Focus-book risk & correlation
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How the top-conviction names interact — an equal-weight focus book. As of 2026-09-09: 50 names, book vol 10.39%, risk reduction vs ungrossed 70.34% (correlation + short-leg hedging + net exposure, not diversification alone).
Equal-weight focus book (top-conviction). MCTR sums to portfolio vol by identity. VIXY proxies VIX (roll decay). Model output — not advice.
Benchmark correlations (top 30 by conviction)
| Name | SPY | QQQ | XLK | IWM | VIXY* | GLD | UUP | MCTR |
|---|---|---|---|---|---|---|---|---|
| APH | 0.60 | 0.63 | 0.66 | 0.53 | -0.49 | 0.15 | -0.09 | 0.44pp |
| APP | 0.45 | 0.48 | 0.45 | 0.36 | -0.34 | 0.15 | -0.09 | 0.68pp |
| KLAC | 0.64 | 0.73 | 0.77 | 0.54 | -0.48 | 0.19 | -0.07 | 0.65pp |
| MNST | 0.21 | 0.16 | 0.10 | 0.18 | -0.18 | 0.05 | -0.12 | 0.09pp |
| AMAT | 0.62 | 0.72 | 0.75 | 0.53 | -0.47 | 0.16 | -0.06 | 0.63pp |
| DUOL | 0.34 | 0.33 | 0.31 | 0.30 | -0.30 | -0.03 | 0.01 | 0.43pp |
| V | 0.48 | 0.34 | 0.26 | 0.37 | -0.40 | -0.02 | -0.01 | 0.17pp |
| CDNS | 0.61 | 0.66 | 0.67 | 0.48 | -0.45 | 0.11 | -0.03 | 0.40pp |
| NVDA | 0.67 | 0.74 | 0.78 | 0.41 | -0.52 | 0.10 | -0.01 | -0.41pp |
| EXEL | 0.20 | 0.14 | 0.11 | 0.25 | -0.16 | 0.00 | -0.05 | 0.20pp |
| KNSL | 0.16 | 0.05 | 0.01 | 0.19 | -0.15 | -0.01 | -0.01 | 0.21pp |
| MA | 0.49 | 0.35 | 0.27 | 0.37 | -0.43 | -0.03 | 0.00 | -0.16pp |
| RMD | 0.33 | 0.25 | 0.18 | 0.33 | -0.25 | 0.12 | -0.12 | -0.12pp |
| MS | 0.68 | 0.59 | 0.56 | 0.69 | -0.58 | 0.10 | -0.02 | 0.41pp |
| CRBG | 0.58 | 0.48 | 0.44 | 0.57 | -0.51 | 0.04 | 0.04 | 0.42pp |
| RNR | 0.13 | 0.02 | -0.02 | 0.09 | -0.15 | -0.03 | 0.05 | 0.09pp |
| UBSI | 0.47 | 0.33 | 0.28 | 0.72 | -0.43 | 0.01 | -0.06 | 0.33pp |
| MTG | 0.40 | 0.26 | 0.21 | 0.49 | -0.37 | -0.03 | -0.07 | 0.23pp |
| RLI | 0.15 | 0.01 | -0.05 | 0.18 | -0.16 | -0.08 | 0.03 | 0.11pp |
| IDCC | 0.39 | 0.40 | 0.39 | 0.38 | -0.28 | 0.13 | -0.06 | -0.22pp |
| EW | 0.31 | 0.28 | 0.24 | 0.22 | -0.23 | 0.07 | -0.07 | 0.16pp |
| PRI | 0.47 | 0.32 | 0.26 | 0.47 | -0.42 | -0.05 | 0.01 | 0.25pp |
| MANH | 0.40 | 0.34 | 0.33 | 0.35 | -0.31 | -0.04 | -0.01 | -0.23pp |
| MCO | 0.56 | 0.43 | 0.36 | 0.47 | -0.47 | 0.03 | -0.10 | 0.24pp |
| NTRS | 0.59 | 0.47 | 0.44 | 0.63 | -0.50 | 0.07 | -0.03 | 0.33pp |
| WDC | 0.52 | 0.59 | 0.62 | 0.44 | -0.39 | 0.21 | -0.06 | 0.65pp |
| ADI | 0.69 | 0.70 | 0.68 | 0.62 | -0.56 | 0.15 | -0.06 | 0.48pp |
| TTMI | 0.50 | 0.55 | 0.57 | 0.56 | -0.40 | 0.11 | -0.06 | 0.68pp |
| QLYS | 0.33 | 0.30 | 0.28 | 0.36 | -0.26 | -0.04 | 0.01 | -0.21pp |
| TECH | 0.40 | 0.33 | 0.29 | 0.49 | -0.34 | 0.08 | -0.12 | 0.35pp |
*VIXY is the VIX proxy in the adjusted-close pipeline; roll decay makes it a directional volatility hedge, not the index level. MCTR is the marginal contribution to book risk; across all 50 names the column sums to the book vol by identity (the top 30 are shown).
Sector concentration
Not published this run: sector is unresolved for the focus book, so no concentration figure is meaningful.