{
  "strategy": {
    "strategy_id": "PP-US-ETF-annual-v1-research",
    "status": "research_only_not_a_trading_policy",
    "assets": {
      "SPY": 0.25,
      "TLT": 0.25,
      "GLD": 0.25,
      "BIL": 0.25
    },
    "starting_capital_usd": 100000,
    "currency": "USD nominal",
    "leverage": 1,
    "rebalance": "First US equity trading day of January, at close; fixed target weights apply only after that close",
    "initial_purchase": "First common available close, 2007-05-30; all available shared closed history through frozen snapshot cutoff",
    "dividends": "Yahoo adjusted-close total-return approximation; gross reinvestment convention; cross-check with close plus cash dividend reinvestment",
    "execution": "Ideal fractional total-return units, approximate close execution. No live orders or whole-share rounding model.",
    "base_cost_bps_per_buy_or_sell_notional": 5,
    "cost_sensitivities_bps": [
      0,
      5,
      20
    ],
    "rebalance_month_sensitivities": [
      1,
      6,
      12
    ],
    "fund_expenses": "Already reflected in ETF prices/returns; no duplicate fee deduction",
    "excluded_costs": [
      "investor taxes and withholding",
      "currency conversion/hedging",
      "minimum brokerage commissions",
      "server operations",
      "terminal liquidation"
    ],
    "validation_split": "2007-2016 and 2017 onward, retrospective chronological checks only; no model training, no genuine forward out-of-sample evidence",
    "optimization": "None. No selecting or replacing baseline with best sensitivity case."
  },
  "data_audit": {
    "snapshot_sha256": "0ff01c9ded7a4f36e254055ffcdf3cb1ee20bd18e3824be86604fe3b0348b5ac",
    "start": "2007-05-30",
    "end": "2026-11-03",
    "sessions": 4890,
    "calendar_package": "5.6.0",
    "calendar": "NYSE US equity sessions; TLT Nasdaq uses same holiday dates in this interval",
    "calendar_limit": "Third-party historical implementation, current 2026 holidays compared with NYSE official calendar; not an official full historical audit",
    "symbols": {
      "SPY": {
        "rows_in_common_interval": 4890,
        "missing_sessions": [],
        "unexpected_sessions": [],
        "unusable_sessions": [],
        "dividend_records": 78,
        "split_records": 0,
        "factor_residual_max_bps": 0.010296872743342789,
        "factor_residual_over_2bps": {},
        "max_abs_daily_adj_return": 0.14519748432360524,
        "adj_growth": 7.0173649586687,
        "cash_dividend_reinvestment_growth": 7.021498716703189
      },
      "TLT": {
        "rows_in_common_interval": 4890,
        "missing_sessions": [],
        "unexpected_sessions": [],
        "unusable_sessions": [],
        "dividend_records": 231,
        "split_records": 0,
        "factor_residual_max_bps": 0.02217506456680951,
        "factor_residual_over_2bps": {},
        "max_abs_daily_adj_return": 0.07519574123099293,
        "adj_growth": 1.7109844841771051,
        "cash_dividend_reinvestment_growth": 1.710635595496361
      },
      "GLD": {
        "rows_in_common_interval": 4890,
        "missing_sessions": [],
        "unexpected_sessions": [],
        "unusable_sessions": [],
        "dividend_records": 0,
        "split_records": 0,
        "factor_residual_max_bps": 0.0,
        "factor_residual_over_2bps": {},
        "max_abs_daily_adj_return": 0.11290530102327678,
        "adj_growth": 5.550988921346036,
        "cash_dividend_reinvestment_growth": 5.550988921346023
      },
      "BIL": {
        "rows_in_common_interval": 4890,
        "missing_sessions": [],
        "unexpected_sessions": [],
        "unusable_sessions": [],
        "dividend_records": 127,
        "split_records": 1,
        "factor_residual_max_bps": 0.015906232371243334,
        "factor_residual_over_2bps": {},
        "max_abs_daily_adj_return": 0.004350507127680814,
        "adj_growth": 1.302977646933198,
        "cash_dividend_reinvestment_growth": 1.302913308454743
      }
    },
    "gate": "preliminary_research_pass",
    "independent_TLT_sample": {
      "source": "https://www.ishares.com/us/literature/fact-sheet/tlt-ishares-20-year-treasury-bond-etf-fund-fact-sheet-en-us.pdf",
      "factsheet_asof": "2026-09-30",
      "rows": [
        {
          "year": 2021,
          "issuer_market_total_return": -0.046,
          "computed_yahoo_adj_return": -0.04599158553635796,
          "difference_percentage_points": 0.0008414463642039682
        },
        {
          "year": 2022,
          "issuer_market_total_return": -0.3125,
          "computed_yahoo_adj_return": -0.3123455509726786,
          "difference_percentage_points": 0.015444902732142385
        },
        {
          "year": 2023,
          "issuer_market_total_return": 0.0277,
          "computed_yahoo_adj_return": 0.027679981201253367,
          "difference_percentage_points": -0.0020018798746631455
        },
        {
          "year": 2024,
          "issuer_market_total_return": -0.0806,
          "computed_yahoo_adj_return": -0.08053115452522752,
          "difference_percentage_points": 0.006884547477248315
        },
        {
          "year": 2025,
          "issuer_market_total_return": 0.0425,
          "computed_yahoo_adj_return": 0.04247248017105987,
          "difference_percentage_points": -0.002751982894013544
        }
      ],
      "limit": "Five annual returns for one ETF only; does not certify all daily bars or other ETFs. Reinvestment methodology can differ."
