Digital Asset Portfolio Management
Portfolio Rules
- Asset caps: ≤ 20% per single position (BTC/ETH exceptions may apply per policy).
- Stablecoin buffer: up to 30% in stress regimes, with the option to fully de-risk if warranted.
- Target breadth: 12–15 core assets with a long-horizon approach and cycle‑aware rebalancing.
Scope & Deliverables
- Policy pack: risk limits, eligible assets/venues, execution rules.
- Model portfolio with target weights and guardrails (min/max per asset, cash buffers).
- Rebalancing schedule and event triggers (volatility/risk signals).
- Monthly portfolio letter: attribution, exposures, key decisions, next steps.
- Secure document vault (factsheets, position/venue logs, change history).
Methodology
- Universe selection (liquidity/depth, free float, track record, survivability).
- Sizing via factor exposure, correlation clustering, and risk-budgeting.
- Regime classification (trend/volatility/liquidity) → adjust beta/defensiveness.
- Execution: venue routing, slippage controls, TWAP/VWAP when appropriate.
- Post-trade checks and variance vs. model; corrective actions if needed.
Controls
- Position, venue, and counterparty limits; “no-go” lists.
- Pre-trade checks (liquidity, spreads, fees), post-trade reconciliation.
- Dual approvals (maker–checker); segregated signing roles; change‑management logs.
Reporting
- NAV, gross/net performance, factor/asset attribution.
- Exposure by asset, theme, and venue; cash/stablecoin buffers.
- Risk metrics (volatility, drawdown, liquidity coverage).
Limitations
No guarantees of performance; eligible assets are restricted to the approved universe.
