Curated Lending Vaults
Protocols and treasuries hold stablecoins that earn nothing, and depositing them into a lending market means accepting whoever curated it and whatever collateral they chose.
OPERATIONS RESEARCH · ON-CHAIN CREDIT
We design optimization systems for decisions under real constraints.
Sigma Research OÜ curates on-chain lending vaults. We reject markets on measured evidence rather than on TVL or headline yield — and we test whether our own measures predict anything, then publish it when they do not.
TOOLCHAINMorphoBaseGAMS · CPLEX
What we solve
Market Rejection Screening
A lending market's real risk is collateral that cannot be cleared, and bad debt is socialised to depositors with no protocol backstop. Neither TVL nor headline APY tells you which markets carry that risk — and a large share of headline TVL is not a real market at all.
Constrained Allocation Under Uncertainty
Allocating across markets with caps, capacity limits, exit-liquidity constraints and correlated tail risk is a constrained optimisation problem, and is usually done by judgement instead.
ENGAGEMENT MODEL
How we work
Markets are screened before any capital is committed, and the screen names what it refuses and why. Vault governance is timelocked and the parameters are public. Where the method produces a number we publish how it was measured, including the measurements that disagreed with what we expected.