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"to": "step1_QQQ_TLT", "cagr_change_pp": 1.5935612093344709 }, { "from": "step1_QQQ_TLT", "to": "step2_QQQ_IEF", "cagr_change_pp": 0.5127267127068125 }, { "from": "step2_QQQ_IEF", "to": "step3_QQQ_CN10Y", "cagr_change_pp": 0.46093845991672655 }, { "from": "step3_QQQ_CN10Y", "to": "step4_CN_NASDAQ", "cagr_change_pp": -0.0702724589854764 }, { "from": "step4_CN_NASDAQ", "to": "step5_CN_GOLD", "cagr_change_pp": 0.032923556405428656 }, { "from": "step5_CN_GOLD", "to": "step6_CN_CASH", "cagr_change_pp": -0.4903312816494809 } ], "shapley_four_baskets": { "stock_index_and_wrapper": { "mean_cagr_percentage_points": 1.3388934035674074, "min_marginal_pp": 1.1349690143307, "max_marginal_pp": 1.4760260637354472 }, "bond_market_and_duration": { "mean_cagr_percentage_points": 1.0738656061473082, "min_marginal_pp": 0.9134923856636723, "max_marginal_pp": 1.2430430336446863 }, "gold_wrapper": { "mean_cagr_percentage_points": 0.02070869780090301, "min_marginal_pp": -0.042424486991010646, 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1.2137302627770814, "cagr": 0.024524798290619376, "max_drawdown": 0.0020852698720578156, "peak": "2020-03-20", "trough": "2022-02-14", "recovery": "2022-08-02", "peak_to_recovery_days": 865 }, "GLD": { "start": "2018-01-02", "end": "2025-12-31", "end_nav": 3.166679925901907, "cagr": 0.15509680094604272, "max_drawdown": 0.2200216813471555, "peak": "2020-08-06", "trough": "2022-09-26", "recovery": "2024-03-04", "peak_to_recovery_days": 1306 }, "IEF": { "start": "2018-01-02", "end": "2025-12-31", "end_nav": 1.098839960404612, "cagr": 0.011859725424713252, "max_drawdown": 0.2392479409303333, "peak": "2020-08-04", "trough": "2023-10-19", "recovery": null, "peak_to_recovery_days": null }, "QQQ": { "start": "2018-01-02", "end": "2025-12-31", "end_nav": 4.084193725210366, "cagr": 0.19245119314981718, "max_drawdown": 0.3511871873567175, "peak": "2021-12-27", "trough": "2022-11-03", "recovery": "2023-12-13", "peak_to_recovery_days": 716 }, "SPY": { "start": "2018-01-02", "end": "2025-12-31", "end_nav": 2.874773973698616, "cagr": 0.1412077887674592, "max_drawdown": 0.33717265401236196, "peak": "2020-02-19", "trough": "2020-03-23", "recovery": "2020-08-10", "peak_to_recovery_days": 173 }, "TLT": { "start": "2018-01-02", "end": "2025-12-31", "end_nav": 0.8666388150767022, "cagr": -0.017744554949140512, "max_drawdown": 0.4835113163993193, "peak": "2020-08-04", "trough": "2023-10-19", "recovery": null, "peak_to_recovery_days": null }, "510300.SS": { "start": "2018-01-02", "end": "2025-12-31", "end_nav": 1.216106773626836, "cagr": 0.024775510664435396, "max_drawdown": 0.48031078687205464, "peak": "2021-02-10", "trough": "2024-02-02", "recovery": null, "peak_to_recovery_days": null }, "513100.SS": { "start": "2018-01-02", "end": "2025-12-31", "end_nav": 3.9806973754036266, "cagr": 0.1886288351521519, "max_drawdown": 0.35573094623104407, "peak": "2021-11-22", "trough": "2022-10-13", "recovery": "2023-12-28", "peak_to_recovery_days": 766 }, "159941.SZ": { "start": "2018-01-02", 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"pnl_511260.SS": 