LIVE PATH · VALIDATED DIVERSIFIER | Julia | Interactive study | Research corpus | Citation
The tradable core of BRICS — the best of the emerging engines of world growth.
BRICS is a member of the Blaque Baux family. The core repo is the engine and blueprint — a governed, systematic platform (Julia) with a venue-agnostic execution controller and a Layer-3 live-money safety gate. BRICS points that engine in its own direction and inherits the governance wholesale.
Not investment advice. Educational/research software. Nothing here is validated. See LICENSE.
git clone --recursive https://github.com/blaquebaux/brics.git
julia --project=engine -e 'using Pkg; Pkg.instantiate()' # one-time engine setupThe family already has three regional sleeves — LATAM, EMEA, APAC — cut by geography. BRICS cuts differently: it isolates the large emerging economies actually driving world growth, and keeps only the parts a US-based book can genuinely trade.
That last constraint does most of the work. "BRICS" as a bloc is not investable as written — Russia is effectively untradable for a US book (sanctions, closed markets) and is excluded on those grounds alone; China carries VIE / delisting / capital-control risk that must be sized, not waved away. What remains tradable is a curated set: Brazil, India, and China via liquid US-listed ADRs and country ETFs, South Africa, and the BRICS+ additions (UAE, Saudi) where accessible. The real question is whether a curated tradable-BRICS basket earns its keep over just holding broad EM (EEM/VWO) — and whether it adds anything the three regional sleeves do not already capture.
- The tradable universe. Build the investable BRICS/BRICS+ set explicitly — ADRs + country ETFs with real liquidity — and document what is excluded and why (Russia: untradable; onshore A-shares: access-limited).
- Best-of-group cross-section. Rank within the tradable set on the base's factors (trend, value, quality) and test whether "the best of BRICS" beats equal-weight BRICS and beats broad EM, net of cost and net of the higher FX / borrow frictions.
- Redundancy check vs. the regional sleeves. Correlate a tradable-BRICS book against LATAM / EMEA / APAC. If it is just a repackaging, say so; keep it only if it is additive.
- Currency and risk overlay. EM returns are half FX. Measure the USD/EM-FX exposure and test whether hedging or curve-aware sizing improves the risk-adjusted result.
Full detail in research/README.md. The scorecard (Alpaca SIP, 2016–2026):
| # | Question | Verdict |
|---|---|---|
| 1 | What is actually tradable? | ✅ Russia dead (RSX last bar 2022-12-13, ERUS 2022-03-03); 7 liquid country ETFs remain |
| 2 | Does "best of group" beat broad EM? | ❌ momentum-picking fails — top-3 mom +0.36 Sharpe < equal-weight +0.58 ≈ EEM +0.55 |
| 3 | Additive, or just EM beta? | |
| 4 | Can you dodge the dollar drag? |
The synthesis: a qualified, mostly-deflating result with one genuine keeper idea. "BRICS" isn't an investable bloc — Russia literally stopped trading in 2022 — so a US book holds 6–7 country ETFs. The user's question, "view only the best," was right to ask, and the honest answer is not by momentum: best-of-group rotation (+0.36) underperforms both equal-weight (+0.58) and just buying broad EM (+0.55), and the curated basket only ties EEM because it's 0.90 correlated to it. The one genuinely additive, non-obvious piece is structural — the Gulf pocket (KSA/UAE/QAT), only 0.58 correlated to the BRIC-4 equities and far calmer, which lifts the basket to 3.2 effective bets. "The best of the BRICs" is EM beta you already own; the Gulf is a low-vol EM diversifier. The dollar is a structural headwind you can de-risk but not cheaply hedge (echoing EMEA/APAC/LATAM).
The research keeper — the Gulf pocket as a low-correlation EM diversifier — is now a governed driver
on the engine (live/brics_live.jl): an equal-weight book of KSA / UAE / QAT,
~1× gross, monthly rebalance, through the same Layer-3 safety gate, ledger, reconcile, kill switch and
HWM as the spine. "Best of BRICS" (momentum) and the full basket (EM beta) were rejected in research;
this trades only what survived. It is a diversifier, not a market-beater.
