Long XLF, short JPM, name against a sector: $1 of XLF against $0.70 of JPM, sized so that a typical day moves each leg by about the same amount. The spread is +2.9% over the last 120 sessions, +4.1% over the last 20, and today's level sits at the 98th percentile of its own path, very stretched, widening over the last ten sessions. Alpha 72 against 49, a gap of +23 points (+15 ten sessions ago). Net market exposure at this sizing: +0.12, a clean relative bet.
Not on the desk's list as of Nov 10, three sessions behind. Pro sees today's list.
The last 6 times these two sat this far above their one-year average, 3 closed half the gap within ten sessions.
One line of your account split $1 : $0.70 across the legs at the last close (XLF $58.27, JPM $343.50); 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 XLF and $0.70 short JPM 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 XLF and JPM carry each leg on its own.