The risks of the Convex Index come from several areas. Fundamentally, there is smart contract risk from CortexDAO, Curve, and Convex. Since rewards are primarily given in CRV and CVX tokens, there is market risk from those tokens, although somewhat limited due to the short duration held before they are reinvested into the portfolio. There is also liquidity risk, as transaction costs and the supply vs demand of stablecoins changes due to overall market conditions, which affects rebalancing. Last but not least, there is stablecoin risk, as each stablecoin has different tail risks that may cause them to deviate from the peg.