113-INSTRUMENT UNIVERSE  ·  Daily snapshot · 07:00 SGT
Last updated: Thursday, 21 May 2026 08:04 SGT
Thursday, 21 May 2026 08:04 SGT
Updated daily before market open ⚠ Markets closed
07:00 SGT · MON–FRI
BKIQ DAILY INTELLIGENCE · Thursday, 21 May 2026 · 08:04 SGT
MARKET TONE
MIXED
REGIME
MODERATE
FRAGILITY
65
STRESSED
FEAR & GREED
70
Greed
RAG SIGNALS
15·16·82
R · A · G
STRESSED INSTRUMENTS
Fragility ≥ 70 AND Regime Fit ≤ 25
US Aerospace & Defence ITAFrag 83 · Fit 25
Listed Private Equity PSPFrag 77 · Fit 25
OBSERVED FLAGS
F&G ≤ 25 AND 3M return < -10%
F&G at 70 — no extreme fear signal
HIGHEST FRAGILITY INSTRUMENTS
Highest fragility · pillar decomposition
Intl Bonds
BNDX · CRISIS
94/100
DD 22%
68.3
CVaR 20%
30.8
Contagion 18%
44.9
Vol 15%
38.4
Trend 15%
60.0
Liq 10%
40.0
Platinum
PPLT · CRISIS
90/100
DD 22%
88.0
CVaR 20%
-0.5
Contagion 18%
37.9
Vol 15%
7.7
Trend 15%
60.0
Liq 10%
8.6
Palladium
PALL · CRISIS
90/100
DD 22%
88.0
CVaR 20%
11.0
Contagion 18%
38.5
Vol 15%
3.5
Trend 15%
60.0
Liq 10%
-0.5
EM Local Currency
EMLC · CRISIS
90/100
DD 22%
84.2
CVaR 20%
11.9
Contagion 18%
48.0
Vol 15%
19.9
Trend 15%
60.0
Liq 10%
2.5
Treasuries 0-3Y
SHY · CRISIS
90/100
DD 22%
88.0
CVaR 20%
18.6
Contagion 18%
72.0
Vol 15%
2.8
Trend 15%
0.0
Liq 10%
11.7
HIGH FRAMEWORK SCORES
Fit ≥ 75 AND Frag ≤ 55 AND GREEN · ranked by BK Opp Score
Ranked by composite BK score. Descriptive only — not a recommendation to invest.
Energy Infrastructure
AMLP · Frag 40 · Fit 75
77/100
Mom 30%
72
Frag Inv 25%
60
Fit 20%
75
Signal 15%
100
Vol 10%
100
Consumer Staples
XLP · Frag 54 · Fit 100
74/100
Mom 30%
58
Frag Inv 25%
46
Fit 20%
100
Signal 15%
100
Vol 10%
100
Real Estate (REITs)
VNQ · Frag 50 · Fit 75
73/100
Mom 30%
68
Frag Inv 25%
50
Fit 20%
75
Signal 15%
100
Vol 10%
100
Saudi Arabia
KSA · Frag 47 · Fit 75
68/100
Mom 30%
49
Frag Inv 25%
53
Fit 20%
75
Signal 15%
100
Vol 10%
100
Copper ETF
CPER · Frag 55 · Fit 75
68/100
Mom 30%
88
Frag Inv 25%
45
Fit 20%
75
Signal 15%
100
Vol 10%
0
FRAMEWORK OBSERVATIONS
Deterministic · Top 4 by absolute MoM move · Descriptive only
The framework highlights the four largest absolute movers in the universe month-to-date, with current pillar context.
EWY (Korea) — MoM +12.0% · Fragility 84 · Regime Fit 50 · Leading pillar: CVaR
XLK (Technology) — MoM +11.1% · Fragility 44 · Regime Fit 50 · Leading pillar: Vol Stress
URA (Uranium) — MoM -14.9% · Fragility 67 · Regime Fit 25 · Leading pillar: Trend
PALL (Palladium) — MoM -9.7% · Fragility 90 · Regime Fit 75 · Leading pillar: Drawdown
FEAR & GREED INDEX
70
Greed
Extreme FearFearNeutralGreedExtreme Greed
COMPONENT BREAKDOWN
VolatilityVIXY level vs 50-day average58
VIXY -8.7% vs 50D MA
MomentumSPY price vs 125-day moving average90
SPY +7.5% vs 125D MA
Breadth% instruments above 50-day moving average59
68/116 above 50D MA
Safe HavenTLT vs SPY 20-day relative return81
TLT vs SPY 20D: -4.8%
Junk BondsHYG vs IEF credit spread (20D)62
HYG vs IEF 20D: +0.8%
Strength% instruments within 5% of 52-week high63
73/116 within 5% of 52W high
Term StructureVIX/VIX3M ratio (vol curve; backwardation = panic)76
VIX/VIX3M ratio: 0.84
Methodology: Equal-weighted composite of 7 normalised signals (0–100). Each component uses rolling historical percentile vs full available history.  ·  0–24 = Extreme Fear  ·  25–44 = Fear  ·  45–55 = Neutral  ·  56–74 = Greed  ·  75–100 = Extreme Greed  ·  Updated daily
REGIME ALLOCATION BACKTEST — 5 YEAR
BK ALLOCATIONSPY B&H60/40
Total Return+61.1%+97.5%+46.6%
CAGR+10.0%+14.6%+8.0%
Sharpe0.690.800.36
Max Drawdown-8.2%-18.8%-12.7%
Regime-aware monthly rebalancing · rf=4.5% · Full detail in Edge tab · Past performance not indicative of future results
TODAY'S HEADLINES
Selection by rule · Headlines verbatim from Yahoo Finance · No commentary by BKIQ
TheStreet20 May 2026
XRP futures hit $63 billion since CME debut
The Wall Street Journal20 May 2026
SpaceX Bought $131 Million Worth of Tesla’s Cybertrucks in 2025
Reuters20 May 2026
Bond yields, oil fall amid hopes for Iran deal; stocks end up with chip shares
Headlines shown verbatim from original publishers via Yahoo Finance. BKIQ does not curate, endorse, or verify these headlines. Not investment advice.
Data via Yahoo Finance · Quant signals are model-driven · For informational purposes only · Not investment advice
MARKET TONE
MIXED
15
RED
16
AMBER
82
GREEN
113
TOTAL
Top 5 — Rolling 1M  (21 trading days)
Korea
+12.04%
Technology
+11.06%
Cloud Computing
+8.86%
Natural Gas
+8.40%
Nasdaq 100
+6.80%
Top 5 Laggards — Rolling 1M  (21 trading days)
Uranium
-14.85%
Palladium
-9.74%
Indonesia
-9.65%
Brazil
-7.43%
Ethereum
-5.70%
AssetTickerCCYTrend 20D1W1M3MYTDSignal
EQUITIES — US BROAD(4)Best: Nasdaq 100 +6.8%  |  Worst: Russell 2000 +0.7%Click to expand
Nasdaq 100QQQUSD+0.60%+6.80%+20.41%+16.24% GREEN
Russell 2000IWMUSD+0.82%+0.68%+13.02%+13.90% GREEN
S&P 500SPYUSD+0.28%+3.14%+12.65%+9.00% GREEN
World (ACWI)ACWIUSD+0.66%+2.35%+11.28%+9.62% GREEN
EQUITIES — US SECTORS(11)Best: Technology +11.1%  |  Worst: Utilities -5.0%Click to expand
CommunicationsXLCUSD+0.02%-0.35%+2.94%-1.06% GREEN
Consumer DiscretionaryXLYUSD+1.21%-0.35%+7.73%-1.03% GREEN
Consumer StaplesXLPUSD+1.04%+1.44%+4.92%+10.71% GREEN
EnergyXLEUSD+0.61%+0.25%+1.40%+34.62% GREEN
FinancialsXLFUSD+1.10%-0.90%+5.99%-5.19% AMBER
HealthcareXLVUSD+1.40%+0.78%+0.77%-4.56% AMBER
IndustrialsXLIUSD-0.39%-2.21%+4.36%+10.37% GREEN
MaterialsXLBUSD-1.15%-3.40%+4.61%+10.12% GREEN
Real Estate (REITs)VNQUSD+2.75%+0.17%+6.48%+10.21% GREEN
TechnologyXLKUSD+0.50%+11.06%+28.12%+23.19% GREEN
UtilitiesXLUUSD+1.46%-4.99%-3.69%+4.99% GREEN
EQUITIES — DEVELOPED MARKETS(8)Best: Japan +2.4%  |  Worst: Australia -2.0%Click to expand
AustraliaEWAAUD+0.63%-2.00%+2.26%+10.35% GREEN
Europe Dev (EFA)EFAUSD+1.87%+1.27%+7.36%+7.90% GREEN
EurozoneEZUUSD+2.87%+1.82%+8.68%+5.82% GREEN
FTSE 100 (UK)FLGBGBP+3.27%-0.19%+4.50%+6.61% GREEN
GermanyEWGEUR+3.65%+1.47%+8.04%+0.89% GREEN
JapanEWJJPY+0.15%+2.37%+8.48%+12.97% GREEN
SingaporeEWSSGD+2.21%+2.10%+4.78%+7.56% GREEN
UKEWUGBP+3.27%-0.19%+4.32%+7.00% GREEN
