{
  "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"
  ]
}