Macro Index

Thesis

Holds a long-only macro basket of US large-cap equities, gold, and oil, with less weight in the more volatile markets.

Strategy

• Inverse volatility: It weights each market inversely to its 90-day volatility, between 5% and 65%, from 91 completed daily closes. • Drift rebalance: It rebalances at 10 percentage points of total drift with a daily cooldown, reducing exposure before adding. • Drawdown brake: A 20% drawdown brake blocks additions and resumes after recovery to a 10% drawdown.

Exposure

• Holds: SP500, gold, oil perps — Weights sum to 100% of this session's virtual allocation. • Venue: Hyperliquid — Unlevered Hyperliquid perpetuals. • Leverage: None — Unlevered: weights sum to 100% of the session allocation. • Costs: Fees and funding — Funding on the perpetual positions and trading fees on rebalances. • Data: Circuit — Daily closes and prices come from Circuit data; it calls no outside service. • On unwind: Positions close — Unwind closes the basket's SP500, gold and oil perpetual positions.