115-INSTRUMENT UNIVERSE  ·  Daily snapshot · 07:00 SGT
Last updated: Friday, 09 Oct 2026 10:44 SGT
Friday, 09 Oct 2026 10:44 SGT
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BKIQ DAILY INTELLIGENCE · Friday, 09 Oct 2026 · 10:44 SGT
MARKET TONE
RISK-ON
REGIME
MODERATE
FRAGILITY
50
WATCH
FEAR & GREED
43
Fear
RAG SIGNALS
12·44·59
R · A · G
RAG SIGNALS BY ASSET CLASS
DEFENCE & GEOPOLITICAL (2)
100% stressed
FIXED INCOME — INTERNATIONAL (5)
100% stressed
FIXED INCOME & CREDIT (16)
88% stressed
EQUITIES — DEVELOPED MARKETS (8)
75% stressed
EQUITIES — EMERGING MARKETS (12)
58% stressed
EQUITIES — SPECIALIST & THEMATIC (6)
50% stressed
EQUITIES — US SECTORS (11)
45% stressed
COMMODITIES (16)
44% stressed
LISTED ALTERNATIVES (7)
43% stressed
EQUITIES — ASIA PACIFIC (7)
29% stressed
FX (11)
18% stressed
EQUITIES — US BROAD (4)
0% stressed
SOVEREIGN RATES (4)
0% stressed
CRYPTO (3)
0% stressed
VOLATILITY (3)
0% stressed
STRESSED INSTRUMENTS
Fragility ≥ 70 AND Regime Fit ≤ 25
None currently
OBSERVED FLAGS
F&G ≤ 25 AND 3M return < -10%
F&G at 43 — no extreme fear signal
HIGHEST FRAGILITY INSTRUMENTS
Highest fragility · pillar decomposition
US IG Credit (Intl)
IGIB · CRITICAL
87/100
Vol
25.0
CVaR
30.4
DD
88.0
Trend
25.6
Contagion
10.2
Liq
-6.7
Municipal Bonds
MUB · CRITICAL
86/100
Vol
49.7
CVaR
23.2
DD
62.8
Trend
30.7
Contagion
0.7
Liq
18.9
Global Aggregate
BNDW · CRITICAL
86/100
Vol
15.1
CVaR
30.3
DD
88.0
Trend
30.2
Contagion
14.0
Liq
-7.5
Municipal HY
HYD · CRITICAL
86/100
Vol
28.5
CVaR
16.8
DD
82.9
Trend
28.3
Contagion
5.9
Liq
18.2
ST IG Corporates
VCSH · CRITICAL
86/100
Vol
20.8
CVaR
14.4
DD
88.0
Trend
30.6
Contagion
17.6
Liq
5.4
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.
Healthcare
XLV · Frag 38 · Fit 100
86/100
Mom
83
Frag Inv
62
Fit
100
Signal
100
Vol
100
WTI Oil (BNO proxy)
BNO · Frag 46 · Fit 75
83/100
Mom
98
Frag Inv
54
Fit
75
Signal
100
Vol
100
Diversified Commodity
PDBC · Frag 44 · Fit 75
82/100
Mom
92
Frag Inv
56
Fit
75
Signal
100
Vol
100
Broad Commodities
DBC · Frag 46 · Fit 75
81/100
Mom
92
Frag Inv
54
Fit
75
Signal
100
Vol
100
Commodities Index
BCI · Frag 43 · Fit 75
80/100
Mom
86
Frag Inv
57
Fit
75
Signal
100
Vol
100
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.
EWZ (Brazil) — MoM +13.5% · Fragility 56 · Regime Fit 50 · Leading pillar: Volatility
SOXX (Semiconductors) — MoM +5.7% · Fragility 54 · Regime Fit 50 · Leading pillar: Drawdown
PALL (Palladium) — MoM -13.5% · Fragility 59 · Regime Fit 75 · Leading pillar: Drawdown
SLV (Silver) — MoM -10.8% · Fragility 43 · Regime Fit 75 · Leading pillar: Trend
FEAR & GREED INDEX
43
Fear
Extreme FearFearNeutralGreedExtreme Greed
COMPONENT BREAKDOWN
VolatilityVIXY level vs 50-day average36
VIXY -3.9% vs 50D MA
MomentumSPY price vs 125-day moving average38
SPY +2.4% vs 125D MA
Breadth% instruments above 50-day moving average27
32/118 above 50D MA
Safe HavenTLT vs SPY 20-day relative return85
TLT vs SPY 20D: -5.4%
Junk BondsHYG vs IEF credit spread (20D)32
HYG vs IEF 20D: -0.2%
Strength% instruments within 5% of 52-week high30
35/118 within 5% of 52W high
Term StructureVIX/VIX3M ratio (vol curve; backwardation = panic)53
VIX/VIX3M ratio: 0.85
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+56.3%+93.4%+39.6%
CAGR+9.3%+14.1%+6.9%
Sharpe0.560.780.26
Max Drawdown-11.1%-18.8%-12.7%
Regime-aware monthly rebalancing · rf=4.5% · Full detail in Edge tab · Past performance not indicative of future results
Data via Yahoo Finance · Quant signals are model-driven · For informational purposes only · Not investment advice
MARKET TONE
RISK-ON
12
RED
44
AMBER
59
GREEN
115
TOTAL
Top 5 — Rolling 1M  (21 trading days)
Brazil
+13.51%
Semiconductors
+5.67%
WTI Oil (BNO proxy)
+5.07%
Cloud Computing
+5.01%
Technology
+4.44%
Top 5 Laggards — Rolling 1M  (21 trading days)
Palladium
-13.51%
Silver
-10.81%
Platinum
-9.14%
South Africa
-8.51%
Uranium
-7.42%
AssetTickerCCYTrend 20D1W1M3MYTDSignal
▶EQUITIES — US BROAD(4)Best: Nasdaq 100 +3.7%  |  Worst: Russell 2000 -2.3%Click to expand
Nasdaq 100QQQUSD-0.27%+3.73%+3.50%+21.85%● GREEN
Russell 2000IWMUSD-1.40%-2.30%-7.71%+12.96%● GREEN
S&P 500SPYUSD+0.56%+1.61%+0.34%+13.80%● GREEN
World (ACWI)ACWIUSD-0.19%+0.31%-1.02%+12.93%● GREEN
▶EQUITIES — US SECTORS(11)Best: Technology +4.4%  |  Worst: Real Estate (REITs) -3.0%Click to expand
CommunicationsXLCUSD+1.59%+1.47%+1.07%-4.50%● GREEN
Consumer DiscretionaryXLYUSD+1.52%+0.83%-6.59%-6.26%● GREEN
Consumer StaplesXLPUSD+3.59%+1.41%-1.35%+7.99%● AMBER
EnergyXLEUSD+3.85%+2.05%+14.14%+46.87%● GREEN
FinancialsXLFUSD+1.38%-2.57%-5.52%-0.48%● GREEN
HealthcareXLVUSD+1.58%+0.63%+2.28%+9.50%● GREEN
IndustrialsXLIUSD-0.91%-0.53%-8.82%+8.87%● AMBER
MaterialsXLBUSD+0.84%-0.99%-6.36%+9.13%● AMBER
Real Estate (REITs)VNQUSD-0.17%-3.00%-8.44%+2.05%● AMBER
TechnologyXLKUSD-1.02%+4.44%+5.34%+37.55%● GREEN
UtilitiesXLUUSD+3.11%+0.66%-5.13%-3.12%● AMBER
▶EQUITIES — DEVELOPED MARKETS(8)Best: Japan +0.3%  |  Worst: Eurozone -3.7%Click to expand
AustraliaEWAAUD-0.32%-1.81%-7.17%+7.79%● GREEN
Europe Dev (EFA)EFAUSD-1.21%-2.16%-5.39%+6.95%● AMBER
EurozoneEZUUSD-2.09%-3.71%-8.30%+2.39%● AMBER
FTSE 100 (UK)FLGBGBP-0.06%-2.28%-5.08%+5.33%● AMBER
GermanyEWGEUR-1.53%-3.51%-7.61%-4.31%● AMBER
JapanEWJJPY-1.62%+0.33%+0.43%+20.54%● GREEN
SingaporeEWSSGD-4.07%-3.60%-4.90%+14.94%● AMBER
UKEWUGBP+0.11%-2.20%-4.95%+5.12%● AMBER
▶EQUITIES — SPECIALIST & THEMATIC(6)Best: Semiconductors +5.7%  |  Worst: Clean Energy -2.5%Click to expand
ARK InnovationARKKUSD-2.48%-0.71%+10.29%+13.88%● GREEN
Clean EnergyICLNUSD-0.41%-2.51%-6.45%+4.20%● AMBER
Cloud ComputingSKYYUSD+1.19%+5.01%+8.95%+30.80%● GREEN
Global X Guru ETFGURUUSD-0.91%-0.81%-3.53%+7.61%● GREEN
