{
 "asOf": "2026-11-02",
 "window": 60,
 "windowFrom": "2026-08-10",
 "windowTo": "2026-11-02",
 "weights": {
  "TLT": 0.35,
  "IEI": 0.15,
  "OSCR": 0.1,
  "INTC": 0.02,
  "AMAT": 0.02,
  "cash": 0.36
 },
 "sleeves": {
  "rates": 0.5,
  "repriced": 0.12000000000000001,
  "semicap": 0.02,
  "cash": 0.36
 },
 "concentration": {
  "hhiTotal": 0.2854,
  "hhiInvested": 0.38037109375,
  "effectiveN": 2.6290115532734273,
  "top1": [
   "TLT",
   0.35
  ],
  "top2": 0.5
 },
 "duration": {
  "assumed": {
   "TLT": 16.0,
   "IEI": 4.4,
   "_note": "Assumed effective durations in years, from the funds' published figures; update if iShares changes them materially."
  },
  "bookYears": 6.26,
  "dv01pctPer100bp": -6.260000000000001
 },
 "rateShocks": [
  {
   "shock": "+25bp parallel",
   "nav": -0.015649999999999997,
   "byPosition": {
    "TLT": -0.04,
    "IEI": -0.011000000000000001
   }
  },
  {
   "shock": "+50bp parallel",
   "nav": -0.031299999999999994,
   "byPosition": {
    "TLT": -0.08,
    "IEI": -0.022000000000000002
   }
  },
  {
   "shock": "+100bp parallel",
   "nav": -0.06259999999999999,
   "byPosition": {
    "TLT": -0.16,
    "IEI": -0.044000000000000004
   }
  },
  {
   "shock": "To the kill levels (30y +36bp, 2y +44bp)",
   "nav": -0.02306400000000002,
   "byPosition": {
    "TLT": -0.05760000000000005,
    "IEI": -0.01936000000000002
   }
  }
 ],
 "equityShocks": [
  {
   "shock": "SPY -10% (via 60-day beta, gap days removed)",
   "nav": -0.027792801872797965,
   "byPosition": {
    "TLT": -0.016499231888173458,
    "IEI": -0.003925512304647893,
    "OSCR": -0.10471111679199044,
    "INTC": -0.33626707798439054,
    "AMAT": -0.21163953136766067
   }
  },
  {
   "shock": "SPY -20% (via 60-day beta, gap days removed)",
   "nav": -0.05558560374559593,
   "byPosition": {
    "TLT": -0.032998463776346916,
    "IEI": -0.007851024609295786,
    "OSCR": -0.20942223358398088,
    "INTC": -0.6725341559687811,
    "AMAT": -0.42327906273532134
   }
  }
 ],
 "vol": {
  "TLT": 0.10976663740469918,
  "IEI": 0.03798240709214667,
  "OSCR": 0.45235007945907446,
  "INTC": 0.8587671130725668,
  "AMAT": 0.523812414259467,
  "SPY": 0.09936329934913261,
  "SOXX": 0.4196566017436601
 },
 "beta": {
  "TLT": 0.16499231888173457,
  "IEI": 0.03925512304647893,
  "OSCR": 1.0471111679199043,
  "INTC": 5.045071164688693,
  "AMAT": 2.1163953136766067,
  "portfolio": 0.31157602642487536
 },
 "betaExGaps": {
  "TLT": 0.16499231888173457,
  "IEI": 0.03925512304647893,
  "OSCR": 1.0471111679199043,
  "INTC": 3.362670779843905,
  "AMAT": 2.1163953136766067
 },
 "corr": {
  "TLT": {
   "TLT": 1.0,
   "IEI": 0.8024516941001888,
   "SPY": 0.1493548637270316,
   "OSCR": 0.0843403919340769,
   "INTC": -0.10950643984744154,
   "AMAT": -0.32162730692633773,
   "SOXX": -0.1828727707757265
  },
  "IEI": {
   "TLT": 0.8024516941001888,
   "IEI": 1.0,
   "SPY": 0.1026927685965643,
   "OSCR": -0.030576776767841735,
   "INTC": -0.1515420159554657,
   "AMAT": -0.17778767310740642,
   "SOXX": -0.10914392232818207
  },
  "SPY": {
   "TLT": 0.1493548637270316,
   "IEI": 0.1026927685965643,
   "SPY": 1.0,
   "OSCR": 0.23000862640338834,
   "INTC": 0.5837379060558874,
   "AMAT": 0.40146437039154115,
   "SOXX": 0.6733738864653451
  },
  "OSCR": {
   "TLT": 0.0843403919340769,
   "IEI": -0.030576776767841735,
   "SPY": 0.23000862640338834,
   "OSCR": 1.0,
   "INTC": -0.0612508475192424,
