Portfolio targets
Generated 2026-11-14T02:02:22+00:00 (content is versioned in the repo, not market-driven)
- 2A/2B equity 29% → 21%. Rule:
equity = (1−p) × 30%, where p is the framework-implied probability of a ≥10% SPX drawdown within 6 months (L1-quorum precision 25.6%; current starting-B bucket 300–349 = 25.0% → p ≈ 28%). The rule re-derives the cap as p evolves. - IDTL staged: 15% at rotation, +10% gated on the Duration Risk Flag (DRF) staying cold. Single-step 25% buys full duration into a supply shock / hiking Fed — the 2022 failure mode.
- DRF overlay (new). When Brent ≥ +12%/20d AND at least one of {10Y +0.25pp/20d with SPX falling · breakevens +0.10pp/20d · gold +4%/20d with USD falling} persists 3 sessions, IDTL is dialed to ~1/3 of prescribed and tranche 2 is blocked. Backtest (2011+): 26 episodes, 3m forward duration −2.7% vs +0.4% base; caught Jan-2022 before the −15% bond leg; false positives cost +1.5 to +6.4%. Pure USD-debasement pricing without a supply shock does not trigger — that configuration has been a duration buy. Freed sleeves park in carry at 3.75–4.00%. The 10Y > 5.40% weekly close remains the mechanical TAIL backstop only.
Stage 1 barbell — current base (USD 1,113,541)
| Sleeve | Role | Target | Target USD |
|---|---|---|---|
| IB01 | T-bill carry (cash-equivalent) | 43% | $478,823 |
| IBKR cash | Settled cash buffer at broker | 2% | $22,271 |
| IDTL | Long duration (20Y+ Treasuries) | 6% | $66,812 |
| IDTP | Inflation-linked Treasuries | 5% | $55,677 |
| SGLD | Gold (→15% on gold gate) | 10% | $111,354 |
| COWZ (LSE UCITS line) | Quality value equity (free cash flow) | 14% | $155,896 |
| XLV | Healthcare equity (defensive) | 6% | $66,812 |
| GRID | Grid / electrification capex equity | 4% | $44,542 |
| AMLP | Energy infrastructure carry (MLPs) | 6% | $66,812 |
| PDBC | Broad commodities (no K-1) | 4% | $44,542 |
| Total | 100% | $1,113,541 |
Dollar figures are rounded to the nearest dollar; the total can differ from the base by a dollar or two.
Why this book (regime rationale)
- Regime: supply shock / reflation. Fed funds 3.75–4.00% after the September 2026 hike, with the median dot at 4.125%+. 10Y ≈ 5.00%, 30Y 5.34%. Oil ≈ $97–100 and backwardated. ISM 54.6. Initial claims ≈ 206k.
- Credit bifurcation: aggregate HY OAS is tight (268 bps) while CCC & lower trades at 1,075 bps — lower-tier credit is pricing stress the headline gates do not see (tracked on the dashboard's Credit Bifurcation Watch card). External AI-capex review (2026-09-27): two new watch items — hyperscaler bond order-book coverage (5x Feb → <2x Jul 2026) and the OpenAI funding path (−$278B FCF 2026–30 vs $856B compute spend; Anthropic IPO Oct 2026). Weights unchanged: that report's rotation is from a semis-heavy baseline; this book holds zero AI-depreciation-chain exposure by construction; power complex (GRID+AMLP 10%) already at the defensive band's ceiling.
- Construction: 60% in carry + TIPS + gold earning a positive real yield; duration held at 6% (IDTL) with a 5.40% weekly-close invalidation on the 10Y; cyclical carry (AMLP + PDBC) capped at 10%; no options or derivatives; ETF-only (including LSE UCITS lines where noted).
Market figures above are point-in-time narrative (live values: see dashboard).
Gold amendment 2026-11-01 (owner-approved): SGLD base 10% — gold is in a confirmed bear market (ATH $5,595 2026-01-29 → ~$3,963 10-30, −29%, below 50d/200d, 52-wk lows) with the debasement configuration dormant (DXY 52-wk high; DEB leg inverse). Re-entry to full weight (15% Stage 1 / 18% 2A/2B), whichever first: Channel A — DEB leg ×3 sessions (GLD ≥ +4%/20d AND DTWEXBGS ≤ 0/20d), or DRF-hot, or TAIL; Channel B — GLD weekly close > 200d SMA. Deactivation after A: DEB quiet 15 sessions AND below 200d.