EQUITIES — SPECIALIST & THEMATIC(5)Best: Cloud Computing +8.9%  |  Worst: Smart Grid Infra -1.3%Click to expand
ARK InnovationARKKUSD+1.25%0.00%+6.71%-1.40% RED
Clean EnergyICLNUSD-1.24%+3.61%+14.77%+30.98% GREEN
Cloud ComputingSKYYUSD+0.61%+8.86%+13.78%-0.61% AMBER
Global X Guru ETFGURUUSD+1.40%+1.82%+9.94%+4.53% GREEN
Smart Grid InfraGRIDUSD-1.72%-1.31%+13.38%+23.25% GREEN
EQUITIES — ASIA PACIFIC(7)Best: Asia Pacific +3.9%  |  Worst: Hang Seng / HK +0.7%Click to expand
ASEANASEAUSD+1.72%+2.66%+3.51%+9.44% GREEN
Asia PacificVPLUSD+0.35%+3.88%+12.07%+23.29% GREEN
Asia ex-JapanAAXJUSD+0.40%+3.06%+14.19%+21.60% GREEN
China A-SharesCNYAUSD+0.38%+1.11%+7.37%+7.81% GREEN
Hang Seng / HKEWHHKD-0.75%+0.67%+4.60%+12.38% GREEN
PhilippinesEPHEUSD-0.45%+1.36%-0.65%-1.57% AMBER
ThailandTHDUSD+1.74%+2.29%+9.52%+21.22% GREEN
EQUITIES — EMERGING MARKETS(11)Best: Korea +12.0%  |  Worst: Indonesia -9.6%Click to expand
BrazilEWZBRL+1.44%-7.43%+0.68%+15.68% AMBER
ChinaFXICNY+0.11%-1.49%+0.14%-5.35% AMBER
EM BroadEEMUSD+0.60%+2.30%+13.61%+19.65% GREEN
IndiaINDAINR+0.06%-2.83%+1.05%-11.16% AMBER
IndonesiaEIDOIDR-4.60%-9.65%-12.00%-27.86% RED
KoreaEWYKRW+0.70%+12.04%+33.59%+85.26% GREEN
MexicoEWWMXN+1.61%+2.63%+8.69%+13.15% GREEN
Saudi ArabiaKSASAR+0.10%-1.97%+1.94%+5.27% GREEN
South AfricaEZAZAR+1.72%+0.44%+5.53%-0.41% RED
TaiwanEWTTWD+0.70%+2.27%+27.42%+44.69% GREEN
VietnamVNMVND+0.63%+2.49%+13.72%+1.21% GREEN
DEFENCE & GEOPOLITICAL(2)Best: BAE Aerospace & Defence +2.8%  |  Worst: US Aerospace & Defence +2.2%Click to expand
BAE Aerospace & DefenceXARUSD+2.21%+2.84%-0.52%+10.52% AMBER
US Aerospace & DefenceITAUSD+2.77%+2.16%-1.78%+4.07% AMBER
FIXED INCOME & CREDIT(16)Best: Convertible Bonds +2.2%  |  Worst: Treasuries 20Y+ -1.6%Click to expand
Cash (T-Bills)BILUSD+0.04%+0.22%+0.62%+1.07% GREEN
Convertible BondsCWBUSD-1.33%+2.18%+9.82%+16.01% GREEN
EM Local CurrencyEMLCUSD+0.28%-0.56%+1.03%-0.63% GREEN
EM USD SovereignEMBUSD+0.22%-0.49%+1.23%-0.09% GREEN
HY CreditHYGUSD+0.50%-0.13%+1.27%+0.51% GREEN
IG CreditLQDUSD+0.08%-0.44%-0.34%-0.93% GREEN
Municipal BondsMUBUSD-0.18%-0.85%-0.33%-0.31% GREEN
Municipal HYHYDUSD+0.02%-0.74%+0.72%-0.02% GREEN
Preferred SecuritiesPFFUSD-0.38%-0.64%+2.23%+1.62% GREEN
ST IG CorporatesVCSHUSD+0.11%-0.13%+0.30%+0.01% GREEN
Senior LoansBKLNUSD-0.04%+0.10%+0.89%-0.83% GREEN
Treasuries 0-3YSHYUSD+0.11%-0.11%+0.18%+0.06% GREEN
Treasuries 20Y+TLTUSD+0.30%-1.64%-3.35%-2.65% GREEN
Treasuries 7-10YIEFUSD+0.25%-0.98%-1.44%-1.59% GREEN
US AggregateAGGUSD+0.20%-0.56%-0.61%-0.70% GREEN
US TIPSTIPUSD-0.22%-0.57%-0.16%+0.42% GREEN
FIXED INCOME — INTERNATIONAL(5)Best: Intl Bonds -0.0%  |  Worst: Intl Govt Bonds -1.1%Click to expand
Global AggregateBNDWUSD+0.40%-0.27%-0.32%-0.46% GREEN
Intl BondsBNDXUSD+0.74%-0.04%+0.03%-0.16% GREEN
Intl Govt BondsIGOVUSD+1.00%-1.10%-0.17%-0.58% GREEN
Intl High YieldIHYUSD+0.10%-0.36%+1.92%+0.29% GREEN
US IG Credit (Intl)IGIBUSD+0.08%-0.53%-0.22%-0.85% GREEN
SOVEREIGN RATES(4)Best: 5Y Treasury Yield +5.0%  |  Worst: 2Y Treasury Yield -0.8%Click to expand
10Y Treasury Yield^TNXUSD-0.50%+4.15%+6.80%+9.82% GREEN
2Y Treasury Yield^IRXUSD-0.86%-0.78%-1.52%+0.28% AMBER
30Y Treasury Yield^TYXUSD-0.23%+2.59%+5.44%+5.70% GREEN
5Y Treasury Yield^FVXUSD-0.78%+5.02%+7.81%+13.51% GREEN
COMMODITIES(16)Best: Natural Gas +8.4%  |  Worst: Uranium -14.9%Click to expand
AgricultureDBAUSD+0.50%-0.21%+3.71%+9.60% GREEN
Broad CommoditiesDBCUSD-0.99%-0.71%+7.07%+38.10% GREEN
Copper ETFCPERUSD+1.13%+5.58%+14.38%+10.33% GREEN
Copper MinersCOPXUSD-0.89%+3.39%+13.72%+14.65% AMBER
CornCORNUSD+1.54%-1.44%-2.18%+3.89% GREEN
GoldGLDUSD+0.03%-1.48%-2.11%+5.32% RED
Iron Ore (VALE)VALEUSD+0.18%-0.06%+11.76%+25.48% AMBER
LithiumLITUSD-0.70%-5.38%+21.46%+28.72% AMBER
Natural GasUNGUSD+1.41%+8.40%-8.52%-6.28% RED
PalladiumPALLUSD-2.89%-9.74%-80.99%-82.80% RED
PlatinumPPLTUSD-1.08%-1.50%-90.09%-90.50% RED
SilverSLVUSD-0.45%+3.11%+4.64%+6.69% RED
SoybeansSOYBUSD+1.58%+1.37%+3.59%+14.78% GREEN
UraniumURAUSD-3.79%-14.85%-0.48%+12.43% RED
WTI Oil (BNO proxy) ⚠ DATA REVIEWBNOUSD-3.55%-4.94%+8.80% AMBER
WheatWEATUSD+3.28%+3.28%+6.68%+24.69% GREEN
CRYPTO(3)Best: Solana +3.6%  |  Worst: Ethereum -5.7%Click to expand
BitcoinBTC-USDUSD-0.83%+1.55%+10.83%-12.68% RED
EthereumETH-USDUSD-2.39%-5.70%-0.46%-29.09% RED
SolanaSOL-USDUSD-0.56%+3.65%-3.23%-32.12% RED
FX(11)Best: US Dollar Index +1.1%  |  Worst: USD/JPY -0.8%Click to expand
AUD/USDAUDUSD=XAUD-0.86%+0.29%+1.74%+6.78% GREEN
Brazilian RealBRL=XBRL-0.18%-0.45%-5.07%-8.79% AMBER
Canadian DollarCAD=XCAD+0.19%+0.57%+0.14%+0.40% GREEN
EUR/USDEURUSD=XEUR-0.29%-0.49%+1.43%-1.02% GREEN
GBP/USDGBPUSD=XGBP+0.32%-0.41%+1.27%-0.25% GREEN
Korean WonKRW=XKRW+0.42%+0.83%-0.37%+4.30% GREEN
Mexican PesoMXN=XMXN+1.00%-0.70%-2.47%-3.20% GREEN
US Dollar IndexDX-Y.NYBUSD-0.15%+1.07%-0.11%+0.86% GREEN
USD/CHFCHF=XCHF+0.39%-0.42%-0.68%-0.56% GREEN
USD/JPYJPY=XJPY+0.33%-0.80%-0.55%+1.60% GREEN
USD/SGDSGD=XSGD+0.12%-0.18%-0.42%-0.46% GREEN
VOLATILITY(3)Best: VIX Index +3.3%  |  Worst: ST VIX ETF -4.4%Click to expand
ST VIX ETFVIXYUSD-3.38%-4.41%-20.31%+1.48% RED
VIX Futures ETNVXXUSD-3.12%-4.22%-20.05%+2.00% RED
VIX Index^VIXUSD-5.37%+3.26%-27.51%+16.66% RED
LISTED ALTERNATIVES(7)Best: High Yield REIT +3.8%  |  Worst: US Infrastructure -3.8%Click to expand
Commodities IndexBCIUSD-0.32%-0.08%+5.77%+29.49% GREEN
Diversified CommodityPDBCUSD-1.02%-0.59%+6.97%+39.02% GREEN
Energy InfrastructureAMLPUSD+0.65%+2.47%+4.52%+18.02% GREEN
Global REITsREETUSD+2.13%+0.22%+6.33%+10.28% GREEN
High Yield REITKBWYUSD+3.18%+3.80%+10.34%+14.37% GREEN
Listed Private EquityPSPUSD+0.44%-1.48%+6.02%-10.26% AMBER
US InfrastructureIFRAUSD-0.56%-3.75%+6.20%+15.05% GREEN
⚠ DATA REVIEW — BNO (Brent Oil ETF): yfinance auto-adjusted close prices for BNO show anomalous 2026 YTD of +73.3% while Brent crude spot prices have declined. Likely cause: unadjusted corporate action (reverse split or NAV reset) in the upstream data source. YTD / 3M / 1M return cells are dashed until the source data is confirmed clean. Vol, Max DD, and RAG signal calculations are unaffected.
