[Weekly] Market Return on StableCoin-based Strategies(7 Aug 2023): We are Moving to Substack

The Serenity Research
3 min readAug 8, 2023


We have made a major revamp of this Weekly to make it more relevant of the current stablecoins industry. Going forward, this Medium publication will be combined with our Substack publication every Thursday. The weekly is still free for all users.


Risk Free Rate

  • The simple average of Compound V1 and Aave V2 USDC lending rate.

Mainstream Rate

  • Convex 3CRV, Convex FRAX-USDC (FRAXBP), DAI DSR, and Convex crvUSD-USDC, rates are TVL-weighted average
  • Coupled with Risk Free USDC lending pools, Mainstream pools have the least risk in DeFi and allow users to invest more than $10m without material impact on the yield.


  • Pools with more than $5m TVL and reasonably safe.
  • Benchmark is our core research focus. First, this allows users to invest a portfolio of $1m, allocated in several pools, and achieve the Benchmark yield with risks reasonably diversified.
  • Second and more importantly, users can compare the risk exposures of a protocol/pool/portfolio with the Benchmark pools, to assess if the yield is reasonable. We use this methodology in our protocol analysis published as Premium Papers in our Substack. We believe that the DeFi sector is a near efficient market and risk and returns are correlated.
  • For each pool, we make arbitrary adjustments to its yield, based on our subject risk assessment. See below Risk Adjustment.

Exotic Strategies

  • Pools with more than $1m TVL, or it’s new, or it has a complex design, or its design feature includes risk of principal loss.
  • Similarly, this allows a user to diversify a portfolio of a few hundred thousand dollars into several pools and achieve higher yield, whilst taking higher risks. In our Premium Papers, we also provide discussions about these pools, although we might not be able to give a long-term yield projection.
  • For each pool, we make arbitrary adjustments to its yield, based on our subject risk assessment. See below Risk Adjustment.

Delta Neutral

  • Pools that have about half stablecoin and half non-stablecoin. We hedge the non-stablecoin portion and compute the net yield, after factoring into account the hedging cost (gain), impermanent loss, capital used.
  • For example, Uniswap V2 ETH-USDC pool is typical in this category. Similarly, GMX’s GLP fits in as well, although the risk is higher.
  • We see this section is a supplement to the above passive strategies under Benchmark and Exotic sections, as they need to be monitored and manually maintained.

Funding Rates

  • Binance coin-margined futures for large caps.
  • A typical strategy here is buy coin X, deposit into Binance coin-margined futures and short the same amount to harvest the funding rates (the Compounded APY here).

Risk Adjustment

The assessment of risk is subject and anyone can modify these parameters based on his own opinions.

Other Notes

  • For more degen and smaller protocol/pools, we will selectively highlight them in the Substack weekly.
  • We will not discuss week to week changes, but we will review major events over the week.
  • If you are interested in understanding or verifying any information or calculation here, please contact us directly by @serenityfund in Twitter and describe your questions. We try to make the Q&A process public, so that more users could benefit from it.

Thank you all for the support and sincerely hope to see you in our https://serenityresearch.substack.com/ Substack. All the best and may fortune be upon you.



Head of Research, Serenity Team

8 Aug 2023



The Serenity Research

Zero market risk and stable return - risk neutralised cryptocurrency fund.