SemiconductorsSOXXUSD-4.35%+5.67%+3.75%+87.37%● AMBER
Smart Grid InfraGRIDUSD-2.54%+0.20%-4.19%+16.56%● AMBER
▶EQUITIES — ASIA PACIFIC(7)Best: Asia Pacific -1.1%  |  Worst: China A-Shares -5.8%Click to expand
ASEANASEAUSD-3.63%-4.04%-6.22%+10.15%● AMBER
Asia PacificVPLUSD-3.01%-1.15%+0.71%+26.73%● GREEN
Asia ex-JapanAAXJUSD-3.16%-1.52%+0.83%+22.93%● GREEN
China A-SharesCNYAUSD-1.19%-5.83%-9.21%-4.22%● GREEN
Hang Seng / HKEWHHKD+0.70%-3.25%-4.36%+2.21%● GREEN
PhilippinesEPHEUSD-1.63%-4.38%-14.25%-10.63%● RED
ThailandTHDUSD-0.63%-1.51%-3.34%+19.27%● GREEN
▶EQUITIES — EMERGING MARKETS(12)Best: Brazil +13.5%  |  Worst: South Africa -8.5%Click to expand
BrazilEWZBRL+11.52%+13.51%+20.51%+34.06%● GREEN
ChinaFXICNY+0.78%-2.53%-7.52%-12.64%● GREEN
EM BroadEEMUSD-2.32%-1.39%+0.70%+20.82%● GREEN
IndiaINDAUSD-2.06%-5.12%-9.55%-15.71%● RED
India Small CapSMINUSD-2.44%-5.07%-7.25%-4.62%● GREEN
IndonesiaEIDOIDR-0.09%-6.42%-9.60%-37.59%● RED
KoreaEWYKRW-8.12%-2.77%+6.14%+81.33%● AMBER
MexicoEWWMXN+0.62%-2.47%-7.73%+3.17%● AMBER
Saudi ArabiaKSASAR-0.36%-3.58%-4.14%-0.88%● AMBER
South AfricaEZAZAR-0.84%-8.51%-10.04%-8.92%● AMBER
TaiwanEWTTWD-2.57%+1.52%+9.94%+78.40%● GREEN
VietnamVNMVND-0.66%-5.79%-4.76%-12.95%● AMBER
▶DEFENCE & GEOPOLITICAL(2)Best: US Aerospace & Defence -4.2%  |  Worst: BAE Aerospace & Defence -5.4%Click to expand
BAE Aerospace & DefenceXARUSD-2.67%-5.37%-20.87%-5.92%● RED
US Aerospace & DefenceITAUSD-1.40%-4.19%-18.20%-4.51%● RED
▶FIXED INCOME & CREDIT(16)Best: Treasuries 0-3Y +0.2%  |  Worst: Treasuries 20Y+ -3.8%Click to expand
Cash (T-Bills)BILUSD+0.04%+0.20%+0.58%+0.96%● GREEN
Convertible BondsCWBUSD-1.91%-1.47%-3.39%+12.62%● AMBER
EM Local CurrencyEMLCUSD+0.65%-1.08%-2.62%-2.60%● AMBER
EM USD SovereignEMBUSD+0.91%-2.11%-3.60%-4.26%● AMBER
HY CreditHYGUSD+0.30%-1.33%-2.14%-2.92%● AMBER
IG CreditLQDUSD+0.63%-1.71%-3.01%-5.96%● AMBER
Municipal BondsMUBUSD-0.22%-1.81%-4.38%-5.20%● RED
Municipal HYHYDUSD-0.29%-2.00%-4.56%-5.40%● AMBER
Preferred SecuritiesPFFUSD-0.64%-1.57%-3.16%-4.06%● AMBER
ST IG CorporatesVCSHUSD+0.42%-0.04%-0.86%-1.94%● AMBER
Senior LoansBKLNUSD+0.05%-0.27%+1.07%-0.88%● GREEN
Treasuries 0-3YSHYUSD+0.19%+0.25%-0.29%-1.10%● AMBER
Treasuries 20Y+TLTUSD+0.50%-3.77%-5.17%-9.66%● AMBER
Treasuries 7-10YIEFUSD+0.45%-1.15%-3.32%-6.09%● AMBER
US AggregateAGGUSD+0.40%-1.04%-2.36%-4.33%● AMBER
US TIPSTIPUSD+0.39%-0.71%-2.39%-4.90%● AMBER
▶FIXED INCOME — INTERNATIONAL(5)Best: Intl Bonds -0.0%  |  Worst: Intl High Yield -2.0%Click to expand
Global AggregateBNDWUSD+0.32%-0.51%-1.96%-3.25%● AMBER
Intl BondsBNDXUSD+0.15%-0.01%-1.64%-2.23%● AMBER
Intl Govt BondsIGOVUSD-0.20%-1.97%-4.15%-4.63%● AMBER
Intl High YieldIHYUSD+0.14%-1.99%-3.13%-4.10%● AMBER
US IG Credit (Intl)IGIBUSD+0.64%-1.11%-2.81%-5.20%● AMBER
▶SOVEREIGN RATES(4)Best: 30Y Treasury Yield +5.2%  |  Worst: 2Y Treasury Yield +1.6%Click to expand
10Y Treasury Yield^TNXUSD-0.87%+4.66%+12.25%+25.65%● GREEN
2Y Treasury Yield^IRXUSD+1.25%+1.63%+8.98%+13.98%● GREEN
30Y Treasury Yield^TYXUSD-0.43%+5.16%+7.58%+15.83%● GREEN
5Y Treasury Yield^FVXUSD-1.27%+2.78%+14.42%+34.09%● GREEN
▶COMMODITIES(16)Best: WTI Oil (BNO proxy) +5.1%  |  Worst: Palladium -13.5%Click to expand
AgricultureDBAUSD+0.46%+0.67%+2.61%+11.05%● GREEN
Broad CommoditiesDBCUSD+1.14%-0.06%+13.84%+47.18%● GREEN
Copper ETFCPERUSD-0.15%-1.91%-1.10%+12.87%● GREEN
Copper MinersCOPXUSD-4.30%-5.80%-6.60%+14.53%● GREEN
CornCORNUSD+0.58%-3.76%+7.48%+6.94%● GREEN
GoldGLDUSD-0.40%-5.62%-4.98%-4.46%● RED
Iron Ore (VALE)VALEUSD-2.47%-5.56%-6.17%+2.99%● AMBER
LithiumLITUSD-0.38%-2.10%-6.74%+6.41%● AMBER
Natural GasUNGUSD+3.25%+3.84%+10.99%-11.83%● GREEN
PalladiumPALLUSD-3.58%-13.51%-18.20%-85.91%● RED
PlatinumPPLTUSD-3.95%-9.14%-6.50%-92.05%● RED
SilverSLVUSD-2.36%-10.81%-7.04%-17.03%● RED
SoybeansSOYBUSD+0.62%-1.05%+9.34%+25.30%● GREEN
UraniumURAUSD-3.09%-7.42%-14.14%-9.76%● RED
WTI Oil (BNO proxy) ⚠ DATA REVIEWBNOUSD+0.86%+5.07%+35.61%—● GREEN
WheatWEATUSD+0.04%-4.25%+3.55%+23.99%● GREEN
▶CRYPTO(3)Best: Bitcoin +1.3%  |  Worst: Ethereum -5.1%Click to expand
BitcoinBTC-USDUSD-5.27%+1.26%+26.27%-7.68%● GREEN
EthereumETH-USDUSD-9.11%-5.10%+29.53%-17.40%● GREEN
SolanaSOL-USDUSD-9.71%-2.55%+49.00%-13.44%● GREEN
▶FX(11)Best: Mexican Peso +5.8%  |  Worst: Korean Won -2.7%Click to expand
AUD/USDAUDUSD=XAUD+0.72%-1.92%-0.78%+4.19%● GREEN
Brazilian RealBRL=XBRL-3.92%-2.07%-2.03%-8.37%● GREEN
Canadian DollarCAD=XCAD-0.07%+1.58%+1.41%+3.77%● GREEN
EUR/USDEURUSD=XEUR-0.19%-2.16%-2.57%-4.42%● AMBER
GBP/USDGBPUSD=XGBP+0.33%-0.86%-1.58%-1.67%● GREEN
Korean WonKRW=XKRW-1.35%-2.70%-5.63%-6.65%● RED
Mexican PesoMXN=XMXN-0.85%+5.79%+5.54%+1.00%● GREEN
US Dollar IndexDX-Y.NYBUSD+0.02%+1.80%+2.44%+3.81%● GREEN
USD/CHFCHF=XCHF+0.29%+0.98%+2.53%+5.21%● GREEN
USD/JPYJPY=XJPY+0.07%+1.22%-0.24%+1.04%● GREEN
USD/SGDSGD=XSGD-0.06%+0.28%-0.31%-0.34%● GREEN
▶VOLATILITY(3)Best: VIX Index +4.1%  |  Worst: ST VIX ETF -3.5%Click to expand
ST VIX ETFVIXYUSD-1.32%-3.45%-15.64%-35.65%● GREEN
VIX Futures ETNVXXUSD-0.92%-2.93%-15.16%-34.87%● GREEN
VIX Index^VIXUSD+0.65%+4.05%+3.42%+3.08%● GREEN
▶LISTED ALTERNATIVES(7)Best: US Infrastructure +0.1%  |  Worst: Listed Private Equity -3.9%Click to expand
Commodities IndexBCIUSD+1.16%-1.02%+9.86%+34.05%● GREEN
Diversified CommodityPDBCUSD+1.08%-0.05%+13.91%+48.30%● GREEN
Energy InfrastructureAMLPUSD+0.46%-3.82%-0.88%+14.73%● GREEN
Global REITsREETUSD-0.51%-2.71%-8.86%+2.75%● AMBER
High Yield REITKBWYUSD-0.73%-3.58%-8.54%+8.94%● GREEN
Listed Private EquityPSPUSD-0.64%-3.90%-10.92%-16.42%● AMBER
US InfrastructureIFRAUSD+0.91%+0.14%-6.83%+8.27%● AMBER
⚠ 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.