    },
    "independent_10y_samples": [
      {
        "symbol": "SPY",
        "start": "2016-09-30",
        "end": "2026-09-30",
        "issuer_10y_market_cagr": 0.1518,
        "calculated_cagr": 0.1523387851100153,
        "difference_percentage_points": 0.053878511001531626,
        "source": "https://www.ssga.com/library-content/products/factsheets/etfs/us/factsheet-us-en-spy.pdf"
      },
      {
        "symbol": "GLD",
        "start": "2016-09-30",
        "end": "2026-09-30",
        "issuer_10y_market_cagr": 0.1172,
        "calculated_cagr": 0.11727855411025456,
        "difference_percentage_points": 0.007855411025456394,
        "source": "https://www.ssga.com/library-content/products/factsheets/etfs/us/factsheet-us-en-gld.pdf"
      },
      {
        "symbol": "BIL",
        "start": "2016-09-30",
        "end": "2026-09-30",
        "issuer_10y_market_cagr": 0.0229,
        "calculated_cagr": 0.022950624512843243,
        "difference_percentage_points": 0.005062451284324268,
        "source": "https://www.ssga.com/library-content/products/factsheets/etfs/us/factsheet-us-en-bil.pdf"
      }
    ],
    "BIL_split_review": {
      "date": "2017-11-30",
      "ratio": "1:2",
      "source": "https://www.streetinsider.com/Press+Releases/State+Street+Global+Advisors+Announces+ETF+Share+Splits/13511071.html",
      "issuer_release_date": "2017-11-15",
      "publisher": "State Street press release syndicated from Business Wire",
      "finding": "Close is already split-adjusted: 2017-11-29 and 2017-11-30 both 91.480003; no extra split multiplier applied."
    },
    "blocking_findings": []
  },
  "baseline": {
    "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"
  },
  "annual_returns": [
    {
      "year": 2007,
      "return": 0.09335427133597207,
      "partial_year": true
    },
    {
      "year": 2008,
      "return": 0.008494908856242933,
      "partial_year": false
    },
    {
      "year": 2009,
      "return": 0.06421304214813595,
      "partial_year": false
    },
    {
      "year": 2010,
      "return": 0.1340989809262021,
      "partial_year": false
    },
    {
      "year": 2011,
      "return": 0.11411859014557613,
      "partial_year": false
    },
    {
      "year": 2012,
      "return": 0.060720209982944695,
      "partial_year": false
    },
    {
      "year": 2013,
      "return": -0.02512188955880923,
      "partial_year": false
    },
    {
      "year": 2014,
      "return": 0.09458653120516436,
      "partial_year": false
    },
    {
      "year": 2015,
      "return": -0.028058309140750803,
      "partial_year": false
    },
    {
      "year": 2016,
      "return": 0.0531314727741139,
      "partial_year": false
    },
    {
      "year": 2017,
      "return": 0.1108829231093158,
      "partial_year": false
    },
    {
      "year": 2018,
      "return": -0.015614154925864598,
      "partial_year": false
    },
    {
      "year": 2019,
      "return": 0.1630537444900655,
      "partial_year": false
    },
    {
      "year": 2020,
      "return": 0.15420808291550814,
      "partial_year": false
    },
    {
      "year": 2021,
      "return": 0.05152209976465483,
      "partial_year": false
    },
    {
      "year": 2022,
      "return": -0.12140217065717218,
      "partial_year": false
    },
    {
      "year": 2023,
      "return": 0.11635935659294483,
      "partial_year": false
    },
    {
      "year": 2024,
      "return": 0.12156878154898965,
      "partial_year": false
    },
    {
      "year": 2025,
      "return": 0.22345267080677744,
      "partial_year": false
    },
    {
      "year": 2026,
      "return": 0.0015657806982212197,
      "partial_year": true
    }
  ],
  "cost_sensitivity": [
    {
      "cost_bps": 0,
      "start": "2007-05-30",
      "end": "2026-11-03",
      "years": 19.430926028597437,
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      "total_return": 2.579450726609843,
      "cagr": 0.06782922096601851,
      "annualized_volatility": 0.07385289133143469,
      "max_drawdown": -0.16967085299010187,
      "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"
    },
    {
      "cost_bps": 5,
      "start": "2007-05-30",
      "end": "2026-11-03",
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      "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"
    },
    {
      "cost_bps": 20,
      "start": "2007-05-30",
      "end": "2026-11-03",
      "years": 19.430926028597437,
      "final_value": 355893.9261764155,
      "total_return": 2.5589392617641553,
      "cagr": 0.06751345037601109,
      "annualized_volatility": 0.07384697379386519,
      "max_drawdown": -0.16988707466706676,
      "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"
    }
  ],
  "rebalance_month_sensitivity": [
    {
      "month": 1,
      "start": "2007-05-30",
      "end": "2026-11-03",
      "years": 19.430926028597437,
      "final_value": 357431.0664858263,
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      "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"
    },
    {
      "month": 6,
      "start": "2007-05-30",
      "end": "2026-11-03",
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      "total_return": 2.43619095356328,
