@v587d/capital-generation 2.7.12 → 2.8.1

package/selected-skills/InvestSkill/plugins/us-stock-analysis/skills/portfolio-review/SKILL.md

@@ -25,441 +25,17 @@ Data & Sources
 
 Comprehensive portfolio analysis and optimization recommendations.
 
-## Phase 1 — Portfolio Snapshot
+## Read the Parts
 
-Start with a high-level summary before diving into details:
-- Total portfolio value and cash position
-- Number of holdings and average position size
-- Date range of analysis
-- Investor profile: risk tolerance (conservative / moderate / aggressive), time horizon, income vs. growth objective
+Everything below the surface of this file lives in `references/`. **whole, with no line window** — quoting a rule or a template out of a slice of one is how a
+file gets reported as read when it was only skimmed. The file names below are the only
+addressing this entry has.
 
-## Phase 2 — Performance Analysis
+- `references/10-phase-1-portfolio-snapshot.md` — Phase 1 — Portfolio Snapshot; Phase 2 — Performance Analysis; Phase 3 — Asset Allocation Review; Phase 4 — Holdings Review; Phase 5 — Concentration Risk Scoring
+- `references/11-phase-6-correlation-diversification.md` — Phase 6 — Correlation & Diversification Analysis; Phase 7 — Tax-Loss Harvesting Opportunities; Phase 8 — Factor Exposure Analysis
+- `references/12-phase-9-rebalancing-decision.md` — Phase 9 — Rebalancing Decision Framework; Phase 10 — Drawdown & Risk Budget Analysis; Phase 11 — Optimization Recommendations; Output Format
+- `references/13-data-verification.md` — Data Verification; Thesis Invalidation; Standard Signal Output
 
-1. **Absolute Returns**
-   - YTD, 1Y, 3Y, 5Y total return
-   - Compare against relevant benchmarks (S&P 500, Russell 2000, custom blended benchmark)
-   - Annualized return vs. benchmark — outperformance or underperformance in basis points
-
-2. **Risk-Adjusted Returns**
-   - Sharpe ratio (excess return per unit of total risk)
-   - Sortino ratio (penalizes only downside volatility)
-   - Calmar ratio (annualized return / max drawdown)
-   - Information ratio vs. benchmark
-
-3. **Drawdown Analysis**
-   - Maximum drawdown: peak-to-trough magnitude and duration
-   - Recovery period after each significant drawdown
-   - Drawdown frequency over the analysis window
-   - Compare portfolio drawdown vs. benchmark during market stress periods
-
-4. **Volatility Metrics**
-   - Annualized standard deviation of returns
-   - Beta vs. S&P 500 (market sensitivity)
-   - Tracking error vs. benchmark
-   - Upside capture / downside capture ratios
-
-## Phase 3 — Asset Allocation Review
-
-1. **Current Allocation Breakdown**
-   - Asset class weights: equities, fixed income, cash, REITs, commodities, alternatives
-   - Equity sub-breakdown: US large cap, US small/mid cap, international developed, emerging markets
-   - Compare current weights to target/policy weights — flag deviations > 5%
-
-2. **Geographic Diversification**
-   - US vs. international exposure (%)
-   - Country concentration risk — any single country > 20%?
-   - Currency exposure and hedging status
-
-3. **Sector and Industry Weights**
-   - GICS sector breakdown vs. S&P 500 sector weights
-   - Overweight / underweight sectors and the investment thesis behind each
-   - Cyclical vs. defensive balance relative to current macro environment
-
-4. **Market Cap Distribution**
-   - Large cap / mid cap / small cap split
-   - Growth vs. value tilt (P/E, P/B relative to benchmark)
-   - Quality factor exposure (ROE, balance sheet strength)
-
-## Phase 4 — Holdings Review
-
-1. **Individual Position Analysis**
-   - Position size as % of portfolio — flag any > 10% single-stock concentration
-   - Contribution to total return (winners vs. laggards)
-   - Unrealized gain/loss and holding period (tax impact)
-
-2. **Position Sizing Discipline**
-   - Largest 5 positions — are sizes justified by conviction and risk/reward?
