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 Sharpe score
• Gate out vaults on a negative trailing momentum turn
• Size positions by inverse volatility so calmer vaults get more capital

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.
• 35% maximum portfolio concentration per one allocated vault
• 15% maximum TVL participation of a target vault - don't become the largest allocator in small vaults
• 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.

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.