Risk budget and sleeves — a working framework
This is a Tier 1 portfolio page: citeable on the open web, with mechanics at the framework level—not live positions.
Problem statement
Most portfolio mistakes I care about are process mistakes: wrong horizon mixed into the same sleeve, rebalancing because the calendar said so, or letting a narrative override a pre-committed risk budget. The framework below is how I keep those failures visible.
Sleeves (three, not ten)
I run three sleeves with explicit mandates:
| Sleeve | Horizon | Mandate |
|---|---|---|
| Liquidity | Days to weeks | Trading and tactical risk; must stay small vs total budget |
| Core | Quarters | Structural exposures I am willing to defend in writing |
| Reserve | Years | Dry powder and convexity; not a performance sleeve |
Each sleeve has a maximum risk contribution to total portfolio volatility, not a target return. Returns are an output; the input is how much pain I am willing to tolerate in that sleeve under a defined stress scenario.
Risk budget (one number, few knobs)
The budget rolls up to:
- Gross exposure cap (hard ceiling)
- Max drawdown tolerance per sleeve (soft ceiling with forced de-risk rules)
- Correlation awareness — if two positions answer the same macro question, they share a sleeve budget even if they look like different tickers
Rebalancing is event-driven first (rule breach, thesis change, liquidity shock) and calendar-driven second (quarterly hygiene only).
What this page deliberately omits
- Position-level weights, entries, or stops (Tier 3 / Notion)
- Short-term trade logs (Tier 2 summaries on this pillar)
How trading connects
Weekly trading reviews (Tier 2 on-site) summarize what changed in the liquidity sleeve without leaking alpha. This framework is the map those reviews point back to.
Edits and provenance
Material changes get a lastmod date and, for flagship pages, provenance: true so readers see when the framework last moved.