-   - Smallest positions — are they too small to be meaningful?
-   - Kelly criterion or volatility-scaled sizing check
-
-3. **Overlap and Redundancy**
-   - Identify pairs of holdings with > 0.7 correlation
-   - ETF overlap analysis — holdings duplicated across ETFs
-   - Factor overlap: are multiple positions expressing the same single bet?
-
-4. **Cost Efficiency**
-   - Weighted average expense ratio for ETF/fund holdings
-   - Estimated annual trading cost drag
-   - Tax lot optimization — identify specific lots to sell for tax efficiency
-
-## Phase 5 — Concentration Risk Scoring
-
-Score each concentration dimension independently, then aggregate:
-
-**Single-Stock Concentration**
-
-| Position Weight | Score | Status |
-|----------------|-------|--------|
-| < 5%           | 0     | OK |
-| 5%–10%         | 1     | Monitor |
-| 10%–15%        | 2     | Warning |
-| 15%–20%        | 3     | High Risk |
-| > 20%          | 5     | Red Flag — immediate review required |
-
-**Sector Concentration**
-
-| Largest Sector Weight | Score | Status |
-|-----------------------|-------|--------|
-| < 20%                 | 0     | Diversified |
-| 20%–25%               | 1     | Slight tilt |
-| 25%–30%               | 2     | Elevated |
-| 30%–40%               | 3     | Warning |
-| > 40%                 | 5     | Concentration risk — rebalance urged |
-
-**Factor Concentration**
-
-| Factor Tilt Condition | Score | Note |
-|-----------------------|-------|------|
-| Mixed factors         | 0     | Balanced |
-| Mild single-factor tilt | 1   | Acceptable with thesis |
-| Strong single-factor tilt (>70% one factor) | 3 | Vulnerable to factor drawdown |
-| Pure single-factor portfolio (>90%) | 5 | Maximum factor risk |
-
-Common factor concentration traps: all high-growth names (P/E > 40), all micro/small-cap, all rate-sensitive (long-duration bonds + REITs + utilities together).
-
-**Aggregate Concentration Score**
-- 0–2: Well-diversified
-- 3–5: Moderate concentration — monitor
-- 6–9: High concentration — rebalance
-- 10+: Critical — urgent review
-
-## Phase 6 — Correlation & Diversification Analysis
-
-**Measuring Diversification Benefit**
-
-Portfolio volatility reduction vs. average asset volatility signals diversification quality. If portfolio vol ≈ average position vol, diversification benefit is near zero.
-
-Diversification Ratio = (Weighted average individual vol) / (Portfolio vol)
-- Ratio > 1.5: Good diversification
-- Ratio 1.2–1.5: Moderate
-- Ratio < 1.2: Poor — holdings move together
-
-**Pairwise Correlation Heatmap Template**
-
-For each pair of top-10 holdings, estimate 1-year rolling correlation:
-
-```
-         AAPL   MSFT   GOOGL  AMZN   NVDA   JPM   XOM   GLD
-AAPL     1.00   0.85   0.82   0.79   0.76   0.42  0.15  -0.10
-MSFT     0.85   1.00   0.84   0.80   0.78   0.41  0.14  -0.12
-GOOGL    0.82   0.84   1.00   0.81   0.73   0.39  0.12  -0.09
-AMZN     0.79   0.80   0.81   1.00   0.70   0.37  0.10  -0.08
-NVDA     0.76   0.78   0.73   0.70   1.00   0.35  0.11  -0.07
-JPM      0.42   0.41   0.39   0.37   0.35   1.00  0.48   0.05
-XOM      0.15   0.14   0.12   0.10   0.11   0.48  1.00   0.30
-GLD     -0.10  -0.12  -0.09  -0.08  -0.07   0.05  0.30  1.00
-```
-
-Color code: > 0.75 = HIGH (red), 0.50–0.75 = MODERATE (yellow), < 0.50 = LOW (green)
-
-**Effective Number of Positions (ENP)**
-
-ENP = 1 / sum(wi²) where wi = weight of position i
-
-Interpretation:
-- ENP ≈ actual N: equal-weight, low correlation — true diversification
-- ENP << actual N: dominated by a few large/correlated positions
-- Target ENP: at least 0.6 × actual number of holdings
-
-**Correlated Cluster Identification**
-
-Group holdings with pairwise correlation > 0.75 into clusters. Each cluster behaves as a single economic bet. Example clusters: Big Tech, Energy Majors, Regional Banks, Long-Duration Fixed Income.
