Strategy fact sheet . Prepared for Dialectic . 30 May 2026
DUSD Treasury Allocation
Hybrid mandate. Preservation core plus institutional credit satellite.
Investment objective
Generate risk-adjusted yield on a $25M USD-denominated DeFi treasury while keeping capital preservation as the binding priority. Build a hybrid book combining a preservation core of audited institutional venues with a single, sized tactical credit satellite. Every position scored on a six-lens risk framework, sized to its tier cap, and monitored against quantitative exit triggers.
Key features
- 87% preservation core across audited Aave and Morpho infrastructure (sGHO, Sentora PYUSD, KPK USDC Prime).
- 13% tactical satellite sized to Maple Syrup USDC for an institutional credit yield premium.
- Six-lens risk framework (SC, Economic, Governance, Oracle, Liquidity, Bridging) drives composite score, tier classification, and hard cap per venue.
- Cross-protocol look-through traces every dollar to its underlying collateral and risk family.
- No leverage in Base. The 2.86x loop is reserved for the Enhanced demonstration only.
Risk indicator
Lower risk / rewardHigher risk / reward
A delta-neutral, fully USD-collateralised book. Residual risks are concentrated in institutional credit (Maple satellite) and smart-contract risk at curator-vault layers, not market direction.
Strategy information
Reference AUM$25,000,000
Accounting currencyUSD (stablecoins)
BenchmarkUS 3M T-bill 3.60%
Mandate typeHybrid: core + satellite
DomicileEthereum mainnet
Inception (modelled)May 2026
Horizon12 months
Positions (Base)5 active
Cost drag10 bps p.a.
Key risks
- Credit concentration in the Maple satellite (Economic score 4 of 5; dominant tail).
- Smart-contract risk at the Morpho curator layer and across the Maple V2 / Syrup stack.
- Liquidity: FIFO redemption queue on Maple with no contractual maximum withdrawal period.
- Off-chain NAV marking of Maple loan book by the Pool Delegate; cadence not officially documented.
- Stablecoin / issuer risk across USDC, GHO, and PYUSD.
Strategy characteristics . Base case
4.16%
Net yield across positions, after costs
+56 bps
Excess return over the 3M T-bill
$1.04M
Dollar income on $25M AUM in one year
4.41%
Enhanced case net APY (+25 bps uplift)
5.1%
Chance of finishing below $25M (12m)
0.00%
Maximum drawdown (12m backtest)
Portfolio allocation . Base case
sGHO 30%
Sentora 25%
KPK 25%
5%
Maple 15%
sGHO (Aave)
Sentora PYUSD
KPK USDC Prime
Liquidity buffer
Maple Syrup USDC
| Venue | Curator / Protocol | Tier |
Weight | Gross APY | Net APY | Wtd contribution |
| sGHO | Aave Savings | Core | 30.0% | 4.25% | 4.15% | +1.25% |
| Sentora PYUSD | Morpho vault | Standard | 25.0% | 4.86% | 4.76% | +1.19% |
| KPK USDC Prime | Morpho vault | Standard | 25.0% | 4.27% | 4.17% | +1.04% |
| Liquidity buffer | Native USDC | Core | 5.0% | 0.00% | 0.00% | +0.00% |
| Maple Syrup USDC | Maple Direct | Satellite | 15.0% | 4.71% | 4.61% | +0.69% |
| TOTAL / Blended | 5 venues | . | 100.0% | . | . | 4.16% |
DUSD Treasury Allocation . Risk profile and forward scenarios
Risk decomposition, scenarios, Monte Carlo
Six-lens risk framework . portfolio weighted composite
Per-venue risk scores from 1 (low) to 5 (high) on six lenses, weighted by Base-case allocation to derive the portfolio-level composite per lens. Lens weights: SC 20%, ECON 25%, GOV 15%, ORACLE 20%, LIQ 15%, BRIDGE 5%.
