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Hypothetical."},"signals":{"asOf":"2026-11-03","states":[{"ticker":"SPY","state":"in","value":0.115807,"distance":0.115807,"distanceUnit":"return points from zero (the flip)","weight":0.099935,"volatility":0.100065,"text":"SPY: 12-month return +11.6%: in at 10.0%"},{"ticker":"EFA","state":"in","value":0.127754,"distance":0.127754,"distanceUnit":"return points from zero (the flip)","weight":0.092503,"volatility":0.108105,"text":"EFA: 12-month return +12.8%: in at 9.3%"},{"ticker":"EEM","state":"in","value":0.119353,"distance":0.119353,"distanceUnit":"return points from zero (the flip)","weight":0.048516,"volatility":0.206116,"text":"EEM: 12-month return +11.9%: in at 4.9%"},{"ticker":"IEF","state":"out","value":-0.01725,"distance":0.01725,"distanceUnit":"return points from zero (the flip)","weight":0.0,"volatility":0.057835,"text":"IEF: 12-month return \u22121.7%: out, in cash"},{"ticker":"TLT","state":"out","value":-0.053596,"distance":0.053596,"distanceUnit":"return points from zero (the flip)","weight":0.0,"volatility":0.108994,"text":"TLT: 12-month return \u22125.4%: out, in cash"},{"ticker":"LQD","state":"out","value":-0.016681,"distance":0.016681,"distanceUnit":"return points from zero (the flip)","weight":0.0,"volatility":0.062209,"text":"LQD: 12-month return \u22121.7%: out, in cash"},{"ticker":"HYG","state":"in","value":0.018865,"distance":0.018865,"distanceUnit":"return points from zero (the flip)","weight":0.2,"volatility":0.035455,"text":"HYG: 12-month return +1.9%: in at 20.0%"},{"ticker":"GLD","state":"out","value":-0.025815,"distance":0.025815,"distanceUnit":"return points from zero (the flip)","weight":0.0,"volatility":0.233274,"text":"GLD: 12-month return \u22122.6%: out, in cash"},{"ticker":"DBC","state":"in","value":0.454156,"distance":0.454156,"distanceUnit":"return points from zero (the flip)","weight":0.057565,"volatility":0.173717,"text":"DBC: 12-month return +45.4%: in at 5.8%"},{"ticker":"VNQ","state":"in","value":0.107443,"distance":0.107443,"distanceUnit":"return points from zero (the flip)","weight":0.075194,"volatility":0.13299,"text":"VNQ: 12-month return +10.7%: in at 7.5%"}],"rejected":[],"lastDecision":{"signalDate":"2026-10-30","reasons":{"SPY":"up 12.4% over 12 months; sized to 10.0% for 10.0% volatility","EFA":"up 12.9% over 12 months; sized to 9.1% for 11.0% volatility","EEM":"up 12.3% over 12 months; sized to 4.8% for 20.8% volatility","IEF":"down 1.4% over 12 months, so its slot is cash","TLT":"down 5.4% over 12 months, so its slot is cash","LQD":"down 2.2% over 12 months, so its slot is cash","HYG":"up 1.6% over 12 months; sized to 20.0% for 3.6% volatility","GLD":"down 3.9% over 12 months, so its slot is cash","DBC":"up 52.8% over 12 months; sized to 5.8% for 17.1% volatility","VNQ":"up 9.6% over 12 months; sized to 7.5% for 13.4% volatility"}},"nextSignalDate":"2026-11-30","nextTradeDate":"2026-12-01","pill":"partly-in"},"holdings":{"asOf":"2026-11-03","rebalanceDate":"2026-11-02","weights":[{"ticker":"CASH","name":null,"weight":42.824,"link":null},{"ticker":"HYG","name":"iShares iBoxx $ High Yield Corporate Bond ETF","weight":20.024,"link":"/funds/hyg/"},{"ticker":"SPY","name":"SPDR S&P 500 ETF Trust","weight":10.003,"link":"/funds/spy/"},{"ticker":"EFA","name":"iShares MSCI EAFE ETF","weight":9.01,"link":"/funds/efa/"},{"ticker":"VNQ","name":"Vanguard Real Estate ETF","weight":7.481,"link":"/funds/vnq/"},{"ticker":"DBC","name":"Invesco DB Commodity Index Tracking Fund","weight":5.841,"link":"/funds/dbc/"},{"ticker":"EEM","name":"iShares MSCI Emerging Markets ETF","weight":4.816,"link":"/funds/eem/"}],"pending":null},"blotter":[],"scorecard":{"kind":"strategy","a":"multi-asset-momentum","b":"AOR","window":{"from":"2010-01-15","to":"2026-11-03","firstReturn":"2010-01-22","weeklyReturns":877,"years":16.8,"short":false},"riskFree":{"rate":0.01540871,"perWeek":0.0002963213,"days":4203,"series":"13-week Treasury bill, coupon equivalent, average of daily yields","source":"U.S. Department of the Treasury, Daily Treasury Bill