{ "policy": { "version": "commodity-expansion-equal-weight-v1", "stage": "research_only_not_live_policy", "cutoff": "2026-11-03", "long_start": "2007-05-30", "base": [ "SPY", "TLT", "GLD", "BIL" ], "non_equity": [ "TLT", "GLD", "BIL" ], "commodity_candidates": [ "DBC", "PDBC", "COMT", "GSG", "DBA", "DBB", "DBO", "USO", "USL", "CPER", "SLV", "UNG" ], "standalone_returns": "Adjusted ETF total-return approximation, reinvested distributions, before external trading costs and investor taxes; do not compare spot oil price returns with futures ETF returns", "attribution": "Daily beginning-holding-value times total return, sum dollar P&L per sleeve. Rebalancing transfers are not P&L. Sum sleeve P&L minus fees must equal portfolio final NAV minus initial capital. Not sum of standalone CAGRs.", "non_equity_portfolio": "TLT/GLD/BIL each1/3, annual and monthly; distinct from their75% combined weight in original portfolio", "equal_addition": "For each passing candidate separately: SPY/TLT/GLD/BIL/new commodity each20%; monthly primary, annual sensitivity. Compare with four-asset 25% benchmark on exactly same dates.", "dilution_control": "For each candidate start period, compare weights SPY/TLT/GLD20% each and BIL40%, so the effect of introducing20% commodity can be separated from reducing original risky sleeves.", "additional_cases": { "six-equal-sectors": [ "SPY", "TLT", "GLD", "BIL", "DBA", "DBB" ], "seven-equal-sectors": [ "SPY", "TLT", "GLD", "BIL", "DBA", "DBB", "DBO" ], "five-class-commodity-basket": { "SPY": 0.2, "TLT": 0.2, "GLD": 0.2, "BIL": 0.2, "DBA": 0.06666666666666667, "DBB": 0.06666666666666667, "DBO": 0.06666666666666667 } }, "overlap": "Do not treat multiple broad commodity funds, oil funds, or overlapping commodity sectors as independent baskets. Broad funds already include energy/metals/agriculture and may overlap gold.", "cost_bps": 5, "cost_sensitivity_bps": [ 0, 20 ], "capital_usd": 100000, "leverage": 1, "optimization": "No retrospective weight optimizer or selecting only best historic commodity. Full candidate roster declared before returns computed, include failures.", "robustness": "Asset correlations and covariance risk shares, 2008/2020/2022 crises, retrospective halves where history>=10y, rolling10y. No synthetic pre-inception fund performance.", "execution": "Fractional total-return units, first US equity session of month/year at close, next returns earned after execution, no final liquidation fee", "limits": [ "USD nominal before personal taxes and currency conversion", "ETF expenses/roll/commodity collateral realized effects already in return data; no double fee deduction", "Same-period comparisons required for recent funds", "Equal capital is not equal risk and commodity labels may overlap", "Single-vendor revised history; calendar and factor checks not independent daily certification", "Investor broker, residency, account permissions and commodity-pool taxation unresolved", "No production strategy change or trade authorization", "Not a stationary linear system; expected returns and covariance unknown/time-varying" ] }, "availability": { "DBC": { "status": "preliminary_pass", "coverage": { "symbol": "DBC", "category": "broad commodities", "vendor_name": "Invesco DB Commodity Index Tracking Fund", "exchange": "NYSEArca", "currency": "USD", "timezone": "America/New_York", "last_success_at": "2026-11-04T15:51:22.502081+00:00", "last_full_at": "2026-11-04T15:38:56.627669+00:00", "last_error": null, "rows": 5220, "first_date": "2006-02-06", "last_date": "2026-11-04", "research_rows": 5219, "invalid_rows": 0, "review_rows": 0, "provisional_rows": 