{ "schema_version": 1, "data_track": "baseline_issuer_stock_pilot", "formal_protocol_compliant": false, "cohort_size": 100, "universe_exclusion_count": 0, "initial_signal": "2024-12-31", "report_anchor": "2025-12-31", "report_end": "2026-10-02", "strategy_run_count": 16, "benchmark_run_count": 8, "checks": { "all_16_strategy_cost_paths": true, "fixed_cohort_for_all_paths": true, "no_negative_cash": true, "positive_finite_nav": true, "next_session_execution": true, "self_financing_fees": true, "fees_match_executed_notional": true, "anchor_is_existing_portfolio": true }, "runs": [ { "run_id": "S12-0bps", "strategy_id": "S12", "cost_bps_per_side": 0, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1206603.835825479, "total_return": 0.20660383582547892, "max_drawdown": -0.18897612160193378, "session_count": 250, "transaction_cost": 0.0, "gross_traded_notional": 2969617.494982684, "two_sided_turnover": 2.7779726453139126, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.14541415043842376, "maximum_issuer_weight": 0.14541415043842376, "mean_holdings_count": 20.0, "execution_event_count": 3 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1206603.835825479, "end_nav": 1534936.6387180185, "total_return": 0.2721131767892284, "max_drawdown": -0.14624299262375462, "session_count": 189, "transaction_cost": 0.0, "gross_traded_notional": 3333066.3956944766, "two_sided_turnover": 2.5596797698048492, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.19488263291500604, "maximum_issuer_weight": 0.19488263291500604, "mean_holdings_count": 20.0, "execution_event_count": 2 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1534936.6387180185, "total_return": 0.5349366387180186, "max_drawdown": -0.18897612160193378, "session_count": 439, "transaction_cost": 0.0, "gross_traded_notional": 6302683.890677161, "two_sided_turnover": 5.337652415118762, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.19488263291500604, "maximum_issuer_weight": 0.19488263291500604, "mean_holdings_count": 20.0, "execution_event_count": 5 } } }, { "run_id": "S12-5bps", "strategy_id": "S12", "cost_bps_per_side": 5, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1204929.2383502973, "total_return": 0.20492923835029742, "max_drawdown": -0.18928624891847579, "session_count": 250, "transaction_cost": 1483.5785546753561, "gross_traded_notional": 2967157.109350712, "two_sided_turnover": 2.776995819186912, "mean_cash_weight": 5.302316798878533e-17, "maximum_cash_weight": 1.253707288620428e-16, "maximum_security_weight": 0.14541415043842376, "maximum_issuer_weight": 0.14541415043842376, "mean_holdings_count": 20.0, "execution_event_count": 3 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1204929.2383502973, "end_nav": 1530845.8130122318, "total_return": 0.2704860702925229, "max_drawdown": -0.14624299262375462, "session_count": 189, "transaction_cost": 1663.1211782918244, "gross_traded_notional": 3326242.3565836484, "two_sided_turnover": 2.5589146836000385, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.19488263291500604, "maximum_issuer_weight": 0.19488263291500604, "mean_holdings_count": 20.0, "execution_event_count": 2 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1530845.8130122318, "total_return": 0.5308458130122318, "max_drawdown": -0.18928624891847579, "session_count": 439, "transaction_cost": 3146.699732967181, "gross_traded_notional": 6293399.46593436, "two_sided_turnover": 5.33591050278695, "mean_cash_weight": 3.019542596172285e-17, "maximum_cash_weight": 1.253707288620428e-16, "maximum_security_weight": 0.19488263291500604, "maximum_issuer_weight": 0.19488263291500604, "mean_holdings_count": 20.0, "execution_event_count": 5 } } }, { "run_id": "S12-10bps", "strategy_id": "S12", "cost_bps_per_side": 10, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1203257.3548361168, "total_return": 0.20325735483611673, "max_drawdown": -0.18959618523401622, "session_count": 250, "transaction_cost": 2964.6999587835635, "gross_traded_notional": 2964699.958783563, "two_sided_turnover": 2.776019752496823, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.14541415043842376, "maximum_issuer_weight": 0.14541415043842376, "mean_holdings_count": 20.0, "execution_event_count": 3 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1203257.3548361168, "end_nav": 1526766.2720134647, "total_return": 0.2688609513809368, "max_drawdown": -0.1462429926237545, "session_count": 189, "transaction_cost": 3319.4339309240286, "gross_traded_notional": 3319433.9309240286, "two_sided_turnover": 2.5581500571259532, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.19488263291500604, "maximum_issuer_weight": 0.19488263291500604, "mean_holdings_count": 20.0, "execution_event_count": 2 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1526766.2720134647, "total_return": 0.5267662720134647, "max_drawdown": -0.18959618523401622, "session_count": 439, "transaction_cost": 6284.133889707592, "gross_traded_notional": 6284133.889707592, "two_sided_turnover": 5.334169809622776, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.19488263291500604, "maximum_issuer_weight": 0.19488263291500604, "mean_holdings_count": 20.0, "execution_event_count": 5 } } }, { "run_id": "S12-25bps", "strategy_id": "S12", "cost_bps_per_side": 25, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1198257.9351398514, "total_return": 