Final Macro Hedge Update (imminent launch)

Hi WSB’ers

Final update prior to imminent launch of our first ETP.

Update to the constituents of the Macro Hedge ETP

Due to the New Zealand Stablecoin (NZDS) not meeting the liquidity requirements (yet) of the ETP methodology, it has been excluded from the Macro Hedge ETP. The EUR pegged stablecoin STASIS EURO has also been removed from the ETP as their Balancer pool liquidity also fell below the “Guiding Principles for Asset Eligibility Criteria”.

  • Liquidity: Listed on Balancer and has at least 1 public pool with $50,000 USD worth of liquidity.

This means the weightings have been changed to reflect the constituent change.

To keep aligned with the methodology, specifically, “75-80% in fiat-backed assets, and 20-25% in crypto and tokenized commodities”, the new weights have only been adjusted to the fiat backed assets. The below table displays the new weights.

Name Ticker Type Weight
USD Coin (Centre) USDC Currency 40.00%
PAR Stablecoin (EUR) EURS Currency 35.00%
Wrapped Bitcoin WBTC Crypto 5%
Wrapped Ethereum WETH Crypto 5%
CoinShares Wrapped Digital Gold WDGLD Commodity 15%

Once these liquidity requirements have been met in the future, the ETP can consider reinstating NZDS and other alternatives to tokenized asset backed cryptos .

Here are some updated charts with the new weights.

The below charts compare the cumulative returns and maximum drawdowns from August 2015 and year to date (2021). Some of the instruments compared in the below charts are as follows:

S&P 500 (SPX):

The US SPX 500 is based on a US stock market index that measures 500 of the largest US publicly traded companies, weighted by market capitalisation.

GOLD:

This is the XAUUSD market which represents the price of 1 troy ounce of gold in U.S. dollars.

TIP:

The iShares TIPS Bond ETF seeks to track the investment results of an index composed of inflation-protected U.S. Treasury bonds.

VNQ:

The investment seeks to provide a high level of income and moderate long-term capital appreciation by tracking the performance of the MSCI US Investable Market Real Estate 25/50 Index that measures the performance of publicly traded equity REITs and other real estate-related investments.

The below chart compares the cumulative returns of the ETP Hedge vs the S&P 500 vs Gold vs TIP vs VNQ, since August 2015.

The below charts show the Maximum Drawdowns (MDD) since August 2015. The MDD is the maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained.

The below chart compares the cumulative returns of the ETP Hedge vs the S&P 500 vs Gold vs TIP vs VNQ, from the start of the year, Jan 2021.

Risk Adjusted Returns

The below tables measure how much risk is associated with producing a certain return. I compare the ETP to the S&P 500 over a 5 year period and another year to date (2021).

(Since 2015) ETP Hedge S&P
CAGR 17.87% 12.30%
Risk Free Rate 2.00% 2.00%
Annualised Volatility 13.69% 15.51%
Sharpe Ratio 1.16 0.66
Beta 1.40 1
Max Drawdown -14.95% -33.92%
(YTD 2021) ETP Hedge S&P
CAGR 24.29% 32.07%
Risk Free Rate 1.70% 1.70%
Annualised Volatility 9.95% 10.64%
Sharpe Ratio 2.27 2.86
Beta 4.43 1
Max Drawdown -5.77% -4.23%

Thanks for your patience, and we’ll be moving fast now that our framework is in place.

-WSBDApp team

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