What is the MVIE score?

MVIE (Multi-Window Instability Engine) is a composite risk score from 0 to 100 that combines Z-score-normalized measures of correlation matrix eigenvalue dispersion, return autocorrelation, and singular value decay across 30/60/90-day rolling windows. Scores 0-50 indicate stable regimes, 50-75 indicate elevated risk, and 75-100 indicate crisis regimes.

How does the Veto Protocol work?

The Veto Protocol is a hard override rule that activates when the MVIE score exceeds 75 (RED regime). All BULLISH signals from the Probabilistic Strategy Engine are forcibly reclassified to NEUTRAL or HEDGE, on the principle that macro systemic risk dominates micro technical signals during crisis regimes.

What asset classes does MVIE Pro support?

MVIE Pro supports any asset with daily price history, including equities, ETFs, fixed income, commodities, FX, and cryptocurrencies. The network topology analysis is asset-class agnostic.

Is MVIE Pro investment advice?

No. MVIE Pro is a quantitative research and risk monitoring tool, not a registered investment advisor. All outputs are analytical scenarios for educational and research purposes only.

Absorption Ratio Deep-Dive: PCA Eigenvalue Concentration as a Regime Signal

Publication Date: 18 May 2026 Classification: Observational Research — Not Investment Advice

1. What Is the Absorption Ratio?

The Absorption Ratio (AR) measures the fraction of total return variance in a portfolio that is explained by the top eigenvectors of the covariance matrix:

AR = Σλ(top 20%) / Σλ(all)

A high AR indicates that a small number of risk factors drive the majority of portfolio variance — a signature of correlated, fragile markets.

2. PCA Mechanics

Principal Component Analysis decomposes the covariance matrix Σ into eigenvectors and eigenvalues:

Σ = Q Λ Qᵀ

Where Λ is a diagonal matrix of eigenvalues sorted in descending order. When markets are diverse, eigenvalues are spread across many components. When correlations converge — as in crisis regimes — eigenvalue mass concentrates in the top components, driving AR upward.

3. AR in the MVIE Composite

Within the composite:

MVIE = 0.40 × AR + 0.35 × IS + 0.25 × PD

AR carries the highest weight (40%) because eigenvalue concentration is the most direct measure of systemic fragility. An AR Z-score above +2.0σ historically precedes regime transitions in observational sample data.

This document is produced by MVIE Pro for educational purposes only. Not investment advice.