Portfolio Rebalance & Risk Compression — September 2026

Every September the system runs a full reallocation sweep across all four mandates: $1M ignition, $10M core, $100M institutional, and $1B sovereign. The objective is not to chase yield, but to maintain the shaped profile defined by each fund’s mandate.

Current NAV targets (hit):$1M = $1,000,000 · $10M = $10,000,000 · $100M = $100,000,000 · $1B = $1,000,000,000.

Thesis pipeline: 50 theses promoted from proposed to active. The Kelly engine generated 21 kelly_25 positions and 3 kelly_50 satellites. Conviction distribution shifted from 85% WAIT to 65% WAIT / 35% EXEC, reflecting a less hostile signal environment.

Risk compression: Cross-sectional volatility for the combined book fell to 46.8%. Position herding is moderate (0.18), meaning no single thesis dominates the sigma. Monte Carlo 95% VaR sits at -$6.24 against a target of -$2.5, well inside the no-action envelope.

What broke the sigma barrier: Two positions triggered their falsification conditions after the September 7 policy announcement. They were closed automatically, and their capital was routed back into the anti‑fragile barbell allocation rather than redeployed immediately.

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Falsification condition: If the portfolio’s 99‑day rolling volatility exceeds 3σ for more than 3 consecutive days, the thesis pipeline must freeze and revert to 100% WAIT until a structural reason is identified.