BB_DRYRUN=1 bash live/run_brics_daily.sh # prints the Gulf book, places nothing
julia --project=engine live/brics_validation.jl # the diversifier bar (full SIP history)Validation — PASS (as a diversifier). The honest bar for a diversifier is low correlation, not a Sharpe race. Causal walk-forward, net of cost, full 2016–2026 SIP history:
| book | Sharpe | CAGR | vol | maxDD | corr-SPY |
|---|---|---|---|---|---|
| GULF (KSA/UAE/QAT) | +0.46 | 5.9% | 15.0% | −35% | +0.56 |
| broad EM (EEM) | +0.50 | 8.5% | 20.7% | −40% | +0.74 |
| SPY | +0.89 | 15.1% | 16.7% | −34% | +1.00 |
All four checks pass: low correlation to SPY (0.56), positive standalone Sharpe (+0.46), a better diversifier than broad EM (0.56 vs 0.74 US-correlation), and calmer (15.0% vs 20.7% vol). Its job is low correlation to the family's dominant US-equity exposure, not return.
Data note: the validation uses
feed=sipfor the full 2016–2026 history (the engine's default IEX feed only reaches ~2021, which understated a full-cycle diversifier). The driver uses the default (recent) feed since it only needs current prices for an equal-weight book.
brics does not use the family's bonds (stock-bond) overlay — that's the wrong signal for a
low-US-beta Gulf book. Its relevant macro is the dollar (research #4: basket beta −0.66 to
UUP), so the driver runs a dollar-regime overlay: when the dollar is trending up (UUP above its
100-day average — an EM headwind) it de-risks the Gulf gross ×0.5; otherwise full. brics also
publishes the regime to ~/.config/blaquebaux/dollar_regime.txt, so other USD/international sleeves
(apac, emea, latam) can size on it — brics is to the dollar regime what
bonds is to the stock-bond regime.
Validated (live/brics_dollar_validation.jl) — causal
walk-forward, full 2016–2026 SIP history, net of cost:
| book | Sharpe | CAGR | vol | maxDD |
|---|---|---|---|---|
| FULL (always full gross) | +0.48 | 6.3% | 15.1% | −35% |
| overlay ×0.5 (dollar up → de-risk) | +0.51 | 4.6% | 9.6% | −20% |
Sharpe improves (+0.48→+0.51) while the drawdown is cut 43% (−35%→−20%), de-risking 65% of the
time. This is the methodology working as intended: the bonds overlay was correctly rejected for brics
and the dollar overlay earns its place — match the signal to the sleeve. Toggle BB_DOLLAR_OVERLAY=0,
tune BB_DOLLAR_DERISK.
Research complete + live driver built — validation PASS (diversifier) + dollar-regime overlay wired, published, and validated (ON by default). The Gulf pocket is a genuine low-correlation, low-vol EM diversifier; "best of BRICS" (momentum) and the full basket (EM beta) were rejected; the dollar overlay cuts its drawdown 43% for a better Sharpe. A diversifier, not a standalone market-beater. Paper/dry-run; nothing validated to the spine's bar, no real capital.
Blaque Baux is a quantitative research initiative and a subsidiary of Carter Warrens. BlaqueBaux.com is the home for the work; the code lives here on GitHub — open to study, test, and build bespoke strategies on top of.
Anyone can point an AI at a market. The edge is understanding what the data actually says — and turning it into something you can act on. We test relentlessly and put most of it on the record as rejected, with the reason; what survives is built, governed, and validated before it is ever called real. That combination — honest research, reproducible evidence, and execution you can trust — is why Carter Warrens leads on strategy and implementation, not merely uses the tools everyone now has.
This repo is one sleeve of the Blaque Baux family — a single governed engine steered in many directions. The core repo is the base/blueprint and holds the full family roster.
engine/ the Blaque Baux platform (git submodule -> blaquebaux/base)
research/ four Path-A sketches (universe, cross-section, redundancy, currency) + scorecard
live/ brics_live.jl (Gulf diversifier + dollar-regime overlay & emitter) + brics_validation.jl + brics_dollar_validation.jl + wrapper + plist
MIT. (c) 2026 Carter Warrens.