The Silk Risk Dashboard

2026-09-09 04:35 · v1.0
MEDIUM CONFIDENCE

Market Panels — 2-day forecast

Interest Rates↗55%
Normal curve with tightening priced in (+59bp 2y-fed funds) and 10Y at 4.81% sets up for range-bound to slightly higher yields amid sticky inflation signals.
2-day forecast10Y yields likely to edge higher over next 2 sessions if rate expectations spread remains above +50bp; expect consolidation above 4.75% unless consumer sentiment surprises to the downside.
Watch
  • 2y minus fed funds > +0.50%
  • 10Y breaks above 4.85%
  • No softer CPI or sentiment prints
32% [n=87] Brier 0.302
Financial↗54%
100% bullish direction ratio with WATCH sigma in NVDA/TSM/XLE/MSFT but contracting breadth and rising VIX sets up for narrow selective leadership over broad beta.
2-day forecastBroad equities likely to stabilize with modest gains in leaders if VIX closes below 17 and dispersion stays under 0.40 over the next 2 sessions; rate pressure may cap broad upside.
Watch
  • VIX < 17.0
  • NVDA holds +1.5σ level
  • SP500 closes above 766
31% [n=87] Brier 0.287
Commodity↗57%
Corn at +2.71σ ALERT and broad commodities +11.9% 30d with crude +16% sets up for sticky reflation persistence despite mean-reversion base rates.
2-day forecastCommodity prices expected to remain firm or extend modestly if corn holds above +2.0σ and oil stays above 94 over next 2 sessions; supply disruption news would amplify.
Watch
  • Corn sigma > +2.0
  • Crude above 94.00
  • No major de-escalation in Middle East hotspots
34% [n=87] Brier 0.301
Currency↘53%
Modest USD softening with EURUSD and commodity currencies firm against tightening rate expectations sets up for continued global rotation.
2-day forecastUSD likely to soften further if USDJPY stays below 154 and rate differentials do not widen over the next 2 sessions; EM stress release would support.
Watch
  • USDJPY < 153.00
  • EURUSD > 1.165
  • DXY fails to reclaim recent highs
25% [n=87] Brier 0.307
Crypto→92%
BTC 20d USDC-vol correlation at -0.055 with FLAT block state and no boundary today sets up for continued mechanical neutrality.
2-day forecastFLAT state expected to persist over next 2 sessions as correlation rule holds negative and no 20-trading-day boundary is crossed; positive correlation shift would be required at next decision.
Watch
  • 20d corr remains < 0
  • No block boundary in window
  • BTC vol correlation stable
33% [n=87] Brier 0.255

Market Situation

Interest Rates↗
Normal curve with tightening priced in (+59bp 2y-fed funds) and 10Y at 4.81% sets up for range-bound to slightly higher yields amid sticky inflation signals.
Financial↗
100% bullish direction ratio with WATCH sigma in NVDA/TSM/XLE/MSFT but contracting breadth and rising VIX sets up for narrow selective leadership over broad beta.
Commodity↗
Corn at +2.71σ ALERT and broad commodities +11.9% 30d with crude +16% sets up for sticky reflation persistence despite mean-reversion base rates.
Currency↘
Modest USD softening with EURUSD and commodity currencies firm against tightening rate expectations sets up for continued global rotation.
Crypto→
BTC 20d USDC-vol correlation at -0.055 with FLAT block state and no boundary today sets up for continued mechanical neutrality.

Signals

0 Critical
1 Alert
4 Watch
Click row for details
Asset Class Entry Current Z-Score Window Level Trade
CORN equity $19.97 $19.97 +2.71σ 252d alert LONG
TSM * equity $439.00 $439.00 +1.86σ 30d watch LONG
NVDA equity $225.73 $225.73 +1.76σ 252d watch LONG
XLE * equity $61.90 $64.77 +1.74σ 252d watch LONG
MSFT equity $509.23 $493.95 +1.51σ 252d watch LONG
FXY equity $58.89 $59.75 — — held HELD
GLD commodity $412.30 $403.81 — — held HELD
IWM equity $302.46 $293.01 — — held HELD
QQQ equity $717.39 $714.83 — — held HELD
AVAX-USD crypto $9.90 $7.94 — — held HELD
ADA-USD crypto $0.27 $0.22 — — held HELD

Risk

Core
$727 · 4d
exposure $43,288 · 5 positions · σ 8.1% annual (21d realized)
P&L +$725.65
Commodities
$126 · 4d
exposure $3,333 · 1 position · σ 18.3% annual (21d realized)
P&L -$68.61
Crypto
$1 · 4d
exposure $10 · 2 positions · σ 39.6% annual (21d realized)
P&L -$1.97

Geopolitical Risk

0.57 escalating

Middle East shadow conflicts and Eastern European energy threats transmit primarily into oil and natgas with secondary risk-asset and rates pressure; East Asian naval posturing adds FX volatility, yet orthogonal market data shows muted cascades and active diplomatic channels.

