Low-Volatility Index

A curated strategy for investors seeking exposure to digital assets with reduced short-term price fluctuations.

This index is designed to offer a more stable alternative to traditional crypto baskets by selecting assets that demonstrate consistently lower volatility metrics over time. The objective is to provide steadier returns, reduce drawdowns, and appeal to capital allocators with a lower risk appetite.

While crypto markets remain inherently volatile, certain digital assets have demonstrated lower historical volatility profiles. This index is constructed to reflect those dynamics and offer a tempered risk approach.

Selection Framework

Assets are selected based on their historical and implied volatility, with strict screening criteria:

• Multi-month realized volatility consistently below market average

• High liquidity to ensure smooth entry and exit

• Strong fundamentals and proven market adoption

• Exclusion of stablecoins and wrapped tokens

Calculation

OLTA calculates volatility using log returns rather than simple percentage changes. This approach provides time-additivity, greater statistical robustness, and compatibility with continuous compounding frameworks. As a result, the volatility estimates presented below reflect the dispersion of log-normalized returns over a defined time window.

Annualized Volatility

$$\sigma_{\text{ann}} = \sqrt{365} \cdot \sqrt{ \frac{1}{n - 1} \sum_{i=1}^{n} (r_i - \mu)^2 }$$

Where:

• σ_ann = annualized volatility

• rᵢ = daily log return at time i

• μ = mean daily return over the period

• n = number of days in the observation window

• 365 = number of trading days in a year

Monthly Volatility

$$\sigma_{\text{month}} = \sqrt{31} \cdot \sqrt{ \frac{1}{n - 1} \sum_{i=1}^{n} (r_i - \mu)^2 }$$

Where:

• σ_month = annualized volatility

• rᵢ = daily log return at time i

• μ = mean daily return over the period

• n = number of days in the observation window

• 31 = number of trading days in the considered month

Log Return Formula

$$r_i = \ln\left( \frac{P_i}{P_{i-1}} \right)$$

Where:

• rᵢ = log return at time i

• Pᵢ = asset price at time i

• Pᵢ₋₁= asset price a t time i-1

• ln() = natural logarithm function (base e)

Allocation

The index consists of 6 to 10 assets, rebalanced quarterly to preserve low-volatility characteristics. Asset weights are determined dynamically based on their contribution to the portfolio’s overall volatility, rather than being strictly capped per asset.

An optional sleeve of $OLTA may be included for alignment with the broader protocol ecosystem.

Use Cases

This product is particularly suitable for:

• Family offices or institutional investors with conservative mandates

• DeFi-native treasuries seeking capital preservation

• Portfolios requiring smoother risk-adjusted exposure