On-Chain Risk Metrics

This section outlines the real-time risk indicators monitored by OLTA to assess index stability, asset-level fragility, and execution environment quality.

Purpose

OLTA tracks a curated set of on-chain metrics to support transparency, trigger risk-based exclusions, and improve the robustness of pricing, rebalancing, and fund management decisions.

These indicators are continuously monitored and used as part of the broader risk framework for index maintenance and investor protection.

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Key Metrics Monitored

1. Volatility (7D / 30D Annualized)

Used to cap exposure or delay rebalancing during extreme market conditions.

2. Realized Slippage (Simulated)

Average % price impact for simulated trade sizes (e.g., $10k, $100k) per asset. Used for inclusion and NAV adjustment.

3. Liquidity Depth at Thresholds

Amount of volume available per asset before slippage exceeds 1%. Used to screen weak pools and inform venue routing.

4. NAV Deviation from TWAP

Monitors the deviation between the live index NAV and its 24h time-weighted average price. Sudden spikes may flag oracle failure or manipulation.

5. Maximum Drawdown (Trailing 30D)

Tracks the largest peak-to-trough decline over a recent window. Used to qualify or flag volatile assets.

6. Constituent Concentration Ratio

Measures the % weight of the top 1 and top 3 assets in a given index. Used to monitor overexposure and apply rebalancing logic.

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Usage

• Metrics are displayed live in the OLTA dashboard

• Thresholds are used to trigger alerts, governance flags, or automatic exclusions

• Historical trends are archived and available for fund due diligence and transparency reviews

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These risk metrics strengthen OLTA’s index quality by integrating real-world execution constraints and investor-aligned stability indicators into index lifecycle management.