Capital Planner

The Capital Planner (Desk tier) provides portfolio-level allocation and stress testing for funding carry strategies.

Overview

The Planner takes your total capital and target horizon, then:

1. Identifies qualifying opportunities
2. Allocates capital across opportunities
3. Projects portfolio-level returns
4. Stress tests the portfolio under adverse scenarios

Input Parameters

Allocation Logic

The allocator uses a marginal utility optimization approach:

1. Rank opportunities by edge value score
2. Allocate incrementally respecting capacity constraints
3. Diversify across exchanges and assets
4. Optimize for risk-adjusted return

Capacity Constraints

Each opportunity has a capacity curve. The allocator:

• Never exceeds hard capacity
• Penalizes allocations above soft capacity
• Balances concentration vs. opportunity quality

Diversification Rules

• Maximum allocation per opportunity
• Cross-exchange diversification targets
• Correlation-aware clustering (where applicable)

Portfolio Summary

Allocation Table

Each row shows:

• Opportunity — Symbol and exchange
• Allocation — USD allocated
• Expected Return — Position-level return %
• Expected PnL — Position-level USD PnL
• Capacity Utilization — % of soft capacity used

Stress Testing

The Planner runs three stress scenarios:

1. Funding Compression

Simulates funding rates compressing by 50%. Tests portfolio resilience to market-wide rate normalization.

2. Fee Widening

Simulates fees increasing by 2x. Tests portfolio sensitivity to execution cost increases.

3. Trust Degradation

Simulates reliability scores dropping. Tests portfolio exposure to prediction error.

Stress Metrics

Portfolio Risk Diagnostics

Fragility Warnings

• Concentration risk — Too much capital in single opportunity
• Capacity warnings — Allocations exceeding soft capacity
• Mirage exposure — High average mirage ratio

Risk Buckets

• Resilient — High survivability, low mirage
• Moderate — Balanced risk profile
• Fragile — High mirage, capacity pressure

Best Practices

1. Don't over-concentrate — Spread across multiple opportunities
2. Respect capacity — Soft capacity warnings are meaningful
3. Review stress tests — Ensure acceptable worst-case outcomes
4. Match horizon to persistence — Longer horizons for higher half-life