Calculating Vault Performance

Overview

The rewards percentage is estimated on-the-fly using actual vault data. This takes the last five days or so of vault rewards and assumes they are representative of the next year.

The rewards shown exclude vault fees.

Technical Details

More concretely:

  1. The TruFin LST / Native Token exchange rate as calculated by the vault is sampled periodically, on average every hour.

  2. This time-series is then resampled, interpolating linearly in time between points in the price series to generate a new time-series with points precisely one hour apart.

  3. The mean hourly return is taken over the last 120 share price readings.

  4. This average is then compounded hourly to give an annual return.

Formally, denote by {(ti,si)}i=1,,120\{(t_{i},s_{i})\}_{i=1,\dots,120} tuples representing successive times t1<<t120t_{1} < \ldots < t_{120} and exchange rate prices originally sampled. This is converted into a time-series {(tj,sj)}j=1,,n\{(t^\prime_{j},s^\prime_{j})\}_{j = 1,\dots,n} where for each jj

tj+1tj=1 hourtn=t120sj=si+1(ti+1tj)+si(tjti)ti+1ti\begin{align*}t^\prime_{j+1} - t^\prime_{j} &= 1\text{ hour}\\ t^\prime_{n} &= t_{120} \\ s^\prime_{j} &= \frac{s_{i+1}(t_{i+1} - t^\prime_j) + s_{i}(t^\prime_{j} - t_{i})}{t_{i+1} - t_{i}}\end{align*}

where ii is such that titjti+1t_{i} \le t^\prime_{j} \le t_{i+1} and n=t120t11 hourn = \left\lfloor \frac{t_{120} - t_{1}}{\text{1 hour}} \right\rfloor, i.e. the number of whole hours in the original sample. We then convert this into a list of hourly returns, adjusting for vault fees rj=(sj+1/sj1)/(1fee)r_{j} = (s_{j+1} / s_{j} - 1) / (1-\text{fee}). To calculate the final rewards, we take the mean rˉ=1n1j=1n1rj\bar{r} = \frac{1}{n-1}\sum_{j=1}^{n-1}r_{j} of these hourly returns and compound this over a year to give an annual number:

APY:=(1+rˉ)24×3651\mathrm{APY} := \left(1+\bar{r}\right)^{24\times 365} - 1

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