-
-Actionable rule: no single cluster should exceed 35% of portfolio weight.
-
-## Phase 7 — Tax-Loss Harvesting Opportunities
-
-**Identification Criteria**
-
-Screen all positions for:
-1. Unrealized loss > 10% of cost basis
-2. Position held > 30 days (avoid wash-sale complications)
-3. Realized gains available to offset in the current tax year
-
-**Wash-Sale Rule (30-Day Rule)**
-
-Do not repurchase the same or substantially identical security within 30 days before or after the sale. Alternatives to maintain exposure during the 30-day window: sell XOM, buy CVX; sell QQQ, buy VGT; sell one S&P 500 ETF for another.
-
-**Net Tax Benefit Calculation**
-
-```
-Gross Tax Saving = Realized Loss × Marginal Tax Rate
-Transaction Cost  = (Bid-Ask Spread + Commission) × 2
-Net Benefit       = Gross Tax Saving − Transaction Cost
-Harvest if:       Net Benefit > 0 AND loss > $500 minimum threshold
-```
-
-**Tax-Loss Harvest Decision Table**
-
-| Condition | Action |
-|-----------|--------|
-| Unrealized loss > 10%, gains to offset, loss > $500 | Harvest — sell and replace with correlated substitute |
-| Unrealized loss 5–10%, gains to offset | Evaluate: transaction cost vs. tax saving |
-| Unrealized loss > 10%, no offsetting gains | Hold or carry forward — harvest at year-end if gains materialize |
-| Position held < 30 days | Wait for 30-day window to avoid wash-sale |
-| Loss < $500 | Skip — transaction costs exceed benefit |
-| Short-term gain offset | Priority harvest — short-term rates are higher |
-
-**Annual Harvest Tracking**
-
-Maintain a log: position, cost basis, current value, loss amount, harvest date, replacement security, re-entry date. Review in October before year-end to maximize benefit.
-
-## Phase 8 — Factor Exposure Analysis
-
-**Six-Factor Portfolio Map**
-
-For each holding, estimate factor scores (1–5 scale, 3 = neutral):
-
-| Factor | Measurement Proxy | Low (1–2) | Neutral (3) | High (4–5) |
-|--------|------------------|-----------|-------------|------------|
-| Value  | P/E, P/B vs. sector | Expensive | Fair | Cheap |
-| Growth | Revenue/EPS CAGR 3Y | < 5% | 5–15% | > 15% |
-| Momentum | 12-1 month return | Bottom quartile | Middle | Top quartile |
-| Quality | ROE, Debt/EBITDA | Low ROE, high debt | Average | High ROE, low debt |
-| Low-Vol | 1Y realized vol | High vol | Average | Low vol |
-| Size | Market cap | Mega-cap | Mid-cap | Small-cap |
-
-**Portfolio-Level Factor Score**
-
-Weight each holding's factor score by portfolio weight. Compare to S&P 500 baseline (all factors = 3.0):
-
-```
-Factor      Portfolio Score   Benchmark   Active Tilt
-Value           2.1              3.0       -0.9  (Growth tilt)
-Growth          4.2              3.0       +1.2  (Strong growth)
-Momentum        3.8              3.0       +0.8  (Slight momentum)
-Quality         3.5              3.0       +0.5  (Slight quality)
-Low-Vol         2.3              3.0       -0.7  (Higher volatility)
-Size            2.4              3.0       -0.6  (Large-cap tilt)
-```
-
-**Unintended Factor Tilt Detection**
-
-Flag when any active tilt exceeds ±1.0: this signals an unintended concentration that may not be in the investment thesis. Common unintended tilts: growth investors inadvertently loading up on momentum; dividend investors loading up on low-vol (rate sensitive); index investors with large-cap tilt through tech sector overweight.