0.19825793513985146, "max_drawdown": -0.1905248499375023, "session_count": 250, "transaction_cost": 7393.369651622303, "gross_traded_notional": 2957347.860648921, "two_sided_turnover": 2.773096099416552, "mean_cash_weight": 5.321045577345815e-17, "maximum_cash_weight": 1.258135618152974e-16, "maximum_security_weight": 0.14541415043842376, "maximum_issuer_weight": 0.14541415043842376, "mean_holdings_count": 20.0, "execution_event_count": 3 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1198257.9351398514, "end_nav": 1514595.0265054167, "total_return": 0.2639974934350382, "max_drawdown": -0.14624299262375473, "session_count": 189, "transaction_cost": 8247.75483114894, "gross_traded_notional": 3299101.932459576, "two_sided_turnover": 2.5558589319263776, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.19488263291500607, "maximum_issuer_weight": 0.19488263291500607, "mean_holdings_count": 20.0, "execution_event_count": 2 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1514595.0265054167, "total_return": 0.5145950265054167, "max_drawdown": -0.1905248499375023, "session_count": 439, "transaction_cost": 15641.124482771243, "gross_traded_notional": 6256449.793108497, "two_sided_turnover": 5.32895503134293, "mean_cash_weight": 3.030208187554564e-17, "maximum_cash_weight": 1.258135618152974e-16, "maximum_security_weight": 0.19488263291500607, "maximum_issuer_weight": 0.19488263291500607, "mean_holdings_count": 20.0, "execution_event_count": 5 } } }, { "run_id": "M12-0bps", "strategy_id": "M12", "cost_bps_per_side": 0, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1139828.8374809085, "total_return": 0.13982883748090846, "max_drawdown": -0.21966133704610824, "session_count": 250, "transaction_cost": 0.0, "gross_traded_notional": 7756150.982280195, "two_sided_turnover": 7.379260753995109, "mean_cash_weight": 1.965709173101763e-17, "maximum_cash_weight": 1.3158258747798867e-16, "maximum_security_weight": 0.11449670975570556, "maximum_issuer_weight": 0.11449670975570556, "mean_holdings_count": 20.0, "execution_event_count": 12 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1139828.8374809085, "end_nav": 1552307.758683501, "total_return": 0.3618779483717891, "max_drawdown": -0.10476836272993195, "session_count": 189, "transaction_cost": 0.0, "gross_traded_notional": 6022272.192205155, "two_sided_turnover": 4.419946171409966, "mean_cash_weight": 2.0829181875229488e-17, "maximum_cash_weight": 1.9767650030422897e-16, "maximum_security_weight": 0.13620627415734532, "maximum_issuer_weight": 0.13620627415734532, "mean_holdings_count": 20.0, "execution_event_count": 10 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1552307.758683501, "total_return": 0.552307758683501, "max_drawdown": -0.21966133704610824, "session_count": 439, "transaction_cost": 0.0, "gross_traded_notional": 13778423.17448535, "two_sided_turnover": 11.799206925405075, "mean_cash_weight": 2.0161704572147565e-17, "maximum_cash_weight": 1.9767650030422897e-16, "maximum_security_weight": 0.13620627415734532, "maximum_issuer_weight": 0.13620627415734532, "mean_holdings_count": 20.0, "execution_event_count": 22 } } }, { "run_id": "M12-5bps", "strategy_id": "M12", "cost_bps_per_side": 5, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1135631.064746178, "total_return": 0.13563106474617803, "max_drawdown": -0.22022661096623541, "session_count": 250, "transaction_cost": 3870.768340828717, "gross_traded_notional": 7741536.6816574335, "two_sided_turnover": 7.377948488225902, "mean_cash_weight": 2.0171455472402327e-17, "maximum_cash_weight": 1.3177832694897647e-16, "maximum_security_weight": 0.11449670975570554, "maximum_issuer_weight": 0.11449670975570554, "mean_holdings_count": 20.0, "execution_event_count": 12 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1135631.064746178, "end_nav": 1543176.8115314748, "total_return": 0.35887160842714905, "max_drawdown": -0.10498096859886175, "session_count": 189, "transaction_cost": 2996.4924771841656, "gross_traded_notional": 5992984.954368331, "two_sided_turnover": 4.4193678779841665, "mean_cash_weight": 1.6022150904600236e-18, "maximum_cash_weight": 1.5194116228888768e-16, "maximum_security_weight": 0.13620627415734532, "maximum_issuer_weight": 0.13620627415734532, "mean_holdings_count": 20.0, "execution_event_count": 10 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1543176.8115314748, "total_return": 0.5431768115314748, "max_drawdown": -0.22022661096623541, "session_count": 439, "transaction_cost": 6867.260818012883, "gross_traded_notional": 13734521.636025764, "two_sided_turnover": 11.797316366210069, "mean_cash_weight": 1.2176953348969308e-17, "maximum_cash_weight": 1.5194116228888768e-16, "maximum_security_weight": 0.13620627415734532, "maximum_issuer_weight": 0.13620627415734532, "mean_holdings_count": 20.0, "execution_event_count": 22 } } }, { "run_id": "M12-10bps", "strategy_id": "M12", "cost_bps_per_side": 10, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1131448.8018039006, "total_return": 0.13144880180390062, "max_drawdown": -0.22079144950803464, "session_count": 250, "transaction_cost": 7726.959387800922, "gross_traded_notional": 7726959.387800922, "two_sided_turnover": 7.3766370785665085, "mean_cash_weight": 1.0000293404069379e-17, "maximum_cash_weight": 1.2507548050398598e-16, "maximum_security_weight": 