{ "policy": { "version": "growth-risk-balance-research-v1", "approved_for_trading": false, "nominal_currency": "USD", "leverage": 1, "cost_bps_per_buy_or_sell": 5, "annual_rebalance": "First US equity session of January, at close; weights apply after close", "long_period_start": "2007-05-30", "cutoff": "2026-11-03", "fixed_cases": { "PP-original": { "SPY": 0.25, "TLT": 0.25, "GLD": 0.25, "BIL": 0.25 }, "PP-Nasdaq25": { "QQQ": 0.25, "TLT": 0.25, "GLD": 0.25, "BIL": 0.25 }, "Equity50-SPY": { "SPY": 0.5, "TLT": 0.16666666666666666, "GLD": 0.16666666666666666, "BIL": 0.16666666666666666 }, "Equity50-mix": { "SPY": 0.25, "QQQ": 0.25, "TLT": 0.16666666666666666, "GLD": 0.16666666666666666, "BIL": 0.16666666666666666 }, "Equity70-SPY": { "SPY": 0.7, "TLT": 0.1, "GLD": 0.1, "BIL": 0.1 }, "Equity70-mix": { "SPY": 0.35, "QQQ": 0.35, "TLT": 0.1, "GLD": 0.1, "BIL": 0.1 } }, "risk_balance": { "assets": [ "SPY", "TLT", "IEF", "TIP", "GLD", "DBC" ], "model": "Long-only equal estimated variance contribution, not Bridgewater replication or equal macro-scenario exposure", "covariance_lookback_sessions": 252, "covariance_shrink_to_diagonal": 0.2, "data_cutoff": "Only returns through the previous session", "rebalance": "annual January, same dates as baseline", "control": "Same six assets with equal capital weights, same rebalancing dates" }, "crypto": { "base": "Equity50-mix", "actual_products_only": [ "IBIT", "ETHA" ], "targets": [ { "IBIT": 0.01 }, { "IBIT": 0.03 }, { "IBIT": 0.03, "ETHA": 0.01 } ], "funding": "Reduce every base sleeve proportionally", "observed_close_trigger": 0.045, "execution": "If prior close aggregate crypto weight >=4.5%, restore crypto targets at next US close, preserving relative non-crypto weights unless also annual rebalance; no intraday or gap guarantee", "research_limit": 0.05, "breach_policy": "Record pre-trade and post-trade breaches; a breached scenario is not accepted as a compliant live policy", "history": "No splice of Bitcoin/Ether underlying data into ETF history" }, "cost_sensitivity_bps": [ 0, 5, 20 ], "optimization": "No grid optimization or replacing baseline. Fixed cases declared before computing results.", "limits": [ "Pretax; no FX conversion or investor tax assumptions", "Ideal fractional units", "Current revised historical data, not point-in-time data", "No live/paper trading authorization", "Growth selection is retrospective and may reflect winner selection; historical splits are not genuine out-of-sample validation" ] }, "long_comparison": { "PP-original": { "start": "2007-05-30", "end": "2026-11-03", "years": 19.430926028597437, "final_value": 357431.0664858263, "total_return": 2.5743106648582628, "cagr": 0.06775025204575957, "annualized_volatility": 0.07385135250349248, "max_drawdown": -0.16972494894077517, "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", "trade_events": 20, "cost_dollars": 234.82886273498298, 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0.07675628822110192, "annualized_volatility": 0.07596841316170426, "max_drawdown": -0.16972494894077517, "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", "trade_events": 10, "cost_dollars": 116.3821493632422, "rolling_10y_min": null, "rolling_10y_max": null } ], "stress_windows": [ { "start": "2007-10-01", "end": "2009-03-31", "return": -0.004642973581302057, "window_max_drawdown": -0.1444158213729202 }, { "start": "2020-02-03", "end": "2020-04-30", "return": 0.03316003119991051, "window_max_drawdown": -0.10792183732945293 }, { "start": "2022-01-03", "end": "2022-12-30", "return": -0.11458335376643813, "window_max_drawdown": -0.16349675032753241 } ] }, "PP-Nasdaq25": { "start": "2007-05-30", "end": "2026-11-03", "years": 19.430926028597437, "final_value": 467199.16922961245, 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"return": 0.020210260234332367, "window_max_drawdown": -0.14472671850608487 }, { "start": "2020-02-03", "end": "2020-04-30", "return": 0.053372807494772134, "window_max_drawdown": -0.09938265539178759 }, { "start": "2022-01-03", "end": "2022-12-30", "return": -0.15101703235397335, "window_max_drawdown": -0.19046727975039235 } ] }, "Equity50-SPY": { "start": "2007-05-30", "end": "2026-11-03", "years": 19.430926028597437, "final_value": 469710.41896623146, "total_return": 3.6971041896623147, "cagr": 0.08286746389504751, "annualized_volatility": 0.0956996041500171, "max_drawdown": -0.24712949934224004, "max_dd_peak": "2008-05-19", "max_dd_trough": "2009-03-09", "max_dd_recovery": "2009-11-25", "max_dd_peak_to_recovery_days": 555, "longest_underwater_calendar_days": 729, "longest_underwater_start": "2021-12-27", "longest_underwater_last_below": "2023-12-26", "trade_events": 20, "cost_dollars": 242.90568821695342, "rolling_10y_min": 0.06260363875560482, "rolling_10y_max": 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