-
-**Benchmark Factor Comparison**
-
-Use the factor tilts to explain return difference from benchmark. Growth tilt +1.2 in a value-outperforming market explains underperformance. Momentum tilt in a mean-reverting market increases drawdown risk.
-
-## Phase 9 — Rebalancing Decision Framework
-
-**When to Rebalance**
-
-Three trigger systems — use the one matching the investor's approach:
-
-1. **Threshold-Based (Recommended for most investors)**
-   - Rebalance when any asset class drifts > 5% from target weight
-   - Individual stock position drifts > 3% from target
-   - No action if drift is within tolerance band
-
-2. **Calendar-Based**
-   - Review quarterly; rebalance only if drift > 3%
-   - Annual full rebalance regardless of drift
-   - Simpler but may miss significant mid-quarter moves
-
-3. **Factor-Based**
-   - Rebalance when portfolio factor score diverges > 1.5 from target
-   - Triggered by momentum factor decay (top-quartile stocks reversing)
-   - Suitable for factor-aware investors
-
-**Cost-Benefit Analysis**
-
-Before executing any rebalance, verify it clears the cost hurdle:
-
-```
-Expected Drift Cost (annual) = Excess vol from drift × Sharpe ratio penalty
-Transaction Cost = Commission + (Bid-Ask Spread × Trade Size) + Tax Impact
-Rebalance if: Drift Cost > Transaction Cost × 2 (safety margin)
-```
-
-Rule of thumb: do not rebalance positions with < $2,000 drift — transaction costs exceed benefit.
-
-**Rebalancing Decision Flowchart**
-
-```
-START
-  |
-  v
-Is drift > threshold?
-  NO  --> Monitor next period
-  YES --> Is account taxable?
-            YES --> Are there harvesting opportunities?
-                      YES --> Combine harvest + rebalance
-                      NO  --> Evaluate tax cost of rebalance
-                               Tax cost > drift benefit? --> Delay
-                               Tax cost < drift benefit? --> Rebalance
-            NO  --> Rebalance immediately (no tax friction)
-```
-
-**Tax-Smart Rebalancing Order**
-
-1. Use new cash contributions to buy underweight assets first
-2. Reinvest dividends into underweight positions
-3. Harvest losses in overweight positions to fund purchases
-4. If still needed, sell overweight positions (minimize short-term gains)
-
-## Phase 10 — Drawdown & Risk Budget Analysis
-
-**Per-Position Maximum Drawdown**
-
-For each holding, calculate the worst peak-to-trough decline over the analysis window:
-
-| Position | Max Drawdown | Recovery Time | Current From Peak | Risk Level |
-|----------|-------------|---------------|-------------------|-----------|
-| Example  | -35%        | 14 months     | -8%               | Medium |
-
-Flag positions with max drawdown > 50%: high-volatility securities require smaller position sizes to avoid outsized portfolio impact.
-
-**Portfolio-Level Value at Risk (VaR)**
-
-95% VaR (1-day): the loss not exceeded on 95% of trading days.
-
-Parametric VaR (simplified) = Portfolio Value × Portfolio Daily Vol × 1.645
-
-Example: $500,000 portfolio, daily vol 0.9% → 95% VaR = $500,000 × 0.009 × 1.645 = $7,403/day
-
-Report also: 99% VaR (multiply by 2.326 / 1.645) and 10-day VaR (multiply by √10).
-
-**Contribution to Portfolio Volatility**
-
-Each position's marginal contribution to total portfolio volatility:
-
-```
-Marginal Vol Contribution (i) = weight(i) × Cov(i, portfolio) / Portfolio Vol
-% Vol Contribution = Marginal Vol Contribution / Portfolio Vol × 100
-```
-
-Target: no single position contributes > 20% of total portfolio volatility unless it is a deliberate high-conviction overweight.
