Reading Algorithmic Trading: Winning Strategies and Their Rationale, Ernie Chan and there is a short section about the Johanson test for cointegration where it is mentioned that
the eigenvectors resulting from this test can be used as a vector of hedge ratios for the instruments in question to form a stationary portfolio.
My question is: what is the logic in doing this / how does this make sense (Ie. what is the logic in taking the resulting eigenvector values and using them as the hedge ratios for the portfolio)? What property about using these values then makes the portfolio stationary?