Research · Sigma
Sigma Volatility-Target Strategy
Dynamic allocation between BTC (risky) and USDC (riskless), driven by rolling historical volatility — constant risk exposure while keeping full upside.
Realized — what the portfolio holds
89.3% BTC
+257 bps drift since last rebalance
Signal — what the formula targets now
74.1%
74% risky / 26% riskless — Elevated but contained volatility — moderate risk allocation.
Last Rebalance
2026-08-16
Next trigger
Quarterly in 18 days
or Δσ ≥ 10.1pp
Formula
ω = min(max((σ_target − σ_riskless) / (σ_risky − σ_riskless), floor), cap)
σ_target=30% · Floor=30% · Cap=100%
Performance (Jan 2022 – Oct 2026)
Strategy Return
24.1%
Benchmark Return
14.3%
Strategy Vol
32.3%
Benchmark Vol
50.5%
Max Drawdown
-45.2%
Sharpe Ratio
0.66
Calmar Ratio
0.53
Rebalances
19
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 | 24.1% | 14.3% | 32.3% | 50.5% | -45.2% | -67.0% |
| ETH | 7.1% | -7.9% | 36.8% | 68.6% | -42.0% | -74.0% |
| SOL | 11.4% | -9.1% | 42.5% | 92.7% | -65.3% | -94.6% |
| XRP | 17.3% | 18.6% | 45.7% | 76.0% | -52.7% | -72.1% |
Risk-Return Scatter
Methodology
Core Approach
- Dynamic allocation between BTC (risky) and USDC (riskless)
- Target volatility: 30%
- Floor: 30% · 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 – Oct 2026 (1760 days) · Corrected Elyx methodology (v2)