-
-**Risk Budget Allocation Table**
-
-| Position | Weight % | Vol Contribution % | Risk Budget Used | Status |
-|----------|----------|--------------------|-----------------|--------|
-| Ideal    | ≤ 10%    | ≤ 15%              | ≤ budget        | OK |
-| Flag     | > 10%    | > 20%              | Over budget     | Trim |
-
-**Stress Test Scenarios**
-
-Apply historical shock scenarios to estimate portfolio impact:
-- 2022 Rate Shock: tech -35%, bonds -15%, energy +50%
-- 2020 COVID Crash: market -34% in 33 days, recovery 5 months
-- 2008 GFC: market -57%, credit spreads +500bps
-- 2000 Dot-com: tech -78% over 2.5 years
-
-For each scenario: estimate portfolio decline, identify worst-hit positions, confirm portfolio can withstand the scenario without forcing a distressed sale.
-
-## Phase 11 — Optimization Recommendations
-
-1. **Rebalancing Actions**
-   - List all positions with > 2% drift from target weight
-   - Priority order: largest drift first
-   - Tax-aware rebalancing: prioritize tax-loss harvesting in taxable accounts
-   - Proposed trades: ticker, action (buy/sell/trim), target weight, estimated proceeds
-
-2. **Diversification Improvements**
-   - Specific gaps to fill (e.g., no international exposure, no inflation hedge)
-   - Correlation-reduction swaps: replace redundant holdings with uncorrelated alternatives
-   - Alternative asset candidates if appropriate (gold, TIPS, REITs, private credit proxies)
-
-3. **Underperformer Review**
-   - For each position underperforming benchmark by > 10% over 1Y:
-     - Is the original thesis intact?
-     - Has fundamentals deteriorated or is this a temporary setback?
-     - Hold / average down / exit decision with rationale
-
-4. **Upgrade Candidates**
-   - Positions to add based on current conviction and valuation
-   - New opportunities that fit the portfolio's existing factor tilts
-   - Cost reduction opportunities (replace active fund with cheaper ETF equivalent)
-
-## Output Format
-
-Deliver the review as a structured report with these sections:
-1. Executive Summary (3–5 bullet points: biggest strengths and risks)
-2. Performance Scorecard (table: metric | portfolio | benchmark | delta)
-3. Allocation Heat Map (sector/geography breakdown in table form)
-4. Concentration Risk Score (aggregate score with dimension breakdown)
-5. Factor Exposure Summary (six-factor table vs. benchmark)
-6. Holdings Table (position | weight | 1Y return | vol contribution % | status: hold/trim/exit)
-7. Tax-Loss Harvest Candidates (position | unrealized loss | estimated tax saving)
-8. Risk Budget Table (position | weight | vol contribution | status)
-9. Action List (prioritized, with expected portfolio impact)
-10. Implementation Roadmap (immediate / 30-day / 90-day actions)
-
-Focus on actionable insights aligned with the investor's stated objectives and risk tolerance. Flag any positions or allocations that conflict with the investor profile.