36
VOL RISING ⬆
+1pp or more
29
VOL STABLE →
−1pp to +1pp
50
VOL EASING ⬇
−1pp or more
AssetTickerVol 20DVol 1M Ago30D Δ VolMax DDSharpeSignal
▶EQUITIES — US BROAD(4)Avg vol: 9.5%  |  Avg DD: -3.2%  |  Avg Sharpe: 0.56Click to expand
Nasdaq 100QQQ12.0%11.0%→ +1.0pp-1.6%0.89● GREEN
Russell 2000IWM10.8%9.5%⬆ +1.2pp-8.8%0.23● GREEN
S&P 500SPY6.9%8.3%⬇ -1.4pp-0.7%0.68● GREEN
World (ACWI)ACWI8.5%9.3%→ -0.8pp-1.7%0.45● GREEN
▶EQUITIES — US SECTORS(11)Avg vol: 13.1%  |  Avg DD: -7.0%  |  Avg Sharpe: -0.01Click to expand
CommunicationsXLC9.0%14.5%⬇ -5.5pp-6.4%-0.70● GREEN
Consumer DiscretionaryXLY8.2%13.2%⬇ -5.0pp-8.3%-0.68● GREEN
Consumer StaplesXLP13.5%8.6%⬆⬆ +4.9pp-6.8%-0.25● AMBER
EnergyXLE20.0%17.3%⬆ +2.7pp-0.5%1.17● GREEN
FinancialsXLF8.1%11.1%⬇ -3.0pp-7.1%-0.14● GREEN
HealthcareXLV7.7%12.0%⬇ -4.3pp-3.5%0.40● GREEN
IndustrialsXLI16.6%11.4%⬆⬆ +5.2pp-9.5%-0.08● AMBER
MaterialsXLB14.9%12.1%⬆ +2.9pp-7.8%-0.18● AMBER
Real Estate (REITs)VNQ13.0%8.3%⬆⬆ +4.8pp-11.5%-0.36● AMBER
TechnologyXLK13.7%14.8%⬇ -1.1pp-2.1%1.28● GREEN
UtilitiesXLU19.3%11.9%⬆⬆ +7.4pp-13.4%-0.58● AMBER
▶EQUITIES — DEVELOPED MARKETS(8)Avg vol: 11.0%  |  Avg DD: -6.7%  |  Avg Sharpe: -0.05Click to expand
AustraliaEWA8.9%15.4%⬇ -6.5pp-7.2%-0.09● GREEN
Europe Dev (EFA)EFA7.4%10.1%⬇ -2.7pp-5.6%-0.10● AMBER
EurozoneEZU10.9%10.3%→ +0.6pp-8.8%-0.28● AMBER
FTSE 100 (UK)FLGB9.9%9.6%→ +0.3pp-6.5%-0.22● AMBER
GermanyEWG10.7%10.6%→ +0.1pp-8.8%-0.55● AMBER
JapanEWJ9.4%13.5%⬇ -4.1pp-2.0%0.52● GREEN
SingaporeEWS22.2%13.6%⬆⬆ +8.6pp-8.5%0.56● AMBER
UKEWU8.6%9.4%→ -0.8pp-6.4%-0.25● AMBER
▶EQUITIES — SPECIALIST & THEMATIC(6)Avg vol: 18.1%  |  Avg DD: -10.6%  |  Avg Sharpe: 0.58Click to expand
ARK InnovationARKK33.6%28.3%⬆⬆ +5.3pp-5.6%0.51● GREEN
Clean EnergyICLN16.4%19.3%⬇ -2.9pp-27.7%-0.25● AMBER
Cloud ComputingSKYY8.5%21.2%⬇ -12.7pp-0.5%1.29● GREEN
Global X Guru ETFGURU9.4%10.7%⬇ -1.3pp-5.2%0.38● GREEN
SemiconductorsSOXX21.7%31.9%⬇ -10.3pp-13.9%1.27● AMBER
Smart Grid InfraGRID19.2%21.7%⬇ -2.5pp-10.4%0.26● AMBER
▶EQUITIES — ASIA PACIFIC(7)Avg vol: 13.6%  |  Avg DD: -10.4%  |  Avg Sharpe: -0.13Click to expand
ASEANASEA20.9%11.2%⬆⬆ +9.6pp-8.2%-0.00● AMBER
Asia PacificVPL11.3%16.4%⬇ -5.1pp-5.1%0.56● GREEN
Asia ex-JapanAAXJ17.6%16.8%→ +0.8pp-7.8%0.48● GREEN
China A-SharesCNYA9.5%8.3%⬆ +1.2pp-14.4%-0.52● GREEN
Hang Seng / HKEWH9.3%12.7%⬇ -3.4pp-10.3%-0.80● GREEN
PhilippinesEPHE19.1%13.4%⬆⬆ +5.7pp-21.5%-1.06● RED
ThailandTHD7.5%15.8%⬇ -8.3pp-5.2%0.47● GREEN
▶EQUITIES — EMERGING MARKETS(12)Avg vol: 22.4%  |  Avg DD: -14.1%  |  Avg Sharpe: -0.31Click to expand
BrazilEWZ83.1%20.0%⬆⬆ +63.1pp-1.0%0.50● GREEN
ChinaFXI15.8%14.3%⬆ +1.6pp-15.6%-1.26● GREEN
EM BroadEEM19.2%16.4%⬆ +2.7pp-7.2%0.40● GREEN
IndiaINDA11.4%11.5%→ -0.0pp-15.2%-1.14● RED
India Small CapSMIN13.1%11.6%⬆ +1.5pp-8.0%-0.11● GREEN
IndonesiaEIDO19.0%17.5%⬆ +1.5pp-35.9%-1.85● RED
KoreaEWY26.3%39.1%⬇ -12.8pp-19.6%0.86● AMBER
MexicoEWW13.8%13.8%→ +0.1pp-11.9%-0.39● AMBER
Saudi ArabiaKSA15.9%7.0%⬆⬆ +8.9pp-11.2%-1.07● AMBER
South AfricaEZA16.6%18.9%⬇ -2.3pp-23.2%-0.55● AMBER
TaiwanEWT20.9%21.0%→ -0.1pp-3.9%1.72● GREEN
VietnamVNM13.5%14.1%→ -0.6pp-16.0%-0.81● AMBER
▶DEFENCE & GEOPOLITICAL(2)Avg vol: 19.3%  |  Avg DD: -21.3%  |  Avg Sharpe: -0.77Click to expand
BAE Aerospace & DefenceXAR21.8%14.5%⬆⬆ +7.3pp-23.5%-0.78● RED
US Aerospace & DefenceITA16.8%12.3%⬆⬆ +4.5pp-19.0%-0.75● RED
▶FIXED INCOME & CREDIT(16)Avg vol: 3.5%  |  Avg DD: -5.8%  |  Avg Sharpe: -2.22Click to expand
Cash (T-Bills)BIL0.1%0.2%→ -0.1pp0.0%N/A● GREEN
Convertible BondsCWB10.7%11.8%⬇ -1.0pp-9.5%0.26● AMBER
EM Local CurrencyEMLC4.4%4.9%→ -0.5pp-5.9%-1.20● AMBER
EM USD SovereignEMB4.7%4.3%→ +0.5pp-6.1%-1.59● AMBER
HY CreditHYG2.8%2.7%→ +0.0pp-3.8%-2.12● AMBER
IG CreditLQD2.8%4.7%⬇ -1.9pp-7.6%-2.10● AMBER
Municipal BondsMUB4.0%4.1%→ -0.1pp-7.0%-3.11● RED
Municipal HYHYD3.9%3.8%→ +0.2pp-7.0%-2.40● AMBER
Preferred SecuritiesPFF3.6%6.7%⬇ -3.2pp-7.2%-1.59● AMBER
ST IG CorporatesVCSH1.0%1.9%→ -0.9pp-2.9%-3.13● AMBER
Senior LoansBKLN1.5%1.6%→ -0.1pp-0.4%-1.53● GREEN
Treasuries 0-3YSHY0.4%1.3%→ -0.9pp-1.8%N/A● AMBER
Treasuries 20Y+TLT7.6%6.9%→ +0.7pp-13.6%-1.71● AMBER
Treasuries 7-10YIEF3.1%4.1%→ -1.0pp-8.1%-2.29● AMBER
US AggregateAGG2.9%3.5%→ -0.6pp-6.1%-2.38● AMBER
US TIPSTIP2.3%3.2%→ -0.9pp-6.6%-2.43● AMBER
▶FIXED INCOME — INTERNATIONAL(5)Avg vol: 3.2%  |  Avg DD: -5.9%  |  Avg Sharpe: -2.05Click to expand
Global AggregateBNDW2.4%3.2%→ -0.8pp-5.1%-2.34● AMBER
Intl BondsBNDX2.0%3.2%⬇ -1.2pp-4.2%-1.98● AMBER
Intl Govt BondsIGOV4.1%6.0%⬇ -1.9pp-7.6%-1.56● AMBER
Intl High YieldIHY5.2%2.9%⬆ +2.4pp-5.9%-2.07● AMBER
US IG Credit (Intl)IGIB2.1%3.8%⬇ -1.7pp-6.7%-2.31● AMBER
▶SOVEREIGN RATES(4)Avg vol: 7.2%  |  Avg DD: -1.3%  |  Avg Sharpe: 1.30Click to expand
10Y Treasury Yield^TNX9.3%10.9%⬇ -1.6pp-1.5%N/A● GREEN
2Y Treasury Yield^IRX4.4%8.8%⬇ -4.4pp-0.7%N/A● GREEN
30Y Treasury Yield^TYX9.0%8.1%→ +0.9pp-1.0%N/A● GREEN
5Y Treasury Yield^FVX6.0%12.9%⬇ -6.9pp-1.9%N/A● GREEN