1, "last_research_date": "2026-11-03" }, "start": "2007-05-30", "end": "2026-11-03" }, "PDBC": { "status": "preliminary_pass", "coverage": { "symbol": "PDBC", "category": "diversified commodity futures active ETF; research only", "vendor_name": "Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF", "exchange": "NasdaqGM", "currency": "USD", "timezone": "America/New_York", "last_success_at": "2026-11-05T04:19:54.613666+00:00", "last_full_at": "2026-11-05T04:19:54.613666+00:00", "last_error": null, "rows": 3015, "first_date": "2014-11-07", "last_date": "2026-11-04", "research_rows": 3015, "invalid_rows": 0, "review_rows": 0, "provisional_rows": 0, "last_research_date": "2026-11-04" }, "start": "2014-11-07", "end": "2026-11-03" }, "COMT": { "status": "preliminary_pass", "coverage": { "symbol": "COMT", "category": "broad commodity futures dynamic roll ETF; research only", "vendor_name": "iShares GSCI Commodity Dynamic Roll Strategy ETF", "exchange": "NasdaqGM", "currency": "USD", "timezone": "America/New_York", "last_success_at": "2026-11-05T04:20:14.690721+00:00", "last_full_at": "2026-11-05T04:20:14.690721+00:00", "last_error": null, "rows": 3031, "first_date": "2014-10-16", "last_date": "2026-11-04", "research_rows": 3031, "invalid_rows": 0, "review_rows": 0, "provisional_rows": 0, "last_research_date": "2026-11-04" }, "start": "2014-10-16", "end": "2026-11-03" }, "GSG": { "status": "preliminary_pass", "coverage": { "symbol": "GSG", "category": "S&P GSCI broad commodity futures trust; research only", "vendor_name": "iShares S&P GSCI Commodity-Indexed Trust", "exchange": "NYSEArca", "currency": "USD", "timezone": "America/New_York", "last_success_at": "2026-11-05T04:20:31.291772+00:00", "last_full_at": "2026-11-05T04:20:31.291772+00:00", "last_error": null, "rows": 5105, "first_date": "2006-07-21", "last_date": "2026-11-04", "research_rows": 5105, "invalid_rows": 0, "review_rows": 0, "provisional_rows": 0, "last_research_date": "2026-11-04" }, "start": "2007-05-30", "end": "2026-11-03" }, "DBA": { "status": "preliminary_pass", "coverage": { "symbol": "DBA", "category": "agriculture futures commodity pool; research only", "vendor_name": "Invesco DB Agriculture Fund", "exchange": "NYSEArca", "currency": "USD", "timezone": "America/New_York", "last_success_at": "2026-11-05T04:21:23.154702+00:00", "last_full_at": "2026-11-05T04:21:23.154702+00:00", "last_error": null, "rows": 4990, "first_date": "2007-01-05", "last_date": "2026-11-04", "research_rows": 4990, "invalid_rows": 0, "review_rows": 0, "provisional_rows": 0, "last_research_date": "2026-11-04" }, "start": "2007-05-30", "end": "2026-11-03" }, "DBB": { "status": "preliminary_pass", "coverage": { "symbol": "DBB", "category": "industrial metals futures commodity pool; research only", "vendor_name": "Invesco DB Base Metals Fund", "exchange": "NYSEArca", "currency": "USD", "timezone": "America/New_York", "last_success_at": "2026-11-05T04:21:45.352486+00:00", "last_full_at": "2026-11-05T04:21:45.352486+00:00", "last_error": null, "rows": 4990, "first_date": "2007-01-05", "last_date": "2026-11-04", "research_rows": 4990, "invalid_rows": 0, "review_rows": 0, "provisional_rows": 0, "last_research_date": "2026-11-04" }, "start": "2007-05-30", "end": "2026-11-03" }, "DBO": { "status": "preliminary_pass", "coverage": { "symbol": "DBO", "category": "WTI oil futures optimum yield commodity pool; research only", "vendor_name": "Invesco DB Oil Fund", "exchange": "NYSEArca", "currency": "USD", "timezone": "America/New_York", "last_success_at": "2026-11-05T04:22:10.458097+00:00", "last_full_at": "2026-11-05T04:22:10.458097+00:00", "last_error": null, "rows": 