We consider this LRTs historical tracking error to be moderately risk. After accounting for ETH’s volatility over the last 90 days, the market price has consistently remained within +/- 1% the underlying NAV, we’d like to see more consistency within 0.5%. Ideally, we’d like to see market price consistently remain within 0.5% of NAV over a longer period of time.

Using the slippage curve below and this LRT’s average daily volume, we consider the liquidity depth to be healthy. A trade matching ADV after liquidity has been depleted by 50% still has price impact below 5%. We estimate price impact by multiplying slippage by 2.5 and reduce by a factor of 6 if withdrawals are enabled.

We consider the current whale concentration for this LRT to be moderate. The largest whale holds less than 5% of the LRT’s total supply, but the 3 largest whales hold more than 5% of the total supply. We increase the threshold by a factor of 6 if withdrawals are enabled.