput ceiling that Solana hits during congestion.
Higher beta than the established L1s. Outperforms during alt-L1 rotation and on technical-narrative catalysts. Drawdowns pronounced in flight-to-quality.
sub-3y historyventure overhang - APT4%Growth
Research note pending for this holding. Its weight and its role in the mandate are published above.
- NEAR4%Growth
Near is the sharded L1 with the most coherent account-abstraction story in the majors. Chain Signatures target the largest UX bottleneck in crypto.
Performs in UX and AI-narrative phases. Lags in flight-to-quality regimes where alt-L1s are sold indiscriminately.
narrative dependence
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. OSB12 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 | +1.1% | 0.01 | −0.42 |
| 1 year | −50.3% | −1.03 | −0.23 |
| 6 months | +14.6% | 0.80 | −0.67 |
| 3 months | +3.6% | 0.37 | −0.72 |
| 1 month | +26.1% | 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.
Factor tilts can underperform in trending markets. Smart-beta is for risk-adjusted return, not for beating the market in bull runs.
- Deep historical drawdownMedium
Max drawdown reached −67% in the backtest window. Size accordingly.
| Scenario | Loss on net asset value |
|---|---|
| BTC loses half its valueLargest holding, 15.0% of the basket | −7.5%Mechanical |
| The three largest holdings fall 30%BTC, ETH, SOL · 39.0% of the basket together | −11.7%Mechanical |
| The deepest simulated fall repeatsRecorded once in the window, 262 days to recover | −67.4%Recorded |
| A bad month, one in twenty95% historical value at risk over 30 days | −27.9%Measured |
The mechanical rows hold every other holding still, which is the optimistic case. This basket measured 0.86 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 OSB12
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.