Rates","url":"https://home.treasury.gov/resource-center/data-chart-center/interest-rates/TextView?type=daily_treasury_bill_rates"},"measures":{"total":{"a":0.9506751,"b":2.43742556,"edge":"AOR","lead":"AOR"},"annualised":{"a":0.04041343,"b":0.07595697,"edge":"AOR","lead":"AOR"},"volatility":{"a":0.05631929,"b":0.10072787,"edge":"multi-asset-momentum","lead":"multi-asset-momentum"},"downsideDeviation":{"a":0.04124335,"b":0.07073589,"edge":"multi-asset-momentum","lead":"multi-asset-momentum"},"maxDrawdown":{"a":-0.14405386,"b":-0.22192623,"edge":"multi-asset-momentum","lead":"multi-asset-momentum","aPeak":"2020-02-21","aTrough":"2020-03-20","bPeak":"2020-02-14","bTrough":"2020-03-20"},"excess":{"a":0.02581611,"b":0.06294461,"edge":"AOR","lead":"AOR"},"sharpe":{"a":0.45838844,"b":0.62489771,"edge":"AOR","lead":"AOR"},"sortino":{"a":0.62594592,"b":0.88985399,"edge":"AOR","lead":"AOR"},"calmar":{"a":0.28054388,"b":0.34226227,"edge":"AOR","lead":"AOR"}},"relative":{"multi-asset-momentum":{"on":"AOR","beta":0.39860915,"r2":0.5082525,"alpha":0.00072581,"alphaT":0.07514823,"alphaLow":-0.0182305,"alphaHigh":0.01968212,"upsideCapture":0.34159234,"downsideCapture":0.41639126,"treynor":0.06476547,"trackingError":0.07231394,"informationRatio":-0.51343494,"upWeeks":516,"downWeeks":357,"treynorReference":0.06294461,"edges":{"beta":{"edge":"Lower beta","lead":null,"neutral":true},"r2":{"edge":null,"lead":null,"neutral":true},"alpha":{"edge":"Not significant","lead":null},"alphaRange":{"edge":"Includes zero","lead":null},"upsideCapture":{"edge":"AOR","lead":"AOR"},"downsideCapture":{"edge":"multi-asset-momentum","lead":"multi-asset-momentum"},"treynor":{"edge":"multi-asset-momentum (slight)","lead":"multi-asset-momentum"},"informationRatio":{"edge":null,"lead":"AOR","note":"one number for the pair: its sign says which side it favours"},"trackingError":{"edge":null,"lead":null,"neutral":true}}}}},"scorecardListed":null,"erosion":null,"costs":{"basis":"Half the quoted bid/ask spread, charged on the value traded, each way. The 30-day median spread from site/data/trading-cost.json where ETFIQ has one for the fund, else the default for its class. Fund expense ratios are already inside each fund's total return, so no fee is charged twice. Simulated 2x days charge the fund's expense ratio daily.","halfSpreadBpsByFund":{"DBC":1.5,"EEM":3.0,"EFA":3.0,"GLD":4.0,"HYG":0.5,"IEF":0.5,"LQD":0.5,"SPY":1.0,"TLT":0.5,"VNQ":0.55},"turnoverPerYear":1.463,"costDragPerYear":0.00025,"totalCostPct":0.4479,"grossAnnualised":0.03869,"netAnnualised":0.03844,"taxDragPerYear":null,"taxDragNote":"Not measured: ETFIQ has no lot-level or investor-level tax data. A strategy that trades monthly realises short-term gains."},"skepticInputs":{"paperDays":0,"backtestYears":18.51,"simulatedShare":0.0,"costDragPerYear":0.00025,"turnoverPerYear":1.463,"parameters":4,"largestHoldingPct":20.024,"holdingsCount":6,"survivorshipRisk":false},"moves":{"signalDate":"2026-10-30","effective":"2026-10-31","moves":[{"ticker":"DBC","text":"into DBC: 4.6% to 5.8%. up 52.8% over 12 months; sized to 5.8% for 17.1% volatility."},{"ticker":"EEM","text":"into EEM: 4.2% to 4.8%. up 12.3% over 12 months; sized to 4.8% for 20.8% volatility."},{"ticker":"EFA","text":"into EFA: 7.9% to 9.1%. up 12.9% over 12 months; sized to 9.1% for 11.0% volatility."},{"ticker":"GLD","text":"out of GLD: 4.0% to 0.0%. down 3.9% over 12 months, so its slot is cash."},{"ticker":"SPY","text":"into SPY: 9.0% to 10.0%. up 12.4% over 12 months; sized to 10.0% for 10.0% volatility."},{"ticker":"VNQ","text":"out of VNQ: 8.2% to 7.5%. up 9.6% over 12 months; sized to 7.5% for 13.4% volatility."}]},"secondSource":{"method":"independent rebuild: no code shared with the Model Hub engine or the scorecard (QuantStats is not installed in this environment)","agree":true,"checks":[{"name":"allocations well formed","count":223},{"name":"signal dates are month-end closes","count":223,"bad":0},{"name":"independent rebuild of the net series","days":4657,"worstRelativeGap":5.011217658612566e-07,"tolerance":2e-06,"date":"2008-11-28"},{"name":"total return","published":1.009826,"fromPublishedSeries":1.0098255011005595,"independentRebuild":1.0098260817273128,"gap":2.4823022704012487e-07,"tolerance":2e-06},{"name":"deepest fall","published":-0.149298,"fromPublishedSeries":-0.1440538951710002,"independentRebuild":-0.1492979108340635,"gap":8.916593649543891e-08,"tolerance":2e-06},{"name":"rules replayed on the cache","allocations":223,"differing":0},{"name":"benchmark AOR against the cache","differing":0},{"name":"prices: our total return against the vendor's adjusted close","days":63047,"mismatches":0,"tolerance":0.005}],"findings":[],"asOf":"2026-11-03"}}