{
  "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"
  ]
}