50
VOL RISING ⬆
Change > +5%
8
VOL STABLE →
−5% to +5%
55
VOL EASING ⬇
Change < −5%
AssetTickerVol 20DVol 1M Ago30D ChangeMax DDSharpeSignal
EQUITIES — US BROAD(4)Avg vol: 12.9%  |  Avg DD: -1.3%  |  Avg Sharpe: 0.90Click to expand
Nasdaq 100QQQ12.8%13.1%→ -2.4%-0.9%1.16 GREEN
Russell 2000IWM19.7%14.1%⬆⬆ +39.8%-2.4%0.78 GREEN
S&P 500SPY8.7%9.1%⬇ -5.2%-0.9%0.83 GREEN
World (ACWI)ACWI10.5%11.1%⬇ -5.2%-1.0%0.84 GREEN
EQUITIES — US SECTORS(11)Avg vol: 13.6%  |  Avg DD: -4.7%  |  Avg Sharpe: 0.35Click to expand
CommunicationsXLC8.9%11.8%⬇ -24.6%-3.0%-0.28 GREEN
Consumer DiscretionaryXLY19.3%14.9%⬆⬆ +29.3%-5.1%-0.22 GREEN
Consumer StaplesXLP11.3%12.8%⬇ -11.6%-4.5%0.37 GREEN
EnergyXLE23.4%18.5%⬆⬆ +26.9%-4.4%1.62 GREEN
FinancialsXLF14.4%10.0%⬆⬆ +43.8%-7.9%-0.56 AMBER
HealthcareXLV7.4%13.8%⬇ -46.6%-7.8%0.22 AMBER
IndustrialsXLI12.1%16.2%⬇ -25.2%-4.3%0.61 GREEN
MaterialsXLB19.1%8.9%⬆⬆ +114.5%-6.9%0.35 GREEN
Real Estate (REITs)VNQ9.6%12.7%⬇ -24.7%-0.6%0.22 GREEN
TechnologyXLK18.2%17.8%→ +2.4%-1.3%1.29 GREEN
UtilitiesXLU5.7%16.9%⬇ -66.2%-6.1%0.24 GREEN
EQUITIES — DEVELOPED MARKETS(8)Avg vol: 14.7%  |  Avg DD: -2.7%  |  Avg Sharpe: 0.45Click to expand
AustraliaEWA11.6%15.6%⬇ -25.9%-4.5%0.24 GREEN
Europe Dev (EFA)EFA13.4%14.1%→ -5.0%-1.9%0.64 GREEN
EurozoneEZU18.7%15.1%⬆⬆ +23.6%-2.0%0.58 GREEN
FTSE 100 (UK)FLGB18.0%14.5%⬆⬆ +24.5%-3.4%0.67 GREEN
GermanyEWG19.8%15.6%⬆⬆ +26.8%-3.8%0.01 GREEN
JapanEWJ8.8%15.3%⬇ -42.3%-2.9%0.71 GREEN
SingaporeEWS8.7%13.9%⬇ -37.6%0.0%0.02 GREEN
UKEWU18.7%14.2%⬆⬆ +32.1%-3.3%0.69 GREEN
EQUITIES — SPECIALIST & THEMATIC(5)Avg vol: 19.2%  |  Avg DD: -7.7%  |  Avg Sharpe: 0.57Click to expand
ARK InnovationARKK20.3%33.2%⬇ -39.1%-18.0%-0.09 RED
Clean EnergyICLN25.7%22.6%⬆ +14.1%-2.8%1.60 GREEN
Cloud ComputingSKYY10.0%32.3%⬇ -68.9%-9.9%-0.28 AMBER
Global X Guru ETFGURU17.8%20.1%⬇ -11.3%-2.3%0.38 GREEN
Smart Grid InfraGRID22.2%17.7%⬆⬆ +25.7%-5.7%1.23 GREEN
EQUITIES — ASIA PACIFIC(7)Avg vol: 12.2%  |  Avg DD: -4.7%  |  Avg Sharpe: 0.66Click to expand
ASEANASEA7.8%11.5%⬇ -32.3%-2.9%0.88 GREEN
Asia PacificVPL12.3%17.3%⬇ -28.9%-2.6%1.27 GREEN
Asia ex-JapanAAXJ14.1%18.6%⬇ -23.9%-3.7%1.13 GREEN
China A-SharesCNYA9.1%13.0%⬇ -30.5%-3.8%0.53 GREEN
Hang Seng / HKEWH11.8%10.8%⬆ +10.0%-2.7%0.54 GREEN
PhilippinesEPHE14.0%8.6%⬆⬆ +62.6%-13.5%-0.52 AMBER
ThailandTHD16.0%20.1%⬇ -20.3%-3.6%0.79 GREEN
EQUITIES — EMERGING MARKETS(11)Avg vol: 16.5%  |  Avg DD: -10.0%  |  Avg Sharpe: 0.43Click to expand
BrazilEWZ25.3%17.1%⬆⬆ +48.3%-11.9%0.97 AMBER
ChinaFXI2.6%12.1%⬇ -78.7%-12.3%-0.83 AMBER
EM BroadEEM15.3%18.0%⬇ -15.2%-3.7%1.15 GREEN
IndiaINDA14.3%13.5%⬆ +5.6%-13.1%-1.04 AMBER
IndonesiaEIDO23.7%17.7%⬆⬆ +34.0%-29.8%-1.53 RED
KoreaEWY28.3%37.2%⬇ -23.8%-6.6%2.32 GREEN
MexicoEWW10.2%14.5%⬇ -30.1%-3.4%0.88 GREEN
Saudi ArabiaKSA4.0%10.7%⬇ -62.7%-5.7%0.13 GREEN
South AfricaEZA23.6%27.1%⬇ -12.7%-16.0%0.60 RED
TaiwanEWT22.5%25.0%⬇ -10.0%-5.4%1.83 GREEN
VietnamVNM11.2%17.8%⬇ -36.9%-2.5%0.23 GREEN
DEFENCE & GEOPOLITICAL(2)Avg vol: 20.0%  |  Avg DD: -9.9%  |  Avg Sharpe: 0.59Click to expand
BAE Aerospace & DefenceXAR21.8%23.9%⬇ -8.7%-8.9%0.72 AMBER
US Aerospace & DefenceITA18.1%21.6%⬇ -16.4%-10.8%0.46 AMBER
FIXED INCOME & CREDIT(16)Avg vol: 4.6%  |  Avg DD: -2.2%  |  Avg Sharpe: -1.33Click to expand
Cash (T-Bills)BIL0.2%0.2%⬆ +0.01pp0.0%N/A GREEN
Convertible BondsCWB11.8%11.3%→ +4.6%-3.2%0.96 GREEN
EM Local CurrencyEMLC7.7%6.3%⬆⬆ +21.8%-4.0%-0.28 GREEN
EM USD SovereignEMB5.8%5.2%⬆ +10.3%-2.0%-0.43 GREEN
HY CreditHYG4.7%3.4%⬆⬆ +37.6%-0.5%-0.75 GREEN
IG CreditLQD6.7%4.4%⬆⬆ +53.4%-2.6%-1.30 GREEN
Municipal BondsMUB3.2%2.1%⬆⬆ +1.15pp-2.2%-1.33 GREEN
Municipal HYHYD1.1%2.1%⬇ -0.93pp-1.3%-0.77 GREEN
Preferred SecuritiesPFF5.5%6.9%⬇ -20.5%-1.9%-0.72 GREEN
ST IG CorporatesVCSH2.2%1.8%⬆ +0.36pp-0.9%-2.09 GREEN
Senior LoansBKLN0.8%2.7%⬇ -1.95pp-1.1%-1.07 GREEN
Treasuries 0-3YSHY1.1%1.3%⬇ -0.16pp-0.7%N/A GREEN
Treasuries 20Y+TLT8.9%6.2%⬆⬆ +42.6%-6.9%-1.19 GREEN
Treasuries 7-10YIEF5.5%3.8%⬆⬆ +44.4%-3.7%-1.55 GREEN
US AggregateAGG5.1%3.1%⬆⬆ +63.8%-2.5%-1.50 GREEN
US TIPSTIP3.0%2.4%⬆⬆ +0.55pp-1.3%-1.69 GREEN
FIXED INCOME — INTERNATIONAL(5)Avg vol: 5.5%  |  Avg DD: -2.5%  |  Avg Sharpe: -1.21Click to expand
Global AggregateBNDW4.5%3.1%⬆⬆ +46.1%-2.4%-1.62 GREEN
Intl BondsBNDX5.1%3.7%⬆⬆ +39.8%-2.2%-1.45 GREEN
Intl Govt BondsIGOV8.8%7.5%⬆ +17.0%-3.7%-0.94 GREEN
Intl High YieldIHY3.6%3.7%→ -3.6%-1.8%-0.71 GREEN
US IG Credit (Intl)IGIB5.4%3.5%⬆⬆ +53.2%-2.4%-1.32 GREEN
SOVEREIGN RATES(4)Avg vol: 12.8%  |  Avg DD: -3.8%  |  Avg Sharpe: -0.12Click to expand
10Y Treasury Yield^TNX16.5%10.5%⬆⬆ +57.0%-2.0%N/A GREEN
2Y Treasury Yield^IRX4.9%1.9%⬆⬆ +3.04pp-9.4%N/A AMBER
30Y Treasury Yield^TYX10.4%6.5%⬆⬆ +59.3%-1.3%N/A GREEN
5Y Treasury Yield^FVX19.3%14.4%⬆⬆ +34.0%-2.4%N/A GREEN
COMMODITIES(16)Avg vol: 25.2%  |  Avg DD: -21.3%  |  Avg Sharpe: 0.81Click to expand
AgricultureDBA12.3%7.6%⬆⬆ +62.3%-2.6%0.17 GREEN
Broad CommoditiesDBC17.5%17.4%→ +0.7%-2.6%2.00 GREEN
Copper ETFCPER23.0%20.1%⬆ +14.3%-4.6%1.11 GREEN
Copper MinersCOPX35.4%34.1%→ +3.7%-14.0%1.28 AMBER
CornCORN26.0%10.4%⬆⬆ +150.8%-3.7%0.07 GREEN
GoldGLD15.7%18.3%⬇ -14.6%-15.8%0.82 RED
Iron Ore (VALE)VALE19.9%31.5%⬇ -36.6%-8.2%1.74 AMBER
LithiumLIT20.2%25.7%⬇ -21.3%-8.9%1.80 AMBER
Natural GasUNG35.2%26.3%⬆⬆ +33.9%-32.0%0.06 RED
PalladiumPALL30.6%34.8%⬇ -12.0%-86.5%-0.62 RED
PlatinumPPLT20.4%34.2%⬇ -40.4%-93.0%-0.46 RED
SilverSLV37.6%37.6%→ -0.1%-34.9%1.27 RED
