Pendle YT — Currently Excluded
Realized yield: -32.4% annualized. The optimizer dynamically excludes instruments with negative risk-adjusted returns. YT will re-enter the frontier automatically when market conditions recover. The 15% concentration cap remains in the constraint architecture.
| Portfolio | Expected Return | 95% CVaR | On-Chain Weight | Fixed Weight | Strategy |
|---|
Model Overview
Each point on this curve represents a portfolio that minimizes CVaR for a given level of expected return.
The frontier is constructed using 30,000 synthetic scenarios sampled from a regime-blended covariance matrix (85% normal, 15% stress). Pendle YT is excluded from this frontier due to negative risk-adjusted yield.
Min Risk
Balanced
Max Yield
| Instrument | Type | Min Risk | Balanced | Max Yield | Status |
|---|
Monte Carlo Simulation: Simulated 12-month portfolio performance for each named portfolio. One stress event is inserted between day 180–270, applying the stress covariance matrix and a -15% shock to on-chain returns for 14 days. This is synthetic — it illustrates how each portfolio would behave under a DeFi liquidity event.
| Portfolio | Pre-Stress Value | Drawdown During Stress | Recovery Days | End Value |
|---|
Simulation uses synthetic scenario sampling. Stress event timing and magnitude are illustrative. Past model behavior does not predict future performance.