I’ve been modeling crypto asset allocation strategies the past few days and one thing I found is Sushi has a negative daily returns correlation with a few other assets. The one I tested was SNX which has a correlation of -10%. When combined with sushi into a 50/50 split portfolio it produced a return on average 100% greater than the other model portfolios with only a 35% increase in volatility giving it the second highest sharpe ratio. The highest sharpe was the 20/80 split $SNX/$SUSHI with the lowest volatility of any portfolio I modeled.
Seems like a great way to have the 50/50 auto-rebalancing portfolio is through a $SNX/$SUSHI pool. What would it take to create one?
The correlation between $SUSHI and $GRT daily returns are also negative at 11% so it could be worth exploring this pair as well as others with negative correlations.