-
-## Data Verification
-
-Before finalizing the analysis, verify:
-- [ ] Position weights sum to 100% (or account for cash)
-- [ ] Return figures use total return (dividends reinvested)
-- [ ] Benchmark used matches portfolio's investment universe
-- [ ] Correlation estimates based on at least 1 year of data
-- [ ] Tax calculations use correct marginal rate for the investor
-- [ ] Factor scores sourced from consistent data provider
-- [ ] VaR calculation uses current portfolio weights, not stale data
-
-## Thesis Invalidation
-
-A portfolio review is a plan, and plans expire. After the signal, state what would make this review's action list wrong:
-
-**If the signal is BULLISH (portfolio is well-positioned) — thesis breaks if:**
-- Any single position breaches the concentration limit set in this review (state the % and the ticker)
-- Realized correlation between the top holdings rises above the level assumed in the risk-budget table (diversification that only exists on paper)
-- The investor's stated objective or horizon changes — a portfolio built for accumulation is wrong for drawdown
-
-**If the signal is BEARISH (portfolio needs repair) — thesis breaks if:**
-- The flagged positions are trimmed or hedged as recommended and the risk-budget table re-balances
-- The concentration that drove the call resolves through price (the over-weight position falls) rather than through action — re-check before selling into weakness
-- The benchmark used turns out to be the wrong universe for the mandate
-
-**Re-run this review when:**
-- [ ] Quarter-end (rebalance check)
-- [ ] Any position moves more than ±25% relative to the portfolio
-- [ ] A contribution or withdrawal larger than 10% of portfolio value
-- [ ] Tax-year end (harvest window)
-- [ ] The investor's objectives, income needs, or horizon change
-
-## Standard Signal Output
-
-All analysis concludes with this standardized block:
-
-```
-╔══════════════════════════════════════════════╗
-║              INVESTMENT SIGNAL               ║
-╠══════════════════════════════════════════════╣
-║ Signal:      BULLISH / NEUTRAL / BEARISH     ║
-║ Confidence:  HIGH / MEDIUM / LOW             ║
-║ Horizon:     SHORT / MEDIUM / LONG-TERM      ║
-║ Score:       X.X / 10                        ║
-╠══════════════════════════════════════════════╣
-║ Action:      BUY / HOLD / SELL               ║
-║ Conviction:  STRONG / MODERATE / WEAK        ║
-╚══════════════════════════════════════════════╝
-```
-
-**Score Guide**: 8.0–10.0 Strongly Bullish | 6.0–7.9 Moderately Bullish | 4.0–5.9 Neutral | 2.0–3.9 Moderately Bearish | 0.0–1.9 Strongly Bearish
-**Confidence**: HIGH (strong data, clear signals) | MEDIUM (mixed signals) | LOW (limited data, conflicting signals)
-**Horizon**: SHORT-TERM (1 week–3 months) | MEDIUM-TERM (3 months–1 year) | LONG-TERM (1+ years)
-
-**Disclaimer:** Educational analysis only. Not financial advice.
+Loading this file is not reading the skill: the steps, templates, and thresholds exist only
+in the parts above. Say which parts you opened, name the ones you did not, and never report a
+step or a template you have not read in this session.

package/selected-skills/InvestSkill/plugins/us-stock-analysis/skills/portfolio-review/references/10-phase-1-portfolio-snapshot.md

@@ -0,0 +1,124 @@
+# Phase 1 — Portfolio Snapshot
+
+Part 1 of 4 for `portfolio-review` — Phase 1 — Portfolio Snapshot; Phase 2 — Performance Analysis; Phase 3 — Asset Allocation Review; Phase 4 — Holdings Review; Phase 5 — Concentration Risk Scoring
+See `SKILL.md` for what to read and when; this part is procedure, not routing.
+
+## Phase 1 — Portfolio Snapshot
+
+Start with a high-level summary before diving into details:
+- Total portfolio value and cash position
+- Number of holdings and average position size
+- Date range of analysis
+- Investor profile: risk tolerance (conservative / moderate / aggressive), time horizon, income vs. growth objective
+
+## Phase 2 — Performance Analysis
+
+1. **Absolute Returns**
+   - YTD, 1Y, 3Y, 5Y total return
+   - Compare against relevant benchmarks (S&P 500, Russell 2000, custom blended benchmark)
+   - Annualized return vs. benchmark — outperformance or underperformance in basis points
+
+2. **Risk-Adjusted Returns**
+   - Sharpe ratio (excess return per unit of total risk)
+   - Sortino ratio (penalizes only downside volatility)
+   - Calmar ratio (annualized return / max drawdown)
+   - Information ratio vs. benchmark
+
+3. **Drawdown Analysis**
+   - Maximum drawdown: peak-to-trough magnitude and duration
+   - Recovery period after each significant drawdown
+   - Drawdown frequency over the analysis window
+   - Compare portfolio drawdown vs. benchmark during market stress periods
+
+4. **Volatility Metrics**
+   - Annualized standard deviation of returns
+   - Beta vs. S&P 500 (market sensitivity)
+   - Tracking error vs. benchmark
+   - Upside capture / downside capture ratios
+
+## Phase 3 — Asset Allocation Review
+
+1. **Current Allocation Breakdown**
+   - Asset class weights: equities, fixed income, cash, REITs, commodities, alternatives
+   - Equity sub-breakdown: US large cap, US small/mid cap, international developed, emerging markets
+   - Compare current weights to target/policy weights — flag deviations > 5%
+
+2. **Geographic Diversification**
+   - US vs. international exposure (%)
+   - Country concentration risk — any single country > 20%?