▶COMMODITIES(16)Avg vol: 22.7%  |  Avg DD: -19.4%  |  Avg Sharpe: -0.00Click to expand
AgricultureDBA15.0%10.4%⬆⬆ +4.6pp-3.9%0.61● GREEN
Broad CommoditiesDBC11.6%16.5%⬇ -4.9pp-2.3%1.43● GREEN
Copper ETFCPER10.0%25.8%⬇ -15.7pp-4.8%0.27● GREEN
Copper MinersCOPX22.0%36.6%⬇ -14.7pp-14.8%0.03● GREEN
CornCORN17.4%8.0%⬆⬆ +9.5pp-6.6%0.31● GREEN
GoldGLD13.9%18.7%⬇ -4.8pp-22.7%-0.76● RED
Iron Ore (VALE)VALE32.1%27.4%⬆⬆ +4.6pp-24.7%-0.64● AMBER
LithiumLIT20.8%14.8%⬆⬆ +6.0pp-24.3%-0.09● AMBER
Natural GasUNG25.9%21.8%⬆⬆ +4.1pp-36.0%-0.98● GREEN
PalladiumPALL30.8%40.9%⬇ -10.1pp-45.0%-1.32● RED
PlatinumPPLT30.8%33.2%⬇ -2.4pp-39.8%-1.17● RED
SilverSLV21.4%32.0%⬇ -10.6pp-37.1%-0.60● RED
SoybeansSOYB12.5%14.2%⬇ -1.7pp-2.7%1.42● GREEN
UraniumURA48.9%32.7%⬆⬆ +16.2pp-33.8%-0.74● RED
WTI Oil (BNO proxy)BNO27.7%35.9%⬇ -8.2pp0.0%1.58● GREEN
WheatWEAT22.6%19.6%⬆ +2.9pp-11.6%0.64● GREEN
▶CRYPTO(3)Avg vol: 34.8%  |  Avg DD: -8.7%  |  Avg Sharpe: 0.02Click to expand
BitcoinBTC-USD24.5%34.0%⬇ -9.5pp-5.4%0.01● GREEN
EthereumETH-USD37.1%40.2%⬇ -3.1pp-10.7%0.00● GREEN
SolanaSOL-USD43.0%56.9%⬇ -13.9pp-10.1%0.05● GREEN
▶FX(11)Avg vol: 7.1%  |  Avg DD: -3.7%  |  Avg Sharpe: -0.57Click to expand
AUD/USDAUDUSD=X3.4%5.0%⬇ -1.6pp-3.8%-0.69● GREEN
Brazilian RealBRL=X29.2%6.8%⬆⬆ +22.4pp-5.8%-0.69● GREEN
Canadian DollarCAD=X4.5%3.9%→ +0.6pp-0.4%0.21● GREEN
EUR/USDEURUSD=X4.9%3.7%⬆ +1.3pp-6.2%-2.27● AMBER
GBP/USDGBPUSD=X4.8%3.6%⬆ +1.2pp-4.1%-1.55● GREEN
Korean WonKRW=X9.0%8.7%→ +0.3pp-13.7%-1.09● RED
Mexican PesoMXN=X10.5%5.2%⬆⬆ +5.3pp-0.9%0.14● GREEN
US Dollar IndexDX-Y.NYB4.2%4.0%→ +0.2pp-0.2%0.15● GREEN
USD/CHFCHF=X3.4%4.8%⬇ -1.4pp-0.3%0.74● GREEN
USD/JPYJPY=X2.3%10.8%⬇ -8.5pp-3.6%-0.18● GREEN
USD/SGDSGD=X1.6%3.0%⬇ -1.4pp-1.4%-0.98● GREEN
▶VOLATILITY(3)Avg vol: 26.6%  |  Avg DD: -54.5%  |  Avg Sharpe: -0.51Click to expand
ST VIX ETFVIXY24.5%32.3%⬇ -7.7pp-56.8%-0.94● GREEN
VIX Futures ETNVXX25.5%31.0%⬇ -5.5pp-56.3%-0.92● GREEN
VIX Index^VIXN/AN/A N/A-50.4%0.33● GREEN
▶LISTED ALTERNATIVES(7)Avg vol: 13.3%  |  Avg DD: -9.0%  |  Avg Sharpe: 0.16Click to expand
Commodities IndexBCI7.9%11.4%⬇ -3.6pp-2.3%0.97● GREEN
Diversified CommodityPDBC13.4%16.4%⬇ -3.1pp-2.2%1.45● GREEN
Energy InfrastructureAMLP17.8%7.5%⬆⬆ +10.4pp-5.9%0.32● GREEN
Global REITsREET11.8%7.2%⬆⬆ +4.6pp-10.9%-0.37● AMBER
High Yield REITKBWY12.8%9.1%⬆⬆ +3.7pp-13.3%0.06● GREEN
Listed Private EquityPSP10.9%16.2%⬇ -5.3pp-17.1%-1.14● AMBER
US InfrastructureIFRA18.2%10.2%⬆⬆ +8.0pp-11.5%-0.15● AMBER
⬆⬆ Vol rising (≥+3pp)  ·  ⬆ +1pp–+3pp  ·  → stable (±1pp)  ·  ⬇ easing (≤−1pp)  ·  30D Δ Vol = arithmetic difference in pp (Vol 20D − Vol 1M Ago)  ·  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
50
2Y PEAK
91
2Y AVG
58
2Y LOW
32
7050025751002024-112025-012025-032025-042025-062025-082025-102025-122026-022026-042026-062026-08
■ CRITICAL ≥70■ ELEVATED 55–69■ WATCH 40–54■ LOW <40Dashed lines = regime thresholds
SYSTEM FRAGILITY
50/ 100WATCH0100
WATCH
CRITICAL
27
Score ≥ 70
ELEVATED
30
Score 55–69
WATCH
40
Score 40–54
LOW
17
Score < 40
TOTAL
104
104 of 115 scored (FX excluded)
Yield indices & FX pairs excluded from fragility scoring
⚠ Top 5 Most Fragile
US IG Credit (Intl)
87
CRITICAL
Municipal Bonds
86
CRITICAL
Global Aggregate
86
CRITICAL
Municipal HY
86
CRITICAL
ST IG Corporates
86
CRITICAL
AssetTickerScoreBarStatusTop DriverDrawdownVolatilityTail RiskTrendContagionLiquidity
▶EQUITIES — US BROAD(4)Avg score: 38  |  Highest: Russell 2000 (47)Click to expand
Russell 2000IWM47
WATCHDrawdown+53.2-34.6-36.1+46.2-6.3+13.9
World (ACWI)ACWI39
LOWTrend+9.6-17.3-35.4+14.6-4.8-6.3
Nasdaq 100QQQ36
LOWLiquidity-11.8-11.2-18.2-1.8-9.8+5.2
S&P 500SPY32
LOWTrend-6.4-22.2-31.9+3.4-16.2-4.1
▶EQUITIES — US SECTORS(11)Avg score: 53  |  Highest: Utilities (80)Click to expand
UtilitiesXLU80
CRITICALDrawdown+57.5+17.1+3.5+33.5+7.0-8.6
Consumer StaplesXLP68
ELEVATEDLiquidity+12.4+6.0+1.1+7.0+16.6+21.1
IndustrialsXLI66
ELEVATEDDrawdown+79.7+1.7-3.4+48.9-55.8+12.1
CommunicationsXLC62
ELEVATEDVolatility+20.3+37.0-0.5+7.4-25.9-0.6
Real Estate (REITs)VNQ51
WATCHDrawdown+75.2-25.9-38.0+27.0-3.8+10.4
MaterialsXLB51
WATCHDrawdown+31.3-8.8-16.5+26.9-30.3+3.3
EnergyXLE49
WATCHLiquidity-11.7+4.7+1.9-0.5+0.0+19.0
Consumer DiscretionaryXLY44
WATCHDrawdown+14.7-15.8-29.5+14.5-17.1-9.4
FinancialsXLF43
WATCHDrawdown+10.4-20.7-4.9+2.5-9.2+6.4
HealthcareXLV38
LOWDrawdown+5.8-34.9+0.0-1.1-10.5+3.2
TechnologyXLK30
LOWLiquidity-16.8-23.9-26.9-6.5-11.4+0.8
▶EQUITIES — DEVELOPED MARKETS(8)Avg score: 53  |  Highest: FTSE 100 (UK) (76)Click to expand
FTSE 100 (UK)FLGB76
CRITICALDrawdown+58.7+6.4+11.8+28.5-2.3+40.0
EurozoneEZU60
ELEVATEDDrawdown+50.4-1.5-9.7+28.2-0.5+13.6
AustraliaEWA54
WATCHTrend+17.9-2.0-11.3+21.2-1.2-3.8
Europe Dev (EFA)EFA53
WATCHDrawdown+34.7-7.9-19.7+26.2-1.2+10.4
UKEWU50
WATCHTrend+21.5-12.3-6.7+21.7-7.7-3.7
GermanyEWG48
WATCHDrawdown+18.9-10.5-8.7+14.3-1.8-4.5
SingaporeEWS45
WATCHDrawdown+43.0+17.1+10.1+2.6-15.9+10.5
JapanEWJ42
WATCHTrend-1.5-10.9-21.0+11.1-3.5+0.9