SoybeansSOYB14.0%7.5%⬆⬆ +87.3%-1.1%0.82 GREEN
UraniumURA28.7%46.9%⬇ -38.9%-22.3%0.49 RED
WTI Oil (BNO proxy)BNO39.6%51.2%⬇ -22.6%-7.5%1.74 AMBER
WheatWEAT26.4%24.6%⬆ +7.4%-2.3%0.76 GREEN
CRYPTO(3)Avg vol: 20.1%  |  Avg DD: -52.7%  |  Avg Sharpe: -1.17Click to expand
BitcoinBTC-USD12.1%31.4%⬇ -61.5%-37.9%-0.96 RED
EthereumETH-USD19.9%44.8%⬇ -55.5%-54.9%-1.14 RED
SolanaSOL-USD28.2%40.4%⬇ -30.2%-65.3%-1.41 RED
FX(11)Avg vol: 6.8%  |  Avg DD: -3.3%  |  Avg Sharpe: -0.68Click to expand
AUD/USDAUDUSD=X12.0%7.5%⬆⬆ +60.0%-1.4%0.46 GREEN
Brazilian RealBRL=X16.0%10.2%⬆⬆ +57.1%-10.6%-1.15 AMBER
Canadian DollarCAD=X2.2%4.0%⬇ -43.4%-2.6%-1.43 GREEN
EUR/USDEURUSD=X4.9%4.4%⬆ +12.2%-3.2%-0.99 GREEN
GBP/USDGBPUSD=X8.3%4.8%⬆⬆ +74.8%-2.8%-0.87 GREEN
Korean WonKRW=X8.7%7.6%⬆ +14.7%-1.1%0.43 GREEN
Mexican PesoMXN=X7.0%5.8%⬆⬆ +22.1%-6.8%-1.49 GREEN
US Dollar IndexDX-Y.NYB3.4%4.1%⬇ -16.8%-1.4%-0.60 GREEN
USD/CHFCHF=X5.5%5.9%⬇ -5.8%-2.8%-0.93 GREEN
USD/JPYJPY=X2.1%3.1%⬇ -33.5%-0.8%0.48 GREEN
USD/SGDSGD=X4.3%3.2%⬆⬆ +36.3%-2.3%-1.36 GREEN
VOLATILITY(3)Avg vol: 25.7%  |  Avg DD: -36.5%  |  Avg Sharpe: 0.08Click to expand
ST VIX ETFVIXY22.6%26.0%⬇ -13.1%-33.2%-0.30 RED
VIX Futures ETNVXX23.0%25.4%⬇ -9.3%-32.4%-0.29 RED
VIX Index^VIXN/AN/A N/A-43.8%0.81 RED
LISTED ALTERNATIVES(7)Avg vol: 13.4%  |  Avg DD: -3.6%  |  Avg Sharpe: 0.85Click to expand
Commodities IndexBCI14.4%12.3%⬆ +17.4%-2.4%1.89 GREEN
Diversified CommodityPDBC16.7%18.1%⬇ -7.4%-2.6%2.03 GREEN
Energy InfrastructureAMLP9.1%11.0%⬇ -17.5%-0.8%1.32 GREEN
Global REITsREET9.1%12.2%⬇ -25.2%-0.7%0.44 GREEN
High Yield REITKBWY18.0%13.6%⬆⬆ +31.8%0.0%0.41 GREEN
Listed Private EquityPSP19.3%24.2%⬇ -20.0%-14.5%-1.07 AMBER
US InfrastructureIFRA7.1%17.5%⬇ -59.8%-4.2%0.94 GREEN
⬆⬆ Vol rising ≥+20%  ·  ⬆ +5% to +20%  ·  → stable −5% to +5%  ·  ⬇ easing <−5%  ·  Sharpe = 1Y excess return / vol (rf=4.5%)
Vol 20D = 20-day daily returns std dev × √252 (annualised)  ·  Vol 1M Ago = same calculation 21 trading days prior  ·  20Y Treasury vol > HY Credit vol is expected: duration risk dominates rate-sensitive environments
SYSTEM FRAGILITY TREND — LAST 2 YEARS
CURRENT
67
2Y PEAK
92
2Y AVG
56
2Y LOW
36
7050025751002025-012025-022025-032025-052025-062025-082025-092025-102025-122026-012026-022026-04
CRISIS ≥70 STRESSED 55–69 MODERATE <55Dashed lines = regime thresholds
SYSTEM FRAGILITY
65/ 100STRESSED0100
STRESSED
CRISIS
45
Score ≥ 70
STRESSED
39
Score 55–69
MODERATE
28
Score < 55
TOTAL
102
102 of 113 scored (FX excluded)
Yield indices & FX pairs excluded from fragility scoring
⚠ Top 5 Most Fragile
Intl Bonds
94
CRISIS
Platinum
90
CRISIS
Palladium
90
CRISIS
EM Local Currency
90
CRISIS
Treasuries 0-3Y
90
CRISIS
AssetTickerScoreBarStatusTop DriverDrawdownVolatilityTail RiskTrendContagionVol Stress
EQUITIES — US BROAD(4)Avg score: 50  |  Highest: World (ACWI) (53)Click to expand
World (ACWI)ACWI53
MODERATEVolatility+3.4+13.1+6.3+0.0-17.0-2.3
Russell 2000IWM51
MODERATEContagion-10.6+8.5-6.4+0.0+21.0-10.0
S&P 500SPY48
MODERATEVol Stress-3.4-2.9-2.7+0.0-1.1+1.1
Nasdaq 100QQQ47
MODERATEVolatility-11.8+3.2-2.9+0.0-1.8+1.7
EQUITIES — US SECTORS(11)Avg score: 58  |  Highest: Healthcare (66)Click to expand
HealthcareXLV66
STRESSEDTrend+2.0-8.6-2.0+37.3+14.1-9.6
MaterialsXLB66
STRESSEDVolatility+5.4+33.4+33.1+0.0+13.2+27.3
EnergyXLE64
STRESSEDTail Risk-5.4+34.9+51.0+0.0-24.8-0.9
UtilitiesXLU64
STRESSEDDrawdown+23.4+5.2-0.9+0.0-30.2-0.2
FinancialsXLF64
STRESSEDTrend+29.9-6.3-15.2+60.0-4.5-7.6
IndustrialsXLI61
STRESSEDDrawdown+16.6+12.8+6.7+0.0+5.4-6.8
Consumer DiscretionaryXLY56
STRESSEDContagion-2.2-3.0-8.3+0.0+12.1-2.4
Consumer StaplesXLP54
MODERATEDrawdown+6.3-7.4-0.5+0.0+2.3-11.1
CommunicationsXLC51
MODERATETail Risk+3.2-7.2+6.2+0.0+4.2-10.6
Real Estate (REITs)VNQ50
MODERATEContagion-19.7-3.4-22.0+0.0+12.2+1.5
TechnologyXLK44
MODERATEVolatility-11.7+9.6-8.0+0.0-16.8-9.5
EQUITIES — DEVELOPED MARKETS(8)Avg score: 75  |  Highest: UK (86)Click to expand
UKEWU86
CRISISTail Risk+35.3+47.9+49.8+0.0+24.0+10.3
FTSE 100 (UK)FLGB85
CRISISVolatility+37.5+45.4+39.2+0.0+21.2-1.0
EurozoneEZU80
CRISISVolatility+4.9+44.2+38.9+0.0+20.7-0.0
Europe Dev (EFA)EFA79
CRISISTail Risk+7.7+28.6+49.3+0.0+24.9-12.2
GermanyEWG77
CRISISVolatility+7.7+29.8+16.8+0.0+28.2-3.9
AustraliaEWA66
STRESSEDVolatility+6.5+26.2+3.6+0.0+17.5-6.0
JapanEWJ66
STRESSEDContagion+9.7+0.9+4.2+0.0+31.7-6.8
SingaporeEWS59
STRESSEDContagion-16.2+7.7-0.8+0.0+21.6-8.6
EQUITIES — SPECIALIST & THEMATIC(5)Avg score: 57  |  Highest: Smart Grid Infra (74)Click to expand
Smart Grid InfraGRID74
CRISISVolatility+34.1+41.4+16.3+0.0+11.1+40.0
ARK InnovationARKK61
STRESSEDTrend+7.7-4.1-10.9+60.0+3.0-0.4
Clean EnergyICLN57
STRESSEDVolatility-7.0+18.4+5.7+0.0+6.8-3.3
Global X Guru ETFGURU52
MODERATETail Risk-2.5+3.9+15.4+0.0-26.0+5.0
Cloud ComputingSKYY42
MODERATETail Risk-0.7-6.3+9.4+0.0-51.3+1.6
EQUITIES — ASIA PACIFIC(7)Avg score: 64  |  Highest: Asia Pacific (80)Click to expand
Asia PacificVPL80
CRISISVolatility+10.8+46.1+31.5+0.0+29.1+17.9
Asia ex-JapanAAXJ72
CRISISVolatility+5.9+42.6+28.1+0.0+16.9+2.1
ThailandTHD60
STRESSEDContagion-10.3+12.7+11.6+0.0+30.1-4.9
ASEANASEA60
STRESSEDContagion-1.1-1.7-6.0+0.0+26.9+10.6
PhilippinesEPHE60
STRESSEDContagion+14.6-3.2-8.9+12.5+28.9-4.2
China A-SharesCNYA60
STRESSEDVolatility+0.3+20.3+0.8+0.0+14.1-10.6
Hang Seng / HKEWH56
STRESSEDContagion-4.3+11.5-10.0+0.0+23.9-1.7