0.11449670975570554, "maximum_issuer_weight": 0.11449670975570554, "mean_holdings_count": 20.0, "execution_event_count": 12 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1131448.8018039006, "end_nav": 1534099.756001361, "total_return": 0.35587200548138154, "max_drawdown": -0.10519349050966076, "session_count": 189, "transaction_cost": 5963.843130519099, "gross_traded_notional": 5963843.1305190995, "two_sided_turnover": 4.41878978123512, "mean_cash_weight": 1.939750401025677e-17, "maximum_cash_weight": 1.9933212256176193e-16, "maximum_security_weight": 0.13620627415734535, "maximum_issuer_weight": 0.13620627415734535, "mean_holdings_count": 20.0, "execution_event_count": 10 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1534099.756001361, "total_return": 0.534099756001361, "max_drawdown": -0.22079144950803464, "session_count": 439, "transaction_cost": 13690.80251832002, "gross_traded_notional": 13690802.51832002, "two_sided_turnover": 11.795426859801628, "mean_cash_weight": 1.4046017332473517e-17, "maximum_cash_weight": 1.9933212256176193e-16, "maximum_security_weight": 0.13620627415734535, "maximum_issuer_weight": 0.13620627415734535, "mean_holdings_count": 20.0, "execution_event_count": 22 } } }, { "run_id": "M12-25bps", "strategy_id": "M12", "cost_bps_per_side": 25, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1118994.4903786632, "total_return": 0.11899449037866328, "max_drawdown": -0.22248335702508182, "session_count": 250, "transaction_cost": 19208.621171380717, "gross_traded_notional": 7683448.468552287, "two_sided_turnover": 7.372707976311812, "mean_cash_weight": 1.003285865872637e-17, "maximum_cash_weight": 1.2548278004104758e-16, "maximum_security_weight": 0.11449670975570554, "maximum_issuer_weight": 0.11449670975570554, "mean_holdings_count": 20.0, "execution_event_count": 12 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1118994.4903786632, "end_nav": 1507188.745302348, "total_return": 0.34691346406211654, "max_drawdown": -0.10583055299030086, "session_count": 189, "transaction_cost": 14693.206890214355, "gross_traded_notional": 5877282.756085741, "two_sided_turnover": 4.417056669853401, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.13620627415734532, "maximum_issuer_weight": 0.13620627415734532, "mean_holdings_count": 20.0, "execution_event_count": 10 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1507188.745302348, "total_return": 0.507188745302348, "max_drawdown": -0.22248335702508182, "session_count": 439, "transaction_cost": 33901.82806159507, "gross_traded_notional": 13560731.224638028, "two_sided_turnover": 11.789764646165214, "mean_cash_weight": 5.713473040276976e-18, "maximum_cash_weight": 1.2548278004104758e-16, "maximum_security_weight": 0.13620627415734532, "maximum_issuer_weight": 0.13620627415734532, "mean_holdings_count": 20.0, "execution_event_count": 22 } } }, { "run_id": "SMIX-0bps", "strategy_id": "SMIX", "cost_bps_per_side": 0, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1162168.5975337918, "total_return": 0.16216859753379187, "max_drawdown": -0.18191650312908458, "session_count": 250, "transaction_cost": 0.0, "gross_traded_notional": 3200828.1800875333, "two_sided_turnover": 3.0109938145523705, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.13356717072027333, "maximum_issuer_weight": 0.13356717072027333, "mean_holdings_count": 20.0, "execution_event_count": 3 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1162168.5975337918, "end_nav": 1339427.7375832517, "total_return": 0.15252446196327885, "max_drawdown": -0.13803947511993886, "session_count": 189, "transaction_cost": 0.0, "gross_traded_notional": 3448343.9092530683, "two_sided_turnover": 2.8992063383767763, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.209178803627036, "maximum_issuer_weight": 0.209178803627036, "mean_holdings_count": 20.0, "execution_event_count": 2 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1339427.7375832517, "total_return": 0.33942773758325173, "max_drawdown": -0.18191650312908458, "session_count": 439, "transaction_cost": 0.0, "gross_traded_notional": 6649172.089340601, "two_sided_turnover": 5.910200152929146, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.209178803627036, "maximum_issuer_weight": 0.209178803627036, "mean_holdings_count": 20.0, "execution_event_count": 5 } } }, { "run_id": "SMIX-5bps", "strategy_id": "SMIX", "cost_bps_per_side": 5, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1160420.2931070083, "total_return": 0.16042029310700823, "max_drawdown": -0.18219954342333888, "session_count": 250, "transaction_cost": 1599.1648624785137, "gross_traded_notional": 3198329.7249570275, "two_sided_turnover": 3.0101541214343452, "mean_cash_weight": 5.406023783365709e-17, "maximum_cash_weight": 1.2555203510877368e-16, "maximum_security_weight": 0.1335671707202733, "maximum_issuer_weight": 0.1335671707202733, "mean_holdings_count": 20.0, "execution_event_count": 3 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1160420.2931070083, "end_nav": 1335475.3426761222, "total_return": 0.15085486750701893, "max_drawdown": -0.13803947511993875, "session_count": 189, "transaction_cost": 1720.3700553630492, "gross_traded_notional": 3440740.1107260985, "two_sided_turnover": 2.8983212636816003, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.209178803627036, "maximum_issuer_weight": 