{ "policy": { "version": "diversification-rebalance-leverage-v1", "status": "research_only_not_live_policy", "user_correction": "Do not pursue 70% equity; preserve multi-asset diversification. Compare monthly and 15/35 threshold rebalancing. Leverage research permitted.", "start": "2007-05-30", "cutoff": "2026-11-03", "permanent_weights": { "SPY": 0.25, "TLT": 0.25, "GLD": 0.25, "BIL": 0.25 }, "original_baseline": "Annual rebalance first January US equity session at close, preserved without modification", "monthly": "First US equity trading day of each month at close, weights earn subsequent returns", "band": "Every close: any sleeve <=15% or >=35% triggers full reset to 25% each at next trading close; no mandatory annual rebalance", "hybrid": "Monthly reset plus the same daily close threshold guard", "band_sensitivity": [ [ 0.2, 0.3 ], [ 0.225, 0.275 ] ], "risk_assets": [ "SPY", "TLT", "IEF", "TIP", "GLD", "DBC" ], "equal_risk_budgets": [ 0.16666666666666666, 0.16666666666666666, 0.16666666666666666, 0.16666666666666666, 0.16666666666666666, 0.16666666666666666 ], "grouped_risk_budgets": [ 0.25, 0.125, 0.125, 0.25, 0.125, 0.125 ], "grouped_risk_definition": "Equity 25%, nominal Treasuries 25%, TIPS 25%, gold/broad commodities 25% of estimated variance contribution. Not equal macro-environment protection and not a Bridgewater clone.", "risk_estimation": "252 daily returns through previous close, 20% covariance shrinkage to diagonal, monthly reset; no today-return information", "fixed_leverages": [ 1, 1.25, 1.5, 2 ], "volatility_targets": [ 0.08, 0.1, 0.12 ], "volatility_leverage_range": [ 0.5, 2 ], "funding": "FRED DFF + 1.5 percentage points annually on negative cash; ACT/360 over actual calendar days, compounded through cash. Use most recent DFF observation strictly before previous equity session (conservative publication lag). DFF is an overnight proxy, not a broker quotation; no point-in-time vintages.", "funding_spread_sensitivity": [ 0.005, 0.015, 0.03 ], "positive_cash": "Lagged DFF, separate from BIL ETF sleeve; no duplicate cash yield", "guard": "If post-close gross risky-asset exposure/NAV exceeds 2.5, next close reduces to at most 1x using last saved diversified weights; monthly resets may restore target. Not a real broker liquidation model or intraday guarantee.", "stress_guard": 2.1, "transaction_cost_bps": 5, "cost_sensitivity_bps": [ 0, 5, 20 ], "execution": "Fractional total-return units; external borrow-to-buy ETF model, not synthetic futures cost replication", "actual_funds": [ "ALLW", "RPAR", "UPAR" ], "actual_fund_rule": "Buy and hold actual adjusted-price history, no extra leverage, no repeat deduction of embedded expenses/financing. Compare common short interval separately.", "not_prioritized": [ "Equity70-SPY", "Equity70-mix", "NTSX/RSSB/RSST as full-portfolio holdings" ], "limits": [ "USD nominal, before investor tax and FX costs", "Revised single-vendor history with calendar and arithmetic validation, not fully independently price-certified", "Common ETF history <20 years and no 1970s/2000 equity crash", "No actual future out-of-sample or live execution", "No fitting parameters to select a winning final strategy", "Lending availability, margin haircut changes and gap liquidation not fully modeled", "Fund product strategies may change over time" ] }, "main": { "PP-annual": { "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": 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