Current-State Analysis: 74 Indices Across the 2-Year Window

Date: 2025-12-04 Author: OLTA Research Abstract: Across the full library of 74 OLTA indices, Equities-family and Diversified-family baskets dominated risk-adjusted performance during the 2024-05 to 2026-05 window. Sector, Ecosystem, ThematicBeta and Curio baskets were uniformly negative, often by more than a full Sharpe unit. Core lagged BTC. The market regime did roughly what cross-asset construction implies it should.

1. Window context

The BTC reference for the entire report:

Translated: BTC went up roughly 11 percent over two years on the way to a 50 percent drawdown. The Sharpe ratio of 0.14 is essentially nothing. This window is not a BTC bull market. It is a tape on which the median crypto-only allocator broke even at best.

2. Top performers by Sharpe

The leaderboard structure is consistent across the library. Restricting to baskets with at least 365 days of usable history (an apples-to-apples filter that excludes the short-window post-launch RWA names), the top of the multi-year ranking is dominated by Equities and Diversified family entries. The single highest multi-year Sharpe sits in the Equities family at a value in the [2.2, 2.4] band, anchored by the semiconductor supercycle. Several Diversified entries follow, with their Sharpe ratios in the [1.0, 1.6] band. The first crypto-pure entry in the leaderboard sits at the boundary of the strict outperformer set.

The unfiltered top of the table is dominated by RWA names with very short backtest windows (57 to 67 days). Their Sharpe figures are inflated by both the post-launch narrative bid and the short-window noise. They are useful data points but should not be compared directly to a multi-year basket.

Per-index Sharpe rankings and the full ordered table are documented in the methodology brief on request.

3. Bottom performers by drawdown

The worst peak-to-trough basket NAVs in the library all sit in the Sector, Ecosystem, and ThematicBeta families. Drawdowns in the -85 to -95 percent band are typical of the worst entries. The lesson is direct: a basket of correlated altcoins inherits the full BTC drawdown plus an idiosyncratic alpha-bleed term. The Sharpe and the drawdown both go in the wrong direction.

The specific tickers in the bottom-decile drawdown set are documented in the methodology brief on request.

4. Lowest correlation to BTC

The lowest BTC-correlation entries in the library cluster in the Diversified and Equities families, with correlations in the -0.05 to -0.08 band. Their low correlation is not a happy accident: it is the underlying tokenised-equity venue settling on its own price discovery curve, independent of BTC. Within the Diversified family, every Live member sits at -0.06 or lower. Within the Equities family, most members sit at -0.04 to -0.06 by construction.

5. Highest beta to BTC

The highest-beta entries in the library cluster in the ThematicBeta, Curio, and Sector families, with betas in the 1.5 to 1.9 band against BTC. High beta plus negative Sharpe is the textbook outcome for a basket that captures all of BTC's downside and only some of BTC's upside. In this window, when BTC fell from approximately 100k to 50k in the spring of 2025, these baskets fell harder. When BTC recovered, they did not.

6. Family-by-family discussion

6.1 Core (4 indices)

Average Sharpe approximately -0.3; average max drawdown around -63 percent. Most members are negative on absolute return and all four are negative on vsBTC. The largest-tail variant sits at the most negative Sharpe because it has the largest exposure to the long-tail altcoin universe that bled hardest through 2025. The Core family is the cleanest illustration of why a market-cap weighted top-N crypto basket loses to BTC in a sideways BTC tape: every alt-cycle promise breaks down and BTC's market dominance creeps higher.

The most concentrated Core variant sits near BTC's reference Sharpe. Its drawdown is essentially BTC's drawdown amplified by the modest beta to BTC plus a few drag basis points.

The implication: the Core family is preserved on the live app because the brand-name expectation of a "crypto index fund" requires a Core. The institutional grade tier is held at T1 only for the most concentrated variants and the family is honest about the regime dependency in its descriptions.

6.2 Strategy (12 indices)

Average Sharpe approximately -0.27; average drawdown around -60 percent. A single low-volatility expression is the only Strategy basket with a positive Sharpe over 2y, and it is the conceptually closest to a pure low-volatility factor expression (lowest realised vol selection, equal weight, periodic rebalance). The rest, including the smart beta, barbell, blue chip, risk parity, quality, reserve, defensive growth, and momentum variants, are constructed from the same correlated-altcoin universe as Core. The risk-parity variant in particular illustrates the limit of inverse-vol weighting when every leg has the same direction.

The staking and DeFi-income Strategy variants attempt to capture yield as a return component, but the realised yield was swamped by token-price losses.

The Strategy family stays Live for the institutionally-grade variants and Second Wave for the experimental ones.

6.3 Sector (16 indices)

This is the catastrophe of the report. Every Sector basket is negative. The average Sharpe is around -0.74. Maximum drawdowns range from approximately -65 percent to -94 percent. The vsBTCSharpe column is negative for all members: every sector basket lost both on absolute and on a relative basis to BTC.

This is the empirical foundation for the Sector family's downgrade to Watchlist visibility on the live app. The sector narratives that drove construction (DeFi, L2 scaling, Restaking, ZK proofs, LSTs, oracles, derivatives) all failed to translate into token-price performance through 2025. The construction did exactly what construction implies: it concentrated risk into a thematic leg that was repriced downward across the entire leg.

