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Hypothetical."},"signals":{"asOf":"2026-11-03","states":[{"ticker":"XLV","signalOn":"XLV","state":"in","rank":1,"value":0.278087,"distance":0.185114,"distanceUnit":"return points to the cutoff","text":"XLV: ranked 1 of 9, 6-month return +27.8%: held. Lead over the first fund out: 18.5 points."},{"ticker":"XLE","signalOn":"XLE","state":"in","rank":2,"value":0.148064,"distance":0.055091,"distanceUnit":"return points to the cutoff","text":"XLE: ranked 2 of 9, 6-month return +14.8%: held. Lead over the first fund out: 5.5 points."},{"ticker":"XLF","signalOn":"XLF","state":"in","rank":3,"value":0.109226,"distance":0.016253,"distanceUnit":"return points to the cutoff","text":"XLF: ranked 3 of 9, 6-month return +10.9%: held. Lead over the first fund out: 1.6 points."},{"ticker":"XLK","signalOn":"XLK","state":"out","rank":4,"value":0.092973,"distance":0.016253,"distanceUnit":"return points to the cutoff","text":"XLK: ranked 4 of 9, 6-month return +9.3%: not held. Gap to the last fund in: 1.6 points."},{"ticker":"XLP","signalOn":"XLP","state":"out","rank":5,"value":0.071196,"distance":0.03803,"distanceUnit":"return points to the cutoff","text":"XLP: ranked 5 of 9, 6-month return +7.1%: not held. Gap to the last fund in: 3.8 points."},{"ticker":"XLB","signalOn":"XLB","state":"out","rank":6,"value":0.032709,"distance":0.076517,"distanceUnit":"return points to the cutoff","text":"XLB: ranked 6 of 9, 6-month return +3.3%: not held. Gap to the last fund in: 7.7 points."},{"ticker":"XLI","signalOn":"XLI","state":"out","rank":7,"value":-0.004405,"distance":0.113631,"distanceUnit":"return points to the cutoff","text":"XLI: ranked 7 of 9, 6-month return \u22120.4%: not held. Gap to the last fund in: 11.4 points."},{"ticker":"XLY","signalOn":"XLY","state":"out","rank":8,"value":-0.006796,"distance":0.116022,"distanceUnit":"return points to the cutoff","text":"XLY: ranked 8 of 9, 6-month return \u22120.7%: not held. Gap to the last fund in: 11.6 points."},{"ticker":"XLU","signalOn":"XLU","state":"out","rank":9,"value":-0.054373,"distance":0.163599,"distanceUnit":"return points to the cutoff","text":"XLU: ranked 9 of 9, 6-month return \u22125.4%: not held. Gap to the last fund in: 16.4 points."}],"rejected":[],"lastDecision":{"signalDate":"2026-10-30","reasons":{"XLV":"ranked 1 of 9 on 6-month return (+27.7%)","XLE":"ranked 2 of 9 on 6-month return (+18.9%)","XLK":"ranked 3 of 9 on 6-month return (+12.8%)"}},"nextSignalDate":"2026-11-30","nextTradeDate":"2026-12-01","pill":"risk-on"},"holdings":{"asOf":"2026-11-03","rebalanceDate":"2026-11-02","weights":[{"ticker":"XLK","name":"State Street Technology Select Sector SPDR ETF","weight":33.754,"link":"/funds/xlk/"},{"ticker":"XLV","name":"State Street Health Care Select Sector SPDR ETF","weight":33.212,"link":"/funds/xlv/"},{"ticker":"XLE","name":"State Street Energy Select Sector SPDR ETF","weight":33.034,"link":"/funds/xle/"}],"pending":null},"blotter":[],"scorecard":{"kind":"strategy","a":"sector-momentum","b":"SPY","window":{"from":"1999-07-09","to":"2026-11-03","firstReturn":"1999-07-16","weeklyReturns":1426,"years":27.32,"short":false},"riskFree":{"rate":0.01773973,"perWeek":0.0003411487,"days":6214,"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":5.90147385,"b":7.64144352,"edge":"SPY","lead":"SPY"},"annualised":{"a":0.07298228,"b":0.08181554,"edge":"SPY","lead":"SPY"},"volatility":{"a":0.17472408,"b":0.17678457,"edge":"Tie","lead":null},"downsideDeviation":{"a":0.12719712,"b":0.12630008,"edge":"Tie","lead":null},"maxDrawdown":{"a":-0.49910607,"b":-0.5462484,"edge":"sector-momentum (slight)","lead":"sector-momentum","aPeak":"2007-10-12","aTrough":"2009-03-06","bPeak":"2007-10-12","bTrough":"2009-03-06"},"excess":{"a":0.06819765,"b":0.07674827,"edge":"SPY","lead":"SPY"},"sharpe":{"a":0.39031627,"b":0.43413444,"edge":"SPY","lead":"SPY"},"sortino":{"a":0.5361572,"b":0.60766606,"edge":"SPY","lead":"SPY"},"calmar":{"a":0.14622599,"b":0.14977718,"edge":"SPY (slight)","lead":"SPY"}},"relative":{"sector-momentum":{"on":"SPY","beta":0.84928455,"r2":0.73839654,"alpha":0.00301653,"alphaT":0.17638126,"alphaLow":-0.03053192,"alphaHigh":0.03656497,"upsideCapture":0.80698471,"downsideCapture":0.9065781,"treynor":0.08030012,"trackingError":0.09325381,"informationRatio":-0.09169192,"upWeeks":801,"downWeeks":624,"treynorReference":0.07674827,"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":"SPY","lead":"SPY"},"downsideCapture":{"edge":"sector-momentum (slight)","lead":"sector-momentum"},"treynor":{"edge":"sector-momentum (slight)","lead":"sector-momentum"},"informationRatio":{"edge":null,"lead":"SPY","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":{"XLB":2.0,"XLE":2.0,"XLF":2.0,"XLI":2.0,"XLK":2.0,"XLP":2.0,"XLU":2.0,"XLV":2.0,"XLY":2.0},"turnoverPerYear":3.555,"costDragPerYear":0.00153,"totalCostPct":3.9078,"grossAnnualised":0.07566,"netAnnualised":0.07413,"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":27.34,"simulatedShare":0.0,"costDragPerYear":0.00153,"turnoverPerYear":3.555,"parameters":4,"largestHoldingPct":33.754,"holdingsCount":3,"survivorshipRisk":false},"moves":{"signalDate":"2026-10-30","effective":"2026-10-31","moves":[{"ticker":"XLE","text":"into XLE: 0.0% to 33.3%. ranked 2 of 9 on 6-month return (+18.9%)."},{"ticker":"XLF","text":"out of XLF: 33.3% to 0.0%."}]},"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":329},{"name":"signal dates are month-end closes","count":329,"bad":0},{"name":"independent rebuild of the net series","days":6878,"worstRelativeGap":5.212892387751467e-07,"tolerance":2e-06,"date":"2003-02-28"},{"name":"total return","published":6.066775,"fromPublishedSeries":6.06677435487095,"independentRebuild":6.066774822463913,"gap":9.12904554173366e-08,"tolerance":2e-06},{"name":"deepest fall","published":-0.509962,"fromPublishedSeries":-0.4991061366726686,"independentRebuild":-0.509961906767036,"gap":9.323296401575476e-08,"tolerance":2e-06},{"name":"rules replayed on the cache","allocations":329,"differing":0},{"name":"benchmark SPY against the cache","differing":0},{"name":"prices: our total return against the vendor's adjusted close","days":70463,"mismatches":0,"tolerance":0.005}],"findings":[],"asOf":"2026-11-03"}}