A Crypto-Linked Investment (CRLI) is an innovative financial instrument designed for investors looking to gain exposure to the cryptocurrency market while potentially mitigating some of the risks associated with direct crypto investments. CRLI is inspired by traditional Equity-Linked Investments, adapting their structured approach to the dynamic world of cryptocurrencies.

CRLI is linked to the performance of one or more cryptocurrencies, such as Bitcoin or Ethereum. When you invest in a CRLI, your return is determined by the price movement of the underlying crypto assets over a specified period, subject to predefined terms and conditions. Here's what makes CRLI unique:

1. Participation Rate: Your returns are tied to a participation rate, which determines how much of the crypto's price appreciation is reflected in your investment return.

2. Protection Features: Some CRLIs may offer protection features, such as a protection barrier, ensuring that you receive at least a portion of your initial investment back, even if the linked crypto asset's price falls below a certain level.

3. Cap on Returns: There may be a cap on the maximum return, limiting the highest possible gain from your CRLI investment.

It is a simple version of CRLI deployed on Polygon zkEVM where:

1. The underlying is wETHUSDC

2. Security Buffer: 15% (Investors have 15% drop protection in spot prices at maturity before facing any risk)

3. Participation rate: 100%

4. Maturity: 1 month

Product: CRLI-Simple

Underlying: ETHUSDC
Security Buffer: 15%
Participation rate: 100%
Maturity: 1 month (Compounded)
Start date: October 1, 2020
End date: December 31, 2023

Data
Monthly ETHUSDC prices
Monthly ETHUSDC implied volatilities

Performance
Max annualized return: 290%
Max drawdown: 40%
Average APY: 56%