Four scenarios. Nine names. Honest probabilities.

Probabilities are 12–18 month forward and do not sum to 100 — scenarios are partially correlated (A and B; A and C). Magnitudes are individual-name % impact; cohort net P&L is at base sizing.

Baseline (40–50%): AI capex sustained · rates stable · China at status-quo escalation · power as-is. Each scenario partially erodes that baseline.

Each cell shows individual-name % equity impact (top) and base-sizing NAV contribution (bottom). Color intensity scales with magnitude. Final row: cohort net P&L per scenario.

Read this once. The cohort is worst-positioned for Scenario A — the scenario with the highest plausibility (30–35%). At base sizing, A delivers ~−3.9% NAV; the two shorts provide only ~+0.28% offset against ~−4.2% gross long-side damage. This is the correct read of the portfolio-summary's explicit warning that AI-capex single-factor concentration is the cohort's largest residual risk.

WOLF short wins in three of four scenarios (A, B, C) and gives back only modestly in the fourth (D). At 1.25% NAV gross short, it contributes meaningful offsets in every bear scenario. It is the portfolio's best cross-scenario hedge.

1. VRT — most over-extended for the macro environment. Already probe per portfolio summary. Cross-scenario stress confirms: VRT is the biggest loser per NAV weight in A (−50%) and C (−38%); also loses in D. Expanding to 2.0–2.5% at $330 would be the single largest sizing mistake. Buy-on-weakness target $230–250 (35–38× EV/EBITDA) is macro-confirmed.
2. WOLF short — consider sizing up modestly. Wins in three of four scenarios and gives back minimally in the fourth. At 1.25% NAV (medium per portfolio summary), staying at or near 1.25% (not larger) until CHIPS PMT binary resolves. If PMT confirms adverse (no federal equity stake), 1.5% is justified.
3. TXN — most underappreciated scenario cushion. 2.5% NAV may not be sized high enough for cross-scenario value. In every adverse scenario, TXN cushions (A, C) or takes a manageable hit (B). MOFCOM Sept 13 binary is the constraint on sizing up before that date — hold at 1.5–2.0% through Q3 2026, scale to 2.5% post-determination if favorable.
4. ETN — sizing correct, buy-on-weakness discipline confirmed. 1.75% (current initiation) is appropriate. Stress confirms ETN is a better long than VRT across all adverse scenarios (lower rate sensitivity, utility T&D floor, lower % AI-DC). Reserve 2/3 for below $380 / $360.
5. INTC short — consider modest size up if Scenario C probability rises. At 0.65% NAV (smallest in book). In Scenario C, INTC delivers ~+15% short gains — high per dollar of NAV. Constraint remains the binary: federal equity announcement or two 14A customer commitments by year-end 2026 force immediate cover.

The pair's value is within-scenario diversification — TXN limits position-level damage vs going NVTS-only — not cross-scenario hedging. The pair loses in all three adverse scenarios. Pair vulnerability concentrates in Scenario C (rates higher-for-longer): TXN's rate cushion is partial (dividend yield); NVTS's rate sensitivity is extreme (~−2.5 to −4.0× per 100bp).

Pair break ($210 TXN) is a Scenario A/C protocol, not just a stop-loss. In Scenarios A and C, TXN $210 is plausible. The pair discipline (exit both legs, not just NVTS, at TXN $210) should be treated as scenario-aware.

ETN and VRT move directionally together in Scenarios A, B, and C. They are a concentration trade in practice, not a hedge pair. In Scenario D — the only one where the cohort net gains — both are negative: the concentration trade loses in the one scenario where the rest of the book gains.

The cap rule is most valuable in Scenarios A and C. Combined NAV savings: ~0.93% across the two scenarios most likely to fire. The cap rule is working as designed.