Risk Model
9 positions · 60-day correlation window · 30-day volatility
Regime
Low correlation
Avg pairwise: 0.34
Portfolio VaR (1d, 95%%)
$2,653
3.10% of NAV · Ann. vol 29.9%
Data depth
49 days
1/19 tickers with 60+ days
Volatility & risk contribution
| Ticker | Ann. vol | Risk contribution | Risk adj. |
|---|---|---|---|
| CEG | 58.6% | 21.2% | 0.73x |
| VST | 59.1% | 20.4% | 0.72x |
| ETN | 41.3% | 13.7% | 1.03x |
| PWR | 42.2% | 12.9% | 1.02x |
| LEU | 68.9% | 12.9% | 0.65x |
| CLF | 75.8% | 9.6% | 0.62x |
| GEV | 51.7% | 9.3% | 0.82x |
| SCCO | 35.9% | 1.9% | 1.25x |
| ISRG | 25.7% | -2.1% | 1.50x |
Highest correlated pairs
| Pair | Correlation | Factor |
|---|---|---|
| CEG / VST | 0.88 | same factor |
| ETN / GEV | 0.85 | same factor |
| GEV / PWR | 0.84 | same factor |
| ETN / PWR | 0.82 | same factor |
| GEV / VST | 0.64 | cross-factor |
| CEG / PWR | 0.63 | cross-factor |
| PWR / VST | 0.63 | cross-factor |
| CEG / GEV | 0.62 | cross-factor |
| ETN / VST | 0.60 | cross-factor |
| CEG / ETN | 0.59 | cross-factor |
Position correlation (60-day rolling)
CEG
VST
ETN
PWR
LEU
CLF
GEV
SCCO
ISRG
CEG
1.00
0.88
0.59
0.63
0.57
0.30
0.62
0.33
-0.24
VST
0.88
1.00
0.60
0.63
0.57
0.28
0.64
0.43
-0.24
ETN
0.59
0.60
1.00
0.82
0.46
0.35
0.85
0.47
-0.27
PWR
0.63
0.63
0.82
1.00
0.32
0.24
0.84
0.41
-0.24
LEU
0.57
0.57
0.46
0.32
1.00
0.16
0.35
0.57
-0.25
CLF
0.30
0.28
0.35
0.24
0.16
1.00
0.35
0.36
-0.03
GEV
0.62
0.64
0.85
0.84
0.35
0.35
1.00
0.46
-0.40
SCCO
0.33
0.43
0.47
0.41
0.57
0.36
0.46
1.00
-0.22
ISRG
-0.24
-0.24
-0.27
-0.24
-0.25
-0.03
-0.40
-0.22
1.00
Factor correlation
Nuclear & fuel
Grid & power equipment
Materials
Data-center hardware
AI data-center power
Distributed power & solar
Robotics
Nuclear & fuel
1.00
0.68
0.62
0.55
0.59
0.61
-0.25
Grid & power equipment
0.68
1.00
0.53
0.82
0.65
0.57
-0.32
Materials
0.62
0.53
1.00
0.52
0.64
0.45
-0.17
Data-center hardware
0.55
0.82
0.52
1.00
0.71
0.70
-0.33
AI data-center power
0.59
0.65
0.64
0.71
1.00
0.62
-0.23
Distributed power & solar
0.61
0.57
0.45
0.70
0.62
1.00
-0.37
Robotics
-0.25
-0.32
-0.17
-0.33
-0.23
-0.37
1.00
Method. Rolling 60-day pairwise correlations, 30-day annualized volatility. Parametric VaR at 95% confidence (normal assumption). Risk adjustments: inverse-vol * correlation penalty (high vol or high avg correlation with the book lowers the multiplier). Factor correlations use equal-weighted factor returns. History from Yahoo Finance chart API.