EQUITIES — EMERGING MARKETS(11)Avg score: 71  |  Highest: South Africa (88)Click to expand
South AfricaEZA88
CRISISDrawdown+68.6+34.6+10.5+60.0+35.0+1.4
IndiaINDA85
CRISISTrend+26.5+32.1+30.5+60.0+24.1+15.4
KoreaEWY84
CRISISTail Risk+5.6+60.0+80.0+0.0+21.2+1.7
IndonesiaEIDO78
CRISISTrend+24.8+5.3+8.0+60.0+33.3+0.6
ChinaFXI76
CRISISTrend+28.4+9.2+4.7+60.0+12.7-8.9
EM BroadEEM74
CRISISTail Risk+16.3+36.7+37.6+0.0+20.0-10.6
BrazilEWZ69
STRESSEDDrawdown+30.8+19.5+2.7+0.0+16.4+1.4
MexicoEWW67
STRESSEDContagion+8.5+5.2+4.6+0.0+42.4-12.8
TaiwanEWT65
STRESSEDDrawdown+16.3+15.8+15.3+0.0+12.4-7.4
VietnamVNM48
MODERATEContagion-9.7-4.9-30.7+0.0+19.2-0.1
Saudi ArabiaKSA47
MODERATEContagion+0.2-5.6-10.2-10.1+4.2+0.8
DEFENCE & GEOPOLITICAL(2)Avg score: 76  |  Highest: US Aerospace & Defence (83)Click to expand
US Aerospace & DefenceITA83
CRISISTrend+56.8+14.6+25.6+60.0+20.2-6.5
BAE Aerospace & DefenceXAR70
STRESSEDDrawdown+22.5+15.5+17.0+0.0+19.9-7.1
FIXED INCOME & CREDIT(16)Avg score: 75  |  Highest: EM Local Currency (90)Click to expand
EM Local CurrencyEMLC90
CRISISDrawdown+84.2+19.9+11.9+60.0+48.0+2.5
Treasuries 0-3YSHY90
CRISISDrawdown+88.0+2.8+18.6+0.0+72.0+11.7
Treasuries 7-10YIEF87
CRISISContagion+35.2+12.6+8.2+60.0+72.0+15.4
ST IG CorporatesVCSH87
CRISISDrawdown+88.0+9.4+19.3+0.0+39.8-0.9
EM USD SovereignEMB86
CRISISTrend+44.2+19.4+25.5+60.0+36.1+4.2
US AggregateAGG82
CRISISTrend+36.3+13.6+11.8+60.0+37.5-9.8
Senior LoansBKLN80
CRISISDrawdown+88.0-2.0+27.8+0.0+1.4+6.3
IG CreditLQD77
CRISISTrend+17.0+11.7+5.4+60.0+32.2-8.5
Treasuries 20Y+TLT75
CRISISTrend+12.4+3.3-12.8+60.0+41.1+11.5
HY CreditHYG73
CRISISContagion+19.4+14.1+5.8+0.0+34.6+0.6
Municipal BondsMUB73
CRISISTrend+10.6+2.7+11.1+60.0+27.1-8.4
Cash (T-Bills)BIL66
STRESSEDTail Risk+0.0-18.0+80.0+0.0+0.0-0.2
US TIPSTIP64
STRESSEDTrend+15.9-6.9-12.9+60.0+20.2-6.6
Municipal HYHYD62
STRESSEDContagion+2.3-3.3+13.5+0.0+30.3-10.3
Convertible BondsCWB58
STRESSEDVolatility+15.4+18.2+10.6+0.0-2.9-8.2
Preferred SecuritiesPFF55
STRESSEDContagion-4.6+9.1-2.6+0.0+17.9+1.2
FIXED INCOME — INTERNATIONAL(5)Avg score: 82  |  Highest: Intl Bonds (94)Click to expand
Intl BondsBNDX94
CRISISDrawdown+68.3+38.4+30.8+60.0+44.9+40.0
Global AggregateBNDW89
CRISISDrawdown+61.5+20.1+15.1+60.0+44.1-7.3
US IG Credit (Intl)IGIB86
CRISISTrend+57.3+13.1+14.3+60.0+34.2-4.9
Intl Govt BondsIGOV78
CRISISTrend+18.2+10.6+12.2+60.0+26.8-0.4
Intl High YieldIHY66
STRESSEDContagion+29.0-3.2-0.3+0.0+36.6-4.0
SOVEREIGN RATES(4)Avg score: 35  |  Highest: 30Y Treasury Yield (37)Click to expand
30Y Treasury Yield^TYX37
MODERATEVolatility-25.7+8.7-17.0+0.0+0.0+0.0
5Y Treasury Yield^FVX36
MODERATEVolatility-36.3+14.9-2.5-10.1+0.0+0.0
2Y Treasury Yield^IRX35
MODERATEContagion-19.8-2.3-12.0-9.4+0.0+0.0
10Y Treasury Yield^TNX33
MODERATEVolatility-48.8+15.6+0.5-10.1+0.0+0.0
COMMODITIES(16)Avg score: 65  |  Highest: Platinum (90)Click to expand
PlatinumPPLT90
CRISISDrawdown+88.0+7.7-0.5+60.0+37.9+8.6
PalladiumPALL90
CRISISDrawdown+88.0+3.5+11.0+60.0+38.5-0.5
GoldGLD86
CRISISDrawdown+77.5+6.1+11.0+60.0+33.0-2.7
SilverSLV83
CRISISDrawdown+81.3+35.6+13.5+0.0+23.9-2.4
WTI Oil (BNO proxy)BNO75
CRISISTail Risk-10.3+47.3+80.0+0.0+0.0-2.8
Copper MinersCOPX71
CRISISTail Risk+9.9+25.7+27.7+0.0+26.6+1.2
UraniumURA67
STRESSEDTrend+16.7+8.2-6.5+60.0+22.4-1.6
Broad CommoditiesDBC65
STRESSEDTail Risk-5.6+30.8+60.4+0.0-12.1-6.9
Iron Ore (VALE)VALE62
STRESSEDContagion+7.1+3.6+0.0+0.0+19.1+4.9
CornCORN56
STRESSEDVolatility-19.8+42.5+26.2+0.0-12.1+4.2
LithiumLIT56
STRESSEDVolatility+7.7+8.9-0.7+0.0+6.9-2.1
WheatWEAT55
STRESSEDTail Risk-54.3+50.3+52.8-13.1-12.1-2.8
Copper ETFCPER55
MODERATEContagion-11.0+15.1-7.6+0.0+17.2-10.6
SoybeansSOYB42
MODERATEVolatility-19.5+12.9-16.5+0.0-9.3-7.6
AgricultureDBA40
MODERATEVolatility-19.2+22.6+0.1+0.0-31.8+8.2
Natural GasUNG40
MODERATETrend-1.8-9.4-23.7+0.2+0.0-13.1
CRYPTO(3)Avg score: 48  |  Highest: Bitcoin (64)Click to expand
BitcoinBTC-USD64
STRESSEDTrend+29.8-19.5-16.5+60.0-4.5+3.8
SolanaSOL-USD44
MODERATEDrawdown+24.7-19.9-22.2+1.8-8.9-1.3
EthereumETH-USD38
MODERATEDrawdown+16.7-38.0-24.0+5.5-14.0+4.3
VOLATILITY(3)Avg score: 39  |  Highest: VIX Futures ETN (39)Click to expand
VIX Futures ETNVXX39
MODERATETrend-22.6-17.6-0.5+0.3+0.0-5.6
ST VIX ETFVIXY39
MODERATETail Risk-23.2-17.0+3.9+0.3+0.0-10.1
VIX Index^VIXN/A — computed proxy / fear index (not scored)
LISTED ALTERNATIVES(7)Avg score: 59  |  Highest: Listed Private Equity (77)Click to expand
Listed Private EquityPSP77
CRISISTrend+32.7+0.5-3.1+60.0-7.5+40.0
Diversified CommodityPDBC69
STRESSEDTail Risk-6.4+36.8+65.9+0.0-12.1+2.9
Commodities IndexBCI61
STRESSEDTail Risk+0.0+20.8+46.0+0.0-12.1-8.8
Global REITsREET58
STRESSEDContagion-15.3+4.5-11.0+0.0+24.4-0.5
US InfrastructureIFRA55
STRESSEDDrawdown+9.8+5.9+2.2+0.0-28.1-7.0
High Yield REITKBWY50
MODERATEVolatility-18.0+11.5-11.1-10.1+11.1+3.0
Energy InfrastructureAMLP40
MODERATEVolatility-19.7+6.0-0.5+0.0-25.9+1.8
What fragility measures: Fragility tracks price stress characteristics — not the safety or quality of an instrument. A safe-haven asset can show elevated fragility when its price is declining.
T-Bills (BIL): Fragility reflects rate sensitivity and reinvestment risk, not credit or liquidity risk.
FX pairs: Excluded from this tab — currency pair pillars (Contagion, Trend, Vol Stress) are not meaningful for FX. FX instruments appear on Performance, Risk, and Analysis tabs.