   "AMAT": -0.10310308224810741,
   "SOXX": -0.07405674874537846
  },
  "INTC": {
   "TLT": -0.10950643984744154,
   "IEI": -0.1515420159554657,
   "SPY": 0.5837379060558874,
   "OSCR": -0.0612508475192424,
   "INTC": 1.0,
   "AMAT": 0.5968422380638234,
   "SOXX": 0.8274670233194966
  },
  "AMAT": {
   "TLT": -0.32162730692633773,
   "IEI": -0.17778767310740642,
   "SPY": 0.40146437039154115,
   "OSCR": -0.10310308224810741,
   "INTC": 0.5968422380638234,
   "AMAT": 1.0,
   "SOXX": 0.8037454899703179
  },
  "SOXX": {
   "TLT": -0.1828727707757265,
   "IEI": -0.10914392232818207,
   "SPY": 0.6733738864653451,
   "OSCR": -0.07405674874537846,
   "INTC": 0.8274670233194966,
   "AMAT": 0.8037454899703179,
   "SOXX": 1.0
  }
 },
 "portfolio": {
  "volAnn": 0.06446426198641034,
  "corrSPY": 0.4802540357973016,
  "var95_1d": 0.006679719801957964,
  "var99_1d": 0.009446794440570741,
  "histVar95_1d": 0.0071235992734797245,
  "worstDay": -0.009515155091181511,
  "worstDayDate": "2026-09-24",
  "maxDrawdownWindow": -0.02665450061408703,
  "dailyVol": 0.004060866801603723
 },
 "positions": [
  {
   "sym": "TLT",
   "weight": 0.35,
   "entry": 78.0,
   "approx": true,
   "last": 81.82,
   "ret": 0.04897435897435898,
   "navContribution": 0.01714102564102564,
   "vol": 0.10976663740469918,
   "beta": 0.16499231888173457,
   "corrSPY": 0.1493548637270316,
   "conviction": "high",
   "sleeve": "rates"
  },
  {
   "sym": "IEI",
   "weight": 0.15,
   "entry": 113.4,
   "approx": true,
   "last": 114.995,
   "ret": 0.0140652557319223,
   "navContribution": 0.002109788359788345,
   "vol": 0.03798240709214667,
   "beta": 0.03925512304647893,
   "corrSPY": 0.1026927685965643,
   "conviction": "high",
   "sleeve": "rates"
  },
  {
   "sym": "OSCR",
   "weight": 0.1,
   "entry": 32.0,
   "approx": true,
   "last": 31.355,
   "ret": -0.020156249999999987,
   "navContribution": -0.0020156249999999988,
   "vol": 0.45235007945907446,
   "beta": 1.0471111679199043,
   "corrSPY": 0.23000862640338834,
   "conviction": "med",
   "sleeve": "repriced"
  },
  {
   "sym": "INTC",
   "weight": 0.02,
   "entry": 95.0,
   "approx": true,
   "last": 60.4,
   "ret": -0.36421052631578954,
   "navContribution": -0.007284210526315791,
   "vol": 0.8587671130725668,
   "beta": 5.045071164688693,
   "corrSPY": 0.5837379060558874,
   "conviction": "low",
   "sleeve": "repriced"
  },
  {
   "sym": "AMAT",
   "weight": 0.02,
   "entry": 439.71,
   "approx": true,
   "last": 377.95,
   "ret": -0.14045620977462414,
   "navContribution": -0.002809124195492483,
   "vol": 0.523812414259467,
   "beta": 2.1163953136766067,
   "corrSPY": 0.40146437039154115,
   "conviction": "low",
   "sleeve": "semicap"
  }
 ],
 "unrealisedNav": 0.007141854279005712,
 "curve": {
  "date": "2026-10-30",
  "y2": 4.56,
  "y5": 4.71,
  "y10": 4.94,
  "y30": 5.31
 },
 "checks": [
  {
   "rule": "Single position \u2264 35% of NAV",
   "status": "pass",
   "value": "TLT 35%",
   "detail": "Largest position against the cap; at the cap counts as a pass."
  },
  {
   "rule": "One macro view (sleeve) \u2264 50% of NAV",
   "status": "pass",
   "value": "rates 50%",
   "detail": "TLT + IEI share one view: lower long-end yields into a credit slowdown."
  },
  {
   "rule": "Top two positions \u2264 60% of NAV",
   "status": "pass",
   "value": "50%",
   "detail": "The August book ran at 60%; the cap is set there."
  },
  {
   "rule": "Cash \u2265 10% of NAV",
   "status": "pass",
   "value": "36%",
   "detail": "Dry powder for the re-entry rules without selling the Treasury sleeve."
  },
  {
   "rule": "Low-conviction positions \u2264 5% combined",
   "status": "pass",
   "value": "4%",
   "detail": "INTC and AMAT are 2% each."
  },
  {
   "rule": "TLT kill: 10y close > 5.31% or 30y close > 5.67%",
   "status": "pass",
   "value": "10y 4.94% \u00b7 30y 5.31% (2026-10-30)",
   "detail": "Margin 37bp on the 10-year and 36bp on the 30-year. Closest approach: 10y 5.31% on Oct 5 and 30y 5.67% on Oct 7 \u2014 at, not through."
  },
  {
   "rule": "IEI kill: 2y close > 5.00%",
   "status": "pass",
   "value": "2y 4.56%",
   "detail": "Margin 44bp."
  },
  {
   "rule": "OSCR hard stop 26.00",
   "status": "pass",
   "value": "last 31.36",
   "detail": "Cushion 21% above the stop."
  },
  {
   "rule": "INTC hard stop 45.00",
   "status": "pass",
   "value": "last 60.40",
   "detail": "Cushion 34% above the stop."
  },
  {
   "rule": "INTC drawdown vs cost > 25% \u2192 review",
   "status": "flag",
   "value": "-36%",
   "detail": "Reviewed Nov 2, 2026 after the Oct 29 results (\u221236% vs cost). Decision: hold at 2% under the position-note rules \u2014 gross margin must be guided above 38% within two quarters and the external-foundry ramp must stay in 2027; no adding; $45 hard stop. Recorded on the INTC thesis card."
  },
  {
   "rule": "Portfolio 1-day 99% VaR \u2264 3% of NAV",
   "status": "pass",
   "value": "0.94%",
   "detail": "Parametric, fixed weights, last 60 trading days."
  }
 ],
 "rules": {
  "text": [
   "Single position \u2264 35% of NAV; the top two positions together \u2264 60%.",
   "One macro view (a sleeve whose positions lose on the same move) \u2264 50% of NAV; one capex cycle (memory: MU + AMAT + LRCX) \u2264 35%.",
   "Cash \u2265 10% of NAV so that a re-entry rule can be acted on without selling the Treasury sleeve.",
   "Low-conviction positions \u2264 5% of NAV combined, and never added to in a drawdown.",
   "Every thesis position carries a kill rule written when it is opened: a business measure (the thesis is wrong) and a price level (the sizing is wrong). Treasury kill levels are on the curve: 10y > 5.31% or 30y > 5.67% closes TLT; 2y > 5.00% closes IEI.",
   "Every tactical trade carries a stop at entry; the tactical sleeve is scored separately from the thesis sleeve.",
   "A position more than 25% below cost is reviewed the same week and the decision is recorded on its thesis card; the review cannot add to the position.",
   "When my own published screen rates a holding 'avoid', the position is reviewed the same week.",
   "This page is regenerated whenever weights change or a kill level is approached; the check is mechanical and the decision is mine."
  ],
  "killLevels": {
   "y10": 5.31,
   "y30": 5.67,
   "y2": 5.0
  },
  "stops": {
   "OSCR": 26.0,
   "INTC": 45.0
  },
  "reviews": {
   "INTC": "Reviewed Nov 2, 2026 after the Oct 29 results (\u221236% vs cost). Decision: hold at 2% under the position-note rules \u2014 gross margin must be guided above 38% within two quarters and the external-foundry ramp must stay in 2027; no adding; $45 hard stop. Recorded on the INTC thesis card."
  }
 },
 "notes": [
  "Window: the last 60 trading days to 2026-11-02; daily simple returns; volatility annualised by \u221a252. Correlations and betas are sample statistics over the same window and move with it.",
  "Weights are the Oct 16 snapshot (TLT 35, IEI 15, OSCR 10, INTC 2, AMAT 2, cash 36) held fixed over the window, so the VaR and drawdown describe today's book run back over the window, not the realised history.",
  "Durations are assumed (TLT 16, IEI 4.4 years) from the funds' published effective durations; the rate shocks are price effects of a parallel move with no convexity and no carry.",
  "Parametric VaR assumes normal daily returns; the historical 95% figure is the 5th-percentile day of the fixed-weight book over the window. With one quarter of data these are order-of-magnitude numbers, not limits.",
  "INTC's 60-day statistics include the Oct 30 and Nov 2 sessions (\u221229% and \u22128%), which dominate its volatility and the book's worst day."
 ]
}