Long XLF, short SCHW, name against a sector: $1 of XLF against $0.60 of SCHW, sized so that a typical day moves each leg by about the same amount. The spread is +7.9% over the last 120 sessions, +4.5% over the last 20, and today's level sits at the 97th percentile of its own path, very stretched, flattening over the last ten sessions. Alpha 72 against 33, a gap of +39 points (+47 ten sessions ago). Net market exposure at this sizing: +0.36, it leans long the market.
Not on the desk's list as of Nov 10, three sessions behind. Pro sees today's list.
The spread is further above its one-year average than at any point in the last year, so there is no earlier stretch like today's to count.
One line of your account split $1 : $0.60 across the legs at the last close (XLF $58.27, SCHW $92.39); fractions included. Arithmetic on a setting you choose, not a recommendation.
| entered | held | result | exit | gen |
|---|---|---|---|---|
| Oct 28 | 5d | +0.1% | Alpha over 40 | Bernoulli |
| Sep 23 | 21d | +8.1% | day 21 | 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.
Each leg against its sector fund, and each leg's true peers.
How to read it: the spread is what $1 long XLF and $0.60 short SCHW 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 SCHW carry each leg on its own.