+   - Currency exposure and hedging status
+
+3. **Sector and Industry Weights**
+   - GICS sector breakdown vs. S&P 500 sector weights
+   - Overweight / underweight sectors and the investment thesis behind each
+   - Cyclical vs. defensive balance relative to current macro environment
+
+4. **Market Cap Distribution**
+   - Large cap / mid cap / small cap split
+   - Growth vs. value tilt (P/E, P/B relative to benchmark)
+   - Quality factor exposure (ROE, balance sheet strength)
+
+## Phase 4 — Holdings Review
+
+1. **Individual Position Analysis**
+   - Position size as % of portfolio — flag any > 10% single-stock concentration
+   - Contribution to total return (winners vs. laggards)
+   - Unrealized gain/loss and holding period (tax impact)
+
+2. **Position Sizing Discipline**
+   - Largest 5 positions — are sizes justified by conviction and risk/reward?
+   - Smallest positions — are they too small to be meaningful?
+   - Kelly criterion or volatility-scaled sizing check
+
+3. **Overlap and Redundancy**
+   - Identify pairs of holdings with > 0.7 correlation
+   - ETF overlap analysis — holdings duplicated across ETFs
+   - Factor overlap: are multiple positions expressing the same single bet?
+
+4. **Cost Efficiency**
+   - Weighted average expense ratio for ETF/fund holdings
+   - Estimated annual trading cost drag
+   - Tax lot optimization — identify specific lots to sell for tax efficiency
+
+## Phase 5 — Concentration Risk Scoring
+
+Score each concentration dimension independently, then aggregate:
+
+**Single-Stock Concentration**
+
+| Position Weight | Score | Status |
+|----------------|-------|--------|
+| < 5%           | 0     | OK |
+| 5%–10%         | 1     | Monitor |
+| 10%–15%        | 2     | Warning |
+| 15%–20%        | 3     | High Risk |
+| > 20%          | 5     | Red Flag — immediate review required |
+
+**Sector Concentration**
+
+| Largest Sector Weight | Score | Status |
+|-----------------------|-------|--------|
+| < 20%                 | 0     | Diversified |
+| 20%–25%               | 1     | Slight tilt |
+| 25%–30%               | 2     | Elevated |
+| 30%–40%               | 3     | Warning |
+| > 40%                 | 5     | Concentration risk — rebalance urged |
+
+**Factor Concentration**
+
+| Factor Tilt Condition | Score | Note |
+|-----------------------|-------|------|
+| Mixed factors         | 0     | Balanced |
+| Mild single-factor tilt | 1   | Acceptable with thesis |
+| Strong single-factor tilt (>70% one factor) | 3 | Vulnerable to factor drawdown |
+| Pure single-factor portfolio (>90%) | 5 | Maximum factor risk |
+
+Common factor concentration traps: all high-growth names (P/E > 40), all micro/small-cap, all rate-sensitive (long-duration bonds + REITs + utilities together).
+
+**Aggregate Concentration Score**
+- 0–2: Well-diversified
+- 3–5: Moderate concentration — monitor
+- 6–9: High concentration — rebalance
+- 10+: Critical — urgent review
+
+