Middle East medium

Iran-Israel proxy clashes targeting energy and shipping routes

oilrisk_assets
CL=F, GC=F
horizon: 10d
Eastern Europe medium

Russian strikes on Ukrainian infrastructure ahead of winter gas season

natgasrates
NG=F, ZN=F
horizon: 21d
East Asia low

Chinese naval drills and South China Sea confrontations

fxrisk_assets
USDJPY=X, EURUSD=X
horizon: 14d
Top tail risk medium high

Coordinated cyber-physical attack on European LNG terminals

Invalidate if: Rapid progress in third-party mediated Ukraine ceasefire talks

Hotspot calibration: 259/356 hits (73%), Brier 0.234 — horizons resolved on affected_assets vs predicted market_channels

snapshot 2026-09-09

Finance View — Three Sheets

Neutral
Cash Flow 0 neutral
1/4 signals agreeing
CF-1 CF-2 CF-3 CF-4 CF-5
CF-1 USD direction (DXY proxy) +1.00
EURUSD=X: z=+0.67; USDJPY=X: z=-2.62; CNY=X: z=-2.35
Income 0 neutral
2/5 signals agreeing
I-1 I-2 I-3 I-4 I-5
I-4 AI proxy breadth (above 50DMA) +1.00
4/5 above; NVDA:+ AMD:+ TSM:+ GOOGL:- MSFT:+
Balance Sheet 0 neutral
2/4 signals agreeing
B-1 B-2 B-3 B-4 B-5 B-6
B-5 MOVE index z-score -0.56
^MOVE: z21=+0.85
Drift sizing tilt (equity + crypto only; commodity unaffected) 1× No drift tilt — (CF+0, BS+0) — not in the validated cells
Pending signals (not in vote): B-6
V-2 (5d SPY forward, 2022-01-03 → 2025-12-31, 1003d): risk_on_high PASS risk_off_high FAIL disagreement FAIL neutral FAIL
Panel shows regime call only — does NOT tilt strategy sizing (V-3 disagreement-as-drawdown predictor failed). See docs/research/finance_view_validation_2022-2025.md.

snapshot 2026-09-09

Sleeve Ledger — Money Management

MM Policy v1.1 effective 2026-06-10
NAV$100,000
Deployable$60,000(reserve 40%)
Drawdown+0.00%
As of2026-05-21
SleeveTargetBufferAdmission cap
silk_commodity_etf 40% +5pp $27,000
silk_commodity_futures 40% +5pp $27,000
silk_crypto 20% +5pp $15,000
silk_equity 40% +5pp $27,000
silk_futures 10% +5pp $9,000
Per-trade risk: 0.50% of deployable Sizing mode: risk-sizing Admission: off (default)

MM policy vv1.1 is the active production schema since 2026-06-10. Pre-2026-06-10 OOS / trade-log / backtest data is preserved unmodified — equity-curve rows are tagged pre_v1.0 for dates before policy lock. Source: docs/research/money_management_hybrid.md + docs/2026-05-21_sleeves_status.md.

Metrics

Core (Equity)

Rolling Sharpe
1m -6.05 | 3m -6.20 | 12m n/a
Rolling Volatility
1m 18.4% | 3m 24.9% | 12m n/a
Drawdown
Current -38.3% | Max -39.5%
ENB
5.49 (assets: 33)
Regime Probability
Low-Vol 42% | High-Vol 8% | Trend 49% | Mean-Rev 1%
Current: trend (49%)

Commodities

Rolling Sharpe
1m -2.71 | 3m -0.96 | 12m 3.94
Rolling Volatility
1m 38.0% | 3m 60.7% | 12m 62.9%
Drawdown
Current -39.0% | Max -88.7%
ENB
2.89 (assets: 13)
Regime Probability
Low-Vol 34% | High-Vol 16% | Trend 49% | Mean-Rev 1%
Current: trend (49%)

Crypto

No backtest summary available.

Combined

Rolling Sharpe
1m -6.05 | 3m -6.20 | 12m 1.83
Rolling Volatility
1m 18.4% | 3m 24.9% | 12m 44.9%
Drawdown
Current -38.3% | Max -88.7%
ENB
1.00 (assets: 0)
Regime Probability
Low-Vol 43% | High-Vol 7% | Trend 49% | Mean-Rev 1%
Current: trend (49%)

Performance Scorecard

Core Forecast

WindowWins/TotalRateReturnStats Coverage
Backtest (1042d)574/129244% [42%-47%]+359.7%Longs only
Out of Sample (207d)138/31943% [38%-49%]+65.8%Longs only
Recent (7d)4/944% [19%-73%]-1.8%Longs only
OOS Sharpe0.52 (annualized, trade-level)Longs only

Commodity OOS

WindowWins/TotalRateReturnStats Coverage
Backtest (2089d)2274/495946% [44%-47%]+183.7%Longs only
Out of Sample (217d)75/14253% [45%-61%]+6.2%Longs only
OOS Sharpe0.51 (annualized, trade-level)Longs only

Crypto OOS

WindowWins/TotalRateReturnStats Coverage
Backtest (2396d)42/6961% [49%-72%]+821.2%Longs only

Combined

WindowWins/TotalRateReturnStats Coverage
Backtest (2396d)2890/632046% [45%-47%]+226.7%Longs only
Out of Sample (217d)213/46146% [42%-51%]+47.4%Longs only
Recent (7d)4/944% [19%-73%]-1.8%Longs only
OOS Sharpe0.52 (annualized, trade-level)Longs only

Refresh prices

Prices update on demand. Run this command on the host that owns the FIIJ repo — it fetches live prices, writes the sidecar JSON, and pushes to git. Vercel rebuilds and the dashboard shows the new prices after a reload (~30s).

fiij refresh-prices

Behind the scenes: same code path the (now-disabled) cron called. Symbols are read from this dashboard's HTML; equity + commodity fetch via MarketDataFetcher, crypto via CryptoDataFetcher; output lands at briefs/dashboards/risk_dashboard_<date>_prices.json.