Historical Simulation
Data current as of 2026-05-06.
Illustrative estimates only. Keystone Core was not deployed during the periods modeled below. Results come from the repo simulation (
npm run fund:simulate), which applies simplified fund mechanics to Binance SOLUSDT month-end closes and a Binance SOL perp funding monthly APR proxy. Not actual returns. Does not model execution slippage, oracle latency, liquidity, or basis risk in full.
Methodology (reproducible)
Code:
scripts/simulations/historical-returns.tsat the repository root (helpers inscripts/simulations/).Data snapshots:
scripts/simulations/data/sol_monthly.csv,scripts/simulations/data/funding_monthly_apr.csv. Regenerate:npx tsx scripts/simulations/fetch-data.ts.Window: 40 monthly steps from Dec 2022 → Jan 2023 through Apr 2026 month-end (same month-end anchors for all legs). Core profiles are monthly-rebalanced to fixed weights.
Alpha: Initial ATH $260 (1e6 oracle scale),
low_pct_of_ath25% /high_pct_of_ath80%;calculate_target_sol_bps+ legacy rebalance steps (max_step_bps500, vol/regime path off). jitoSOL leg earns 5.8% APY (pro-rated intra-month); USDC leg 4% lending APY. Fees: 0.5%/yr management, 20% performance above HWM, 0.1% rebalancing on notional moved (share-mint dilution, matching on-chain intent).Neutral: Monthly carry ≈ staking APR/12 + Binance funding APR/12; 0.5%/yr management + 20% performance fee on a simplified share model.
Defense: 6.5%/yr baseline carry, 0% management + 20% performance (same fee machinery).
Sharpe: Monthly excess returns vs 4%/yr risk-free, annualized ×√12.
SOL benchmarks: (1) “Jan ’23 entry” = buy-and-hold from Jan 2023 month-end close through Apr 2026 (39 intervals, comparable to “deposit after the FTX trough”). (2) “Dec ’22 anchor” = full 40 intervals including the Dec 2022 → Jan 2023 rally (matches the same calendar path as the fund sim).
Setup
$100 USDC into Core, held across the window above. Capital split by risk profile:
Conservative
10%
60%
30%
Balanced (default)
20%
55%
25%
Growth
35%
40%
25%
Allocations are clearly separated by risk sleeve (Conservative is Neutral-heavy; Growth is Alpha-heavy). All three profiles remain Sharpe > 1 on this engine; Conservative trades headline yield for lower drawdown.
SOL (Binance month-end, illustrative)
Dec 2022
$9.97
Anchor before Jan 2023
Jan 2023
$23.92
Post-FTX recovery leg
Dec 2023
$101.72
Year-one spot ~4×
Mar 2024
$202.45
Local high before mid-year pullback
Jan 2025
$231.77
Late-cycle high (Binance monthly)
Sep 2025
$208.68
Drawdown from highs
Mar 2026
$83.20
Bear-market trough
Apr 2026
$83.09
Last completed month in data snapshot
Results (Jan 2023 – Apr 2026, simulation output)
Conservative
$150
+49.7%
12.9%
1.35
−3.1%
Balanced
$176
+75.6%
18.4%
1.14
−7.1%
Growth
$217
+117.2%
26.2%
1.02
−12.8%
USDC Lending (4% APY)
$114
+14.2%
4.1%
—
~0%
SOL (Jan ‘23 entry)
$347
+247.4%
—
0.77
(spot)
SOL (Dec ‘22 anchor, 40 mo)
$833
+733.4%
—
0.95
(spot)
Sharpe ratios annualized; USDC risk-free rate ~4%/yr (0.33%/mo).
By Market Phase
Phase returns below use month-end wealth from the same simulation: bull = Jan 2023 through Jan 2025 month-end; bear = Jan 2025 through Mar 2026 month-end (trough); full = full Core window (Dec 2022 anchor for funds, consistent with the 40-step path through Apr 2026).
Bull (Jan 2023 – Jan 2025)
+868.9%
+41.5%
+63.2%
+97.6%
Bear (Jan 2025 – Mar 2026)
−64.1%
+0.6%
−3.7%
−9.7%
Full cycle
+733.4% (Dec ’22 anchor)
+49.7%
+75.6%
+117.2%
Drawdown Detail (month-end series)
Conservative
2025-09
2026-02
−3.1%
Balanced
2025-09
2026-02
−7.1%
Growth
2025-09
2026-02
−12.8%
Snapshot: 2026-05-06
Live data appended to the 2026-04 month-end indices (6-day flat-carry update). Not a re-simulated month — annualized metrics in the table above are unchanged. Reproduce:
npx tsx scripts/simulations/snapshot-live.ts.
SOL spot (Binance, 2026-05-06)
$88.82
SOL move (vs 2026-04 close $83.09)
+6.90%
Funding APR (MTD, perp proxy)
+5.10% (n=18 funding windows)
Alpha sleeve SOL allocation entering month
72.4%
Conservative
$149.69
+0.64%
$150.65
Balanced
$175.56
+1.14%
$177.55
Growth
$217.22
+1.87%
$221.28
Methodology: each sleeve gets a flat-carry update (Alpha = 72.4% × SOL move + staking/lending pro-rata; Neutral = staking + MTD funding pro-rata; Defense = 6.5% APY pro-rata) blended into each profile via the same monthly weights.
Current Entry: SOL ~$89 (May 6, 2026 spot)
Illustrative DCA target (ATH $260, bands 25%–80% of ATH): cheap zones stack toward higher jitoSOL allocation; expensive zones toward lower. Exact on-chain targets depend on live oracle ATH, regime/vol config, and current_sol_bps.
Forward scenarios (illustrative static shocks, not re-simulated here):
Bear
$50 (−43%)
+5.7%
−3.0%
−8.2%
Base
$180 (+105%)
+16.8%
+24.5%
+31.6%
Bull
$350 (+298%)
+28.2%
+52.0%
+72.8%
What the Numbers Say
Conservative: 10/60/30 — ~12.9% APY, Sharpe 1.35, max drawdown −3.1%. The heavy Neutral sleeve dominates; bear-phase wealth is roughly flat while Balanced/Growth give back more.
Balanced: 76% cumulative, −7.1% max DD, Sharpe 1.14 — default mix of directional, carry, and defense.
Growth: 117% cumulative, Sharpe 1.02, −12.8% max DD. SOL from a Jan 2023 entry still shows large terminal spot return, but Sharpe < 1 on monthly returns vs a 4% cash hurdle in this sample.
Caveats
Model risk: Neutral funding is a single-venue proxy; real basis PnL, margin, and regime switches differ.
Vol path: Alpha uses the legacy rebalance branch (vol/regime off). Production funds may use vol-adjusted steps and circuit breakers — allocations can lag faster than this monthly + 8-substep idealization.
Fees: Performance fees are approximated via share dilution on month boundaries; live accrual timestamps differ.
Profile spacing: Conservative stays at 10/60/30 so it reads clearly as the carry-heavy book vs 20/55/25 Balanced and 35/40/25 Growth.
See also: Deposit · Fee Structure · NAV & Share Pricing
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