as of 2026-10-13
Risk & posture
Portfolio posture recommendation, kept separate from stock selection.
Risk score
51Stable
0 benign · 100 stress
51
Benign <38Stable <55Deteriorating <72Stress
Posture
Baseline → recommended allocation
| Asset | Baseline | Recommended | Δ | ||
|---|---|---|---|---|---|
| Equities | 65% | → | 64% | -1 | |
| Treasuries | 12% | → | 12% | 0 | |
| Cash | 8% | → | 8% | 0 | |
| Gold | 5% | → | 5% | 0 | |
| Credit | 5% | → | 5% | 0 | |
| Commodities | 5% | → | 5% | 0 | |
| Beta target | 1.10 | → | 1.08 | -0.02 |
Signals
14 signals · weighted average = risk score
| Signal | Value | z | Risk score | Weight | Note |
|---|---|---|---|---|---|
| VIX level | 14.84 | -0.56 | 34 | 1.0 | Implied volatility vs 3y history |
| HY credit spread | 3.15 | +0.33 | 60 | 1.0 | Wider spreads = stress |
| Breadth (% above 50dma) | 36.66 | +0.92 | 75 | 1.0 | Narrow breadth = fragile |
| SPY vs 200dma (%) | 7.56 | -1.51 | 14 | 1.0 | Below trend = risk-off |
| HY spread 1m change | 0.45 | +1.58 | 87 | 0.8 | Widening = deteriorating |
| Liquidity regime | 42.90 | +0.47 | 64 | 0.8 | Tight liquidity = risk |
| Risk appetite (flows) | 3.00 | -0.07 | 48 | 0.8 | Risk-off rotation |
| P(Contraction)+P(Stagflation) | 51.40 | +1.09 | 79 | 0.8 | Adverse regime odds |
| Drawdown from 52w high (%) | -0.13 | +0.02 | 51 | 0.7 | Deeper drawdown = stress |
| VIX 1m change | -1.00 | -0.60 | 33 | 0.6 | Rising vol = deteriorating |
| 3m10y curve | 0.99 | -0.62 | 32 | 0.6 | Inverted curve = recession risk |
| Sector correlation (60d) | 0.17 | -2.55 | 4 | 0.6 | High correlation = macro-driven, fragile |
| Dollar 3m change | 0.47 | +0.19 | 56 | 0.5 | Strong dollar = tightening |
| Equal-weight vs cap-weight (3m) | -2.89 | +0.96 | 76 | 0.5 | Cap-weight leadership = narrow market |
Notes
- Posture is a recommendation to review, not an order. Options-based hedging is a later phase.