Stage 2A (gate + quorum) — rotation target when the v1 monitor turns red
| Sleeve | Target |
|---|---|
| Carry (IB01 + IBKR cash) | 49% at rotation → 39% once IDTL tranche 2 clears (DRF cold) |
| IDTL | 15% at rotation, +10% gated on DRF cold (DRF hot → 8%) |
| IDTP | 5% |
| COWZ | 7% |
| XLV | 10% |
| GRID | 4% |
| SGLD | 10% (→18% on gold gate) |
| AMLP | 0% |
| PDBC | 0% |
| Total | 100% |
AMLP & PDBC are exited in Stage 2A (0% target).
Stage 2B (Fed-rollover flag) — 2A with the flag on
2B replaces 2A only when fed_dots_rollover in config.json
flips to true — currently FALSE — 2A remains the rotation target. Carry is 32% and IDTL is 32%; the rest is as 2A.
| Sleeve | Target |
|---|---|
| Carry (IB01 + IBKR cash) | 32% |
| IDTL | 32% (DRF hot → 11%) |
| IDTP | 5% |
| COWZ | 7% |
| XLV | 10% |
| GRID | 4% |
| SGLD | 10% (→18% on gold gate) |
| AMLP / PDBC | 0% / 0% |
| Total | 100% |
TAIL_OVERRIDE — stagflation tail
TAIL state ⇒ full gold 15% (Stage 1 book held).
The DRF is the graduated, earlier layer of the same protection: TAIL is the full tail state; DRF trims duration before a tail is confirmed. The 10Y weekly close > 5.40% condition remains the mechanical backstop.
Position Health — monitoring layer (owner-adopted 2026-11-04); human review weekly, Friday
As of 2026-11-14 · generated 2026-11-14T02:02:19+00:00 · config as of 2026-11-04
| Ticker | Role | Last | vs 200d | 20d | Driver status | Classification |
|---|---|---|---|---|---|---|
| IB01 + cash | Carry | — | — | — | exempt | EXEMPT |
| IDTL | Long duration | — | — | — | exempt | GREEN |
| IDTP (IDTP.L) | Inflation-linked Treasuries | 252.15 | -1.7% | -0.2% | dormant | AMBER |
| SGLD (GLD) | Gold | 355.45 | -13.0% | -7.0% | dormant | GREEN |
| COWZ | FCF-value equity | 70.89 | +8.3% | +0.8% | active · manual 2026-11-04 | GREEN |
| XLV | Defensive healthcare | 188.85 | +18.6% | +6.9% | active · manual 2026-11-04 | GREEN |
| GRID | Grid / electrification | 160.29 | -10.0% | -5.6% | active · manual 2026-11-04 | GREEN |
| AMLP | Midstream yield ballast; 0% in 2A by design | 50.70 | -0.4% | -1.7% | dormant | AMBER |
| PDBC | Broad commodities; 0% in 2A by design | 18.41 | +4.4% | -7.2% | dormant | AMBER |
| SMH | watch — NOT held | 486.75 | -7.1% | -9.8% | contested · manual 2026-11-04 | WATCH |
| SMH tripwires: 1. Anthropic IPO ≥ ~$1.5T and holds first week — pending (manual, as_of 2026-11-04); 2. CoreWeave Q3 does not deteriorate — pending (manual); 3. SMH W-FRI close above 200-session SMA — no (auto); 4. Bear path: retest monitor (L5b) fires — not fired (IDLE) (auto). Not held. Path A add-back (2–4% from carry) only if 1–3 all true; Path B only on L5b fire. Either path runs through the Layer-1 amendment-time gate. | ||||||
RED = weekly close >10% below 200d SMA AND driver dormant (3 sessions to set / 15 quiet to clear). Human review weekly (Friday); event overrides: DRF-hot, TAIL, 10Y 4.85% kill-switch, Anthropic IPO pricing. Monitoring layer only — no automatic action.
Take-profit ladder (duration)
- 10Y at 4.25% → cut IDTL to 15%.
- 10Y at 3.90% → cut IDTL to 10%; rotate the freed sleeve to IDTP + SGLD.