Pistachio Fi Fear & Greed Vault - Prospectus
Last updated as on May 14, 2026
Strategy Brief
A long-biased ETH strategy with sentiment-driven exposure management. Live on Ethereum mainnet via IPOR Fusion.
1. Strategy Overview
The strategy maintains a target ETH allocation that adjusts as a function of crypto market sentiment, rebalancing infrequently and within a bounded range. The cash component is supplied to Aave V3 to capture lending yield while idle. The strategy is designed to deliver ETH-correlated returns with reduced drawdown relative to passive spot holding.
2. Investment Thesis
Crypto markets exhibit pronounced mean-reverting cycles at the multi-month horizon. Sentiment extremes have historically been associated with both terminal capitulation (low) and durable euphoria (high), creating asymmetric forward return distributions. A rules-based strategy that adds exposure into capitulation and reduces exposure into euphoria, while never abandoning the underlying long position, captures this asymmetry without requiring discretionary timing.
The strategy is structured around an empirically-derived constraint: an asymmetric exposure band with a meaningful floor in stable-asset terms. Parameter selection prioritized robustness across multiple regime windows over in-sample maximum return.
3. Historical Performance Summary
Backtest window: February 1, 2018 to May 14, 2026. 3,025 daily observations. ETH price data from Binance ETHUSDT daily close. Sentiment data from alternative.me Crypto Fear & Greed Index, the longest continuous series available. Cost assumptions: 1 bp swap fee, daily-compounded Aave yield (3.5% USDC, 1.5% WETH) applied to idle balances.
Cumulative results, USD 10,000 initial capital:
Strategy NAV at horizon: USD 45,330
HODL ETH equivalent: USD 24,960
Strategy total return: +353.3%
HODL total return: +149.6%
Annualized performance metrics:
Strategy CAGR: 20.0%
HODL CAGR: 11.7%
Strategy excess return vs HODL: +8.3 pp annualized
Risk-adjusted metrics:
Strategy maximum drawdown: 70.8%
HODL maximum drawdown: 91.9%
Strategy Calmar ratio: 0.28
HODL Calmar ratio: 0.13
Calmar improvement: 2.15x
The strategy's outperformance derives substantially from drawdown reduction. In sustained directional bull regimes the strategy captures less upside than passive holding. Performance attribution by sub-period is provided in section 4.
4. Out-of-Sample Walk-Forward Validation
To address in-sample optimization risk, parameters were tested via walk-forward analysis. A 2-year training window was used to optimize strategy parameters; results were then evaluated on the subsequent 1-year period not seen during optimization. The window was advanced annually and the procedure repeated.
Out-of-sample annual results, strategy versus HODL ETH benchmark:
2020 test year: Strategy +259.6%, HODL +625.6%
2021 test year: Strategy +61.5%, HODL +98.5%
2022 test year: Strategy −12.5%, HODL −42.3%
2023 test year: Strategy +22.3%, HODL +41.2%
2024 test year: Strategy +33.6%, HODL +45.4%
2025 test year: Strategy −1.3%, HODL −20.2%
Average OOS return: Strategy +60.5%, HODL +124.7%. The strategy underperformed HODL in 4 of 6 individual test years (all four were bull or mixed-positive regimes). The strategy outperformed HODL in 2 of 6 test years (both were drawdown years), and the magnitude of outperformance in drawdown years materially exceeds the underperformance in bull years on a Calmar-adjusted basis.
Parameter stability across walks: the optimal deadband parameter fell within the 12% to 20% range in 5 of 6 walks. Production deadband (12%) was selected as the OOS-robust median rather than the per-window maximum.
5. Risk Characteristics
The strategy is designed to deliver a return profile materially different from passive spot ETH:
Downside attenuation. Across the 8-year backtest, the strategy reduced maximum peak-to-trough drawdown by approximately 21 percentage points relative to HODL. This is the strategy's primary documented edge.
Upside attenuation. In sustained directional bull regimes, the strategy structurally underperforms passive holding due to the upper exposure clip. Investors should expect to capture approximately 60-70% of bull-regime upside.
Asymmetric long bias. The strategy never reduces ETH exposure below a stable-asset floor. This is by design and is supported by empirical testing: lowering the floor cut 8-year cumulative returns by approximately 48% in our parameter sweeps.
The strategy is unsuitable for investors who require capital preservation, defined return periods, or guaranteed minimum exposure to either asset.
6. Strategy Methodology
The strategy is rules-based and deterministic given inputs. Daily, it:
Reads the current sentiment index value (primary source: alternative.me; fallback source: CoinMarketCap).
Computes a target ETH allocation as a clipped linear function of the sentiment value.
Reads vault composition and computes drift from target.
If absolute drift exceeds a configured deadband threshold, executes a single atomic on-chain rebalance toward the target allocation. Otherwise no action is taken.
Specific functional forms, parameter values, and signal weighting are proprietary. The behavioral envelope is fully disclosed:
Maximum ETH exposure: bounded
Minimum ETH exposure: bounded above zero
Trade frequency: 5-15 rebalances per annum historically
Trade size: bounded by the maximum exposure range
All trades execute atomically in a single transaction. There is no leverage, no derivative exposure, and no off-Ethereum execution.
