12D scoring methodology

Sharpe ratio

Measures risk-adjusted return by comparing excess return over the risk-free rate to the standard deviation of returns. Used to evaluate whether portfolio returns justify the volatility taken.

180-day annualized volatility

Standard deviation of daily returns over 180 days, annualized by multiplying by the square root of 365. This gives a consistent measure of price swing risk across all assets.

Maximum drawdown

The largest peak-to-trough decline in asset value over the analysis period. Shows the worst-case historical loss for each holding and the portfolio as a whole.

Pearson correlation coefficient

Measures the linear relationship between daily returns of any two assets, ranging from -1 (inverse) to +1 (perfect correlation). Used to detect hidden concentration risk when assets move in lockstep.

Herfindahl-Hirschman Index (HHI)

Sum of squared portfolio weights. Ranges from near 0 (highly diversified) to 1.0 (single asset). The same index used by regulators to measure market concentration, applied to your portfolio allocation.

Measures how much of your portfolio is concentrated in a single asset. If one coin exceeds 50% of total value, this dimension flags it immediately. The score uses HHI, the same index regulators use to measure market concentration, applied to your portfolio weights.

Evaluates whether your holdings span enough sectors, use cases, and risk tiers. Holding five L1 tokens is not diversification if they all move together. This dimension checks for meaningful variety across DeFi, infrastructure, store-of-value, and other categories.

Scores the overall price swing risk of your portfolio using 180-day annualized volatility for each holding. Assets with consistently high volatility pull your score down. This metric uses standard deviation of daily returns, annualized over 180 days of historical price data.

Checks whether you could exit each position within a reasonable timeframe without significant slippage. Positions where your holding exceeds a meaningful percentage of daily volume are flagged as liquidity risks.

Estimates how far your portfolio could fall in a severe market-wide downturn. Uses historical max drawdown data for each asset over the past 180 days. Portfolios heavily weighted toward assets with 80%+ historical drawdowns score poorly.

Identifies which holdings are underwater and which carry unrealized gains. While past performance does not predict future results, holding multiple deeply negative positions often indicates poor timing or lack of rebalancing discipline.

Evaluates whether capital is distributed intentionally or piled into a few bets. Uses the Herfindahl-Hirschman Index to measure how evenly capital is spread. Extreme imbalance (one asset at 90%) scores poorly regardless of which asset it is.

Checks your exposure to established anchor assets like BTC and ETH that reduce overall portfolio fragility. Portfolios with zero large-cap exposure are more vulnerable to market-wide sell-offs where smaller assets drop disproportionately.

Flags small-cap and micro-cap positions that could collapse in a downturn. Assets below certain market cap and volume thresholds are scored as fragile. This is not a judgment on the project, just a reflection of statistical risk.

Assesses whether yield-bearing positions offer sustainable returns or introduce hidden risk through unsustainable APY. Extremely high yields often indicate dilutive tokenomics or protocol risk that is not reflected in price alone.

Detects how far your current allocation has drifted from your chosen strategy target. Shows exact dollar amounts: sell $X of one asset, buy $X of another. Supports three strategy modes: BTC Core, Balanced 12D, and Aggressive Diversification.

Separates intentional high-conviction positions from dangerous overexposure. Uses Pearson correlation analysis across all holdings to detect when assets that seem different actually move in lockstep, creating hidden concentration risk.

BTC Core

Heavy BTC allocation (50-70%) with satellite positions in ETH and select alts. Prioritizes stability and store-of-value exposure.

Balanced 12D

Targets even distribution across risk tiers: large-cap anchors, mid-cap growth, and small selective positions. Optimizes for the highest overall 12D score.

Aggressive diversification

Maximizes sector and use-case spread with tighter concentration limits. Accepts higher volatility in exchange for broader coverage across the crypto ecosystem.