Yield Income 8
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.
Eight protocols whose tokens carry real yield from on-chain fees, staking rewards or buyback programs. PENDLE leads on yield trading, AAVE on lending revenue, LDO on staking fees. The income leg of a DeFi allocation.
- Strategy 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.
8 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 | |
|---|---|---|---|
| 01PENDLE | 20% | ||
| 02AAVE | 16% | ||
| 03CRV | 14% | ||
| 04LDO | 13% | ||
| 05ETHFI | 11% | ||
| 06RPL | 10% | ||
| 07CVX | 8% | ||
| 08MORPHO | 8% | ||
| 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.
- PENDLE20%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 - AAVE16%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 - CRV14%Growth
Research note pending for this holding. Its weight and its role in the mandate are published above.
- LDO13%Yield
Lido is the dominant liquid staking protocol on Ethereum. stETH is the most widely accepted DeFi collateral.
Performs in restaking and Ethereum-staking-narrative phases. Sensitive to validator-concentration concerns.
validator concentration concern - ETHFI11%Growth
Research note pending for this holding. Its weight and its role in the mandate are published above.
Show the remaining 3 holdings
- RPL10%Growth
Research note pending for this holding. Its weight and its role in the mandate are published above.
- CVX8%Growth
Research note pending for this holding. Its weight and its role in the mandate are published above.
- MORPHO8%Growth
Research note pending for this holding. Its weight and its role in the mandate are published above.
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. OYI8 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 | −54.2% | −0.88 | +0.12 |
| 1 year | −54.2% | −0.88 | +0.12 |
| 6 months | +28.6% | 1.28 | −0.18 |
| 3 months | +35.4% | 4.67 | +3.58 |
| 1 month | +30.3% | 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
PENDLE have under a year of usable history. Backtest metrics carry wider error bars.
- Elevated volatilityMedium
Backtest annualised vol 77%. See the backtest panel above for the full risk numbers.
- Deep historical drawdownHigh
Max drawdown reached −84% in the backtest window. Size accordingly.
- Pre-live statusLow
Second Wave index. NAV is computed but the basket isn't yet open for live allocation.
| Scenario | Loss on net asset value |
|---|---|
| PENDLE loses half its valueLargest holding, 20.0% of the basket | −10.0%Mechanical |
| The three largest holdings fall 30%PENDLE, AAVE, CRV · 50.0% of the basket together | −15.0%Mechanical |
| The deepest simulated fall repeatsRecorded once in the window, 547 days to recover | −84.2%Recorded |
| A bad month, one in twenty95% historical value at risk over 30 days | −32.5%Measured |
The mechanical rows hold every other holding still, which is the optimistic case. This basket measured 0.73 correlation to bitcoin over its window: the holdings often move together, though less tightly than a broad crypto basket. Read the figures as a floor on the damage, never a ceiling.
The research behind the construction
This strategy has been shelved
The DeFi yield mandate cannot deliver an institutional-grade Live Sharpe. Yield-bearing token prices remain dominated by underlying protocol risk rather than coupon, so the basket reads more as a DeFi-beta proxy than an income sleeve. ODI8 already covers DeFi fee-share exposure with a cleaner thesis.
Retired 2026-05-24