Names modeled
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Each lens builds its own covariance matrix from the same current holdings and return definitions. No lens feeds another and PCs are never averaged. For Daily 9M PC1–7, a separate theme-persistence reading checks whether the same loading direction lies within the other lens's whole PC1–7 space—even if its sign, rank, or split across PCs changes.
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Observations
----Modeled vol
--annualized, current weights
Annualized volatility implied by this lens's covariance matrix and today's signed portfolio weights. It is a risk estimate, not a P&L forecast.
Idio-like PCA tail
--PC8+ stand-alone vol
Stand-alone volatility from PC8 onward. It captures the weaker, harder-to-name PCA directions, but is not pure stock-specific volatility.
Gross coverage
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Share of the portfolio's absolute long-plus-short exposure included in the PCA. Excluded positions are listed below and are not redistributed across modeled names.
Effective rank
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The equivalent number of meaningfully independent risk directions. For example, 100 stocks with an effective rank of 35 behave more like 35 balanced sources of variation because many co-move. “Sample rank” below is only the mathematical non-zero limit.
Why a component matters
System strength × book alignment
How to read this chart
Each dot is one PC. Further right means a stronger pattern across the stock universe. Higher means the current signed book points more directly at that pattern. Larger dots contribute more portfolio variance.
Blue dots are the interpretable PC1–7 set. Amber dots are the idio-like PC8+ tail. Click any dot to inspect that PC and its name-level drivers.
Current book
Portfolio variance by component
How to read this chart
The bars show how the current book's modeled variance is divided across the interpretable PCs. PC8+ is grouped into one idio-like tail rather than given potentially misleading individual labels.
If you click an amber tail dot in the scatter, that selected tail PC is shown separately and the remainder stays grouped.
Ranked by current portfolio risk
Showing interpretable PC1–7
Principal components
| PC | Heuristic interpretation | System var | Portfolio risk | Stability |
|---|
Select a component to inspect its name-level drivers.
Largest current positions
USD-adjusted total returns · top 30 by absolute position
Return correlation map
Read before interpreting
Methodology & diagnostics
Coverage audit
0 namesExcluded risk
| Ticker | Position | Reason | Return coverage |
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