Portfolio analytics

Strategy diversification · factor exposure · P&L attribution

Capital Deployed

$610,427

97% of $629k notional cap

Avg Pairwise Corr

0.18

target <0.30 (diversified)

Beta to SPY

0.24

market-neutral-ish

Sharpe (portfolio, 90d)

2.41

vs avg strategy 1.78

Strategy Correlation Matrix

Daily returns · trailing 60d

FDS-01

RuleOf1

Bot-C

Bot1

BB-Scp

News

FDS-01

1.00

0.12

0.24

0.18

-0.08

0.14

RuleOfOne

0.12

1.00

0.16

-0.04

0.34

0.18

Bot-C VRO

0.24

0.16

1.00

0.32

0.18

0.22

Bot1 VWAP

0.18

-0.04

0.32

1.00

0.22

0.24

BB-Scalp

-0.08

0.34

0.18

0.22

1.00

-0.12

News Bot

0.14

0.18

0.22

0.24

-0.12

1.00

Negative

Highly correlated

Capital Allocation

By strategy

FDS-01

30%

$183.1k

RuleOfOne (Futures)

22%

$134.3k

Bot-C VRO

18%

$109.9k

Bot1 VWAP

12%

$73.3k

BB-Scalp

10%

$61.0k

News Bot

$48.8k

Factor Exposures

Net beta

Market (SPY) 0.24

Momentum 0.42

Quality 0.18

Volatility (VIX) −0.31

Size 0.08

Value −0.04

Portfolio is long momentum, modestly long market, and short volatility — consistent with mean-reversion + trend-following hybrid posture.

P&L Attribution — Last 30 days

Net +$18,420

FDS-01

+$8,420

RuleOfOne

+$6,180

Bot-C VRO

+$3,520

BB-Scalp

+$1,840

News Bot

+$920

Bot1 VWAP

−$640

IntradayFade

−$1,820

Concentration risk: 67% of P&L from top 2 strategies. Diversification target: no single strategy >40% of P&L over rolling 90d.

Rolling Beta to SPY — 60-day window

Stable, near-market-neutral

FEB 26MAR 12MAR 26APR 9APR 23MAY 7MAY 27