A 22.79% weekly gain pushes the ETH reserve above its policy weight
Should the treasury trim the reserve back to its stated policy weight after this week's gain, or keep the full position and let the quarterly report absorb the volatility?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 1 February 2021, ETH rose 22.79%, from 1,312.45 to 1,611.62, with a 38.62% range and 106.4% annualised realised volatility. The close sat in the upper third of the range, 7.48% below the 52-week high, on dollar volume 1.78 times the prior 12-week average. Perpetual funding averaged 0.1182% per eight hours, peaking at 0.1764%. ETH beat BTC by 5.56 percentage points with only loose correlation of 0.64. The return ranked in the 95th percentile of 155 weeks of history, and the four prior weeks were mixed.
Judgment
The reserve was sized in calmer weeks, and this week's gain has silently raised its weight without any new decision. Rebalance back to the stated policy weight at the current close, rather than trimming into weakness or adding to strength, and book the gain in the quarterly report as it stands. Positive funding, which averaged 0.1182% per eight hours and peaked at 0.1764%, means long positions pay short ones, a condition that can reverse; it is a reason not to let the position drift larger than policy, not a reason to exit the reserve.
What would change it
If the quarterly close falls back near the week's low of 1,269.99 while funding stays near its 0.1764% maximum, the policy weight itself should be re-set lower. If subsequent weeks show lower realised volatility and fading funding, the weight can be held at the original level.
What sets this case apart
A reserve decision driven by a gain exceeding policy weight, not by a loss, with funding as the reason to enforce the weight rather than abandon the asset.