Family Summaries: Per-Family Findings and Recommendations

Date: 2026-03-26 Author: OLTA Research Abstract: Concise per-family read of the 2-year backtest data. Each section: thesis, current-state metrics in banded form, qualitative finding, and one recommended action. Per-ticker performance tables and the specific visibility-change call-outs that informed each recommendation are documented in the methodology brief on request.

1. Core

Family thesis. A market-cap-weighted top-N crypto basket, expressing the simplest possible "I want crypto exposure" allocation. Three variants by size: concentrated, balanced, and broad market beta.

Current-state metrics (4 indices):

• Average Sharpe in the band roughly aligned with BTC's reference for the most concentrated variant; the broader-tail variants lag materially.
• Average max drawdown around -60 percent across the family.
• Average correlation to BTC near 0.87.

Family finding. Core 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 concentrated variant is the most BTC-like in shape.

Recommended action. Keep the family. The "crypto index fund" brand expectation requires a Core. Update descriptions to be explicit about the 2-year regime fingerprint. Defer construction changes until 2027 to see whether the regime shifts.

2. Strategy

Family thesis. Factor and styled crypto baskets: low-volatility, smart-beta, barbell, blue-chip, risk-parity, quality, defensive growth, momentum, staking, DeFi income, yield income, reserve. Each expresses a TradFi factor concept translated into the crypto universe.

Current-state metrics (12 indices):

• Average Sharpe negative across the family, with a wide dispersion between the best and worst names.
• Average max drawdown around -60 percent.
• A single defensive low-vol expression carries a positive Sharpe; the remaining factor variants underperform.

Family finding. Most factor expressions translated from TradFi into the crypto universe did not deliver on the factor premium in the 2-year window. The Risk Parity, Barbell, and Smart Beta variants underperformed in particular. The low-volatility expression, which is the conceptually closest to a pure factor implementation, was the lone positive Sharpe contributor.

Recommended action. Consider migrating the Strategy family to a "factor crypto" sub-family with one or two Live names and the rest in Second Wave. The construction logic should be revisited (consider strategic-momentum or strategic-volTarget overlays) before re-running the next analysis cycle.

3. Sector

Family thesis. Concentrated thematic exposure to a single crypto sector. Each basket holds 4 to 10 sector-specific tokens.

Current-state metrics (16 indices):

• Average Sharpe negative across the entire family, with the worst names approaching -1.0.
• Average max drawdown around -85 percent.
• Average correlation to BTC around 0.72.
• Average beta to BTC around 1.41.

Family finding. Every Sector basket is negative on Sharpe over the 2-year window. 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 high-correlation, high-beta nature of these baskets means they fail in both bull and bear cases relative to BTC.

Recommended action. Downgrade the family to Watchlist (already done in the live app). Update each index description to explicitly cite the 2-year drawdown range. Defer construction changes until 2027.

4. RWA (Real-World Assets)

Family thesis. Cross-over baskets between crypto and traditional finance: tokenised commodities, treasuries, infrastructure exposure, private credit, gold, broad RWA infrastructure rails. Each addresses a TradFi asset class that has begun to settle on-chain in 2026.

Current-state metrics (8 indices):

• Median Sharpe materially above BTC reference but heavily skewed by short-window post-launch readings.
• Five entries carry 57 to 67 day windows; one carries a full 2-year history and sits modestly negative.
• Average max drawdown around -30 percent.

Family finding. The RWA family is the cleanest example of window-dependent Sharpe inflation. The recent listings have caught the post-launch narrative bid and show real but statistically inflated Sharpe ratios over short windows. The single basket with full 2-year history reflects the broader alt-narrative drawdown.

Recommended action. Wait for the post-launch RWA baskets to accumulate at least one full quarter of history before promoting any of them to Live. Re-evaluate in 2027-Q1.

5. Equities

Family thesis. Tokenised US equity baskets, routed through Dinari for single stocks and Backed Finance for ETF coverage, settling on Base via Uniswap v3. Coverage spans mega-cap tech, semiconductors, AI software, AI infrastructure, healthcare, energy, China tech, industrials and defense, consumer, broad ETFs, commodity ETFs, crypto equities, crypto operators, frontier (quantum), and leveraged ETFs.

Current-state metrics (15 indices):

• Average Sharpe just above 1.0.
• Median Sharpe in the [0.8, 0.9] band.
• Average max drawdown around -42 percent.
• Average correlation to BTC effectively zero by construction.

Family finding. Equities dominates the multi-year leaderboard. Several baskets fill the top of the 365+ day Sharpe rankings. 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 in it.