4990, "first_date": "2007-01-05", "last_date": "2026-11-04", "research_rows": 4990, "invalid_rows": 0, "review_rows": 0, "provisional_rows": 0, "last_research_date": "2026-11-04" }, "start": "2007-05-30", "end": "2026-11-03" }, "USO": { "status": "preliminary_pass", "coverage": { "symbol": "USO", "category": "WTI oil futures commodity pool; historical portfolio changes; research only", "vendor_name": "United States Oil Fund, LP", "exchange": "NYSEArca", "currency": "USD", "timezone": "America/New_York", "last_success_at": "2026-11-05T04:22:31.064356+00:00", "last_full_at": "2026-11-05T04:22:31.064356+00:00", "last_error": null, "rows": 5176, "first_date": "2006-04-10", "last_date": "2026-11-04", "research_rows": 5176, "invalid_rows": 0, "review_rows": 0, "provisional_rows": 0, "last_research_date": "2026-11-04" }, "start": "2007-05-30", "end": "2026-11-03" }, "USL": { "status": "preliminary_pass", "coverage": { "symbol": "USL", "category": "12-month WTI oil futures commodity pool; research only", "vendor_name": "United States 12 Month Oil Fund, LP", "exchange": "NYSEArca", "currency": "USD", "timezone": "America/New_York", "last_success_at": "2026-11-05T04:23:07.928625+00:00", "last_full_at": "2026-11-05T04:23:07.928625+00:00", "last_error": null, "rows": 4758, "first_date": "2007-12-06", "last_date": "2026-11-04", "research_rows": 4758, "invalid_rows": 0, "review_rows": 0, "provisional_rows": 0, "last_research_date": "2026-11-04" }, "start": "2007-12-06", "end": "2026-11-03" }, "CPER": { "status": "excluded_pending_review", "coverage": { "symbol": "CPER", "category": "copper futures commodity pool; research only", "vendor_name": "United States Copper Index Fund, LP", "exchange": "NYSEArca", "currency": "USD", "timezone": "America/New_York", "last_success_at": "2026-11-05T04:23:33.528744+00:00", "last_full_at": "2026-11-05T04:23:33.528744+00:00", "last_error": null, "rows": 3764, "first_date": "2011-11-15", "last_date": "2026-11-04", "research_rows": 3762, "invalid_rows": 0, "review_rows": 2, "provisional_rows": 0, "last_research_date": "2026-11-04" }, "reason": "Data audit failed: {\"symbols\": [\"CPER\"], \"start\": \"2011-11-15\", \"end\": \"2026-11-03\", \"sessions\": 3763, \"missing_or_unusable\": {\"CPER\": [\"2014-12-05\", \"2015-02-03\"]}, \"adjustment_residual_max_bps\": {\"CPER\": 0.0}}" }, "SLV": { "status": "preliminary_pass", "coverage": { "symbol": "SLV", "category": "physical silver trust; research only", "vendor_name": "iShares Silver Trust", "exchange": "NYSEArca", "currency": "USD", "timezone": "America/New_York", "last_success_at": "2026-11-05T04:23:55.885458+00:00", "last_full_at": "2026-11-05T04:23:55.885458+00:00", "last_error": null, "rows": 5163, "first_date": "2006-04-28", "last_date": "2026-11-04", "research_rows": 5163, "invalid_rows": 0, "review_rows": 0, "provisional_rows": 0, "last_research_date": "2026-11-04" }, "start": "2007-05-30", "end": "2026-11-03" }, "UNG": { "status": "preliminary_pass", "coverage": { "symbol": "UNG", "category": "natural gas futures commodity pool; risk diagnostic research only", "vendor_name": "United States Natural Gas Fund, LP", "exchange": "NYSEArca", "currency": "USD", "timezone": "America/New_York", "last_success_at": "2026-11-05T04:24:20.953457+00:00", "last_full_at": "2026-11-05T04:24:20.953457+00:00", "last_error": null, "rows": 4920, "first_date": "2007-04-18", "last_date": "2026-11-04", "research_rows": 4920, "invalid_rows": 0, "review_rows": 0, "provisional_rows": 0, "last_research_date": "2026-11-04" }, "start": "2007-05-30", "end": "2026-11-03" } }, "standalone": { "DBC": { "start": "2007-05-30", "end": "2026-11-03", "years": 