0.0814781080851194, "pnl_GLD": 0.5122463220344837, "pnl_BIL": 0.061919788211859304 }, "fees": 0.0008697395593415948, "final_cash": 0.0018353707117139684 }, "cube_0101": { "pnl_per_initial_unit": { "pnl_SPY": 0.404408107341252, "pnl_511260.SS": 0.08093792660659824, "pnl_GLD": 0.5029357505193527, "pnl_511880.SS": 0.02989634602388278 }, "fees": 0.0008824479078193268, "final_cash": 0.0014014560984086932 }, "cube_0110": { "pnl_per_initial_unit": { "pnl_SPY": 0.4109293870975913, "pnl_511260.SS": 0.08156318010173427, "pnl_518880.SS": 0.5051973830502308, "pnl_BIL": 0.062026932660858215 }, "fees": 0.000866730197569319, "final_cash": 2.7755575615628914e-17 }, "cube_0111": { "pnl_per_initial_unit": { "pnl_SPY": 0.4054366700091878, "pnl_511260.SS": 0.08090457790492908, "pnl_518880.SS": 0.49592014476864077, "pnl_511880.SS": 0.029653785120509323 }, "fees": 0.0008779388382828546, "final_cash": 0.0 }, "cube_1000": { "pnl_per_initial_unit": { "pnl_513100.SS": 0.5675033207689827, "pnl_TLT": -0.0438308637653132, "pnl_GLD": 0.5061441941667103, "pnl_BIL": 0.07104642040946316 }, "fees": 0.0008160894557523552, "final_cash": 0.0 }, "cube_1001": { "pnl_per_initial_unit": { "pnl_513100.SS": 0.565059356008205, "pnl_TLT": -0.0399526663602333, "pnl_GLD": 0.4946444737847309, "pnl_511880.SS": 0.03020915183603327 }, "fees": 0.0008154036542833598, "final_cash": 0.0 }, "cube_1010": { "pnl_per_initial_unit": { "pnl_513100.SS": 0.5693889842309672, "pnl_TLT": -0.02941287387971893, "pnl_518880.SS": 0.505843465675848, "pnl_BIL": 0.06770397066618014 }, "fees": 0.0010607030753724835, "final_cash": 0.0 }, "cube_1011": { "pnl_per_initial_unit": { "pnl_513100.SS": 0.5629615867985778, "pnl_TLT": -0.03806404947357049, "pnl_518880.SS": 0.4969029995208462, "pnl_511880.SS": 0.030352473330997835 }, "fees": 0.0008254242369479282, "final_cash": 0.0 }, "cube_1100": { "pnl_per_initial_unit": { "pnl_513100.SS": 0.5926264582609031, "pnl_511260.SS": 0.08834765026540994, "pnl_GLD": 0.518980932766804, "pnl_BIL": 0.0667622379219006 }, "fees": 0.0006596763989789321, "final_cash": 0.0 }, "cube_1101": { "pnl_per_initial_unit": { "pnl_513100.SS": 0.5613717310233116, "pnl_511260.SS": 0.08505112349676874, "pnl_GLD": 0.5103700932416513, "pnl_511880.SS": 0.03523113565628582 }, "fees": 0.0008467048289357245, "final_cash": 2.7755575615628914e-17 }, "cube_1110": { "pnl_per_initial_unit": { "pnl_513100.SS": 0.5895532932141172, "pnl_511260.SS": 0.087688645671259, "pnl_518880.SS": 0.5285931285251599, "pnl_BIL": 0.06626610459229618 }, "fees": 0.0006536471764563142, "final_cash": 0.0 }, "common_CN_native_CNY": { "pnl_per_initial_unit": { "pnl_513100.SS": 0.6262551963814458, "pnl_511260.SS": 0.10721583045514729, "pnl_518880.SS": 0.5796482375264929, "pnl_511880.SS": 0.05168210070660908 }, "fees": 0.0008829455878263366, "final_cash": 0.001528489091887797 } }, "limits": "Counterfactual decomposition, not causal economic proof or tradable cross-border portfolio; mixed-market closes and FX fixing asynchronous; daily common-date drawdown misses noncommon-date extremes; taxes/settlement/lots/reinvestment fees unmodeled." }