Smart Contract
1.95
20% weight
Economic
2.50
25% . dominant
Yield scenarios . portfolio level
| Scenario | Construction |
Portfolio APY | Excess vs RF | $ on $25M |
| Bear | Per-venue forward sigma down-shock | 3.05% | (-55 bps) | $762K |
| Base | Current observed APY net of cost drag | 4.16% | +56 bps | $1.04M |
| Bull | Per-venue forward sigma up-shock | 5.02% | +142 bps | $1.26M |
Forward sigma is regime-adjusted upward from trailing 12m realised sigma. The calm sample understates the forward distribution.
Monte Carlo . 1,500 paths, AR(1), with tail events
Per-venue APY simulated as mean-reverting around base, with annual tail events injected (stablecoin depegs, credit defaults, curator-vault exploits). Portfolio output is the weighted blend across positions, net of cost drag.
12-month backtest . risk-adjusted performance
Trailing 12 months. Current weights applied to historical monthly venue APY (Jun 2025 to May 2026; DefiLlama and Morpho data sources).
Annualised return (12m)4.66%
Annualised volatility0.14%
Sharpe ratio7.40
Excess return vs RF+106 bps
Maximum drawdown0.00%
Hit rate (months > RF/12)100%
Best month+0.49%
Worst month+0.36%
Monthly aggregation suppresses intra-month volatility; Sharpe is an upper bound at this data frequency. Monte Carlo on the block above is the more conservative forward read.
DUSD Treasury Allocation . Enhanced case, manager note, assumptions
Enhanced case, rationale, key assumptions
Allocation . Enhanced case (demonstration only)
| Venue | Base | Enhanced | Delta | Rationale |
| sGHO | 30% | 30% | . | Unchanged |
| Sentora PYUSD | 25% | 25% | . | Unchanged |
| KPK USDC Prime | 25% | 25% | . | Unchanged |
| Liquidity buffer | 5% | 5% | . | Unchanged |
| Maple Syrup USDC | 15% | 0% | -15% | Swapped out |
| syrupUSDC/RLUSD loop 2.86x | 0% | 15% | +15% | Leverage uplift on syrupUSDC carry |
| Blended net APY | 4.16% | 4.41% | +25 bps | Tradeoff: higher Economic and Liquidity tail risk |
Enhanced is not the recommended deployment. It demonstrates how the framework responds when mandate risk appetite is higher: swap direct Maple for the 2.86x leverage loop. The loop carries the highest Economic and Liquidity scores in the venue universe (4 of 5 on both).
Key assumptions
Reference AUM
$25,000,000 USD-denominated, single-treasury mandate.
Benchmark
US 3-month Treasury bill at 3.60% (Federal Reserve H.15 release, 22 May 2026).
Cost drag
10 bps p.a., covering gas and rebalancing. Applied at portfolio level.
Risk framework
Dialectic Chronograph extended with Liquidity as a 6th lens for treasury-mandate relevance.
Lens weights
Smart Contract 20%, Economic 25%, Governance 15%, Oracle 20%, Liquidity 15%, Bridging 5%.
Tier caps
Core 30% NAV, Standard 25%, Satellite 15%, Drop 0%.
Yield scenarios
Bear and Bull APYs derived by shocking per-venue forward sigma down or up from current rates.
Monte Carlo
1,500 paths, AR(1) mean-reversion, annual tail events injected for stablecoin depegs, credit defaults, and curator-vault exploits.
Backtest
Trailing 12 months (Jun 2025 to May 2026), current weights applied to historical monthly venue APY data.
Data sources
DefiLlama API, Morpho V2 GraphQL, on-chain reads for Aave and Maple. All rates verified at report date.
Sources. Excel model (DUSD_Allocation_Model.xlsx) tabs: Summary, Allocation Base, Allocation Enhanced, Venue Scores, Risk Framework, Yield Scenarios, Monte Carlo, Backtest. Risk framework extends Dialectic Chronograph (Smart Contract, Economic, Oracle, Governance, Bridging) with Liquidity as a 6th lens. Disclaimer. Case-study deliverable prepared for Dialectic. Not investment advice. All figures modelled or pulled from public sources at report date and subject to change. Past performance does not guarantee future results.