19.430926028597437, "final_value": 157996.755325454, "total_return": 0.5799675532545399, "cagr": 0.023819269147570044, "annualized_volatility": 0.19305473263620837, "max_drawdown": -0.7636263710777357, "max_dd_peak": "2008-07-02", "max_dd_trough": "2020-04-27", "max_dd_recovery": null, "max_dd_peak_to_recovery_days": null, "longest_underwater_calendar_days": 6698, "longest_underwater_start": "2008-07-02", "longest_underwater_last_below": "2026-11-03" }, "PDBC": { "start": "2014-11-07", "end": "2026-11-03", "years": 11.989294783602675, "final_value": 171760.61691822758, "total_return": 0.7176061691822757, "cagr": 0.0461511725909034, "annualized_volatility": 0.181218431210968, "max_drawdown": -0.4951754562788139, "max_dd_peak": "2014-11-07", "max_dd_trough": "2020-04-28", "max_dd_recovery": "2021-10-14", "max_dd_peak_to_recovery_days": 2533, "longest_underwater_calendar_days": 2532, "longest_underwater_start": "2014-11-07", "longest_underwater_last_below": "2021-10-13" }, "COMT": { "start": "2014-10-16", "end": "2026-11-03", "years": 12.049528737756422, "final_value": 167359.74583750477, "total_return": 0.6735974583750477, "cagr": 0.04366465428390187, "annualized_volatility": 0.19300488867797483, "max_drawdown": -0.5189064890072339, "max_dd_peak": "2014-10-29", "max_dd_trough": "2016-01-20", "max_dd_recovery": "2022-02-14", "max_dd_peak_to_recovery_days": 2665, "longest_underwater_calendar_days": 2662, "longest_underwater_start": "2014-10-29", "longest_underwater_last_below": "2022-02-11" }, "GSG": { "start": "2007-05-30", "end": "2026-11-03", "years": 19.430926028597437, "final_value": 87380.54066999018, "total_return": -0.1261945933000982, "cagr": -0.006918373262155719, "annualized_volatility": 0.23588364297722386, "max_drawdown": -0.8961770082024485, "max_dd_peak": "2008-07-02", "max_dd_trough": "2020-04-28", "max_dd_recovery": null, "max_dd_peak_to_recovery_days": null, "longest_underwater_calendar_days": 6698, "longest_underwater_start": "2008-07-02", "longest_underwater_last_below": "2026-11-03" }, "DBA": { "start": "2007-05-30", "end": "2026-11-03", "years": 19.430926028597437, "final_value": 121566.18656124492, "total_return": 0.21566186561244916, "cagr": 0.010101079827447679, "annualized_volatility": 0.16450858835488266, "max_drawdown": -0.6796676115566651, "max_dd_peak": "2008-02-26", "max_dd_trough": "2020-06-26", "max_dd_recovery": null, "max_dd_peak_to_recovery_days": null, "longest_underwater_calendar_days": 6825, "longest_underwater_start": "2008-02-26", "longest_underwater_last_below": "2026-11-03" }, "DBB": { "start": "2007-05-30", "end": "2026-11-03", "years": 19.430926028597437, "final_value": 119892.71491291134, "total_return": 0.19892714912911336, "cagr": 0.009380754763466115, "annualized_volatility": 0.22473471450606053, "max_drawdown": -0.5980533573132365, "max_dd_peak": "2008-03-05", "max_dd_trough": "2009-02-23", "max_dd_recovery": "2022-03-03", "max_dd_peak_to_recovery_days": 5111, "longest_underwater_calendar_days": 5110, "longest_underwater_start": "2008-03-05", "longest_underwater_last_below": "2022-03-02" }, "DBO": { "start": "2007-05-30", "end": "2026-11-03", "years": 19.430926028597437, "final_value": 121187.45628055831, "total_return": 0.21187456280558314, "cagr": 0.009938887207533664, "annualized_volatility": 0.3209109473962927, "max_drawdown": -0.9018183278335219, "max_dd_peak": "2008-07-14", "max_dd_trough": "2020-04-28", "max_dd_recovery": null, "max_dd_peak_to_recovery_days": null, "longest_underwater_calendar_days": 6686, "longest_underwater_start": "2008-07-14", "longest_underwater_last_below": "2026-11-03" }, "USO": { "start": "2007-05-30", "end": "2026-11-03", "years": 