▶EQUITIES — SPECIALIST & THEMATIC(6)Avg score: 53  |  Highest: Clean Energy (77)Click to expand
Clean EnergyICLN77
CRITICALDrawdown+85.8-1.7-17.4+53.3+3.8-8.9
Smart Grid InfraGRID64
ELEVATEDDrawdown+59.4+7.5+18.3+28.4-54.6-1.9
Global X Guru ETFGURU61
ELEVATEDDrawdown+36.6-3.7-7.5+21.6+8.5-0.8
SemiconductorsSOXX54
WATCHDrawdown+43.1-2.4+3.5+15.3-43.7+22.8
ARK InnovationARKK31
LOWTrend-11.3-8.6-20.1-5.9-28.3-11.0
Cloud ComputingSKYY30
LOWVolatility-27.7-6.6-16.2-22.9-9.0-8.2
▶EQUITIES — ASIA PACIFIC(7)Avg score: 62  |  Highest: ASEAN (72)Click to expand
ASEANASEA72
CRITICALDrawdown+63.0+22.1+23.7+38.1+2.8+22.6
China A-SharesCNYA70
ELEVATEDDrawdown+67.9-2.5-4.8+36.8-8.4-11.7
Asia PacificVPL62
ELEVATEDDrawdown+37.7+3.3+6.4+28.5-3.5-5.3
PhilippinesEPHE62
ELEVATEDDrawdown+44.8-1.9+0.8+25.6-7.0-6.4
Asia ex-JapanAAXJ61
ELEVATEDDrawdown+35.7+5.6+4.0+27.8-9.3-2.3
ThailandTHD56
ELEVATEDTrend+7.7-3.5-5.9+27.2+9.7-6.2
Hang Seng / HKEWH50
WATCHDrawdown+28.7+13.0-8.0+16.7-14.7-3.3
▶EQUITIES — EMERGING MARKETS(12)Avg score: 50  |  Highest: Brazil (56)Click to expand
BrazilEWZ56
ELEVATEDVolatility-13.6+111.2-33.1-1.3-21.3+0.2
IndonesiaEIDO55
ELEVATEDDrawdown+25.2-8.1-5.8+16.5-10.1-8.5
KoreaEWY54
WATCHDrawdown+18.5-5.5-5.1+17.6+1.4-4.0
MexicoEWW53
WATCHDrawdown+25.3+2.8-19.7+22.2+0.8-6.1
IndiaINDA52
WATCHTrend+12.6-5.6+1.5+12.7+2.9+2.4
India Small CapSMIN52
WATCHContagion+2.9-5.5-0.2+8.0+12.6+6.0
EM BroadEEM51
WATCHDrawdown+17.2-2.9-12.9+16.9-3.0+15.3
VietnamVNM50
WATCHDrawdown+40.8-20.9-16.6+17.8-22.4+0.7
Saudi ArabiaKSA49
WATCHDrawdown+27.6+3.1-15.4+16.6-11.3-7.1
TaiwanEWT47
WATCHLiquidity+6.3-2.0+4.4-1.0-10.6+7.2
South AfricaEZA42
WATCHTrend+4.9-19.8-17.2+9.8-1.3-7.0
ChinaFXI32
LOWDrawdown+13.9-2.7-41.8+6.3-22.8-5.1
▶DEFENCE & GEOPOLITICAL(2)Avg score: 69  |  Highest: BAE Aerospace & Defence (70)Click to expand
BAE Aerospace & DefenceXAR70
ELEVATEDDrawdown+82.6-10.1+4.7+35.4-17.7-5.5
US Aerospace & DefenceITA69
ELEVATEDDrawdown+63.4-9.4+8.4+29.6-21.2+14.6
▶FIXED INCOME & CREDIT(16)Avg score: 72  |  Highest: Municipal Bonds (86)Click to expand
Municipal BondsMUB86
CRITICALDrawdown+62.8+49.7+23.2+30.7+0.7+18.9
Municipal HYHYD86
CRITICALDrawdown+82.9+28.5+16.8+28.3+5.9+18.2
ST IG CorporatesVCSH86
CRITICALDrawdown+88.0+20.8+14.4+30.6+17.6+5.4
Cash (T-Bills)BIL81
CRITICALContagion+0.0+5.9+14.5+48.3+72.0-9.7
Treasuries 20Y+TLT78
CRITICALDrawdown+46.2+27.0+28.0+22.0+8.0-0.8
IG CreditLQD76
CRITICALDrawdown+40.8+32.9+14.5+13.5+4.3+0.2
Treasuries 7-10YIEF75
CRITICALVolatility+21.4+35.9+19.3+16.5+5.7-2.4
US AggregateAGG74
CRITICALVolatility+22.3+32.8+13.7+14.7+4.4-2.2
EM USD SovereignEMB74
CRITICALDrawdown+41.5+32.9+7.0+16.5+2.3+14.3
Preferred SecuritiesPFF71
CRITICALDrawdown+43.5+2.0-6.0+23.8+12.0+19.3
US TIPSTIP70
CRITICALDrawdown+31.9+28.1+0.0+15.1+3.9-4.2
HY CreditHYG65
CRITICALDrawdown+40.6+14.3+0.0+18.9-3.7-4.9
Convertible BondsCWB63
CRITICALDrawdown+74.9-4.9-4.5+29.1-26.2-10.7
Treasuries 0-3YSHY60
CRITICALVolatility+4.4+10.5+0.8+8.6+3.6-5.3
EM Local CurrencyEMLC55
ELEVATEDTrend+3.4+12.5-7.7+12.9-0.1-0.8
Senior LoansBKLN50
ELEVATEDVolatility-6.6+5.6-4.2+4.3-3.0-10.3
▶FIXED INCOME — INTERNATIONAL(5)Avg score: 77  |  Highest: US IG Credit (Intl) (87)Click to expand
US IG Credit (Intl)IGIB87
CRITICALDrawdown+88.0+25.0+30.4+25.6+10.2-6.7
Global AggregateBNDW86
CRITICALDrawdown+88.0+15.1+30.3+30.2+14.0-7.5
Intl High YieldIHY76
CRITICALDrawdown+67.0+20.6+4.8+22.6+2.0+6.6
Intl Govt BondsIGOV73
CRITICALDrawdown+65.8-3.2+1.0+22.5+16.3+14.9
Intl BondsBNDX65
CRITICALTail Risk+12.2+0.6+17.6+14.8+3.6-7.0
▶SOVEREIGN RATES(4)Avg score: 33  |  Highest: 2Y Treasury Yield (41)Click to expand
2Y Treasury Yield^IRX41
WATCHVolatility-25.9+14.9+0.7-30.5+0.0+0.0
30Y Treasury Yield^TYX33
LOWVolatility-19.1+5.5-5.0-36.2+0.0+0.0
5Y Treasury Yield^FVX29
LOWVolatility-17.4+5.1-35.3-28.0+0.0+0.0
10Y Treasury Yield^TNX29
LOWVolatility-25.3+13.0-31.2-33.0+0.0+0.0
▶COMMODITIES(16)Avg score: 53  |  Highest: Wheat (64)Click to expand
WheatWEAT64
ELEVATEDContagion-4.9+1.9+5.4-5.1+72.0+8.7
CornCORN63
ELEVATEDContagion-6.1+18.6-9.0-14.5+72.0+3.5
Iron Ore (VALE)VALE62
ELEVATEDDrawdown+51.0-2.9+2.2+21.0-19.2-9.1
PlatinumPPLT60
ELEVATEDDrawdown+31.0-9.3-2.4+15.3+7.6-1.9
UraniumURA60
ELEVATEDDrawdown+25.5-9.2-2.9+17.4+4.9+12.6
PalladiumPALL59
ELEVATEDDrawdown+33.1-14.1-6.5+14.7+9.4-1.7
LithiumLIT59
ELEVATEDDrawdown+51.3-17.9-7.2+20.4+0.8-3.1
AgricultureDBA58
WATCHVolatility+0.3+18.8+15.8-1.1-1.2-0.6
Copper MinersCOPX52
WATCHDrawdown+21.7-7.5+0.0+16.2-9.7-8.2
GoldGLD47
WATCHTrend+4.0-18.2-13.0+11.5+4.5-6.9
WTI Oil (BNO proxy)BNO46
WATCHTail Risk-25.0-2.2+0.0-5.7+0.0-3.3
Broad CommoditiesDBC46
WATCHLiquidity+0.4-13.2-9.8-2.7+0.0+1.0
SoybeansSOYB46
WATCHVolatility+0.5+5.9+1.2-14.5-1.4+3.3
SilverSLV43
WATCHTrend+5.0-24.8-21.3+11.1+6.3-6.7
Copper ETFCPER42
WATCHTrend-3.7-22.9-17.8+11.8-0.0-0.5
Natural GasUNG35
LOWVolatility-37.0+3.8-26.9-15.0+0.0+1.5
▶CRYPTO(3)Avg score: 24  |  Highest: Solana (29)Click to expand
