tac-exp-dev/queue/designs/q20_effective_names.md

QUEUE-20 — Effective independent names in the 50-ETF book (no qrun)

Status: QUEUED · Priority: P2 · Effort: ad-hoc script under book/data/

Hypothesis (settle)

The 50-ETF book has only ~4 effective independent names (CLAIMS.md HYPOTHESIS, chat-derived eigenvalue analysis, pre-reset). This is a concentration/diversification claim with direct sizing relevance; verify it on the clean lake.

Method (persist everything under book/data/evidence/q20-effective-names/)

1. Load the 50-ETF panel 1d returns from the lake for the test window 2026-01-04..2026-08-10.
2. Standardize returns; compute the correlation matrix and its eigendecomposition.
3. Count eigenvalues above the Marchenko–Pastur bound (N=50, T≈150) and report the cumulative-variance share of the top k components.
4. Effective-rank measures: participation ratio (Σλ)² / Σλ² and cumulative 80% variance count.
5. Write eigenanalysis.csv + a one-page summary.

Acceptance

• If effective rank ≈ 4 (top-4 explain ~80%+ variance), the concentration claim is PROVEN and feeds chapter 08 sizing guidance (why topk 10→20 adds no breadth).
• If effective rank is much larger, mark the claim REFUTED.