{ "account_count": 108, "calendar_comparisons": [ { "cagr_difference_pp": 0.5356115935404526, "contrast": "C-A", "cost_bps_per_side": 0.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 76.35335233080744, "high_cagr": 0.08288467892047668, "high_run_id": "M12-0bps", "high_total_return": 6.320744159552981, "log_growth_difference": 0.1239607035658809, "low_cagr": 0.07752856298507216, "low_run_id": "S12-01-07-0bps", "low_total_return": 5.467251945755927, "max_drawdown_difference_pp": 17.71925556747922, "net_return_difference_pp": 85.3492213797054, "phase": [ 1, 7 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": 0.6998461316420901, "contrast": "C-A", "cost_bps_per_side": 0.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 78.91327657118903, "high_cagr": 0.08288467892047668, "high_run_id": "M12-0bps", "high_total_return": 6.320744159552981, "log_growth_difference": 0.16209422327264467, "low_cagr": 0.07588621760405578, "low_run_id": "S12-02-08-0bps", "low_total_return": 5.225275887678914, "max_drawdown_difference_pp": 20.525203867259023, "net_return_difference_pp": 109.54682718740668, "phase": [ 2, 8 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.3205485582751688, "contrast": "C-A", "cost_bps_per_side": 0.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 79.54544217454766, "high_cagr": 0.08288467892047668, "high_run_id": "M12-0bps", "high_total_return": 6.320744159552981, "log_growth_difference": -0.07389407779917172, "low_cagr": 0.08609016450322837, "low_run_id": "S12-03-09-0bps", "low_total_return": 6.8821921889406115, "max_drawdown_difference_pp": 2.3431333402976096, "net_return_difference_pp": -56.14480293876305, "phase": [ 3, 9 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.7573322340687749, "contrast": "C-A", "cost_bps_per_side": 0.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 76.81329209221309, "high_cagr": 0.08288467892047668, "high_run_id": "M12-0bps", "high_total_return": 6.320744159552981, "log_growth_difference": -0.17423283183970611, "low_cagr": 0.09045800126116443, "low_run_id": "S12-04-10-0bps", "low_total_return": 7.714121021671016, "max_drawdown_difference_pp": 13.160146112392734, "net_return_difference_pp": -139.33768621180346, "phase": [ 4, 10 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.652110199195266, "contrast": "C-A", "cost_bps_per_side": 0.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 76.97823957544358, "high_cagr": 0.08288467892047668, "high_run_id": "M12-0bps", "high_total_return": 6.320744159552981, "log_growth_difference": -0.15009782764673366, "low_cagr": 0.08940578091242934, "low_run_id": "S12-05-11-0bps", "low_total_return": 7.506323359715889, "max_drawdown_difference_pp": 14.734243289783445, "net_return_difference_pp": -118.55792001629082, "phase": [ 5, 11 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": 0.5294539853225366, "contrast": "C-A", "cost_bps_per_side": 0.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 78.13238241150114, "high_cagr": 0.08288467892047668, "high_run_id": "M12-0bps", "high_total_return": 6.320744159552981, "log_growth_difference": 0.12253210285499876, "low_cagr": 0.07759013906725132, "low_run_id": "S12-06-12-0bps", "low_total_return": 5.476497669134117, "max_drawdown_difference_pp": 12.489682840506443, "net_return_difference_pp": 84.42464904188638, "phase": [ 6, 12 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": 0.3700155011041151, "contrast": "C-A", "cost_bps_per_side": 5.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 76.34058867863604, "high_cagr": 0.08015815793334946, "high_run_id": "M12-5bps", "high_total_return": 5.873592007254526, "log_growth_difference": 0.08578621242224013, "low_cagr": 0.07645800292230831, "low_run_id": "S12-01-07-5bps", "low_total_return": 5.308516912012053, "max_drawdown_difference_pp": 17.68804121185309, "net_return_difference_pp": 56.50750952424737, "phase": [ 1, 7 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": 0.5285837858147957, "contrast": "C-A", "cost_bps_per_side": 5.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 78.89841058678539, "high_cagr": 0.08015815793334946, "high_run_id": "M12-5bps", "high_total_return": 5.873592007254526, "log_growth_difference": 0.12263976106860933, "low_cagr": 0.0748723200752015, "low_run_id": "S12-02-08-5bps", "low_total_return": 5.080257594305533, "max_drawdown_difference_pp": 20.57560418719735, "net_return_difference_pp": 79.3334412948993, "phase": [ 2, 8 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.4922203207077702, "contrast": "C-A", "cost_bps_per_side": 5.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 79.52971756094499, "high_cagr": 0.08015815793334946, "high_run_id": "M12-5bps", "high_total_return": 5.873592007254526, "log_growth_difference": -0.11366442178928096, "low_cagr": 0.08508036114042716, "low_run_id": "S12-03-09-5bps", "low_total_return": 6.701008123526112, "max_drawdown_difference_pp": 2.4948768523958664, "net_return_difference_pp": -82.74161162715856, "phase": [ 3, 9 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.9226467093651047, "contrast": "C-A", "cost_bps_per_side": 5.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 76.79986540575484, "high_cagr": 0.08015815793334946, "high_run_id": "M12-5bps", "high_total_return": 5.873592007254526, "log_growth_difference": -0.21263749184801486, "low_cagr": 0.08938462502700051, "low_run_id": "S12-04-10-5bps", "low_total_return": 7.502194575130806, "max_drawdown_difference_pp": 13.11096497369444, "net_return_difference_pp": -162.860256787628, "phase": [ 4, 10 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.8178863504381129, "contrast": "C-A", "cost_bps_per_side": 5.