SolanaSOL-USD29
LOWLiquidity-31.9-11.4-11.9-27.2+0.3+5.3
EthereumETH-USD22
LOWLiquidity-28.3-20.6-31.9-17.3-8.9+0.6
BitcoinBTC-USD21
LOWLiquidity-33.8-0.4-59.5-28.0-5.8+3.9
▶VOLATILITY(3)Avg score: 45  |  Highest: VIX Futures ETN (46)Click to expand
VIX Futures ETNVXX46
WATCHLiquidity+10.6-13.0-35.1+8.0+0.0+20.2
ST VIX ETFVIXY45
WATCHDrawdown+11.4-12.9-31.4+8.1+0.0-3.1
VIX Index^VIXN/A — computed proxy / fear index (not scored)
▶LISTED ALTERNATIVES(7)Avg score: 59  |  Highest: Global REITs (78)Click to expand
Global REITsREET78
CRITICALDrawdown+88.0-6.6-20.5+52.5+16.1+15.5
US InfrastructureIFRA75
CRITICALDrawdown+84.5+5.3-0.9+51.1-16.9-8.7
High Yield REITKBWY65
ELEVATEDDrawdown+38.3-8.9-11.5+23.4+2.2+7.0
Listed Private EquityPSP56
ELEVATEDDrawdown+20.0-9.0+0.0+10.2-10.3+1.3
Energy InfrastructureAMLP54
WATCHVolatility+13.9+15.6+7.3+6.6-12.1-11.6
Diversified CommodityPDBC44
WATCHVolatility-8.3+0.3-13.5-13.8+0.0-0.7
Commodities IndexBCI43
WATCHLiquidity-1.9-17.2-19.7-2.8+0.0+22.5
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 — FX is used as system-context only (correlation-pillar PC1 fitting), not directly scored. FX instruments appear on Performance, Risk, and Analysis tabs.
Yield tickers (^TNX etc.): Excluded from this tab — not in the v2.3 engine's scored universe. Shown unchanged on Performance and Risk tabs.
BK Fragility Framework v2.3 · Volatility 27.8% + CVaR 26.4% + Drawdown 18.8% + Trend 11.8% + Contagion 10.3% + Liquidity 4.9% (walk-forward IC-derived weights) · Thresholds (critical/elevated/watch): EQ 70/55/40 · FI 55/38/25 · CMD 75/58/40 · CRYPTO 80/65/50 · FX/Rates/other 70/55/40 · LOW = below watch
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
0.12
Ex-diagonal (high = contagion risk)
CROSS-ASSET CORRELATION MATRIX — 60D
SPYQQQIWMACWIEEMTechHealthUtilTLTHYGLQDBILGoldOilCMDBTCEURJPYVIXDEFSPYSPY vs QQQ: +0.89+0.89SPY vs IWM: +0.69+0.69SPY vs ACWI: +0.95+0.95SPY vs EEM: +0.65+0.65SPY vs Tech: +0.74+0.74SPY vs Health: +0.23+0.23SPY vs Util: +0.28+0.28SPY vs TLT: +0.43+0.43SPY vs HYG: +0.66+0.66SPY vs LQD: +0.53+0.53SPY vs BIL: +0.27+0.27SPY vs Gold: +0.42+0.42SPY vs Oil: -0.53-0.53SPY vs CMD: -0.43-0.43SPY vs BTC: +0.35+0.35SPY vs EUR: -0.34-0.34SPY vs JPY: +0.33+0.33SPY vs VIX: -0.68-0.68SPY vs DEF: +0.39+0.39QQQQQQ vs SPY: +0.89+0.89QQQ vs IWM: +0.64+0.64QQQ vs ACWI: +0.89+0.89QQQ vs EEM: +0.77+0.77QQQ vs Tech: +0.92+0.92QQQ vs Health: -0.01QQQ vs Util: +0.19+0.19QQQ vs TLT: +0.27+0.27QQQ vs HYG: +0.56+0.56QQQ vs LQD: +0.42+0.42QQQ vs BIL: +0.20+0.20QQQ vs Gold: +0.35+0.35QQQ vs Oil: -0.49-0.49QQQ vs CMD: -0.38-0.38QQQ vs BTC: +0.34+0.34QQQ vs EUR: -0.24-0.24QQQ vs JPY: +0.22+0.22QQQ vs VIX: -0.61-0.61QQQ vs DEF: +0.31+0.31IWMIWM vs SPY: +0.69+0.69IWM vs QQQ: +0.64+0.64IWM vs ACWI: +0.77+0.77IWM vs EEM: +0.66+0.66IWM vs Tech: +0.53+0.53IWM vs Health: +0.21+0.21IWM vs Util: +0.27+0.27IWM vs TLT: +0.44+0.44IWM vs HYG: +0.61+0.61IWM vs LQD: +0.52+0.52IWM vs BIL: +0.14+0.14IWM vs Gold: +0.51+0.51IWM vs Oil: -0.41-0.41IWM vs CMD: -0.34-0.34IWM vs BTC: +0.26+0.26IWM vs EUR: -0.27-0.27IWM vs JPY: +0.17+0.17IWM vs VIX: -0.66-0.66IWM vs DEF: +0.40+0.40ACWIACWI vs SPY: +0.95+0.95ACWI vs QQQ: +0.89+0.89ACWI vs IWM: +0.77+0.77ACWI vs EEM: +0.81+0.81ACWI vs Tech: +0.75+0.75ACWI vs Health: +0.19+0.19ACWI vs Util: +0.33+0.33ACWI vs TLT: +0.46+0.46ACWI vs HYG: +0.72+0.72ACWI vs LQD: +0.56+0.56ACWI vs BIL: +0.28+0.28ACWI vs Gold: +0.50+0.50ACWI vs Oil: -0.57-0.57ACWI vs CMD: -0.43-0.43ACWI vs BTC: +0.38+0.38ACWI vs EUR: -0.26-0.26ACWI vs JPY: +0.26+0.26ACWI vs VIX: -0.75-0.75ACWI vs DEF: +0.35+0.35EEMEEM vs SPY: +0.65+0.65EEM vs QQQ: +0.77+0.77EEM vs IWM: +0.66+0.66EEM vs ACWI: +0.81+0.81EEM vs Tech: +0.75+0.75EEM vs Health: -0.01EEM vs Util: +0.24+0.24EEM vs TLT: +0.29+0.29EEM vs HYG: +0.52+0.52EEM vs LQD: +0.39+0.39EEM vs BIL: +0.32+0.32EEM vs Gold: +0.44+0.44EEM vs Oil: -0.47-0.47EEM vs CMD: -0.30-0.30EEM vs BTC: +0.33+0.33EEM vs EUR: +0.06EEM vs JPY: +0.06EEM vs VIX: -0.58-0.58EEM vs DEF: +0.13+0.13TechTech vs SPY: +0.74+0.74Tech vs QQQ: +0.92+0.92Tech vs IWM: +0.53+0.53Tech vs ACWI: +0.75+0.75Tech vs EEM: +0.75+0.75Tech vs Health: -0.25-0.25Tech vs Util: +0.16+0.16Tech vs TLT: +0.13+0.13Tech vs HYG: +0.43+0.43Tech vs LQD: +0.30+0.30Tech vs BIL: +0.21+0.21Tech vs Gold: +0.30+0.30Tech vs Oil: -0.32-0.32Tech vs CMD: -0.21-0.21Tech vs BTC: +0.24+0.24Tech vs EUR: -0.19-0.19Tech vs JPY: +0.14+0.14Tech vs VIX: -0.56-0.56Tech vs DEF: +0.24+0.24HealthHealth vs SPY: +0.23+0.23Health vs QQQ: -0.01Health vs IWM: +0.21+0.21Health vs ACWI: +0.19+0.19Health vs EEM: -0.01Health vs Tech: -0.25-0.25Health vs Util: -0.09Health vs TLT: +0.40+0.40Health vs HYG: +0.25+0.25Health vs LQD: +0.32+0.32Health vs BIL: +0.02Health vs Gold: +0.26+0.26Health vs Oil: -0.32-0.32Health vs CMD: -0.27-0.27Health vs BTC: +0.26+0.26Health vs EUR: -0.14-0.14Health vs JPY: +0.34+0.34Health vs VIX: -0.28-0.28Health vs DEF: -0.06UtilUtil