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      "annualized_volatility": 0.07449404623511531,
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      "max_dd_peak": "2021-12-27",
      "max_dd_trough": "2022-10-20",
      "max_dd_recovery": "2024-03-27",
      "max_dd_peak_to_recovery_days": 821,
      "longest_underwater_calendar_days": 820,
      "longest_underwater_start": "2021-12-27",
      "longest_underwater_last_below": "2024-03-26"
    },
    {
      "month": 12,
      "start": "2007-05-30",
      "end": "2026-11-03",
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      "max_dd_trough": "2022-10-20",
      "max_dd_recovery": "2024-03-06",
      "max_dd_peak_to_recovery_days": 848,
      "longest_underwater_calendar_days": 847,
      "longest_underwater_start": "2021-11-09",
      "longest_underwater_last_below": "2024-03-05"
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  ],
  "individual_assets": {
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      "max_dd_peak": "2007-10-09",
      "max_dd_trough": "2009-03-09",
      "max_dd_recovery": "2012-08-16",
      "max_dd_peak_to_recovery_days": 1773,
      "longest_underwater_calendar_days": 1772,
      "longest_underwater_start": "2007-10-09",
      "longest_underwater_last_below": "2012-08-15"
    },
    "TLT": {
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      "max_drawdown": -0.4835113163993181,
      "max_dd_peak": "2020-08-04",
      "max_dd_trough": "2023-10-19",
      "max_dd_recovery": null,
      "max_dd_peak_to_recovery_days": null,
      "longest_underwater_calendar_days": 2282,
      "longest_underwater_start": "2020-08-04",
      "longest_underwater_last_below": "2026-11-03"
    },
    "GLD": {
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      "end": "2026-11-03",
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      "total_return": 4.548214813939098,
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      "max_drawdown": -0.45555012734257017,
      "max_dd_peak": "2011-08-22",
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      "max_dd_recovery": "2020-07-29",
      "max_dd_peak_to_recovery_days": 3264,
      "longest_underwater_calendar_days": 3263,
      "longest_underwater_start": "2011-08-22",
      "longest_underwater_last_below": "2020-07-28"
    },
    "BIL": {
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      "end": "2026-11-03",
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      "final_value": 130232.64836913388,
      "total_return": 0.30232648369133885,
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      "max_drawdown": -0.007800133753954719,
      "max_dd_peak": "2008-09-29",
      "max_dd_trough": "2016-02-01",
      "max_dd_recovery": "2017-12-08",
      "max_dd_peak_to_recovery_days": 3357,
      "longest_underwater_calendar_days": 3356,
      "longest_underwater_start": "2008-09-29",
      "longest_underwater_last_below": "2017-12-07"
    }
  },
  "start_date_sensitivity": [
    {
      "start": "2008-01-02",
      "end": "2026-11-03",
      "years": 18.83680020808093,
      "final_value": 323402.36863658554,
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      "max_dd_recovery": "2024-03-06",
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      "longest_underwater_calendar_days": 799,
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    },
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    },
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      "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"
    },
    {
      "start": "2013-01-02",
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      "years": 13.834644106312929,
      "final_value": 225946.89327234394,
      "total_return": 1.2594689327234394,
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      "definition": "Month-end rolling return of continuous baseline portfolio, includes weight drift, not a reset portfolio. Overlapping windows are not independent."
    },
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      "observations": 0,
      "min": null,
      "median": null,
      "max": null,
      "rows": [],
      "definition": "Month-end rolling return of continuous baseline portfolio, includes weight drift, not a reset portfolio. Overlapping windows are not independent."
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  },
  "caveats": [
    "Historical research only, not live or paper trading; no prediction of future returns.",
    "No complete independent daily price series; issuer aggregate samples only.",
    "Historical data are current restated vintages, not point-in-time vendor snapshots.",
    "A-share and FX anomalies are outside this USD US ETF baseline.",
    "No 20-year common ETF history; no 1970s inflation or 2000-2002 equity crash coverage.",
    "Real account taxes, FX and broker eligibility are unresolved."
  ],
  "trade_summary": {
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    "annual_rebalances": 19,
    "sum_explicit_costs_usd": 234.82886273498298
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    "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",
    "cagr_difference_percentage_points": 0.0005107002816640005
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