7. Asset Universe and Protocol Risk
The strategy interacts exclusively with the following:
Assets: USDC and WETH.
Lending: Aave V3 (Ethereum mainnet deployment).
Swap: Uniswap V3 USDC/WETH pool, 0.01% fee tier.
Network: Ethereum L1.
The strategy does not use bridges, L2 rollups, lending markets other than Aave V3, swap venues other than Uniswap V3, or any non-canonical asset wrappers. Protocol concentration risk is acknowledged: the strategy is dependent on the continued solvency and correct operation of Aave V3 and Uniswap V3, and the integrity of USDC reserves and WETH custody.
8. Operational Architecture
The strategy is implemented via IPOR Fusion, a permissioned vault framework on Ethereum. The vault holds and routes assets; strategy logic is executed by an off-chain keeper that constructs and broadcasts atomic transactions.
Keeper key authority: execution-only. Restricted to whitelisted fuses and whitelisted assets via on-chain access control. Cannot move funds outside the asset universe under any compromise scenario.
Slippage cap: enforced on-chain per swap. Bounds the worst-case execution outcome from key compromise or oracle failure.
Atomic execution: every rebalance is a single transaction. No partial states, no inter-transaction race conditions.
State pinning: keeper reads are pinned to specific block numbers to prevent RPC load-balancing inconsistencies.
Monitoring: the keeper emits health-check telemetry and on-chain transaction notifications. Operator is alerted on alpha balance depletion or strategy execution failure.
9. Governance
The Plasma Vault is owned by a 3-of-5 multisig. The multisig holds atomist and fuse-manager authority and is the only entity that can:
Change strategy parameters
Add or remove fuses
Modify the keeper key allowlist
Move principal
The 3-of-5 quorum is required for any of these operations. No single signer can effect any change unilaterally.
Strategy source code is open source, version-controlled, and auditable end-to-end. All keeper actions emit public events.
10. Fee Schedule
Performance fee: 10% of returns above the high-water mark, charged on realization. Paid to Pistachio.
Management fee: 50 basis points per annum on NAV, accrued continuously. Paid to IPOR DAO.
Onboarding contribution: 5 basis points on each deposit. Allocated to existing holders to offset socialized swap costs.
There is no deposit lock-up. Redemptions are processed via the IPOR WithdrawManager and typically settle within minutes of request.
11. Investor Suitability
The strategy is appropriate for investors who:
Seek long-term ETH-correlated exposure with reduced drawdown
Have a multi-cycle investment horizon
Can tolerate the asymmetric trade-off of attenuated bull upside in exchange for attenuated bear drawdown
Accept DeFi protocol and smart-contract risk
The strategy is not appropriate for investors who require:
Capital preservation or principal protection
Defined or guaranteed periodic returns
Maximum exposure to ETH spot upside in directional bull regimes
Liquidity guarantees beyond the IPOR WithdrawManager flow
12. Risk Factors
The following risk factors apply and are not exhaustive:
Market risk. Crypto market prices are volatile. Substantial losses, including total loss of principal, are possible.
Smart-contract risk. Underlying protocols (IPOR Fusion, Aave V3, Uniswap V3) may contain undiscovered vulnerabilities.
Oracle risk. The strategy relies on Chainlink price oracles for valuation and execution slippage checks. Oracle malfunction or manipulation could result in suboptimal execution.
Stablecoin risk. USDC has historically experienced brief de-pegging events. The strategy holds USDC as the stable component of NAV.
Operational risk. The keeper may fail to execute, execute late, or execute incorrectly due to infrastructure, network, or signal-source failure.
Strategy risk. The backtested historical performance is based on a single historical realization of the crypto market regime. The next 8 years may not resemble the prior 8 years in ways that materially affect strategy performance.
Sentiment signal risk. The strategy depends on the continued availability and methodological consistency of the alternative.me and CoinMarketCap Fear & Greed indices.
Regulatory risk. The legal status of on-chain investment products is evolving. Regulatory developments could affect the strategy's availability or operation in some jurisdictions.
The 8-year backtest and walk-forward validation establish historical evidence of the strategy's behavior across multiple regime types. They do not guarantee any particular outcome over any future period.
13. Disclosures
This document describes the strategy and its historical backtested performance. It is not an offer or solicitation. Past performance is not indicative of future results. Backtested results have inherent limitations and do not reflect actual trading. Investors should perform their own due diligence and consult professional advisers before depositing.
This product is available on a permissionless basis through the IPOR Fusion interface. Pistachio does not provide investment advice and does not screen depositors. Investors are solely responsible for compliance with any applicable laws or regulations in their jurisdiction.
Pistachio Fear & Greed Vault
Strategy contract: 0x23C04A2A2344df5Fb1c8624f4e9E0Dd3945Acc0b Mainnet, IPOR Fusion. Source: open-source repository.
Document version: production v1.0. Last updated: May 2026.
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