Portfolio — pairs as a book.
Risk-parity sizing across pairs, β-to-market exposure, Amihud liquidity and half-life filters, and a correlation-of-pairs heatmap to surface clusters of redundant edge. All computed from default backtest results — adjust filters to see the book change.
Filters
Aggregate book
risk-parity weightedCombined equity (risk-parity)
Pair-by-pair table
extended risk + capacity| Pair | Sector | β | Coint | KPSS | ½-life | Amihud | βmkt | Sharpe | CVaR95 | Ulcer | Cap $ | Total | Status |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| MEGA/WHEN | Banks | 0.96 | ✔ | ✔ | 3.3 | 0.00 | 0.98 | -0.19 | -2.30% | 0.0923 | $5.1M | -15.2% | in book |
| NORTH/SOUTH | Energy | 0.93 | ✔ | ✘ | 7.4 | 0.00 | 0.93 | -0.08 | -2.17% | 0.1580 | $2.6M | -8.1% | in book |
| SAGE/OAKE | Tech | 1.08 | ✔ | ✘ | 9.0 | 0.00 | 1.21 | -0.00 | -2.70% | 0.0802 | $2.6M | -6.4% | in book |
| AURA/KINS | Consumer | 1.23 | ✔ | ✘ | 14.7 | 0.00 | 0.77 | 0.23 | -2.37% | 0.0666 | $1.7M | +11.7% | in book |
| PYRE/VALE | Industrials | 0.34 | ✘ | ✘ | 43.9 | 0.00 | 1.07 | -0.35 | -2.22% | 0.1597 | $3.8M | -22.5% | not coint |
| ATLO/BERN | Healthcare | 0.60 | ✘ | ✘ | 206.4 | 0.00 | 0.03 | -1.14 | -0.84% | 0.2180 | $3.6M | -23.8% | not coint |
| QUARK/LEPTN | Semis | 1.01 | ✔ | ✔ | 4.7 | 0.00 | 1.50 | 0.35 | -2.08% | 0.0579 | $4.2M | +19.8% | in book |
| PRISM/ARRAY | Comms | 1.14 | ✔ | ✔ | 7.3 | 0.00 | 0.89 | -0.46 | -1.94% | 0.2172 | $6.9M | -25.3% | in book |
| ROOK/PAWN | REITs | 0.97 | ✔ | ✘ | 13.5 | 0.00 | 0.43 | 0.13 | -2.26% | 0.0899 | $1.6M | +4.4% | in book |
| AMP/VOLT | Utilities | 0.86 | ✔ | ✔ | 3.1 | 0.00 | 0.51 | 0.13 | -1.94% | 0.1053 | $4.1M | +4.1% | in book |
| FERR/CUPR | Materials | 0.90 | ✔ | ✘ | 14.3 | 0.00 | 1.07 | 0.12 | -2.51% | 0.1343 | $1.5M | +3.4% | illiquid |
| GUARD/WALL | Insurance | 0.27 | ✔ | ✘ | 11.4 | 0.00 | 0.73 | -0.36 | -1.99% | 0.1317 | $1.6M | -20.7% | in book |
Capacity is a conservative proxy: 1% of the mean dollar volume on the worse leg. Real-money trading should size against actual ADV percentage and impact-curve estimates (Almgren-Chriss). KPSS column shows ✔ when the spread fails to reject stationarity at 5% — a complementary stamp to the Engle-Granger column.
Sizing — inverse-vol vs risk-parity
Inverse-volatility is the closed-form solution when strategies are uncorrelated; risk-parity adjusts for the off-diagonal covariance and matches when correlations are zero.
Correlation of strategy returns
| MEGA | NORTH | SAGE | AURA | QUARK | PRISM | ROOK | AMP | GUARD | |
|---|---|---|---|---|---|---|---|---|---|
| MEGA | 1.00 | -0.01 | 0.04 | -0.00 | 0.02 | 0.03 | 0.01 | 0.01 | -0.02 |
| NORTH | -0.01 | 1.00 | 0.01 | -0.03 | -0.01 | -0.07 | -0.01 | 0.05 | -0.07 |
| SAGE | 0.04 | 0.01 | 1.00 | -0.00 | -0.02 | 0.08 | -0.01 | 0.02 | 0.05 |
| AURA | -0.00 | -0.03 | -0.00 | 1.00 | 0.04 | -0.00 | 0.04 | 0.01 | 0.03 |
| QUARK | 0.02 | -0.01 | -0.02 | 0.04 | 1.00 | 0.04 | -0.03 | 0.01 | 0.02 |
| PRISM | 0.03 | -0.07 | 0.08 | -0.00 | 0.04 | 1.00 | 0.03 | 0.01 | 0.01 |
| ROOK | 0.01 | -0.01 | -0.01 | 0.04 | -0.03 | 0.03 | 1.00 | -0.04 | 0.02 |
| AMP | 0.01 | 0.05 | 0.02 | 0.01 | 0.01 | 0.01 | -0.04 | 1.00 | -0.04 |
| GUARD | -0.02 | -0.07 | 0.05 | 0.03 | 0.02 | 0.01 | 0.02 | -0.04 | 1.00 |
Daily P&L correlations. Yellow = positive, red = negative. Clusters around 1.0 mean two pairs deliver effectively the same edge — risk-parity will down-weight the redundant ones.