vs SPY: +0.28+0.28Util vs QQQ: +0.19+0.19Util vs IWM: +0.27+0.27Util vs ACWI: +0.33+0.33Util vs EEM: +0.24+0.24Util vs Tech: +0.16+0.16Util vs Health: -0.09Util vs TLT: +0.43+0.43Util vs HYG: +0.54+0.54Util vs LQD: +0.49+0.49Util vs BIL: +0.07Util vs Gold: +0.16+0.16Util vs Oil: -0.25-0.25Util vs CMD: -0.23-0.23Util vs BTC: -0.16-0.16Util vs EUR: -0.04Util vs JPY: -0.06Util vs VIX: -0.28-0.28Util vs DEF: +0.28+0.28TLTTLT vs SPY: +0.43+0.43TLT vs QQQ: +0.27+0.27TLT vs IWM: +0.44+0.44TLT vs ACWI: +0.46+0.46TLT vs EEM: +0.29+0.29TLT vs Tech: +0.13+0.13TLT vs Health: +0.40+0.40TLT vs Util: +0.43+0.43TLT vs HYG: +0.79+0.79TLT vs LQD: +0.94+0.94TLT vs BIL: +0.04TLT vs Gold: +0.38+0.38TLT vs Oil: -0.47-0.47TLT vs CMD: -0.38-0.38TLT vs BTC: +0.23+0.23TLT vs EUR: -0.16-0.16TLT vs JPY: +0.09TLT vs VIX: -0.37-0.37TLT vs DEF: +0.16+0.16HYGHYG vs SPY: +0.66+0.66HYG vs QQQ: +0.56+0.56HYG vs IWM: +0.61+0.61HYG vs ACWI: +0.72+0.72HYG vs EEM: +0.52+0.52HYG vs Tech: +0.43+0.43HYG vs Health: +0.25+0.25HYG vs Util: +0.54+0.54HYG vs TLT: +0.79+0.79HYG vs LQD: +0.89+0.89HYG vs BIL: +0.01HYG vs Gold: +0.50+0.50HYG vs Oil: -0.55-0.55HYG vs CMD: -0.37-0.37HYG vs BTC: +0.29+0.29HYG vs EUR: -0.21-0.21HYG vs JPY: +0.20+0.20HYG vs VIX: -0.62-0.62HYG vs DEF: +0.23+0.23LQDLQD vs SPY: +0.53+0.53LQD vs QQQ: +0.42+0.42LQD vs IWM: +0.52+0.52LQD vs ACWI: +0.56+0.56LQD vs EEM: +0.39+0.39LQD vs Tech: +0.30+0.30LQD vs Health: +0.32+0.32LQD vs Util: +0.49+0.49LQD vs TLT: +0.94+0.94LQD vs HYG: +0.89+0.89LQD vs BIL: +0.02LQD vs Gold: +0.49+0.49LQD vs Oil: -0.55-0.55LQD vs CMD: -0.41-0.41LQD vs BTC: +0.22+0.22LQD vs EUR: -0.20-0.20LQD vs JPY: +0.15+0.15LQD vs VIX: -0.47-0.47LQD vs DEF: +0.19+0.19BILBIL vs SPY: +0.27+0.27BIL vs QQQ: +0.20+0.20BIL vs IWM: +0.14+0.14BIL vs ACWI: +0.28+0.28BIL vs EEM: +0.32+0.32BIL vs Tech: +0.21+0.21BIL vs Health: +0.02BIL vs Util: +0.07BIL vs TLT: +0.04BIL vs HYG: +0.01BIL vs LQD: +0.02BIL vs Gold: +0.13+0.13BIL vs Oil: -0.08BIL vs CMD: -0.12-0.12BIL vs BTC: +0.16+0.16BIL vs EUR: +0.01BIL vs JPY: -0.03BIL vs VIX: -0.25-0.25BIL vs DEF: +0.23+0.23GoldGold vs SPY: +0.42+0.42Gold vs QQQ: +0.35+0.35Gold vs IWM: +0.51+0.51Gold vs ACWI: +0.50+0.50Gold vs EEM: +0.44+0.44Gold vs Tech: +0.30+0.30Gold vs Health: +0.26+0.26Gold vs Util: +0.16+0.16Gold vs TLT: +0.38+0.38Gold vs HYG: +0.50+0.50Gold vs LQD: +0.49+0.49Gold vs BIL: +0.13+0.13Gold vs Oil: -0.22-0.22Gold vs CMD: -0.02Gold vs BTC: +0.52+0.52Gold vs EUR: -0.16-0.16Gold vs JPY: +0.24+0.24Gold vs VIX: -0.60-0.60Gold vs DEF: +0.08OilOil vs SPY: -0.53-0.53Oil vs QQQ: -0.49-0.49Oil vs IWM: -0.41-0.41Oil vs ACWI: -0.57-0.57Oil vs EEM: -0.47-0.47Oil vs Tech: -0.32-0.32Oil vs Health: -0.32-0.32Oil vs Util: -0.25-0.25Oil vs TLT: -0.47-0.47Oil vs HYG: -0.55-0.55Oil vs LQD: -0.55-0.55Oil vs BIL: -0.08Oil vs Gold: -0.22-0.22Oil vs CMD: +0.92+0.92Oil vs BTC: -0.12-0.12Oil vs EUR: +0.03Oil vs JPY: -0.21-0.21Oil vs VIX: +0.49+0.49Oil vs DEF: -0.27-0.27CMDCMD vs SPY: -0.43-0.43CMD vs QQQ: -0.38-0.38CMD vs IWM: -0.34-0.34CMD vs ACWI: -0.43-0.43CMD vs EEM: -0.30-0.30CMD vs Tech: -0.21-0.21CMD vs Health: -0.27-0.27CMD vs Util: -0.23-0.23CMD vs TLT: -0.38-0.38CMD vs HYG: -0.37-0.37CMD vs LQD: -0.41-0.41CMD vs BIL: -0.12-0.12CMD vs Gold: -0.02CMD vs Oil: +0.92+0.92CMD vs BTC: -0.03CMD vs EUR: +0.03CMD vs JPY: -0.16-0.16CMD vs VIX: +0.33+0.33CMD vs DEF: -0.30-0.30BTCBTC vs SPY: +0.35+0.35BTC vs QQQ: +0.34+0.34BTC vs IWM: +0.26+0.26BTC vs ACWI: +0.38+0.38BTC vs EEM: +0.33+0.33BTC vs Tech: +0.24+0.24BTC vs Health: +0.26+0.26BTC vs Util: -0.16-0.16BTC vs TLT: +0.23+0.23BTC vs HYG: +0.29+0.29BTC vs LQD: +0.22+0.22BTC vs BIL: +0.16+0.16BTC vs Gold: +0.52+0.52BTC vs Oil: -0.12-0.12BTC vs CMD: -0.03BTC vs EUR: +0.17+0.17BTC vs JPY: +0.04BTC vs VIX: -0.27-0.27BTC vs DEF: -0.04EUREUR vs SPY: -0.34-0.34EUR vs QQQ: -0.24-0.24EUR vs IWM: -0.27-0.27EUR vs ACWI: -0.26-0.26EUR vs EEM: +0.06EUR vs Tech: -0.19-0.19EUR vs Health: -0.14-0.14EUR vs Util: -0.04EUR vs TLT: -0.16-0.16EUR vs HYG: -0.21-0.21EUR vs LQD: -0.20-0.20EUR vs BIL: +0.01EUR vs Gold: -0.16-0.16EUR vs Oil: +0.03EUR vs CMD: +0.03EUR vs BTC: +0.17+0.17EUR vs JPY: -0.48-0.48EUR vs VIX: +0.36+0.36EUR vs DEF: -0.20-0.20JPYJPY vs SPY: +0.33+0.33JPY vs QQQ: +0.22+0.22JPY vs IWM: +0.17+0.17JPY vs ACWI: +0.26+0.26JPY vs EEM: +0.06JPY vs Tech: +0.14+0.14JPY vs Health: +0.34+0.34JPY vs Util: -0.06JPY vs TLT: +0.09JPY vs HYG: +0.20+0.20JPY vs LQD: +0.15+0.15JPY vs BIL: -0.03JPY vs Gold: +0.24+0.24JPY vs Oil: -0.21-0.21JPY vs CMD: -0.16-0.16JPY vs BTC: +0.04JPY vs EUR: -0.48-0.48JPY vs VIX: -0.33-0.33JPY vs DEF: +0.20+0.20VIXVIX vs SPY: -0.68-0.68VIX vs QQQ: -0.61-0.61VIX vs IWM: -0.66-0.66VIX vs ACWI: -0.75-0.75VIX vs EEM: -0.58-0.58VIX vs Tech: -0.56-0.56VIX vs Health: -0.28-0.28VIX vs Util: -0.28-0.28VIX vs TLT: -0.37-0.37VIX vs HYG: -0.62-0.62VIX vs LQD: -0.47-0.47VIX vs BIL: -0.25-0.25VIX vs Gold: -0.60-0.60VIX vs Oil: +0.49+0.49VIX vs CMD: +0.33+0.33VIX vs BTC: -0.27-0.27VIX vs EUR: +0.36+0.36VIX vs JPY: -0.33-0.33VIX vs DEF: -0.14-0.14DEFDEF vs SPY: +0.39+0.39DEF vs QQQ: +0.31+0.31DEF vs IWM: +0.40+0.40DEF vs ACWI: +0.35+0.35DEF vs EEM: +0.13+0.13DEF vs Tech: +0.24+0.24DEF vs Health: -0.06DEF vs Util: +0.28+0.28DEF vs TLT: +0.16+0.16DEF vs HYG: +0.23+0.23DEF vs LQD: +0.19+0.19DEF vs BIL: +0.23+0.23DEF vs Gold: +0.08DEF vs Oil: -0.27-0.27DEF vs CMD: -0.30-0.30DEF vs BTC: -0.04DEF vs EUR: -0.20-0.20DEF vs JPY: +0.20+0.20DEF vs VIX: -0.14-0.14EQFICMDALT