0.209178803627036, "mean_holdings_count": 20.0, "execution_event_count": 2 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1335475.3426761222, "total_return": 0.3354753426761221, "max_drawdown": -0.18219954342333888, "session_count": 439, "transaction_cost": 3319.534917841563, "gross_traded_notional": 6639069.835683126, "two_sided_turnover": 5.9084753851159455, "mean_cash_weight": 3.0786012433745496e-17, "maximum_cash_weight": 1.2555203510877368e-16, "maximum_security_weight": 0.209178803627036, "maximum_issuer_weight": 0.209178803627036, "mean_holdings_count": 20.0, "execution_event_count": 5 } } }, { "run_id": "SMIX-10bps", "strategy_id": "SMIX", "cost_bps_per_side": 10, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1158674.6591487485, "total_return": 0.15867465914874845, "max_drawdown": -0.18248254616752924, "session_count": 250, "transaction_cost": 3195.8342203967977, "gross_traded_notional": 3195834.220396798, "two_sided_turnover": 3.009315064725139, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.13356717072027335, "maximum_issuer_weight": 0.13356717072027335, "mean_holdings_count": 20.0, "execution_event_count": 3 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1158674.6591487485, "end_nav": 1331534.4212910708, "total_return": 0.14918748828883377, "max_drawdown": -0.13803947511993886, "session_count": 189, "transaction_cost": 3433.1537984435613, "gross_traded_notional": 3433153.7984435614, "two_sided_turnover": 2.8974367372364886, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.209178803627036, "maximum_issuer_weight": 0.209178803627036, "mean_holdings_count": 20.0, "execution_event_count": 2 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1331534.4212910708, "total_return": 0.3315344212910707, "max_drawdown": -0.18248254616752924, "session_count": 439, "transaction_cost": 6628.9880188403595, "gross_traded_notional": 6628988.0188403595, "two_sided_turnover": 5.906751801961628, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.209178803627036, "maximum_issuer_weight": 0.209178803627036, "mean_holdings_count": 20.0, "execution_event_count": 5 } } }, { "run_id": "SMIX-25bps", "strategy_id": "SMIX", "cost_bps_per_side": 25, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1153453.7331622466, "total_return": 0.15345373316224675, "max_drawdown": -0.18333132917442552, "session_count": 250, "transaction_cost": 7970.913407122502, "gross_traded_notional": 3188365.362849001, "two_sided_turnover": 3.006801704692451, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.13356717072027333, "maximum_issuer_weight": 0.13356717072027333, "mean_holdings_count": 20.0, "execution_event_count": 3 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1153453.7331622466, "end_nav": 1319780.159344765, "total_return": 0.14419861100672549, "max_drawdown": -0.13803947511993897, "session_count": 189, "transaction_cost": 8526.248354606512, "gross_traded_notional": 3410499.341842605, "two_sided_turnover": 2.894786442241858, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.20917880362703603, "maximum_issuer_weight": 0.20917880362703603, "mean_holdings_count": 20.0, "execution_event_count": 2 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1319780.159344765, "total_return": 0.3197801593447649, "max_drawdown": -0.18333132917442552, "session_count": 439, "transaction_cost": 16497.161761729014, "gross_traded_notional": 6598864.704691606, "two_sided_turnover": 5.9015881469343086, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.20917880362703603, "maximum_issuer_weight": 0.20917880362703603, "mean_holdings_count": 20.0, "execution_event_count": 5 } } }, { "run_id": "MMIX-0bps", "strategy_id": "MMIX", "cost_bps_per_side": 0, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1122634.1515684242, "total_return": 0.12263415156842417, "max_drawdown": -0.23115096603427132, "session_count": 250, "transaction_cost": 0.0, "gross_traded_notional": 8319126.944226907, "two_sided_turnover": 8.145303948960368, "mean_cash_weight": 1.016394717427358e-17, "maximum_cash_weight": 1.1662711550169131e-16, "maximum_security_weight": 0.11399256694936717, "maximum_issuer_weight": 0.11399256694936717, "mean_holdings_count": 20.0, "execution_event_count": 12 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1122634.1515684242, "end_nav": 1379566.1016853438, "total_return": 0.22886525388343282, "max_drawdown": -0.12570230025274787, "session_count": 189, "transaction_cost": 0.0, "gross_traded_notional": 7264560.270455558, "two_sided_turnover": 5.698994103216123, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.14002490542694315, "maximum_issuer_weight": 0.14002490542694315, "mean_holdings_count": 20.0, "execution_event_count": 10 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1379566.1016853438, "total_return": 0.37956610168534377, "max_drawdown": -0.23115096603427132, "session_count": 439, "transaction_cost": 0.0, "gross_traded_notional": 15583687.214682465, "two_sided_turnover": 13.844298052176491, "mean_cash_weight": 5.7881248145065944e-18, "maximum_cash_weight": 1.1662711550169131e-16, "maximum_security_weight": 0.14002490542694315, "maximum_issuer_weight": 0.14002490542694315, "mean_holdings_count": 20.0, "execution_event_count": 22 } } }, { "run_id": "MMIX-5bps", "strategy_id": "MMIX", "cost_bps_per_side": 5, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1118071.316056411, "total_return": 0.11807131605641108, "max_drawdown": -0.2318551503316737, "session_count": 250, "transaction_cost": 4151.01707243691, "gross_traded_notional": 8302034.144873819, "two_sided_turnover": 8.143868474816076, "mean_cash_weight": 3.616742858466348e-17, "maximum_cash_weight": 2.241292012346167e-16, "maximum_security_weight": 0.11399256694936717, "maximum_issuer_weight": 0.11399256694936717, "mean_holdings_count": 20.0, "execution_event_count": 12 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1118071.316056411, "end_nav": 1370049.598693281, "total_return": 0.2253687032466154, "max_drawdown": -0.12595277699653418, "session_count": 189, "transaction_cost": 3612.0850021103543, "gross_traded_notional": 7224170.004220709, "two_sided_turnover": 5.697939803750658, "mean_cash_weight": 3.939628932308218e-17, "maximum_cash_weight": 2.039980612498522e-16, "maximum_security_weight": 0.14002490542694318, "maximum_issuer_weight": 0.14002490542694318, "mean_holdings_count": 20.0, "execution_event_count": 10 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1370049.598693281, "total_return": 0.370049598693281, "max_drawdown": -0.2318551503316737, "session_count": 439, "transaction_cost": 7763.102074547264, "gross_traded_notional": 15526204.149094528, "two_sided_turnover": 13.841808278566734, "mean_cash_weight": 3.755753036042916e-17, "maximum_cash_weight": 2.241292012346167e-16, "maximum_security_weight": 0.14002490542694318, "maximum_issuer_weight": 0.14002490542694318, "mean_holdings_count": 20.0, "execution_event_count": 22 } } }, { "run_id": "MMIX-10bps", "strategy_id": "MMIX", "cost_bps_per_side": 10, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1113526.9556432338, "total_return": 0.1135269556432339, "max_drawdown": -0.2325587163151912, "session_count": 250, "transaction_cost": 8284.988269923531, "gross_traded_notional": 8284988.269923531, "two_sided_turnover": 8.142433813004512, "mean_cash_weight": 1.9850195054973418e-17, "maximum_cash_weight": 1.1763838466042257e-16, "maximum_security_weight": 0.11399256694936717, "maximum_issuer_weight": 0.11399256694936717, "mean_holdings_count": 20.0, "execution_event_count": 12 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1113526.9556432338, "end_nav": 1360598.8889347417, "total_return": 0.22188231011326143, "max_drawdown": -0.12620323473639217, "session_count": 189, "transaction_cost": 7184.025748125331, "gross_traded_notional": 7184025.748125331, "two_sided_turnover": 5.6968996326106325, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 0.14002490542694315, "maximum_issuer_weight": 0.14002490542694315, "mean_holdings_count": 20.0, "execution_event_count": 10 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1360598.8889347417, "total_return": 0.3605988889347418, "max_drawdown": -0.2325587163151912, "session_count": 439, "transaction_cost": 15469.014018048863, "gross_traded_notional": 15469014.018048862, "two_sided_turnover": 13.839333445615145, "mean_cash_weight": 1.130421130693247e-17, "maximum_cash_weight": 1.1763838466042257e-16, "maximum_security_weight": 0.14002490542694315, "maximum_issuer_weight": 0.14002490542694315, "mean_holdings_count": 20.0, "execution_event_count": 22 } } }, { "run_id": "MMIX-25bps", "strategy_id": "MMIX", "cost_bps_per_side": 25, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1100003.9749026895, "total_return": 0.10000397490268953, "max_drawdown": -0.23466571034661288, "session_count": 250, "transaction_cost": 20585.326822581927, "gross_traded_notional": 8234130.729032771, "two_sided_turnover": 8.138134692352414, "mean_cash_weight": 2.00090458077886e-17, "maximum_cash_weight": 1.1863870768745687e-16, "maximum_security_weight": 0.11399256694936717, "maximum_issuer_weight": 0.11399256694936717, "mean_holdings_count": 20.0, "execution_event_count": 12 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1100003.9749026895, "end_nav": 1332636.963661968, "total_return": 0.2114837710289712, "max_drawdown": -0.12695449395401903, "session_count": 189, "transaction_cost": 17662.39390044773, "gross_traded_notional": 7064957.560179091, "two_sided_turnover": 5.693782517241624, "mean_cash_weight": 1.984942056662626e-17, "maximum_cash_weight": 1.826804172797274e-16, "maximum_security_weight": 0.14002490542694315, "maximum_issuer_weight": 0.14002490542694315, "mean_holdings_count": 20.0, "execution_event_count": 10 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1332636.963661968, "total_return": 0.33263696366196793, "max_drawdown": -0.23466571034661288, "session_count": 439, "transaction_cost": 38247.720723029655, "gross_traded_notional": 15299088.289211862, "two_sided_turnover": 13.831917209594039, "mean_cash_weight": 1.994032332355242e-17, "maximum_cash_weight": 1.826804172797274e-16, "maximum_security_weight": 0.14002490542694315, "maximum_issuer_weight": 0.14002490542694315, "mean_holdings_count": 20.0, "execution_event_count": 22 } } } ], "benchmarks": [ { "run_id": "SPY-0bps", "strategy_id": "SPY", "cost_bps_per_side": 0, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1170579.6394446227, "total_return": 0.17057963944462262, "max_drawdown": -0.1875522908467665, "session_count": 250, "transaction_cost": 0.0, "gross_traded_notional": 1000000.0, "two_sided_turnover": 