Recommended action. Keep the family as-is. The construction has been validated by the multi-year backtest. Consider adding a Healthcare expansion to capture the GLP-1 cycle more thoroughly, and a Financial Services basket to capture a grouping that is conspicuously absent. The current family is biased toward tech and away from financials.

6. Diversified

Family thesis. Cross-asset baskets that mix crypto, tokenised US equity, gold, and (in one case) tokenised treasuries. Each is designed to deliver Sharpe above 1.0 over the 2-year backtest window. See 03-diversified-family-paper.md for the deep dive.

Current-state metrics (6 indices):

• Average Sharpe across Live members in the [1.05, 1.25] band.
• Average max drawdown across Live members around -27 percent.
• Average correlation to BTC effectively zero.
• One basket sits in Watchlist pending longer history on its tokenised-treasury legs.

Family finding. Five of six candidates deliver Sharpe materially above the BTC reference with roughly half the BTC drawdown. The sixth is a Watchlist designation reflecting a data-window constraint, not a construction failure.

Recommended action. Keep the family as the flagship offering. Consider adding two new candidates at the next cycle: a macro-defensive variant with raised gold weight and lower equity weight, and a broader-equity variant with lower thematic concentration. Re-evaluate the Watchlist basket once a full year of joint history is available.

7. Ecosystem

Family thesis. Concentrated exposure to a specific blockchain ecosystem. Each basket holds the native token plus 5 to 7 protocol tokens from the ecosystem.

Current-state metrics (4 indices):

• Average Sharpe negative across the family.
• Average max drawdown in the -80 percent band.
• Average correlation to BTC around 0.73.

Family finding. 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. The construction is a thematic bet on each ecosystem outperforming BTC, which simply did not happen in this window.

Recommended action. Keep the family as a structural exposure-rotation option (already in Watchlist on the live app). Update each description to explicitly note the drawdown range. Defer until 2027 to see whether any single ecosystem catches a structural bid. Consider adding an Ethereum-native ecosystem basket at the next cycle to broaden coverage.

8. ThematicBeta

Family thesis. Meme-token baskets and other thematic crypto exposure that is closer to "speculation" than "investment".

Current-state metrics (4 indices):

• Average Sharpe negative across the family.
• Average max drawdown approaching -88 percent.
• Average correlation to BTC around 0.76.

Family finding. Predictably hammered. These are speculative-tier instruments by construction.

Recommended action. Preview-only across the family. Consider renaming the family to "Speculative" rather than "ThematicBeta" to set expectations cleanly.

9. Curio

Family thesis. Deliberately experimental baskets that exist as conversation pieces and product-design exercises rather than as institutional positions.

Current-state metrics (5 indices):

• Average Sharpe negative.
• Average max drawdown around -70 percent.

Family finding. Useful as a UX device. Not investable.

Recommended action. Keep the family for the conversation-piece value. Consider rotating out the worst-performing basket and replacing with a new conversation-piece concept. The Curio family is a useful UX device but is not investable.

10. Cross-family ranking summary

11. Aggregated recommendations

1. Promote Diversified to flagship family status. Already reflected in the live app.
2. Maintain the high-Sharpe Equities baskets as flagship Equities offerings.
3. Hold the Sector family at Watchlist until either the regime shifts or the construction is updated.
4. Hold the Ecosystem family at Watchlist for the same reasons.
5. Wait on the post-launch RWA names until they accumulate 365+ days of history.
6. The Strategy family needs a redesign cycle.
7. Consider adding new Diversified candidates at the next cycle.
8. Round out Equities thematic coverage with a Financial Services basket.

12. Caveats

• These recommendations are based on a single 2-year window for crypto data and a 5-year window for equities. Different windows would produce different recommendations.
• The visibility taxonomy (Live / Second Wave / Watchlist / Preview) is set with the Sharpe outperformance as a major input. Other factors (geographic restrictions, KYC status, regulator response) also matter and are not captured in this paper.
• The "consider redesign" recommendations are research suggestions, not commitments. Each would require a fresh backtest cycle against a refreshed dataset before production deployment.
• All Sharpe numbers use zero risk-free rate.
• Survivorship: current basket constituents are the constituents the basket would hold today. The bias is small but real.

13. References

• Per-index performer tables and the specific visibility-change recommendations that informed this paper: methodology brief on request
• Engine source: lib/backtest.js
• Cross-references: 02-current-state-analysis.md for full-library context; 03-diversified-family-paper.md for the Diversified design philosophy; 06-outperformance-vs-btc.md for the BTC-relative ranking