Risk Parameters
Reference for understanding and tuning the parameters that govern fund behavior.
Core Portfolio Risk Profiles
Keystone Core exposes three portfolios — one per risk profile. Each portfolio_id stores a fixed risk_profile at initialize_portfolio; there is no instruction to relabel an existing portfolio. Depositors pass risk_profile on each deposit and it must match that portfolio’s config. To change profile exposure, users migrate ksCORE to another portfolio_id via migrate_portfolio, or operators deploy a new portfolio with the desired profile. Targets are admin-tunable with update_params within the profile's guardrail bounds.
Allocation Targets and Bounds
Conservative (0)
10%
0–25%
60%
20–70%
30%
15–80%
Balanced (1)
20%
15–50%
55%
35–65%
25%
5–30%
Growth (2)
35%
30–80%
40%
15–45%
25%
0–30%
Bounds were widened on the low end for Alpha and high end for Defense to give admin room to tune without a profile redeploy. Targets sum to 10,000 bps; update_params enforces this constraint.
Targets — where capital is routed on each deposit (bps, must sum to 10,000)
Bounds — hard guardrails;
update_paramswill reject targets outside these rangesEmergency mode — overrides targets to
(0%, neutral_max%, defense_max%), saved targets restored on deactivation
Portfolio-Level Parameters
rebalance_interval
7 days
Minimum seconds between scheduled rebalances
drift_threshold_bps
500 (5%)
Allocation drift that triggers an early rebalance
min_rebalance_usdc
$1
Dust guard — skip rebalance if NAV below this
deposit_cap
Set at init
Maximum total USDC TVL
management_fee_bps
≤ 200 (2%)
Annual management fee on total shares
performance_fee_bps
≤ 3000 (30%)
Performance fee on gains above high-water mark
Return Expectations
Keystone Alpha Fund:
jitoSOL staking rewards: ~5.8% APY
USDC lending via Marginfi: ~3–5% APY
SOL price appreciation: variable, not captured as yield
Blended estimate: 4–5.5% APY
Keystone Neutral Fund:
jitoSOL staking rewards: ~5.8% APY
Jupiter Perps funding rate payments: ~5–15% APY (variable)
Blended estimate: 11–21% APY
Keystone Defense Fund:
JupSOL staking baseline: ~4–6% APY
Episodic income during stress events
Blended estimate: 5–8% APY baseline + episodic
Estimates are not guaranteed. Actual returns depend on market conditions.
All portfolios track a high-water mark. Performance fees apply only to net-new gains above the mark — no fee is charged during recovery from a drawdown.
Keystone Alpha Fund
Allocation Parameters
ATH price
Auto-tracked
SOL all-time high; updates automatically at rebalance
Low threshold
25% of ATH
Below this → maximum SOL allocation
High threshold
80% of ATH
Above this → minimum SOL allocation
SOL min / max
20% / 80%
Hard allocation bounds
Max step
3%
Base maximum allocation change per rebalance
Cooldown
7 days
Minimum time between rebalances
Volatility and Regime Parameters
Vol thresholds
1% / 4%
Boundaries for low and high volatility classification
Drawdown thresholds
35% / 55%
Moderate vs severe drawdown classification
Regime step multipliers
25–150%
Step size scaling factor per regime
Allocation compression
Various
Tightens SOL range in bear markets and near-peak conditions
Circuit Breaker Parameters
Drawdown trigger
50%
Drawdown level at which circuit breaker arms
Volatility trigger
6%
Volatility level at which circuit breaker arms
Step reduction
30%
Step size when circuit breaker is armed
Skip threshold
10% vol
Volatility level at which rebalancing is suspended
Keystone Neutral Fund
Core Strategy Parameters
Settle interval
4 hours
Minimum time between settle_funding calls
Min deploy amount
1,000 USDC
Minimum idle USDC required to trigger auto-deployment
Max swap slippage
1%
Maximum slippage on USDC ↔ jitoSOL swaps
Auto-deploy enabled
true
Enables permissionless capital deployment
Funding Rate Parameters
Negative funding threshold
-50 (raw)
Per-period funding level below which a period is counted negative
Max negative periods
2 consecutive
Consecutive negative periods before emergency_close_position
Funding history size
8 snapshots
Ring buffer depth
Example: 2 consecutive negative funding periods → fund triggers emergency_close_position, then deploy_reverse to enter the reverse basis trade.
Health and Leverage Parameters
Min health factor
1.2x
Auto-deleverage threshold
Target health factor
1.5x
Target Jupiter Perps position health at deployment
Max position
90% of NAV
Maximum percentage of fund NAV deployed
Volatility Sizing Parameters
Vol low threshold
2%
Below this → low volatility regime
Vol high threshold
6%
Above this → high volatility regime
Size multiplier: low vol
150%
Deploy more capital in calm conditions
Size multiplier: normal
100%
Standard deployment
Size multiplier: high vol
75%
Reduced deployment in elevated volatility
Size multiplier: extreme
50%
Minimum deployment in crisis conditions
Example: 10,000 USDC available with 15% realized volatility → fund deploys ~4,750 USDC (50% size multiplier × 95% deployment target).
Fund-Level Tuning by Profile
These are the recommended per-fund parameter settings when using each Core risk profile.
Conservative (Capital Preservation)
Balanced (Default)
Rationale: tighter vol thresholds and lower step multipliers reduce the rate of Alpha accumulation into declining markets. Higher Neutral health factor and lower max position reduce leverage stress exposure during bear cascades.
Growth
Rationale: slightly tighter than prior Growth defaults (cb_vol_trigger 7% vs 8%, cb_skip 12% vs 15%) to reflect the higher Defense allocation now doing more of the bear-market work. step_mult_normal reduced to 110% for smoother rebalancing.
Monitoring Cadence
Daily
Fund status, circuit breaker state, Jupiter Perps position health
Weekly
Realized volatility, active regime, funding rate history, NAV movement
Monthly
Fee collection, parameter effectiveness, actual vs target allocation
Quarterly
Full parameter review, regime classification accuracy, profile reassessment
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