19.430926028597437, "final_value": 41010.68273508023, "total_return": -0.5898931726491977, "cagr": -0.044835890789275634, "annualized_volatility": 0.37762640613122056, "max_drawdown": -0.9818692538851106, "max_dd_peak": "2008-07-14", "max_dd_trough": "2020-04-28", "max_dd_recovery": null, "max_dd_peak_to_recovery_days": null, "longest_underwater_calendar_days": 6686, "longest_underwater_start": "2008-07-14", "longest_underwater_last_below": "2026-11-03" }, "USL": { "start": "2007-12-06", "end": "2026-11-03", "years": 18.91072369726962, "final_value": 119762.69184510327, "total_return": 0.19762691845103264, "cagr": 0.009582112736899129, "annualized_volatility": 0.3153054145148951, "max_drawdown": -0.8906089946090532, "max_dd_peak": "2008-07-11", "max_dd_trough": "2020-04-28", "max_dd_recovery": null, "max_dd_peak_to_recovery_days": null, "longest_underwater_calendar_days": 6689, "longest_underwater_start": "2008-07-11", "longest_underwater_last_below": "2026-11-03" }, "SLV": { "start": "2007-05-30", "end": "2026-11-03", "years": 19.430926028597437, "final_value": 342263.95486654894, "total_return": 2.4226395486654893, "cagr": 0.0653702143301711, "annualized_volatility": 0.33272849278807004, "max_drawdown": -0.7628015142556759, "max_dd_peak": "2011-04-28", "max_dd_trough": "2020-03-18", "max_dd_recovery": "2025-10-13", "max_dd_peak_to_recovery_days": 5282, "longest_underwater_calendar_days": 5279, "longest_underwater_start": "2011-04-28", "longest_underwater_last_below": "2025-10-10" }, "UNG": { "start": "2007-05-30", "end": "2026-11-03", "years": 19.430926028597437, "final_value": 137.5928350388111, "total_return": -0.9986240716496119, "cagr": -0.28757411509835185, "annualized_volatility": 0.49166533728254475, "max_drawdown": -0.998892367666871, "max_dd_peak": "2008-07-01", "max_dd_trough": "2026-11-02", "max_dd_recovery": null, "max_dd_peak_to_recovery_days": null, "longest_underwater_calendar_days": 6699, "longest_underwater_start": "2008-07-01", "longest_underwater_last_below": "2026-11-03" } }, "comparisons": { "DBC": { "start": "2007-05-30", "baseline": { "start": "2007-05-30", "end": "2026-11-03", "years": 19.430926028597437, "final_value": 351652.7800410638, "total_return": 2.5165278004106377, "cagr": 0.0668550209836225, "annualized_volatility": 0.07438954875733092, "max_drawdown": -0.1750780897055384, "max_dd_peak": "2021-12-27", "max_dd_trough": "2022-10-20", "max_dd_recovery": "2024-03-06", "max_dd_peak_to_recovery_days": 800, "longest_underwater_calendar_days": 799, "longest_underwater_start": "2021-12-27", "longest_underwater_last_below": "2024-03-05", "rebalances": 234, "transaction_cost_usd": 632.3288774129427, "attribution": { "assets": { "SPY": { "gross_pnl_usd": 123344.13755753075, "allocated_transaction_fees_usd": 183.5632880553927, "net_pnl_usd": 123160.57426947536 }, "TLT": { "gross_pnl_usd": 15700.068062408662, "allocated_transaction_fees_usd": 165.89332052341075, "net_pnl_usd": 15534.17474188525 }, "GLD": { "gross_pnl_usd": 97282.44005337538, "allocated_transaction_fees_usd": 176.65560167315488, "net_pnl_usd": 97105.78445170223 }, "BIL": { "gross_pnl_usd": 15958.463245159326, "allocated_transaction_fees_usd": 106.2166671609845, "net_pnl_usd": 15852.246577998341 } }, "net_profit_usd": 251652.7800410638, "total_fees_usd": 632.3288774129427, "reconciliation_residual_usd": 2.6151383281103335e-09 }, "rolling10_min": 0.033442771961717854, "rolling10_max": 0.08260440923701062, "fixed_weight_variance_contributions": { "SPY": 0.35073534940022255, "TLT": 0.2046136904359397, 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