risk control

Risk

Portfolio-level risk measured off the reconstructed book: historical Value-at-Risk, drawdown, index correlation, and concentration. Drawdown, VaR, and average index correlation are enforced: breach any cap and the cycle de-risks, the same server-side control as the macro circuit breaker (notional capped and allocations tilted toward USSI). Concentration is measured and published, not enforced.

VaR (95%)

2.78%

one-cycle loss

Current drawdown

9.56%

cap 25%

Max drawdown

13.30%

since inception

Concentration

0.46

HHI · 61 cycles

Index correlation

Pairwise correlation of per-cycle NAV returns. High positive values mean the risk legs move together, so diversification is weaker.

MAG7

DEFI

MEME

MAG7

1.00

0.62

0.76

DEFI

0.62

1.00

0.60

MEME

0.76

0.60

1.00

Exposure by index

Current book weight per index. USSI is the stable anchor.

MAG7

60.7%$29939

DEFI

29.3%$14444

MEME

10.0%$4913

USSI

0.0%$0

Active controls

The portfolio guards de-risk the whole cycle when breached (drawdown, VaR, correlation); the notional caps bound every order that reaches the venue. The simulated SSI index legs are sized against the book rather than the notional caps, because they move no money; the caps exist to bound what does. Flip SONAR_EXECUTION_MODE=paper and restart to stop live placement entirely.

Max drawdown cap25%

VaR cap (1-cycle)8%

Correlation cap0.85

Per-order cap$500

Per-cycle cap$2,000

Per-market position cap$1,000

Gross exposure cap$3,000

Macro breaker horizon6h

Dust floor$10

Mainnet approvaln/a off mainnet