PieDAO would like to put forward to ANT holders a proposal to diversify and optimise its current Treasury allocation, according to its conservative risk profile and taking into consideration the liquidity needs and opportunity costs of current treasury allocation.
As a background, PieDAO is an Aragon DAO governing tokenized portfolio allocations, which has to date released 8 index products. PieDAO’s indices, Pies, provide a balanced and risk-minimised exposure to a carefully curated set of assets, while also generating passive income through productive use of each underlying asset.
Should the proposal gather support from the Aragon governance, it would be the first implementation of Diversify, PieDAO’s new treasury management service.
With this proposal we would like to put forward two votes:
A) a vote for consensus among ANT holders on their preferred risk level, characterized in the analysis below as medium-low, medium, or medium-high.
B) subject to vote A), a vote for an allocation from the Budget DAO.
The Proposal for Aragon Treasury optimization has been constructed according to its conservative risk profile, taking in consideration the liquidity needs and the opportunity cost of current treasury allocation
Backtesting and benchmark of proposed allocations in order to highlight
Correlation of underlying assets considered
Marginal Contribution to Risk (MCTR) of each asset in respect to the resulting allocation
Return and Standard Deviation of the specific allocation, and its resulting Sharpe Ratio
β (overall systematic risk) of each allocation vs ETH
- Declination of Yield Strategies to be attached to the selected allocation, for growing risk appetites
The Current Allocation
- Scope: Current assets excluding ANT, ANJ & LP positions held
- Approx 93% of Risk (MCTR) concentrated around ETH
- Opportunity cost from the lack of Yield Strategies
- Good Mid-to-Low correlation of assets
The Proposed Allocation
1. Medium-Low Risk Profile
The proposed allocations would be equivalent to 35% USDC | 15% ETH | 50% BCP (Balanced Crypto Pie - a PieDAO index composed of ETH, WBTC, and the DeFi small caps and DeFi large caps), and would carry the following indicators:
2. Medium Risk Profile
The proposed allocations would be equivalent to 30% USDC | 10% ETH | 60% BCP (Balanced Crypto Pie), , and would carry the following indicators: