Operator portfolios: Core v1 Core v2 Locality Single-Name Cycle-Beta All Weather Regime Rotation Tax overlay

Repricing Core Book v2 — Locality

Cross-pillar Druckenmiller-style top-3 selection on a multi-order locality signal. 49-candidate hand-tagged universe across 6 pillars. Each candidate scored on a CausalPath taxonomy (specific-access · friendly-jurisdiction · chokepoint · spread-capture) at order 1/2/3. Top-3 by score held equal-weight, vol-targeted to 15%, with RECESSION × 0.5 cycle overlay. Validated 2026-05-01.

Live top-3

Validated track record

Walk-forward — Period A vs Period B

Rotation behavior

The composition story:

names dominated the entire 8-year window. MSTR rotated in only when the Money pillar fired post-2022 — exactly the regime-aware behavior the design intends. Pre-regime (Period A): top-3 ≈ baselines (signal correctly waited). Post-regime (Period B): signal earned Sharpe 1.89 vs SPY 1.02. The dynamic-rotation alpha lives in the cross-pillar firing — names rotate as different pillars hit their amplifier thresholds.

Pillar representation in top-3

Methodology

The locality signal evaluates each candidate across multiple causal paths ((pillar, order, mechanism, locality_score, amplified_by_pillars)). Order weights {1: 1.0, 2: 0.7, 3: 0.4} reflect distance from first-order locality (asset IS the friendly side) to third-order (asset captures regime-induced vol). Cross-pillar amplification kicks in when amplifying pillars co-fire. Per-pillar regime amplifier (1.5× when pillar percentile ≥ 70, 1.0× mid, 0.5× < 30). Cycle / inflation / credit overlays applied on top.

The signal scoring is universe-agnostic — it can score any asset given its tags. The portfolio construction is "rank everything cross-pillar, hold top-3, monitor and rotate." Druckenmiller's "all eggs in one basket, watching that basket carefully" applied at the cross-pillar level.

Vol-target wrapper: Moreira-Muir 2017 inverse-vol scaling, 15% target, gross_floor 0.5×, gross_cap 2.5×. Cycle overlay: RECESSION × 0.5 gross.

Source code: bci_compute/locality_signal.py · bci_compute/locality_signal_loader.py · bci_compute/food_pillar.py · scripts/locality_signal_cheap_probe.py · scripts/locality_signal_walkforward.py. Pre-reg locked at docs/locality_signal_phase0_pre_reg.md.

Validated 2026-05-01. Universe: 49 hand-tagged candidates across Reserves, Energy, Security, Dollar System, Money, Food. Walk-forward CI95 on Sharpe: [0.53, 1.51]. Composition stable across pre/post-regime split (5 of 6 names in both periods). MSTR added in Period B. Live picks as of latest run: CME, ICE, CCJ.