1.0, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 1 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1170579.6394446227, "end_nav": 1331478.4453163124, "total_return": 0.13745225053463894, "max_drawdown": -0.08884972983911332, "session_count": 189, "transaction_cost": 0.0, "gross_traded_notional": 0.0, "two_sided_turnover": 0.0, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 0 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1331478.4453163124, "total_return": 0.33147844531631243, "max_drawdown": -0.1875522908467665, "session_count": 439, "transaction_cost": 0.0, "gross_traded_notional": 1000000.0, "two_sided_turnover": 1.0, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 1 } } }, { "run_id": "SPY-5bps", "strategy_id": "SPY", "cost_bps_per_side": 5, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1169994.6421235611, "total_return": 0.1699946421235612, "max_drawdown": -0.1875522908467664, "session_count": 250, "transaction_cost": 499.7501249375313, "gross_traded_notional": 999500.2498750626, "two_sided_turnover": 0.9995002498750626, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 1 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1169994.6421235611, "end_nav": 1330813.038796914, "total_return": 0.13745225053463894, "max_drawdown": -0.08884972983911343, "session_count": 189, "transaction_cost": 0.0, "gross_traded_notional": 0.0, "two_sided_turnover": 0.0, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 0 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1330813.038796914, "total_return": 0.33081303879691415, "max_drawdown": -0.1875522908467664, "session_count": 439, "transaction_cost": 499.7501249375313, "gross_traded_notional": 999500.2498750626, "two_sided_turnover": 0.9995002498750626, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 1 } } }, { "run_id": "SPY-10bps", "strategy_id": "SPY", "cost_bps_per_side": 10, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1169410.2292154075, "total_return": 0.1694102292154076, "max_drawdown": -0.1875522908467666, "session_count": 250, "transaction_cost": 999.0009990009992, "gross_traded_notional": 999000.9990009991, "two_sided_turnover": 0.9990009990009991, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 1 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1169410.2292154075, "end_nav": 1330148.297019293, "total_return": 0.13745225053463872, "max_drawdown": -0.08884972983911332, "session_count": 189, "transaction_cost": 0.0, "gross_traded_notional": 0.0, "two_sided_turnover": 0.0, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 0 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1330148.297019293, "total_return": 0.33014829701929305, "max_drawdown": -0.1875522908467666, "session_count": 439, "transaction_cost": 999.0009990009992, "gross_traded_notional": 999000.9990009991, "two_sided_turnover": 0.9990009990009991, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 1 } } }, { "run_id": "SPY-25bps", "strategy_id": "SPY", "cost_bps_per_side": 25, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1167660.4882240628, "total_return": 0.16766048822406288, "max_drawdown": -0.1875522908467665, "session_count": 250, "transaction_cost": 2493.7655860349128, "gross_traded_notional": 997506.2344139651, "two_sided_turnover": 0.9975062344139651, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 1 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1167660.4882240628, "end_nav": 1328158.0501908353, "total_return": 0.13745225053463872, "max_drawdown": -0.08884972983911332, "session_count": 189, "transaction_cost": 0.0, "gross_traded_notional": 0.0, "two_sided_turnover": 0.0, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 0 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1328158.0501908353, "total_return": 0.3281580501908352, "max_drawdown": -0.1875522908467665, "session_count": 439, "transaction_cost": 2493.7655860349128, "gross_traded_notional": 997506.2344139651, "two_sided_turnover": 0.9975062344139651, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 1 } } }, { "run_id": "SPMO-0bps", "strategy_id": "SPMO", "cost_bps_per_side": 0, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1255378.1548740438, "total_return": 0.2553781548740437, "max_drawdown": -0.20127171626256213, "session_count": 250, "transaction_cost": 0.0, "gross_traded_notional": 1000000.0, "two_sided_turnover": 1.0, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 1 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1255378.1548740438, "end_nav": 1621832.0409274346, "total_return": 0.29190717126199983, "max_drawdown": -0.15643950968186948, "session_count": 189, "transaction_cost": 0.0, "gross_traded_notional": 0.0, "two_sided_turnover": 0.0, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 0 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1621832.0409274346, "total_return": 0.6218320409274345, "max_drawdown": -0.20127171626256213, "session_count": 439, "transaction_cost": 0.0, "gross_traded_notional": 1000000.0, "two_sided_turnover": 1.0, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 1 } } }, { "run_id": "SPMO-5bps", "strategy_id": "SPMO", "cost_bps_per_side": 5, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1254750.7794843016, "total_return": 0.2547507794843016, "max_drawdown": -0.20127171626256213, "session_count": 250, "transaction_cost": 499.7501249375313, "gross_traded_notional": 