leverage_bounds.json

{ "manager": "Pareto Technologies — Nomos (Diophan)", "date": "2026-03-23", "model": "Paleologo leverage sustainability bounds (B1 Eq 10.4)", "inputs": { "n_stocks": 5, "idio_vol": 0.366, "sharpe": 3.42, "min_return": 0.50, "max_dd": 0.22, "kappa": 2, "p_loss": 0.025 }, "results": { "L_lower": 0.89, "L_upper": 2.69, "sustainable": true, "interpretation": "Feasible leverage band [0.89x, 2.69x]. 1x allocation within bounds." }, "caveats": { "per_trade_leverage": "Up to 15x on perpetual contracts", "effective_portfolio_leverage": "Unknown — position sizing (0.5-1.0% risk per trade) and short holding period (~57 min) limit effective leverage", "risk": "Simultaneous adverse moves across open positions at high per-trade leverage could generate losses beyond leverage bounds expectations" }, "gate_result": "PASS (with caveat — per-trade leverage is 15x but effective portfolio leverage appears controlled)" }