BK Fragility Framework · Drawdown 22% + CVaR 20% + Contagion 18% + Volatility 15% + Trend 15% + Vol Stress 10% · CRISIS ≥70 · STRESSED 55–69 · MODERATE <55
Pillar scores are standardised z-scores relative to history (positive = above average stress) · Top Driver = highest contributing pillar · Negative scores = below historical stress average (healthy signal)
CORRELATION WINDOW
60D
Rolling daily returns
INSTRUMENTS
20
Key representatives
AVG CORRELATION
0.15
Ex-diagonal (high = contagion risk)
CROSS-ASSET CORRELATION MATRIX — 60D
SPYQQQIWMACWIEEMTechHealthUtilTLTHYGLQDBILGoldOilCMDBTCEURJPYVIXDEFSPYSPY vs QQQ: +0.95+0.95SPY vs IWM: +0.90+0.90SPY vs ACWI: +0.97+0.97SPY vs EEM: +0.87+0.87SPY vs Tech: +0.88+0.88SPY vs Health: +0.52+0.52SPY vs Util: +0.09SPY vs TLT: +0.51+0.51SPY vs HYG: +0.85+0.85SPY vs LQD: +0.71+0.71SPY vs BIL: -0.22-0.22SPY vs Gold: +0.52+0.52SPY vs Oil: -0.67-0.67SPY vs CMD: -0.58-0.58SPY vs BTC: +0.42+0.42SPY vs EUR: +0.22+0.22SPY vs JPY: -0.09SPY vs VIX: -0.79-0.79SPY vs DEF: +0.74+0.74QQQQQQ vs SPY: +0.95+0.95QQQ vs IWM: +0.84+0.84QQQ vs ACWI: +0.92+0.92QQQ vs EEM: +0.88+0.88QQQ vs Tech: +0.96+0.96QQQ vs Health: +0.34+0.34QQQ vs Util: -0.03QQQ vs TLT: +0.48+0.48QQQ vs HYG: +0.79+0.79QQQ vs LQD: +0.66+0.66QQQ vs BIL: -0.13-0.13QQQ vs Gold: +0.51+0.51QQQ vs Oil: -0.63-0.63QQQ vs CMD: -0.55-0.55QQQ vs BTC: +0.38+0.38QQQ vs EUR: +0.23+0.23QQQ vs JPY: -0.14-0.14QQQ vs VIX: -0.64-0.64QQQ vs DEF: +0.63+0.63IWMIWM vs SPY: +0.90+0.90IWM vs QQQ: +0.84+0.84IWM vs ACWI: +0.92+0.92IWM vs EEM: +0.84+0.84IWM vs Tech: +0.80+0.80IWM vs Health: +0.49+0.49IWM vs Util: +0.25+0.25IWM vs TLT: +0.58+0.58IWM vs HYG: +0.86+0.86IWM vs LQD: +0.75+0.75IWM vs BIL: -0.16-0.16IWM vs Gold: +0.50+0.50IWM vs Oil: -0.65-0.65IWM vs CMD: -0.57-0.57IWM vs BTC: +0.46+0.46IWM vs EUR: +0.14+0.14IWM vs JPY: -0.03IWM vs VIX: -0.66-0.66IWM vs DEF: +0.76+0.76ACWIACWI vs SPY: +0.97+0.97ACWI vs QQQ: +0.92+0.92ACWI vs IWM: +0.92+0.92ACWI vs EEM: +0.94+0.94ACWI vs Tech: +0.83+0.83ACWI vs Health: +0.55+0.55ACWI vs Util: +0.16+0.16ACWI vs TLT: +0.58+0.58ACWI vs HYG: +0.89+0.89ACWI vs LQD: +0.76+0.76ACWI vs BIL: -0.25-0.25ACWI vs Gold: +0.59+0.59ACWI vs Oil: -0.74-0.74ACWI vs CMD: -0.65-0.65ACWI vs BTC: +0.40+0.40ACWI vs EUR: +0.18+0.18ACWI vs JPY: -0.00ACWI vs VIX: -0.75-0.75ACWI vs DEF: +0.79+0.79EEMEEM vs SPY: +0.87+0.87EEM vs QQQ: +0.88+0.88EEM vs IWM: +0.84+0.84EEM vs ACWI: +0.94+0.94EEM vs Tech: +0.82+0.82EEM vs Health: +0.38+0.38EEM vs Util: +0.12+0.12EEM vs TLT: +0.57+0.57EEM vs HYG: +0.81+0.81EEM vs LQD: +0.71+0.71EEM vs BIL: -0.21-0.21EEM vs Gold: +0.58+0.58EEM vs Oil: -0.76-0.76EEM vs CMD: -0.66-0.66EEM vs BTC: +0.36+0.36EEM vs EUR: +0.19+0.19EEM vs JPY: +0.01EEM vs VIX: -0.57-0.57EEM vs DEF: +0.69+0.69TechTech vs SPY: +0.88+0.88Tech vs QQQ: +0.96+0.96Tech vs IWM: +0.80+0.80Tech vs ACWI: +0.83+0.83Tech vs EEM: +0.82+0.82Tech vs Health: +0.17+0.17Tech vs Util: -0.13-0.13Tech vs TLT: +0.42+0.42Tech vs HYG: +0.71+0.71Tech vs LQD: +0.61+0.61Tech vs BIL: -0.06Tech vs Gold: +0.45+0.45Tech vs Oil: -0.53-0.53Tech vs CMD: -0.46-0.46Tech vs BTC: +0.42+0.42Tech vs EUR: +0.22+0.22Tech vs JPY: -0.15-0.15Tech vs VIX: -0.51-0.51Tech vs DEF: +0.53+0.53HealthHealth vs SPY: +0.52+0.52Health vs QQQ: +0.34+0.34Health vs IWM: +0.49+0.49Health vs ACWI: +0.55+0.55Health vs EEM: +0.38+0.38Health vs Tech: +0.17+0.17Health vs Util: +0.37+0.37Health vs TLT: +0.27+0.27Health vs HYG: +0.51+0.51Health vs LQD: +0.37+0.37Health vs BIL: -0.31-0.31Health vs Gold: +0.32+0.32Health vs Oil: -0.42-0.42Health vs CMD: -0.32-0.32Health vs BTC: +0.16+0.16Health vs EUR: +0.17+0.17Health vs JPY: +0.01Health vs VIX: -0.61-0.61Health vs DEF: +0.62+0.62UtilUtil vs SPY: +0.09Util vs QQQ: -0.03Util vs IWM: +0.25+0.25Util vs ACWI: +0.16+0.16Util vs EEM: +0.12+0.12Util vs Tech: -0.13-0.13Util vs Health: +0.37+0.37Util vs TLT: +0.17+0.17Util vs HYG: +0.19+0.19Util vs LQD: +0.12+0.12Util vs BIL: +0.09Util vs Gold: +0.16+0.16Util vs Oil: -0.06Util vs CMD: -0.00Util vs BTC: -0.02Util vs EUR: +0.06Util vs JPY: +0.08Util vs VIX: -0.18-0.18Util vs DEF: +0.24+0.24TLTTLT vs SPY: +0.51+0.51TLT vs QQQ: +0.48+0.48TLT vs IWM: +0.58+0.58TLT vs ACWI: +0.58+0.58TLT vs EEM: +0.57+0.57TLT vs Tech: +0.42+0.42TLT vs Health: +0.27+0.27TLT vs Util: +0.17+0.17TLT vs HYG: +0.71+0.71TLT vs LQD: +0.90+0.90TLT vs BIL: -0.17-0.17TLT vs Gold: +0.42+0.42TLT vs Oil: -0.54-0.54TLT vs CMD: -0.53-0.53TLT vs BTC: +0.38+0.38TLT vs EUR: -0.02TLT vs JPY: +0.06TLT vs VIX: -0.36-0.36TLT vs DEF: +0.43+0.43HYGHYG vs SPY: +0.85+0.85HYG vs QQQ: +0.79+0.79HYG vs IWM: +0.86+0.86HYG vs ACWI: +0.89+0.89HYG vs EEM: +0.81+0.81HYG vs Tech: +0.71+0.71HYG vs Health: +0.51+0.51HYG vs Util: +0.19+0.19HYG vs TLT: +0.71+0.71HYG vs LQD: +0.88+0.88HYG vs BIL: -0.22-0.22HYG vs Gold: +0.54+0.54HYG vs Oil: -0.66-0.66HYG vs CMD: -0.60-0.60HYG vs BTC: +0.40+0.40HYG vs EUR: +0.04HYG vs JPY: +0.02HYG vs VIX: -0.73-0.73HYG vs DEF: +0.72+0.72LQDLQD vs SPY: +0.71+0.71LQD vs QQQ: +0.66+0.66LQD vs IWM: +0.75+0.75LQD vs ACWI: +0.76+0.76LQD vs EEM: +0.71+0.71LQD vs Tech: +0.61+0.61LQD vs Health: +0.37+0.37LQD vs Util: +0.12+0.12LQD vs TLT: +0.90+0.90LQD vs HYG: +0.88+0.88LQD vs BIL: -0.18-0.18LQD vs Gold: +0.51+0.51LQD vs Oil: -0.63-0.63LQD vs CMD: -0.59-0.59LQD vs BTC: +0.44+0.44LQD vs EUR: -0.00LQD vs JPY: +0.05LQD vs VIX: -0.52-0.52LQD vs DEF: +0.57+0.57BILBIL vs SPY: -0.22-0.22BIL vs QQQ: -0.13-0.13BIL vs IWM: -0.16-0.16BIL vs ACWI: -0.25-0.25BIL vs EEM: -0.21-0.21BIL vs Tech: -0.06BIL vs Health: -0.31-0.31BIL vs Util: +0.09BIL vs TLT: -0.17-0.17BIL vs HYG: -0.22-0.22BIL vs LQD: -0.18-0.18BIL vs Gold: -0.18-0.18BIL vs Oil: +0.13+0.13BIL vs CMD: +0.11+0.11BIL vs BTC: -0.07BIL vs EUR: +0.03BIL vs JPY: -0.20-0.20BIL vs VIX: +0.28+0.28BIL vs DEF: -0.28-0.28GoldGold vs SPY: +0.52+0.52Gold vs QQQ: +0.51+0.51Gold vs IWM: +0.50+0.50Gold vs ACWI: +0.59+0.59Gold vs EEM: +0.58+0.58Gold vs Tech: +0.45+0.45Gold vs Health: +0.32+0.32Gold vs Util: +0.16+0.16Gold vs TLT: +0.42+0.42Gold vs HYG: +0.54+0.54Gold vs LQD: +0.51+0.51Gold vs BIL: -0.18-0.18Gold vs Oil: -0.46-0.46Gold vs CMD: -0.30-0.30Gold vs BTC: +0.12+0.12Gold vs EUR: +0.10+0.10Gold vs JPY: -0.10Gold vs VIX: -0.28-0.28Gold vs DEF: +0.58+0.58OilOil vs SPY: -0.67-0.67Oil vs QQQ: -0.63-0.63Oil vs IWM: -0.65-0.65Oil vs ACWI: -0.74-0.74Oil vs EEM: -0.76-0.76Oil vs Tech: -0.53-0.53Oil vs Health: -0.42-0.42Oil vs Util: -0.06Oil vs TLT: -0.54-0.54Oil vs HYG: -0.66-0.66Oil vs LQD: -0.63-0.63Oil vs BIL: +0.13+0.13Oil vs Gold: -0.46-0.46Oil vs CMD: +0.95+0.95Oil vs BTC: -0.27-0.27Oil vs EUR: -0.23-0.23Oil vs JPY: +0.05Oil vs VIX: +0.50+0.50Oil vs DEF: -0.63-0.63CMDCMD vs SPY: -0.58-0.58CMD vs QQQ: -0.55-0.55CMD vs IWM: -0.57-0.57CMD vs ACWI: -0.65-0.65CMD vs EEM: -0.66-0.66CMD vs Tech: -0.46-0.46CMD vs Health: -0.32-0.32CMD vs Util: -0.00CMD vs TLT: -0.53-0.53CMD vs HYG: -0.60-0.60CMD vs LQD: -0.59-0.59CMD vs BIL: +0.11+0.11CMD vs Gold: -0.30-0.30CMD vs Oil: +0.95+0.95CMD vs BTC: -0.29-0.29CMD vs EUR: -0.12-0.12CMD vs JPY: +0.01CMD vs VIX: +0.46+0.46CMD vs DEF: -0.51-0.51BTCBTC vs SPY: +0.42+0.42BTC vs QQQ: +0.38+0.38BTC vs IWM: +0.46+0.46BTC vs ACWI: +0.40+0.40BTC vs EEM: +0.36+0.36BTC vs Tech: +0.42+0.42BTC vs Health: +0.16+0.16BTC vs Util: -0.02BTC vs TLT: +0.38+0.38BTC vs HYG: +0.40+0.40BTC vs LQD: +0.44+0.44BTC vs BIL: -0.07BTC vs Gold: +0.12+0.12BTC vs Oil: -0.27-0.27BTC vs CMD: -0.29-0.29BTC vs EUR: -0.05BTC