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
42.2% XRP
-138 bps drift since last rebalance
Signal — what the formula targets now
50.6%
51% risky / 49% riskless — High volatility — strategy is approaching the floor.
Last Rebalance
2026-02-17
Next trigger
Quarterly in 13 days
or Δσ ≥ 3.9pp
Formula
ω = min(max((σ_target − σ_riskless) / (σ_risky − σ_riskless), floor), cap)
σ_target=40% · Floor=40% · Cap=100%
Performance (Jan 2022 – May 2026)
Strategy Return
39.1%
Benchmark Return
15.0%
Strategy Vol
49.3%
Benchmark Vol
86.7%
Max Drawdown
-42.1%
Sharpe Ratio
0.73
Calmar Ratio
0.93
Rebalances
38
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 | 25.7% | 16.0% | 32.7% | 51.8% | -42.0% | -67.0% |
| ETH | 6.7% | -8.5% | 37.3% | 70.1% | -37.0% | -74.0% |
| SOL | 8.6% | -12.1% | 43.6% | 95.7% | -65.0% | -94.6% |
| XRP | 39.1% | 15.0% | 49.3% | 86.7% | -42.1% | -65.9% |
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: Jan 2022 – May 2026 (1585 days) · Corrected Elyx methodology (v2)