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Hypothetical."},"signals":{"asOf":"2026-11-03","states":[{"ticker":"SPY","state":"in","value":0.098503,"weight":0.218818,"distance":null,"distanceUnit":"none: always held","text":"SPY: 9.9% 63-day volatility, weight 21.9%"},{"ticker":"TLT","state":"in","value":0.108445,"weight":0.198757,"distance":null,"distanceUnit":"none: always held","text":"TLT: 10.8% 63-day volatility, weight 19.9%"},{"ticker":"IEF","state":"in","value":0.057775,"weight":0.373074,"distance":null,"distanceUnit":"none: always held","text":"IEF: 5.8% 63-day volatility, weight 37.3%"},{"ticker":"GLD","state":"in","value":0.233887,"weight":0.092156,"distance":null,"distanceUnit":"none: always held","text":"GLD: 23.4% 63-day volatility, weight 9.2%"},{"ticker":"DBC","state":"in","value":0.183917,"weight":0.117195,"distance":null,"distanceUnit":"none: always held","text":"DBC: 18.4% 63-day volatility, weight 11.7%"}],"rejected":[],"lastDecision":{"signalDate":"2026-10-30","reasons":{"SPY":"10.5% volatility over 63 days, so it takes 20.9% of the book","TLT":"10.8% volatility over 63 days, so it takes 20.1% of the book","IEF":"5.8% volatility over 63 days, so it takes 37.6% of the book","GLD":"24.7% volatility over 63 days, so it takes 8.9% of the book","DBC":"17.4% volatility over 63 days, so it takes 12.5% of the book"}},"nextSignalDate":"2026-11-30","nextTradeDate":"2026-12-01","pill":"risk-on"},"holdings":{"asOf":"2026-11-03","rebalanceDate":"2026-11-02","weights":[{"ticker":"IEF","name":"iShares 7-10 Year Treasury Bond ETF","weight":37.55,"link":"/funds/ief/"},{"ticker":"SPY","name":"SPDR S&P 500 ETF Trust","weight":21.018,"link":"/funds/spy/"},{"ticker":"TLT","name":"iShares 20+ Year Treasury Bond ETF","weight":20.051,"link":"/funds/tlt/"},{"ticker":"DBC","name":"Invesco DB Commodity Index Tracking Fund","weight":12.557,"link":"/funds/dbc/"},{"ticker":"GLD","name":"SPDR Gold Shares","weight":8.824,"link":"/funds/gld/"}],"pending":null},"blotter":[],"scorecard":{"kind":"strategy","a":"risk-parity","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":1.34097159,"b":2.43742556,"edge":"AOR","lead":"AOR"},"annualised":{"a":0.05172603,"b":0.07595697,"edge":"AOR","lead":"AOR"},"volatility":{"a":0.06572369,"b":0.10072787,"edge":"risk-parity","lead":"risk-parity"},"downsideDeviation":{"a":0.04504579,"b":0.07073589,"edge":"risk-parity","lead":"risk-parity"},"maxDrawdown":{"a":-0.17918186,"b":-0.22192623,"edge":"risk-parity","lead":"risk-parity","aPeak":"2022-03-04","aTrough":"2022-10-21","bPeak":"2020-02-14","bTrough":"2020-03-20"},"excess":{"a":0.03720858,"b":0.06294461,"edge":"AOR","lead":"AOR"},"sharpe":{"a":0.56613654,"b":0.62489771,"edge":"AOR (slight)","lead":"AOR"},"sortino":{"a":0.82601681,"b":0.88985399,"edge":"AOR (slight)","lead":"AOR"},"calmar":{"a":0.28867893,"b":0.34226227,"edge":"AOR","lead":"AOR"}},"relative":{"risk-parity":{"on":"AOR","beta":0.34673895,"r2":0.28239739,"alpha":0.01538323,"alphaT":1.12981498,"alphaLow":-0.01134003,"alphaHigh":0.0421065,"upsideCapture":0.32931488,"downsideCapture":0.33944903,"treynor":0.10731007,"trackingError":0.08619517,"informationRatio":-0.29857858,"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":"risk-parity","lead":"risk-parity"},"treynor":{"edge":"risk-parity","lead":"risk-parity"},"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,"GLD":4.0,"IEF":0.5,"SPY":1.0,"TLT":0.5},"turnoverPerYear":0.431,"costDragPerYear":0.00013,"totalCostPct":0.264,"grossAnnualised":0.05971,"netAnnualised":0.05958,"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":20.42,"simulatedShare":0.0,"costDragPerYear":0.00013,"turnoverPerYear":0.431,"parameters":1,"largestHoldingPct":37.55,"holdingsCount":5,"survivorshipRisk":false},"moves":{"signalDate":"2026-10-30","effective":"2026-10-31","moves":[{"ticker":"DBC","text":"into DBC: 9.8% to 12.5%. 17.4% volatility over 63 days, so it takes 12.5% of the book."},{"ticker":"GLD","text":"into GLD: 8.5% to 8.9%. 24.7% volatility over 63 days, so it takes 8.9% of the book."},{"ticker":"IEF","text":"out of IEF: 41.1% to 37.6%. 5.8% volatility over 63 days, so it takes 37.6% of the book."},{"ticker":"SPY","text":"into SPY: 19.1% to 20.9%. 10.5% volatility over 63 days, so it takes 20.9% of the book."},{"ticker":"TLT","text":"out of TLT: 21.4% to 20.1%. 10.8% volatility over 63 days, so it takes 20.1% of the book."}]},"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":246},{"name":"signal dates are month-end closes","count":246,"bad":0},{"name":"independent rebuild of the net series","days":5139,"worstRelativeGap":4.7540506020737894e-07,"tolerance":2e-06,"date":"2006-10-13"},{"name":"total return","published":2.260989,"fromPublishedSeries":2.2609892720022944,"independentRebuild":2.260988684011573,"gap":9.689957791714221e-08,"tolerance":2e-06},{"name":"deepest fall","published":-0.188315,"fromPublishedSeries":-0.17918161004964656,"independentRebuild":-0.18831499976064645,"gap":2.3935356474602543e-10,"tolerance":2e-06},{"name":"rules replayed on the cache","allocations":246,"differing":0},{"name":"benchmark AOR against the cache","differing":0},{"name":"prices: our total return against the vendor's adjusted close","days":34895,"mismatches":0,"tolerance":0.005}],"findings":[],"asOf":"2026-11-03"}}