vs JPY: +0.03BTC vs VIX: -0.30-0.30BTC vs DEF: +0.16+0.16EUREUR vs SPY: +0.22+0.22EUR vs QQQ: +0.23+0.23EUR vs IWM: +0.14+0.14EUR vs ACWI: +0.18+0.18EUR vs EEM: +0.19+0.19EUR vs Tech: +0.22+0.22EUR vs Health: +0.17+0.17EUR vs Util: +0.06EUR vs TLT: -0.02EUR vs HYG: +0.04EUR vs LQD: -0.00EUR vs BIL: +0.03EUR vs Gold: +0.10+0.10EUR vs Oil: -0.23-0.23EUR vs CMD: -0.12-0.12EUR vs BTC: -0.05EUR vs JPY: -0.61-0.61EUR vs VIX: -0.21-0.21EUR vs DEF: +0.23+0.23JPYJPY vs SPY: -0.09JPY vs QQQ: -0.14-0.14JPY vs IWM: -0.03JPY vs ACWI: -0.00JPY vs EEM: +0.01JPY vs Tech: -0.15-0.15JPY vs Health: +0.01JPY vs Util: +0.08JPY vs TLT: +0.06JPY vs HYG: +0.02JPY vs LQD: +0.05JPY vs BIL: -0.20-0.20JPY vs Gold: -0.10JPY vs Oil: +0.05JPY vs CMD: +0.01JPY vs BTC: +0.03JPY vs EUR: -0.61-0.61JPY vs VIX: +0.08JPY vs DEF: -0.06VIXVIX vs SPY: -0.79-0.79VIX vs QQQ: -0.64-0.64VIX vs IWM: -0.66-0.66VIX vs ACWI: -0.75-0.75VIX vs EEM: -0.57-0.57VIX vs Tech: -0.51-0.51VIX vs Health: -0.61-0.61VIX vs Util: -0.18-0.18VIX vs TLT: -0.36-0.36VIX vs HYG: -0.73-0.73VIX vs LQD: -0.52-0.52VIX vs BIL: +0.28+0.28VIX vs Gold: -0.28-0.28VIX vs Oil: +0.50+0.50VIX vs CMD: +0.46+0.46VIX vs BTC: -0.30-0.30VIX vs EUR: -0.21-0.21VIX vs JPY: +0.08VIX vs DEF: -0.69-0.69DEFDEF vs SPY: +0.74+0.74DEF vs QQQ: +0.63+0.63DEF vs IWM: +0.76+0.76DEF vs ACWI: +0.79+0.79DEF vs EEM: +0.69+0.69DEF vs Tech: +0.53+0.53DEF vs Health: +0.62+0.62DEF vs Util: +0.24+0.24DEF vs TLT: +0.43+0.43DEF vs HYG: +0.72+0.72DEF vs LQD: +0.57+0.57DEF vs BIL: -0.28-0.28DEF vs Gold: +0.58+0.58DEF vs Oil: -0.63-0.63DEF vs CMD: -0.51-0.51DEF vs BTC: +0.16+0.16DEF vs EUR: +0.23+0.23DEF vs JPY: -0.06DEF vs VIX: -0.69-0.69EQFICMDALT
-1.0
+1.060-day rolling correlation · as of 21 May 2026
STRONGEST CORRELATIONS
SPY vs ACWI
+0.97
QQQ vs Tech
+0.96
SPY vs QQQ
+0.95
Oil vs CMD
+0.95
ACWI vs EEM
+0.94
QQQ vs ACWI
+0.92
IWM vs ACWI
+0.92
SPY vs IWM
+0.90
HOW TO READ
Red = move together (+1.0)
White = no relationship (0.0)
Blue = move opposite (−1.0)

High average correlation = contagion risk
Diversification works when colours are mixed
60-day window captures current market regime
Correlation = 60-day rolling Pearson correlation of daily returns · Key 20 instruments selected as representatives of each asset class
Advanced Factor Analysis — Principal Component Analysis (PCA)
PCA reveals hidden risk factors driving cross-asset moves — identifying which latent factors explain the majority of portfolio variance.
Replacing RSR in Q2 2026.
Factor decomposition · Eigenvalue spectrum · Variance explained · Coming soon
CURRENT MARKET REGIME
MODERATE
Markets are operating within normal historical ranges. Volatility and drawdowns are contained. Risk appetite is stable.
DAYS IN REGIME
2
consecutive trading days
MODEL AGREEMENT
1/3
Models diverge — high uncertainty
ModelCallRole
State MachineModerateDeterministic · governance headline
Hidden MarkovStressedProbabilistic · conviction signal
Gaussian MixtureModerateCross-validation · cluster-based
HMM REGIME PROBABILITIES
Moderate
0%
Stressed
100%
Crisis
0%
Entropy
0.00
Low entropy = high conviction  ·  High entropy = regime uncertainty
TRANSITION RISK & CONSENSUS
TRANSITION RISK
ELEVATED
SM: Calm but HMM sees 100% stressed/crisis probability
CONSENSUS
STRESSED
Union-of-risk: most severe model call wins
VOL DRIVER — WORLD (ACWI)
13.3%
annualised vol
At 69th percentile of history
DRAWDOWN DRIVER — WORLD (ACWI)
-1.0%
from 1Y peak
43% of history had smaller drawdowns
REGIME TIMELINE — LAST 2 YEARS
■ MODERATE■ STRESSED■ CRISIS
2025-012025-032025-052025-072025-092025-112026-012026-032026-05
REGIME STATISTICS — 9.1-YEAR HISTORY
RegimeDays% TimeAvg Duration
Moderate1,53967.4%57 days
Stressed47720.9%11 days
Crisis26811.7%17 days
CRISIS EPISODES — WORLD DRAWDOWN < −15%
StartEndPeak DD
May 2022 → Dec 2022-24.1%
Mar 2020 → Jun 2020-33.5%
METHODOLOGY — 3-TIER INSTITUTIONAL REGIME FRAMEWORK
Tier 1 — State Machine (headline): Deterministic classifier on ACWI. Stressed: vol ≥ 70th pct OR dd ≤ 30th pct. Crisis: vol ≥ 90th pct OR dd ≤ 10th pct. Ex-ante expanding quantiles, shifted t−1. Auditable, no ML dependencies.
Tier 2 — Hidden Markov Model (conviction): 3-state Gaussian HMM on [returns, vol, dd]. Walk-forward retrain every 21 days. Posterior probabilities = conviction gauge. High entropy = regime uncertainty. Transition risk fires when HMM diverges from SM (5–15 day lead time).
Tier 3 — Gaussian Mixture (cross-validation): 3-component GMM on [returns, vol, dd]. Walk-forward retrain every 21 days. Captures non-linear clusters that HMM may miss.
Consensus: Union-of-risk — most severe model call wins. Conservative by design: false positives preferred over missed crises.
Model Agreement: Count of models on same call. 3/3 = full model consensus. 1/3 = models diverge.
REGIME-WEIGHTED FRAMEWORK OUTPUT — ILLUSTRATIVE
Worked example of how the Risk Appetite Score translates regime state into asset-class weights
RISK APPETITE SCORE
54
→ NEUTRAL
⚠ ILLUSTRATIVE METHODOLOGY OUTPUT — NOT A PORTFOLIO RECOMMENDATION
The weights and instruments below illustrate how the Risk Appetite Score formula translates a regime state into bucket weights and representative instruments. This is a worked example of the framework's output, not a recommended portfolio, not a backtested strategy, and not a set of positions the reader should hold.

Specific instruments named are the highest-scoring instrument in each bucket on the composite metric as of today. They are not recommendations. Weights are a deterministic function of the regime state; they do not account for transaction costs, liquidity, correlation, or individual circumstances.

No reader should interpret this card as investment advice.
EQ Growth
25%
QQQ (Score 77)
EQ Defensive
20%
XLP (Score 74)
Fixed Income
25%
PFF (Score 65)
Real Assets
15%
AMLP (Score 77)
Cash
15%
SHY (Score 48)
Alts
0%
LIT (Score 62)
RAS = Regime(35%) + Fragility Inv(30%) + Fear & Greed(20%) + Vol Inv(15%) · Highest composite score per bucket = highest BK Composite Score
This methodology example is one of several research directions documented on the Research tab. It is not the output of a live or recommended strategy. BKIQ is a personal research project — see About tab for full disclosure.
CURRENT REGIME CONTEXT
Factual state summary — no model interpretation
CALM REGIME
Framework state: fragility score 65.4, volatility at the 69th percentile, drawdown 1.0% from peak. Signal distribution: 15 RED, 16 AMBER, 82 GREEN. Rising-volatility instruments: 54 of 113. Cross-asset correlation (30-day): 0.30. The regime classification weights the fragility and volatility components more heavily than the drawdown component under the regime-conditional weighting rules documented on the Regime tab.
HIGHEST MONTH-TO-DATE PERFORMER
Korea
+12.0%
Rolling 1M Return (21 trading days)
HIGHEST FRAGILITY SCORE
Intl Bonds
94/100
BK Fragility Score · CRISIS
INSTRUMENTS WITH RISING VOL
54
of 113 showing elevated vol vs 1M ago
Elevated = current 20D vol > vol 1M ago
REGIME ALLOCATION BACKTEST — 5 YEAR (SIMPLIFIED 6-INSTRUMENT MODEL)
── BK Regime Allocation- - - SPY Buy & Hold··· 60/40 Portfolio
ⓘ Note: BK cumulative return is lower by design — the strategy trades raw upside for drawdown protection. Risk-adjusted performance (Sharpe 0.69 vs 0.80) and maximum drawdown (-8.2% vs -18.8%) both favour BK. See table below.
