Long JPM, short XLF, name against its own sector: $1 of JPM against $1.42 of XLF, sized so that a typical day moves each leg by about the same amount. The spread is -4.0% over the last 120 sessions, -5.8% over the last 20, and today's level sits at the 3rd percentile of its own path, deeply compressed, narrowing over the last ten sessions. Alpha 49 against 72, a gap of -23 points (-15 ten sessions ago). Net market exposure at this sizing: −0.16, a clean relative bet.
Not on the desk's list as of Nov 10, three sessions behind. Pro sees today's list.
The last 7 times these two sat this far below their one-year average, 4 closed half the gap within ten sessions.
One line of your account split $1 : $1.42 across the legs at the last close (JPM $343.50, XLF $58.27); fractions included. Arithmetic on a setting you choose, not a recommendation.
| entered | held | result | exit | gen |
|---|---|---|---|---|
| Sep 23 | 15d | +0.5% | Alpha over 40 | Archimedes |
The house takes every listed cycle pair by the rules, after average trading costs; its full record is on the engine page. Pairs you assemble yourself are ideas, not posted trades: the Hedge pairs chapter says how the two differ.
How to read it: the spread is what $1 long JPM and $1.42 short XLF would have made together, in percent of the long leg, close to close, before costs; the market's move cancels in it to the extent the two legs share it. Stretch is where today's level sits among the last 120 sessions of that path, a description of the spread's own history and not a forecast. Net β is the pair's remaining market exposure per $1 long at this sizing (each leg's beta over 250 sessions). The pages for JPM and XLF carry each leg on its own.