STX–M
Multi-Strategy
A directional core with volatility and basis exposures.
60%25%15%
Trend / Volatility / BasisTrend reversals and sleeves losing together.
Test allocation
SYSTEMATIC INDEX RESEARCH Concept platform
Build an index.
Understand its risk.
Combine trend, volatility and relative value.
Set the weights. Apply a market shock.
See what each exposure adds and what it can lose.
3 EXPOSURES / EXPLICIT COSTS / TRACEABLE RESULTS
MARKET COMPLEXITY.STRUCTURED CLARITY.
Scenario engineInteractive
Data & coefficientsIllustrative
Market executionNot connected
Implementation status 01 / HOW STRATUM WORKS
From an allocation
to an explained outcome.
The same four steps connect
every index design to its risk model.
- 01
Choose the exposures
Trend models price direction. Volatility models options-style carry and repricing. Basis models related-price spreads.
- 02
Set the allocation
Assign a share of capital to each exposure. Choose gross exposure separately, so weights and borrowing stay explicit.
- 03
Apply a market shock
Move spot prices, implied volatility and the basis spread together. Set the holding horizon and cost assumptions.
- 04
Reconcile the result
Add the modeled sleeve P&L. Deduct funding, management and execution costs. Inspect the resulting capital and risk estimates.
THE ACCOUNTING IDENTITY
Ending capital = starting capital + sleeve P&L − costs
02 / A WORKED EXAMPLE
One portfolio.
Every dollar explained.
Start with $10,000 in STX–M.
Apply a shock. Follow the result.
THE STARTING POINTIllustrative
STX–M
Multi-Strategy / 60 : 25 : 15
- Starting capital
- $10,000
- Gross exposure
- 1.00×
- Holding horizon
- 30 sessions
Choose a market scenario
- Spot price
- −18%
- Implied volatility
- +20 pp
- Basis spread
- +250 bps
Assumed simultaneous shocks, without assigned probabilities. pp = percentage points; bps = basis points.
Adjust this case in the consoleMODELED ENDING CAPITAL$8,845.42
NET CHANGE−11.55%
| EXPOSURE | WEIGHT | MODEL RETURN | P&L |
|---|---|---|---|
| TrendDirectional price response | 60% | −14.98% | −$898.56 |
| VolatilityCarry, volatility & convexity | 25% | −9.43% | −$235.87 |
| BasisCarry & basis movement | 15% | −0.28% | −$4.20 |
- Combined sleeve P&L
- −$1,138.62
- Funding 4% annual rate; no borrowing at 1.00×
- $0.00
- Management 0.50% annual × 30 / 252
- −$5.95
- Execution 0.10% × gross notional, once
- −$10.00
- Net P&L
- −$1,154.58
HOW TO READ THIS
The spot decline drives most of the loss. Rising implied volatility and adverse convexity also hurt the volatility sleeve. The smaller basis sleeve also loses value in this example.
Inspect the model03 / THE INDEX DESIGNS
Same building blocks.
Different exposures.
INDEX DESIGNTREND / VOLATILITY / BASISPRIMARY FAILURE CONDITIONS
STX–V
Volatility Carry
Emphasis on options-style carry and repricing.
15%70%15%
Trend / Volatility / BasisVolatility spikes and negative convexity.
Test allocationSTX–B
Relative Value
Emphasis on cash–derivative price relationships.
10%15%75%
Trend / Volatility / BasisBasis divergence, financing and liquidity.
Test allocationIllustrative capital weights, not risk weights. Their modeled risk contributions depend on the covariance assumptions.
04 / IMPLEMENTATION STATUS
What you can
verify today.
The model is inspectable. The boundaries are part of the specification.
Read the rules and limitationsAvailable
Scenario calculations
Adjust weights, shocks and costs. Inspect P&L attribution, risk contributions and sensitivity. Export the inputs and results.
Published
Index & model specifications
Read three allocation designs, eight control domains, model equations and four research notes.
Illustrative
Index paths & coefficients
Chart paths are synthetic. Scenario coefficients and covariance assumptions are authored for demonstration.
Proposed
Signal generation & rebalancing
Data qualification, signal estimation and automatic allocation rules are documented designs. They are not running processes.
Not connected
Custody & execution
The prototype has no market-data feed, live positions, deposits or trading connection.
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