20222023202420252026
BK ALLOCATIONSPY B&H60/40
Total Return+61.1%+97.5%+46.6%
CAGR+10.0%+14.6%+8.0%
Sharpe0.690.800.36
Max DD-8.2%-18.8%-12.7%
⚠ Backtest model note: This 5-year simulation uses a simplified 3-regime, 6-instrument allocation (SPY · TLT · GLD · BIL · HYG · EEM) with hardcoded regime weights — separate from the live BK Dynamic Allocation model shown above, which uses the full 97-instrument universe and the RAS formula. Assumptions: monthly rebalancing · zero transaction costs · rf = 4.5% · gross of fees · one-day execution lag applied (regime signal from day i executes on day i+1).
Chart shows cumulative total return; Sharpe measures risk-adjusted return — a strategy with lower absolute return but significantly lower volatility can achieve a higher Sharpe. The chart and Sharpe column can therefore appear to disagree while both being correct.
⚠ BACKTEST METHODOLOGY — READ BEFORE ACTING
WHAT WAS TESTED
Model: 3-regime allocation (Calm/Stressed/Crisis)
Universe: 6 instruments only
  SPY · TLT · GLD · BIL · HYG · EEM
Period: Apr 2021 – Apr 2026 (5 years)
Rebalancing: Monthly · First trading day
Regime signal: Prior month-end classification
ASSUMPTIONS & LIMITATIONS
Transaction costs: 0 bps (gross of all fees)
Risk-free rate: 4.5% annualised
Execution: One-day lag applies
⚠ Does NOT test the live 97-instrument RAS model
⚠ Regime weights are hardcoded, not dynamic
⚠ Past performance ≠ future results
WHAT HAS NOT YET BEEN BACKTESTED
· BK Fragility Framework predictive validity (hit rate, false positive rate, avg drawdown after CRISIS signal)
· BK Composite Score forward returns (top quintile vs bottom quintile, 21-day holding period)
· Full 97-instrument RAS model backtest
REGIME ALLOCATION WEIGHTS
InstrumentMODERATESTRESSEDCRISIS
SPY (US Equities)45%25%10%
TLT (Long Treasuries)10%20%20%
GLD (Gold)10%15%25%
BIL (Cash / T-Bills)5%20%35%
HYG (High Yield Credit)15%15%5%
EEM (Emerging Markets)15%5%5%
Monthly Returns — BK Allocation Strategy
YearJanFebMarAprMayJunJulAugSepOctNovDecFull Year
2022-1.9%-1.9%
2023+6.1%-3.6%+3.8%+0.8%-0.7%+3.6%+2.5%-2.1%-4.1%-1.4%+7.3%+4.1%+16.8%
2024-0.3%+2.9%+3.0%-2.4%+3.3%+2.3%+2.0%+1.9%+2.8%-1.1%+2.4%-2.2%+15.3%
2025+2.5%+0.5%-1.7%+0.6%+1.5%+4.0%+1.0%+2.0%+4.3%+2.2%+0.5%+0.4%+19.3%
YTD+3.2%+1.9%-5.4%+1.3%+1.4%+2.2%
Monthly returns based on simplified 6-instrument backtest model. Gross of fees · Zero transaction costs assumed · rf = 4.5%
MODELS ON THIS PAGE
1. Regime-Weighted Framework Output (Illustrative) — LIVE. Risk Appetite Score = Regime(35%) + Fragility Inv(30%) + Fear & Greed(20%) + Vol Inv(15%). Drives bucket weights. Highest composite score per bucket selected by BK Composite Score (5-factor composite on Intel tab).
2. Regime Allocation Backtest — VALIDATED. Simplified 6-instrument model with monthly rebalancing. 5-year evidence. Demonstrates the regime-switching concept; not a replica of the live RAS model.
Status: RAS allocation is live but not yet backtested as a full 97-instrument model. The backtest above validates the regime-switching principle only.
Edge = regime-aware portfolio intelligence · Allocation shifts automatically as market regime changes · For informational purposes only · Not investment advice · Past performance not indicative of future results
BK
Bhavesh Kamdar
FRM · CQF · Risk Manager
INVESTMENT PHILOSOPHY
"Risk is not something to be avoided — it is something to be understood, measured and navigated. After 25 years managing risk across global asset management firms, I have seen every market cycle, every crisis and every recovery. The pattern is always the same: fragility builds slowly, then breaks suddenly."
Bhavesh Kamdar is a senior risk professional with 25 years of experience in global asset management, spent building risk frameworks across equities, fixed income, commodities, and alternatives.

Holding both the Financial Risk Manager (FRM) designation and the Certificate in Quantitative Finance (CQF), Bhavesh combines deep quantitative expertise with practical investment risk management experience across equities, fixed income, commodities and alternatives.

The BK Fragility Framework was born from a simple observation: traditional risk models measure volatility after it has arrived. Bhavesh built the framework to detect structural vulnerability before it crystallises into loss.
1. Nature of This Tool
This dashboard is a personal, non-commercial research project. It is built and maintained by Bhavesh Kamdar for private analytical use. It is not a financial product, not a regulated service, and is not offered commercially to any third party.
2. Not Investment Advice
Nothing on this dashboard constitutes investment advice, a solicitation to buy or sell any security, or a recommendation of any investment strategy. All content is observational and descriptive — it describes what the models output, not what any person should do with their capital.
3. Model Outputs Are Not Predictions
Framework scores (fragility, regime, fear & greed, composite) are quantitative model outputs derived from historical price and volume data. They describe current statistical conditions — they do not predict future prices, returns, or market behaviour. Past model performance is not indicative of future results.
4. Data Limitations
Price and volume data is sourced from Yahoo Finance via yfinance. Data may contain errors, gaps, stale prices, or corporate-action anomalies (see the DATA REVIEW flag on the Performance tab for known issues). No warranty is made as to data accuracy or completeness.
5. No Commercial Relationship
This tool is not affiliated with, endorsed by, or sponsored by any employer or institution. It is developed independently in a personal capacity. No subscription, payment, or commercial arrangement exists or is offered.
6. Personal Use Only
This dashboard is hosted publicly solely for technical convenience (GitHub Pages). It is not distributed, marketed, or promoted to any audience. Any person accessing it does so for their own information and takes sole responsibility for any use they make of the content.
Open Questions
Research Directions
Analytical questions this framework has not yet answered. Each section below identifies a research gap, the methodology being explored, and what evidence would be needed to validate it.
Research Area 1
Portfolio Construction Under Regime Constraints
Does regime-conditioned mean-variance outperform unconditional?
Research question: does applying Markowitz within each regime state produce better risk-adjusted outcomes than a single static frontier?
Does risk parity hold up in Stressed regimes?
Equal risk contribution weighting tends to concentrate in low-vol assets. Exploring whether this is protective or deceptive in crisis.
What is the rebalancing frequency that maximises Sharpe net of costs?
Monthly vs quarterly vs threshold-based rebalancing. Transaction cost sensitivity across different regime states.
How much does correlation structure change between Calm and Stressed?
Rolling 60/120-day correlation matrix. Hypothesis: diversification degrades precisely when it is needed most.
Does beta to benchmark vary predictably with fragility score?
Exploring time-varying beta using 63/126-day windows against SPY and AGG. Is rising beta a leading fragility indicator?
What is the marginal value of adding a new bucket to the RAS model?
Current model has 6 buckets. Research question: does adding Alts or Crypto change regime-adjusted Sharpe materially?
Research Area 2
Cross-Asset Signal Persistence
Does 12-1 momentum persist within the BK universe?
Cross-sectional momentum ranking across 113 instruments. Research question: does the signal decay faster in high-fragility regimes?
Do cointegrated pairs offer regime-independent return?
Exploring EWJ/EFA, GLD/SLV and similar pairs. Hypothesis: spread mean-reversion weakens during Crisis regime.
Does RSI divergence from price predict reversal at the asset-class level?
Mean-reversion screening. Quantifying false positive rate across regime states.
How much of the BK GREEN signal decays within 5 trading days?
Signal half-life analysis. Measuring whether composite scores lead or lag price by regime.
Is COT commercial positioning a leading indicator for commodity fragility?
Exploring CFTC data for crude, gold, wheat. Hypothesis: extreme commercial short correlates with fragility spikes.
Do earnings surprise magnitudes vary with the fragility score?
Exploring whether HIGH fragility periods coincide with larger post-earnings moves. Potential volatility timing signal.
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Research Area 3
Regime Detection Accuracy & Transition Lead Time
How early does HMM detect regime transitions vs GMM?
Comparing HMM and GMM lead times on the 2020 and 2022 episodes. Research question: which model minimises false positives?
Does a 3-state model outperform a 2-state model in real time?
Current model uses 3 states. Exploring whether adding a 4th (Recovery) state improves out-of-sample transition accuracy.
What is the false positive rate for transition risk flags?
Currently flagged as Elevated when models disagree. Measuring how often this precedes actual regime change vs mean-reverts.
Does analyst consensus data lead or lag the regime signal?
Exploring yfinance consensus ratios as a sentiment crosscheck on HMM/GMM regime classification.
Can macro event timing improve regime change probability estimates?
FOMC, CPI, NFP dates as covariates in regime transition probabilities. Do they add explanatory power?
Is the current 3-model consensus robust to instrument universe changes?
Testing whether adding or removing asset classes materially shifts regime classification on historical episodes.
Research Area 4
Fragility Score Validation & Factor Decomposition
Does a high fragility score predict subsequent drawdown within 30 days?
Core validation question. Measuring hit rate on score > 70 → max drawdown > 10% within 21 trading days.
Which fragility pillars are most predictive of drawdown vs volatility?
Factor attribution: decomposing which of the 5 pillar components explains most of subsequent loss.
Is the equal-weighting of fragility pillars optimal?
Research question: do value/momentum/quality/low-vol weights derived from factor regressions outperform equal weights?
Does fragility dispersion across asset classes predict regime transition?
Hypothesis: rising cross-asset fragility dispersion (not just mean) is a leading regime indicator.
How does the fragility score behave for FX instruments excluded from display?
FX is excluded from the fragility tab. Research question: does including it change the system-level fragility reading?
Can the fragility score be extended to individual equities?
Current model is ETF/index-based. Exploring whether pillar methodology transfers to single-stock screening.
Research questions only · No conclusions implied · All analysis uses Yahoo Finance data · Scope subject to revision
Personal research  ·  Not investment advice  ·  No commercial offering