Q2 2026
Lido stRATEGY Transparency Report
By Delta Y
Highlights
Lido stRATEGY is a ETH-denominated Earn Vault tracking diversified DeFi yield strategies built around stETH, with dynamic allocation across lending, looping, and liquidity provision protocols including Aave, Ethena, and Uniswap, managed by Mellow Protocol. The vault was deployed on September 19, 2025, with regular price updates beginning on September 21, 2025, and data on protocols' allocations available since January 25, 2026.
During Q2 2026, Lido stRATEGY's AUM decreased from $206.53M to $144.36M. The inception-to-date return (net of fees) now amounts to 5.27% annualized.
Other relevant indicators can be seen in Table 1 below:
Q1 2026 | Q2 2026 (Δ) | |
|---|---|---|
Avg. NAV | $103.28M | $171.51M (66.06%) |
Avg. APY | 4.30% | 2.28% (-2.02 p.p.) |
Avg. Leverage | 5.46x | 4.45x (-18.59%) |
Net Deposits | $146.09M | -$37.98M (N/A) |
Performance
Lido stRATEGY reached a price of $1.0404 in its latest oracle update, reflecting a 0.61% return for the second quarter. The trailing (7 days minimum) APY peaked at 6.26% during this period, with a minimum of -0.83%.
Table 2displays the vault's performance against other comparable yield strategies:
Q1 2026 | Q2 2026 | |
|---|---|---|
Lido stRATEGY wstETH | Lido stRATEGY wstETH | |
Avg. APY | 4.28% 2.51% | 2.19% 2.49% |
Std. Dev. APY | 1.19% 0.13% | 1.67% 0.10% |
Portfolio Allocation
The vault's main strategies during this period - ranked from highest to lowest by average NAV - were Borrowing ($110.52M or 67.25%), (Re)Staking ($15.43M or 9.39%) and Discretionary Capital Allocation ($4.20M or 2.55%).
As of the reporting date, the vault's capital is deployed across 4 blockchains and 7 protocols, with exposure over the past quarter ranging between 5-7 protocols.
More notably, Lido stRATEGY's capital allocation across the top 5 most common protocols is detailed in Figure 1:
1 The deep dive data became available on Jan 25, 2026.
Figure 1: Average NAV allocated by Lido stRATEGY to the top 5 protocols over the last 2 quarters.
The vault's largest asset holdings for the quarter were wstETH ($322.55M or 49.71%), rsETH ($235.13M or 36.24%) and Unclassified ($32.57M or 5.02%), which have, on average, collectively represented 90.97%of the vault's total assets.
At the end of the period, the vault's leverage was 4.62x, which represents an increase of 63.00% from the start of the quarter.
Other relevant indicators can be seen in Table 3 below:
31st Mar 2026 | 30th Jun 2026 | |
|---|---|---|
Assets | ||
wstETH | $290.57M 52.75% | $414.21M 62.13% |
rsETH | $90.88M 16.50% | $191.90M 28.79% |
stETH | $0.00 0.00% | $46.95M 7.04% |
USDe | $32.18M 5.84% | $31.97K < 0.01% |
sUSDe | $32.14M 5.84% | $0.00 0.00% |
Unclassified | $43.66M 7.93% | $11.04M 1.66% |
Others | $61.39M 11.15% | $2.52M 0.38% |
Total Assets | $550.83M 100.00% | $666.65M 100.00% |
Activity
During Q2 2026, the vault processed $143.65M in deposits and $181.63M in withdrawals, resulting in -$37.98M of net deposits over a total of 91 transactions.
As of period end, the Lido stRATEGY vault had 757 holder addresses, representing a decrease of 19.12% from the start of the quarter.
Other relevant indicators can be seen in Table 4 below:
Q1 2026 | Q2 2026 (Δ) | |
|---|---|---|
Deposits | $214.47M | $143.65M (-33.02%) |
Withdrawals | $68.37M | $181.63M (165.65%) |
Net Deposits | $146.09M | -$37.98M (N/A) |
Avg. Holders NAV | $97.72K | $216.44K (121.48%) |
Median Holders NAV | $2.99K | $738.30 (-75.32%) |
Disclosures
Security: Veda smart contracts have been audited by 0xMacro and Cantina and Mellow smart contracts have been audited by Nethermind Security and Sherlock (Lido infra providers).
Fees: Lido vaults may be subject to management and performance fees, which are automatically deducted and reflected in net returns.
Accounting: Lido stRATEGY's price is updated periodically onchain. Price increases stepwise rather than reflecting real-time mark-to-market.
Risks: Smart contract risk (potential total loss), market risk (depegs, rate volatility), and counterparty risk (centralized components in some protocols).
Data Sources: Unless otherwise stated, all data presented in the report is obtained from on-chain sources. Any supplementary sources are explicitly noted where applicable.
Disclaimer
This report is for informational purposes only and does not constitute financial, investment, legal, or tax advice. The information contained herein is not an offer to sell or a solicitation of an offer to buy any security, nor shall any securities be offered or sold to any person in any jurisdiction in which such offer, solicitation, purchase, or sale would be unlawful.
Investing in decentralized finance (DeFi) products, including Lido stRATEGY, involves significant risks, including but not limited to smart contract vulnerabilities, market volatility, and regulatory uncertainty. Past performance is not indicative of future results, and investors may lose some or all of their principal.
The data and analyses presented in this report are based on information believed to be reliable, but their accuracy, completeness, and timeliness are not guaranteed. The strategies and allocations described are subject to change without notice. All investment decisions should be made with the help of a qualified professional and based on your own research and risk tolerance.