๐งฌ Factor Risk vs Specific Risk
Total portfolio variance split into common-factor risk (variance from systematic factor exposures) vs stock-specific risk (idiosyncratic, name-by-name). The institutional target per Jarvis spec is โฅ 80% specific.
โก Historical Stress Tests
Applies factor returns from 4 known crises to the current factor exposure to estimate portfolio P&L under each scenario. Any scenario producing > 10% loss is flagged.
๐ Correlation Monitor (60-day, ฯ > 0.85)
Pairs of held positions whose 60-day daily-return correlation exceeds 0.85. Same-side flagged pairs (both long or both short) indicate redundant exposure โ consider trimming one.
| Pair | ฯ (60d) | Side A | Side B | Status |
|---|---|---|---|---|
| Loadingโฆ | ||||
โ๏ธ Circuit Breakers
Drawdown thresholds that, when breached, halt new orders. Daily / weekly / monthly cascading. Currently all metrics are 0% because live P&L tracking wires in Phase 7.