-1.0
+1.060-day rolling correlation · as of 09 Oct 2026
STRONGEST CORRELATIONS
SPY vs ACWI
+0.95
TLT vs LQD
+0.94
Oil vs CMD
+0.92
QQQ vs Tech
+0.92
HYG vs LQD
+0.89
SPY vs QQQ
+0.89
QQQ vs ACWI
+0.89
ACWI vs EEM
+0.81
LEAST CORRELATED
QQQ vs Health
-0.01
EEM vs Health
-0.01
BIL vs EUR
+0.01
HYG vs BIL
+0.01
Health vs BIL
+0.02
Gold vs CMD
-0.02
LQD vs BIL
+0.02
BIL vs JPY
-0.03
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.
On the roadmap, sequenced after the Layer 1/2 data architecture work (see Research tab).
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
66
consecutive trading days
MODEL AGREEMENT
1/3
Models diverge — high uncertainty
Three independent models vote on the current regime. State Machine is deterministic (vol + drawdown thresholds — the headline call). HMM and GMM are statistical; they cross-validate the deterministic call. Full agreement = high conviction. When models diverge, the most severe call wins (conservative by design) — treat the divergence itself as a signal worth examining. Methodology ↓
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)
10.0%
annualised vol
At 43th percentile of history  GREEN
DRAWDOWN DRIVER — WORLD (ACWI)
-1.7%
from 1Y peak
52% of history had smaller drawdowns
TOP STRESS CONTRIBUTORS — VOL & DRAWDOWN (per-instrument, self-relative)
Ranked by worst percentile of vol20 or dd252 vs own history — same inputs as the Tier-1 State Machine, applied per instrument.
TickerClassDriverStress pct
KRW=XFXDD-13.7% from peak99th pct
URACmdDD-33.8% from peak97th pct
EWZEMVOL48.3% ann vol97th pct
MUBFixed IncVOL5.8% ann vol96th pct
EIDOEMDD-35.9% from peak95th pct
XARDefenceDD-23.5% from peak92nd pct
INDAEMDD-15.2% from peak91st pct
REGIME TIMELINE — LAST 2 YEARS
■ MODERATE■ STRESSED■ CRISIS
2025-052025-072025-092025-112026-012026-032026-052026-072026-09
REGIME STATISTICS — 9.6-YEAR HISTORY
RegimeDays% TimeAvg Duration
Moderate1,65268.1%52 days
Stressed50520.8%11 days
Crisis26811.1%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
63
→ MILD RISK-ON
⚠ 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
35%
SKYY (Score 81)
EQ Defensive
15%
XLV (Score 86)
Fixed Income
20%
BKLN (Score 73)
Real Assets
15%
BNO (Score 83)
Cash
10%
BIL (Score 60)
Alts
5%
ETH-USD (Score 79)
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
MODERATE REGIME
Framework state: fragility score 49.5, volatility at the 43rd percentile, drawdown 1.7% from peak. Signal distribution: 12 RED, 44 AMBER, 59 GREEN. Rising-volatility instruments: 50 of 115. 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
Brazil
+13.5%
Rolling 1M Return (21 trading days)
HIGHEST FRAGILITY SCORE
US IG Credit (Intl)
87/100
BK Fragility Score · CRITICAL
INSTRUMENTS WITH RISING VOL
50
of 115 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 0.56 vs 0.78) and maximum drawdown (-11.1% vs -18.8%) both favour BK. See table below.
2023202420252026
BK ALLOCATIONSPY B&H60/40
Total Return+56.3%+93.4%+39.6%
CAGR+9.3%+14.1%+6.9%
Sharpe0.560.780.26
Max DD-11.1%-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
2023———+0.0%-0.7%+3.6%+2.5%-2.1%-4.1%-1.4%+7.3%+4.1%+9.0%
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%+0.3%+3.4%+4.0%+1.0%+2.0%+4.3%+2.2%+0.5%+0.4%+21.1%
YTD+3.2%+1.9%-5.4%+1.0%+3.3%-1.6%-1.3%+3.0%-1.8%+0.6%——+2.7%
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.
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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 115 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.
💡
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 current IC-derived pillar weighting optimal?
Research question: does periodically re-deriving the walk-forward IC weights (vs. the current fixed 27.8/26.4/18.8/11.8/10.3/4.9% split) improve out-of-sample predictive power?
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
Returns are price return in USD (ETF prices) · FX returns reflect USD rate changes · Trend = 20-day normalised sparkline
Signal: Self-relative to each instrument's own drawdown history (P10/P30 = red/amber) · falls back to RED < −15% / AMBER −15% to −7% / GREEN > −7% only when history is thin (<14mo)
Fragility: CRITICAL ≥70 · ELEVATED 55–69 · WATCH 40–54 · LOW <40 · BK Fragility Framework
Generated: 2026-10-09T10:44:05 SGT · Prices via Yahoo Finance · Updated daily before market open
BK
Risk Research · Singapore
Personal research  ·  Not investment advice  ·  No commercial offering