Research · Sigma
Sigma Volatility-Target Strategy
Dynamic allocation between XRP (risky) and USDC (riskless), driven by rolling historical volatility — constant risk exposure while keeping full upside.
Realized — what the portfolio holds
63.4% XRP
-88 bps drift since last rebalance
Signal — what the formula targets now
60.1%
60% risky / 40% riskless — Elevated but contained volatility — moderate risk allocation.
Last Rebalance
2026-08-24
Next trigger
Quarterly in 86 days
or Δσ ≥ 11.3pp
Formula
ω = min(max((σ_target − σ_riskless) / (σ_risky − σ_riskless), floor), cap)
σ_target=40% · Floor=40% · Cap=100%
Performance (Jul 2023 – Aug 2026)
Strategy Return
20.6%
Benchmark Return
23.8%
Strategy Vol
46.1%
Benchmark Vol
76.7%
Max Drawdown
-52.7%
Sharpe Ratio
0.38
Calmar Ratio
0.39
Rebalances
23
Charts
Allocation History (ω over time)
Performance — Strategy vs. Benchmark
Volatility with Target Line
Multi-Asset Performance
| Asset | Strategy Return | Benchmark Return | Strategy Vol | Benchmark Vol | Strategy MDD | Benchmark MDD |
|---|---|---|---|---|---|---|
| BTC | 24.3% | 14.2% | 32.3% | 51.0% | -45.2% | -67.0% |
| ETH | 8.8% | -7.2% | 37.0% | 69.3% | -42.0% | -74.0% |
| SOL | 13.1% | -8.7% | 42.7% | 93.8% | -65.3% | -94.6% |
| XRP | 20.6% | 23.8% | 46.1% | 76.7% | -52.7% | -72.1% |
Risk-Return Scatter
Methodology
Core Approach
- Dynamic allocation between XRP (risky) and USDC (riskless)
- Target volatility: 40%
- Floor: 40% · Cap: 100%
- 90-day rolling volatility, 7-day SMA smoothing
Rebalancing Rules
- Quarterly schedule (every 90 days)
- Volatility trigger: |Δσ| ≥ 15%
- Cooldown: 0 days between rebalances
- Annualisation: √365 for 24/7 crypto markets
Backtest period: Jul 2023 – Aug 2026 (1142 days) · Corrected Elyx methodology (v2)