Risk-On

Risk-On Vault

The Risk-On Vault targets a stable yield of 15-25% APY.

We have run two backtests to compare our strategy with and without the trader open interest hedge. The results show that the strategy with the OI hedge significantly outperforms the naive strategy.

Backtest 1 : Hedge 60% Long or Short OI

• v1 : No Trader OI Hedge
• v2 : 60% Trader OI Hedge

Improvements :

• 128% improvement total performance
• 40% reduction in trader PnL
• 45% reduction in delta PnL
• 55% reduction in hedge cost
• 95% reduction in mint/redeem cost



Backtest 2 : Hedge 100% Long OI, 60% Short OI

• v1 : No OI Hedge
• v2 : Hedge 100% Long OI, Hedge 60% Short OI

Improvements:

• 295% improvement total performance
• 98% reduction in trader PnL
• 35% reduction in delta PnL
• 50% reduction in hedge cost
• 95% reduction in mint/redeem cost