Hyperliquid vault-of-vaults strategy

A diversified yield strategy that allocates across Hyperliquid native vaults using robustness criteria. By analysing returns of different vaults, the strategy allocates to vaults that are making profit with smooth returns.

Strategy features

• Directional, not delta neutral
• Diversify across up to six vaults at a time
• Rank vaults by a blended trailing CAGR and Sortino score, so a vault that never posts a down day cannot flatter its own risk score
• Gate out vaults on a negative trailing momentum turn
• Size positions by inverse variance so calmer vaults get more capital
• Rebalance every two days, so the vault redemption fee is not paid for daily weight drift

Risk parameters

• Portfolio can have maximum 6 positions at any time - each position is an investment in Hyperliquid vaults. Six was chosen based as it is a threshold at which we can usually find enough good vaults to fill up the positions.
• 98% allocation target - always deploy most of capital.
• 33% maximum portfolio concentration per one allocated vault
• 33% maximum TVL participation of a target vault - don't become the largest allocator in small vaults
• Vaults whose share price is quoted at too few significant figures are excluded by hand, because rounding rather than performance would drive the returns the strategy sees
• This strategy is sensitive to best days of a year: most profits will be done on 5-10 days when there are market events happening and the allocated vaults are correctly positioned. For the remaining year the strategy gives modest results.

This is a high-risk vault. Trading cryptocurrencies is inheritently risky. You may lose money.

Other notes

• We support both Hyperliquid core (legacy) vaults and HyperEVM vaults, although there are currenty no HyperEVM vaults in the strategy universe for allocation.