A subtle finding: the high-correlation, high-beta nature of these baskets (correlation to BTC roughly 0.7 to 0.85, beta to BTC roughly 1.3 to 1.7) means they fail in both bull and bear cases relative to BTC. In a BTC bull case they would underperform by less but still underperform; in a bear case (like this window) they amplify losses. There is no symmetric upside scenario in the construction.

6.4 RWA (8 indices)

The RWA family is the cleanest example of window-dependent Sharpe inflation. Seven RWA tickers carry 57 to 67 days of usable history, all post-2026-Q1 when the RWA narrative caught a strong bid. Their Sharpe ratios are real over their windows but should not be compared to a 2-year basket. The single RWA member with the full 2y backfill, whose constituents all listed before 2024-05, sits modestly negative.

The RWA family is institutionally important because tokenised treasuries, commodities, and infrastructure exposure are the legitimate cross-over with traditional finance. The family is held at T1 for the highest-quality variants and the risk-tier disclosure on the live app is honest about the short backtest windows.

6.5 Equities (15 indices)

The leader-board domination is real. Equities baskets occupy four of the top five Sharpe positions among 365+ day backtests and ten of the top fifteen. Average Sharpe across the 15 Equities baskets is approximately +1.0. Median is around +0.85. Even the worst three (China Tech, Leveraged ETFs, Crypto Equities) are within striking distance of zero, not -0.7 like the Sector baskets. The construction of the family (real underlying companies with cash flows, tokenised 1:1, correlation to BTC near zero) absorbs the BTC drawdown without participating.

The standout single Equities basket is a semiconductor expression with a Sharpe in the [2.2, 2.4] band over nearly 1000 days, anchored by the dominant GPU designer with material contributions from the foundry and custom-silicon names. The highest-return Equities basket has total return over the period of roughly +760 percent at a -78 percent drawdown, which produces a Sharpe near 0.8. The risk-adjusted ranking penalises the path, not the destination.

6.6 Diversified (6 indices)

This is the family designed in 2026 specifically to address the regime question: how does a portfolio express a cross-asset thesis without committing to a single asset class? The six candidates are detailed in 03-diversified-family-paper.md. The two-sentence summary: five of six beat BTC's Sharpe by at least seven full points; the sixth is in Watchlist because its constituents have a shorter joint history.

6.7 Ecosystem (4 indices)

Same dynamics as Sector. A basket of correlated alt-L1 or alt-L2 tokens inherits the full BTC drawdown plus an idiosyncratic alpha-bleed term. All four have correlation to BTC of approximately 0.7 to 0.8 and beta of 1.1 to 1.5. The construction is a thematic bet on each ecosystem outperforming BTC, which simply did not happen in this window.

The family stays on the live app at Watchlist visibility. Position-sizing guidance is explicit in the index descriptions.

6.8 ThematicBeta + Curio (preview-only)

ThematicBeta is meme-token baskets. Curio is the deliberately-experimental family. Both were predictably hammered. These are Preview-visibility baskets intended as conversation pieces, not investment products, and their tier is uniformly T3. They are excluded from the live indices listing on the front page and are accessible only via deep links.

The least bad Curio entry is a simple equal-weight BTC/ETH/SOL basket, which is essentially a high-correlation crypto-pure expression. Its near-zero Sharpe matches BTC's near-zero Sharpe, confirming that the basket has no alpha versus a simple BTC allocation.

7. Visibility and tier implications

The current state of the OLTA library reflects the data. Mapping the analysis to the visibility tags:

• Live (roughly half the library): anchored by Equities and Diversified. Average Sharpe across Live baskets above +0.6.
• Second Wave: Strategy and Reserve, mid-tier RWA, conversation-piece baskets. Average Sharpe negative.
• Watchlist: Sector, Ecosystem, and the post-launch Diversified entry pending data. Average Sharpe around -0.65.
• Preview: ThematicBeta and Curio. Average Sharpe negative.

The visibility taxonomy is not arbitrary: it correlates with realised risk-adjusted performance.

8. Cross-references

• For the Diversified family deep-dive: 03-diversified-family-paper.md
• For the per-family recommendations: 07-family-summaries.md
• For the BTC outperformance count and analysis: 06-outperformance-vs-btc.md

9. Caveats

• The 2-year window covered a single regime (sideways BTC, US equity bull, gold up). Different windows would invert some rankings.
• RWA Sharpe ratios in the 3 to 9 range are real over their post-launch windows but reflect both narrative bid and short-window noise. They should not be compared to multi-year baskets without flagging the window length.
• The Equities family's outperformance partly reflects the 5-year underlying-stock history (longer windows smooth out drawdowns) and partly reflects the underlying companies' cash-flow profile. The 2y crypto-overlap window for Equities is similar in shape to the 5y window but with a thinner tail of long-history extreme moves.
• Survivorship: current basket constituents are the constituents the basket would hold today. The bias is small for Equities (no delistings) and modest for crypto (no full delistings of the constituent universe over the window).
• All metrics use zero risk-free rate. At a 3.8 percent USD overnight rate, Sharpes shift down by approximately 0.16 for Diversified and approximately 0.10 for crypto-pure. Relative ranking unchanged.