The Silk Risk Dashboard
2026-05-11 09:45 · v1.0
MEDIUM CONFIDENCE
Market Situation
Interest Rates↗
rising long rates reflect sticky inflation expectations (CPI 330.29, +1.1% 1m) and resilient GDP (+1.4% 1m); fed funds at 3.64% unchanged suggests Fed on hold; steepening curve historically supports financials but pressures growth/duration equities
Financial↗
AI/semiconductor names at statistical extremes driving index-level gains; breadth momentum -12 warns of narrowing participation beneath headline strength
Commodity→
energy weakness may reflect demand concerns or Saudi supply signals; gold $4720 (+4.4% 5d, -1.5% 30d) and silver +10.0% 5d suggest safe-haven/monetary demand rotation
Currency↗
broad USD weakness supports EM and commodity currencies (BRL +4.1% 30d, AUD +3.0% 30d); CNY strengthening reflects capital inflows or PBoC intervention; weak dollar tailwind for US multinationals but signals shifting capital flows
Crypto↗
moderate uptrend without extreme sigma signals; crypto tracking risk-on equity sentiment but lagging AI/semiconductor momentum; no CRITICAL or ALERT signals in crypto space suggests it is a follower, not a leader in current regime
Commodity Sectors
Metals↗
Copper alert at +2.02σ/60d leads broad metals rally; REMX +1.86σ, ALB +1.81σ
Energies↗
WTI crude +1.65σ/252d in watch zone; NatGas & Uranium quiet, no breakouts
Ags↗
Wheat +1.70σ/252d, Soybeans +1.62σ/252d both on watch; Corn neutral
Softs→
No breakout signals; Coffee & Sugar within normal bands
Commodity Currencies
AUD↗
AUD strengthening at z30=+1.26, consistent with metals/energy bid
CAD↗
CAD mild strength z30=+0.65, supported by crude oil watch signal
NZD→
No z-score data available; direction indeterminate
BRL↗
BRL strongest commodity FX at z30=+1.58, aligned with ag rally
Crypto
USDT→
Flat at $189.6B; negligible change
USDC↘
Down $103.5M (-0.13%); largest outflow today
USDS→
No meaningful activity
DAI↗
Up $5.2M (+0.11%); modest inflow
USD1↗
Up $4.0M (+0.09%); slight inflow
Signals
2
Critical
9
Alert
11
Watch
Click row for details
| Asset | Class | Entry | Current | Z-Score | Window | Level | Trade |
|---|---|---|---|---|---|---|---|
| AMD | equity | $455.19 | $455.19 | +4.77σ | 252d | critical | SHORT |
| NVDA * | equity | $206.97 | $215.20 | +3.19σ | 252d | critical | SHORT |
| IWM * | equity | $271.94 | $284.17 | +2.35σ | 252d | alert | LONG |
| TSM | equity | $370.54 | $411.68 | +2.13σ | 252d | alert | LONG |
| PDBC | equity | $15.92 | $18.07 | +2.04σ | 252d | alert | LONG |
| ALB | equity | $213.69 | $203.52 | +1.81σ | 60d | watch | LONG |
| CNY=X | equity | $6.80 | $6.80 | -1.79σ | 252d | watch | SHORT |
| PDBC | commodity | $15.92 | $18.07 | +2.04σ | 252d | alert | LONG |
| HG=F * | commodity | $6.25 | $6.25 | +2.02σ | 60d | alert | LONG |
| REMX | commodity | $108.72 | $106.38 | +1.86σ | 252d | watch | LONG |
