{
  "calculator": "statistical-arbitrage-capacity",
  "title": "Statistical Arbitrage Capacity Calculator",
  "site": "AI Fin Hub",
  "input": {},
  "defaults_used": {
    "alpha_per_trade_bps": 12,
    "daily_vol_pct": 2,
    "daily_volume_usd": 50000000,
    "fee_bps": 1,
    "impact_k": 0.2,
    "names": 1,
    "signal_half_life_days": 5,
    "slippage_bps": 3,
    "trading_days": 252
  },
  "result": {
    "maxAum": 2000000,
    "practicalAum": 125000,
    "maxAumPerName": 2000000,
    "practicalAumPerName": 125000,
    "tradesPerYear": 50.4,
    "impactBpsAtPracticalAum": 2,
    "annualNetReturnAtPracticalAum": 0.03024,
    "annualNetPnlUsdAtPracticalAum": 3780,
    "capacityCurve": [
      {
        "slippageBps": 0,
        "aum": 3781250
      },
      {
        "slippageBps": 1,
        "aum": 3125000
      },
      {
        "slippageBps": 2,
        "aum": 2531250
      },
      {
        "slippageBps": 3,
        "aum": 2000000
      },
      {
        "slippageBps": 5,
        "aum": 1125000
      },
      {
        "slippageBps": 8,
        "aum": 281250
      },
      {
        "slippageBps": 12,
        "aum": 0
      },
      {
        "slippageBps": 18,
        "aum": 0
      },
      {
        "slippageBps": 25,
        "aum": 0
      }
    ]
  },
  "provenance": {
    "run": "https://aifinhub.io/api/run/statistical-arbitrage-capacity",
    "page": "https://aifinhub.io/statistical-arbitrage-capacity/",
    "methodology": "https://aifinhub.io/methodology/statistical-arbitrage-capacity/",
    "contract": "https://aifinhub.io/contracts/statistical-arbitrage-capacity.json",
    "engine": "https://aifinhub.io/engines/statistical-arbitrage-capacity.js",
    "engine_sha256": "dd6b6ad0481c884c08ba92e2614bcd50eac9c41d1fd2da61a61884a13bc0f6d5",
    "build": "9e8a56a16bda662ba90601b49561a2b176e9c379"
  },
  "disclaimer": "Planning estimates only — not financial, tax, or investment advice.",
  "license": "https://creativecommons.org/licenses/by/4.0/",
  "cite": "AI Fin Hub, Statistical Arbitrage Capacity Calculator (engine dd6b6ad0481c), https://aifinhub.io/api/run/statistical-arbitrage-capacity"
}