{
  "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"
  ]
}