999500.2498750626, "two_sided_turnover": 0.9995002498750626, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 1 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1254750.7794843016, "end_nav": 1621021.5301623535, "total_return": 0.29190717126200005, "max_drawdown": -0.1564395096818696, "session_count": 189, "transaction_cost": 0.0, "gross_traded_notional": 0.0, "two_sided_turnover": 0.0, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 0 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1621021.5301623535, "total_return": 0.6210215301623536, "max_drawdown": -0.20127171626256213, "session_count": 439, "transaction_cost": 499.7501249375313, "gross_traded_notional": 999500.2498750626, "two_sided_turnover": 0.9995002498750626, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 1 } } }, { "run_id": "SPMO-10bps", "strategy_id": "SPMO", "cost_bps_per_side": 10, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1254124.0308432006, "total_return": 0.2541240308432007, "max_drawdown": -0.20127171626256213, "session_count": 250, "transaction_cost": 999.0009990009992, "gross_traded_notional": 999000.9990009991, "two_sided_turnover": 0.9990009990009991, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 1 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1254124.0308432006, "end_nav": 1620211.8290983366, "total_return": 0.29190717126200005, "max_drawdown": -0.1564395096818696, "session_count": 189, "transaction_cost": 0.0, "gross_traded_notional": 0.0, "two_sided_turnover": 0.0, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 0 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1620211.8290983366, "total_return": 0.6202118290983367, "max_drawdown": -0.20127171626256213, "session_count": 439, "transaction_cost": 999.0009990009992, "gross_traded_notional": 999000.9990009991, "two_sided_turnover": 0.9990009990009991, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 1 } } }, { "run_id": "SPMO-25bps", "strategy_id": "SPMO", "cost_bps_per_side": 25, "metrics": { "year2025": { "start_session": "2024-12-31", "end_session": "2025-12-31", "start_nav": 1000000.0, "end_nav": 1252247.5360339587, "total_return": 0.25224753603395866, "max_drawdown": -0.20127171626256213, "session_count": 250, "transaction_cost": 2493.7655860349128, "gross_traded_notional": 997506.2344139651, "two_sided_turnover": 0.9975062344139651, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 1 }, "ytd2026": { "start_session": "2025-12-31", "end_session": "2026-10-02", "start_nav": 1252247.5360339587, "end_nav": 1617787.571997441, "total_return": 0.29190717126200005, "max_drawdown": -0.15643950968186948, "session_count": 189, "transaction_cost": 0.0, "gross_traded_notional": 0.0, "two_sided_turnover": 0.0, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 0 }, "full_period": { "start_session": "2024-12-31", "end_session": "2026-10-02", "start_nav": 1000000.0, "end_nav": 1617787.571997441, "total_return": 0.6177875719974408, "max_drawdown": -0.20127171626256213, "session_count": 439, "transaction_cost": 2493.7655860349128, "gross_traded_notional": 997506.2344139651, "two_sided_turnover": 0.9975062344139651, "mean_cash_weight": 0.0, "maximum_cash_weight": 0.0, "maximum_security_weight": 1.0, "maximum_issuer_weight": 1.0, "mean_holdings_count": 1.0, "execution_event_count": 1 } } } ], "comparisons": [ { "cost_bps_per_side": 0, "period": "year2025", "primary_frequency_difference_pp": -6.677499834457046, "replication_frequency_difference_pp": -3.9534445965367704, "interaction_difference_pp": 2.7240552379202754 }, { "cost_bps_per_side": 0, "period": "ytd2026", "primary_frequency_difference_pp": 8.976477158256069, "replication_frequency_difference_pp": 7.634079192015397, "interaction_difference_pp": -1.3423979662406715 }, { "cost_bps_per_side": 0, "period": "full_period", "primary_frequency_difference_pp": 1.7371119965482462, "replication_frequency_difference_pp": 4.013836410209204, "interaction_difference_pp": 2.2767244136609577 }, { "cost_bps_per_side": 5, "period": "year2025", "primary_frequency_difference_pp": -6.929817360411938, "replication_frequency_difference_pp": -4.234897705059715, "interaction_difference_pp": 2.6949196553522237 }, { "cost_bps_per_side": 5, "period": "ytd2026", "primary_frequency_difference_pp": 8.838553813462614, "replication_frequency_difference_pp": 7.451383573959647, "interaction_difference_pp": -1.387170239502967 }, { "cost_bps_per_side": 5, "period": "full_period", "primary_frequency_difference_pp": 1.233099851924302, "replication_frequency_difference_pp": 3.457425601715891, "interaction_difference_pp": 2.224325749791589 }, { "cost_bps_per_side": 10, "period": "year2025", "primary_frequency_difference_pp": -7.180855303221612, "replication_frequency_difference_pp": -4.514770350551456, "interaction_difference_pp": 2.6660849526701558 }, { "cost_bps_per_side": 10, "period": "ytd2026", "primary_frequency_difference_pp": 8.701105410044473, "replication_frequency_difference_pp": 7.269482182442766, "interaction_difference_pp": -1.4316232276017073 }, { "cost_bps_per_side": 10, "period": "full_period", "primary_frequency_difference_pp": 0.7333483987896239, "replication_frequency_difference_pp": 2.90644676436711, "interaction_difference_pp": 2.173098365577486 }, { "cost_bps_per_side": 