| ALB | commodity | $213.69 | $203.52 | +1.81σ | 60d | watch | LONG |
| ZW=F | commodity | $607.50 | $607.50 | +1.70σ | 252d | watch | LONG |
| CL=F | commodity | $95.42 | $95.42 | +1.65σ | 252d | watch | LONG |
| ZS=F | commodity | $1,194.25 | $1,194.25 | +1.62σ | 252d | watch | LONG |
| SI=F | commodity | $80.39 | $80.39 | +1.50σ | 30d | watch | LONG |
| SOL-USD | crypto | $93.90 | $97.46 | +2.83σ | 30d | alert | LONG |
| LINK-USD | crypto | $10.43 | $10.56 | +2.70σ | 60d | alert | LONG |
| ADA-USD | crypto | $0.27 | $0.28 | +2.39σ | 30d | alert | LONG |
| AVAX-USD | crypto | $9.90 | $10.17 | +2.30σ | 30d | alert | LONG |
| XRP-USD * | crypto | $1.47 | $1.47 | +1.79σ | 30d | watch | LONG |
| BTC-USD | crypto | $81,625.98 | $81,625.98 | +1.71σ | 60d | watch | LONG |
| DOT-USD | crypto | $1.36 | $1.36 | +1.69σ | 30d | watch | LONG |
Risk
Core
$357
exposure $14,185 · 4 positions · σ 24.3% annual
Commodities
$1,588
exposure $43,555 · 9 positions · σ 35.2% annual
Crypto
$4
exposure $79 · 4 positions · σ 45.0% annual
Metrics
Core (Equity)
Rolling Sharpe
1m 3.29 | 3m -0.32 | 12m n/a
Rolling Volatility
1m 24.3% | 3m 28.2% | 12m n/a
Drawdown
Current -13.7% | Max -26.5%
ENB
6.35 (assets: 19)
Regime Probability
Low-Vol 33% | High-Vol 17% | Trend 49% | Mean-Rev 1%
Current: trend (49%)
Commodities
Rolling Sharpe
1m -0.72 | 3m -0.27 | 12m 1.89
Rolling Volatility
1m 35.2% | 3m 45.9% | 12m 42.3%
Drawdown
Current -22.2% | Max -54.9%
ENB
3.01 (assets: 13)
Regime Probability
Low-Vol 23% | High-Vol 27% | Trend 42% | Mean-Rev 8%
Current: trend (42%)
Crypto
Rolling Sharpe
1m 4.53 | 3m 2.35 | 12m 1.97
Rolling Volatility
1m 45.0% | 3m 59.7% | 12m 74.3%
Drawdown
Current -0.5% | Max -96.1%
ENB
7.49 (assets: 8)
Regime Probability
Low-Vol 40% | High-Vol 10% | Trend 32% | Mean-Rev 18%
Current: low_vol (40%)
Combined
Rolling Sharpe
1m 8.95 | 3m 2.78 | 12m 2.35
Rolling Volatility
1m 29.8% | 3m 29.3% | 12m 50.3%
Drawdown
Current -0.5% | Max -88.4%
ENB
12.92 (assets: 35)
Regime Probability
Low-Vol 36% | High-Vol 14% | Trend 45% | Mean-Rev 5%
Current: trend (45%)
Performance Scorecard
Core Forecast
Backtest (1042d):541/1358, 40% [37%-42%], +374.7%
In Sample (80d):48/104, 46% [37%-56%], +48.6%
Recent (8d):2/7, 29% [8%-64%], -24.6%
Brier Score:0.286 FAIL (threshold: 0.25)
Commodity OOS
Backtest (2089d):3868/8555, 45% [44%-46%], +280.4%
In Sample (70d):75/157, 48% [40%-56%], -1.4%
Recent (6d):10/12, 83% [55%-95%], +13.7%
Brier Score:0.255 FAIL (threshold: 0.25)
Crypto OOS
Backtest (2319d):4997/9123, 55% [54%-56%], +649190.2%
In Sample (53d):65/166, 39% [32%-47%], -4.3%
Recent (3d):3/3, 100% [44%-100%], +12.4%
Brier Score:0.252 FAIL (threshold: 0.25)
Combined
Backtest (2319d):9406/19036, 49% [49%-50%], +311277.0%
In Sample (80d):188/427, 44% [39%-49%], +9.7%
Recent (8d):15/22, 68% [47%-84%], +1.3%
Brier Score:0.256 FAIL (threshold: 0.25)