PCA Statistical Arbitrage — Research Tearsheet

Eigenportfolio Mean-Reversion with Continuous Sizing | BN 35c, 2022-07 → 2025-11 | Generated 2026-03-20

Key Metrics — BN 35c (3.4yr)

Sharpe

1.604

Sortino

2.361

CAGR

16.7%

MaxDD

-7.3%

Calmar

2.27

Win Rate

55.0%

Profit Factor

1.35

BTC Corr

-0.19

BTC Beta

-0.03

MC P(>0)

99.9%

MC P(>1.0)

90.5%

Cross-Dataset — HL 31c (5mo)

HL Sharpe

1.893

HL Return

5.4%

HL MaxDD

-2.3%