25, "period": "year2025", "primary_frequency_difference_pp": -7.926344476118818, "replication_frequency_difference_pp": -5.344975825955722, "interaction_difference_pp": 2.581368650163096 }, { "cost_bps_per_side": 25, "period": "ytd2026", "primary_frequency_difference_pp": 8.291597062707833, "replication_frequency_difference_pp": 6.728516002224572, "interaction_difference_pp": -1.5630810604832615 }, { "cost_bps_per_side": 25, "period": "full_period", "primary_frequency_difference_pp": -0.7406281203068632, "replication_frequency_difference_pp": 1.285680431720304, "interaction_difference_pp": 2.0263085520271673 } ], "limitations": [ "Baseline issuer cohort and restricted position count differ from the full historical S&P 500 protocol", "No unavailable baseline security is replaced using future price coverage", "Membership observations are assumed known at the recorded session close", "Capitalization values are dated vendor observations, not proven historical publication vintages", "One primary security class represents each baseline issuer; weights use issuer capitalization rather than verified class capitalization", "Vendor-adjusted units approximate reinvested total returns; no raw-share corporate-action ledger", "Missing held or required signal prices stop execution; delisting settlements are not inferred" ], "metadata": { "title": "A fixed-cohort stock experiment", "cohort_size": 100, "selected_count": 20, "date_start": "2024-12-31", "report_anchor": "2025-12-31", "end": "2026-10-02", "generated_at_utc": "2026-10-09T03:50:46.010870+00:00", "config_sha256": "245fa15b7d5b0387fa1854cb45e9db600caaa791174648c2a95386bee1ffd328", "pre_acquisition_design_sha256": "6c1ffc5915d13dd758b9cecd5b3800c4a96d942d143e6470671bec36f8b00906", "audit_policy_sha256": "623350d11a46e492211572b1abcffcf840eac67d11781aeae421901233306f02", "code_sha256": { "stock_pilot/engine.py": "628c2be41ead033baa6d3f9bdf20bbb71dedc522e562a0cf145589e8b06eb5f6", "scripts/run_stock_pilot.py": "534ed65ef8a14440b36b72b814364117c277e067fc1f7c26b3a35a5cf5f5e9da", "spmo_lab/signals.py": "9a6fcef67acce9671a9fe96eb3259ad3268a014712a54c6163fb55f28a4a0aa0", "pilot/engine.py": "836242d8ec3e16b4b8d939fafd7cb3eb42d5dab5b48c8937f2812475b2d30105" }, "limitations": [ "Fixed 100 largest baseline issuers, selecting 20; not the original 75-stock historical-universe experiment.", "Cohort selected with 2024-12-31 capitalization before future price coverage or portfolio returns were inspected; no replacements.", "Historical DAILY issuer capitalization is a downloaded snapshot, not a certified point-in-time vintage.", "One Sharadar fundamental share-class representative per issuer; no issuer cap duplicated across share classes.", "Membership effective dates are treated as known by that close; original announcement timestamps are not verified.", "Yahoo Close contains corporate-action adjustments, including composite spin-off ratios; the signal is not a verified split-only series.", "Adjusted OHLC supplies a vendor-price portfolio proxy, not verified raw-share total returns or payment-date cash accounting.", "Spin-off adjustment and entitlement completeness are not independently validated.", "One FISV daily-null row is reconstructed from seven observed hourly bars; the official closing auction is not independently verified.", "The short 2025\u20132026 window cannot establish long-run superiority or an investable capacity claim." ], "dataset_audit": { "passed": true, "scope": "fixed_baseline_issuer_stock_pilot_only", "formal_protocol_compliant": false, "cohort_size": 100, "initial_membership_size": 503, "baseline_cap_records": 500, "baseline_metadata_records": 503, "secondary_classes_excluded": [ { "ticker": "FOX", "representative": "FOXA" }, { "ticker": "GOOG", "representative": "GOOGL" }, { "ticker": "NWS", "representative": "NWSA" } ], "price_symbols": 102, "stock_price_series": 100, "benchmark_price_series": 2, "common_sessions": 711, "price_rows": 72522, "missing_price_sessions": 0, "capitalization_rows": 44000, "membership_changes_in_holding_period": 70, "cohort_membership_removals": 0, "actions": 643, "action_types": { "dividend": 581, "acquisitionof": 39, "split": 5, "relation": 2, "spinoffdividend": 4, "spinoff": 4, "tickerchangeto": 2, "tickerchangefrom": 2, "exchangeto": 2, "exchangefrom": 2 }, "terminal_actions": 0, "large_adjusted_returns": [], "sourced_price_reconstructions": [ { "symbol": "FISV", "date": "2025-11-12", "hourly_bars": 7, "source_sha256": "5ffa4ee9f1c2829aace8109fb03e5be95d4f5202c94991f963a91fa68c9de868", "quarantined_out_of_session_rows": 1, "acquisition_receipts_sha256": "17ed2b6b19df580ac80f5a61e2892ae1264c2e2e233959f409b43b4205b300f5", "adjustment_factor": 1, "official_closing_auction_verified": false, "original_daily_null_row_preserved": true, "volume_not_used": true } ], "exchange_calendar": { "name": "XNYS", "version": "4.11.2" }, "paid_manifest_sha256": "7d1163d741230f5335659c1a19ee905f2a3bdaf74f8c83fd1b00ad2790fa8039", "membership_snapshot_sha256": "f15c6489599ca796832a9417b765e5ab56d98c1668c146fbab6fec120fa0906b", "membership_events_sha256": "9ec8f268808837e1bde5be218a4db8c88c4a602667a526ee85aa81dd6656efda", "selection_used_future_price_coverage": false, "missing_data_replacements": 0, "all_source_prices_are_vendor_proxies": true, "historical_vintages_verified": false, "cash_payment_and_spinoff_entitlements_reconstructed": false } } }