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 76.96448271661436, "high_cagr": 0.08015815793334946, "high_run_id": "M12-5bps", "high_total_return": 5.873592007254526, "log_growth_difference": -0.18858474682018805, "low_cagr": 0.08833702143773059, "low_run_id": "S12-05-11-5bps", "low_total_return": 7.300133262975658, "max_drawdown_difference_pp": 14.703405294413718, "net_return_difference_pp": -142.65412557211317, "phase": [ 5, 11 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": 0.3600346113962871, "contrast": "C-A", "cost_bps_per_side": 5.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 78.11836410209933, "high_cagr": 0.08015815793334946, "high_run_id": "M12-5bps", "high_total_return": 5.873592007254526, "log_growth_difference": 0.08346832658818244, "low_cagr": 0.07655781181938659, "low_run_id": "S12-06-12-5bps", "low_total_return": 5.3231562936496895, "max_drawdown_difference_pp": 12.460931627190174, "net_return_difference_pp": 55.04357136048368, "phase": [ 6, 12 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": 0.20501516791431307, "contrast": "C-A", "cost_bps_per_side": 10.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 76.32856511200934, "high_cagr": 0.07743851770991617, "high_run_id": "M12-10bps", "high_total_return": 5.453754348102194, "log_growth_difference": 0.047615354359891185, "low_cagr": 0.07538836603077304, "low_run_id": "S12-01-07-10bps", "low_total_return": 5.153657845169965, "max_drawdown_difference_pp": 17.53224716197287, "net_return_difference_pp": 30.00965029322291, "phase": [ 1, 7 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": 0.35792791662156986, "contrast": "C-A", "cost_bps_per_side": 10.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 78.8842867030904, "high_cagr": 0.07743851770991617, "high_run_id": "M12-10bps", "high_total_return": 5.453754348102194, "log_growth_difference": 0.08318891372615987, "low_cagr": 0.07385923854370047, "low_run_id": "S12-02-08-10bps", "low_total_return": 4.938598229456834, "max_drawdown_difference_pp": 20.501218866178228, "net_return_difference_pp": 51.51561186453604, "phase": [ 2, 8 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.6632811780379555, "contrast": "C-A", "cost_bps_per_side": 10.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 79.51453048469992, "high_cagr": 0.07743851770991617, "high_run_id": "M12-10bps", "high_total_return": 5.453754348102194, "log_growth_difference": -0.15343054319107252, "low_cagr": 0.08407132949029572, "low_run_id": "S12-03-09-10bps", "low_total_return": 6.523959842235254, "max_drawdown_difference_pp": 2.521462312609657, "net_return_difference_pp": -107.02054941330594, "phase": [ 3, 9 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": -1.0873662818958074, "contrast": "C-A", "cost_bps_per_side": 10.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 76.78717936214815, "high_cagr": 0.07743851770991617, "high_run_id": "M12-10bps", "high_total_return": 5.453754348102194, "log_growth_difference": -0.25103891681048385, "low_cagr": 0.08831218052887424, "low_run_id": "S12-04-10-10bps", "low_total_return": 7.295398369576603, "max_drawdown_difference_pp": 12.937210127674103, "net_return_difference_pp": -184.16440214744085, "phase": [ 4, 10 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.9830640570333227, "contrast": "C-A", "cost_bps_per_side": 10.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 76.95126471979506, "high_cagr": 0.07743851770991617, "high_run_id": "M12-10bps", "high_total_return": 5.453754348102194, "log_growth_difference": -0.22706779906989782, "low_cagr": 0.08726915828024939, "low_run_id": "S12-05-11-10bps", "low_total_return": 7.098912796489094, "max_drawdown_difference_pp": 14.547987479378289, "net_return_difference_pp": -164.51584483868996, "phase": [ 5, 11 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": 0.19122212603186473, "contrast": "C-A", "cost_bps_per_side": 10.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 78.10469679499755, "high_cagr": 0.07743851770991617, "high_run_id": "M12-10bps", "high_total_return": 5.453754348102194, "log_growth_difference": 0.0444090342436261, "low_cagr": 0.07552629644959752, "low_run_id": "S12-06-12-10bps", "low_total_return": 5.173420107246292, "max_drawdown_difference_pp": 12.307599898845966, "net_return_difference_pp": 28.03342408559022, "phase": [ 6, 12 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.2864574933488129, "contrast": "C-A", "cost_bps_per_side": 25.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 76.29526422075784, "high_cagr": 0.06932034063102543, "high_run_id": "M12-25bps", "high_total_return": 4.3418993566164295, "log_growth_difference": -0.06688231639231726, "low_cagr": 0.07218491556451356, "low_run_id": "S12-01-07-25bps", "low_total_return": 4.7113966495797746, "max_drawdown_difference_pp": 17.227382904972956, "net_return_difference_pp": -36.94972929633451, "phase": [ 1, 7 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.15045323631919238, "contrast": "C-A", "cost_bps_per_side": 25.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 78.8452587622487, "high_cagr": 0.06932034063102543, "high_run_id": "M12-25bps", "high_total_return": 4.3418993566164295, "log_growth_difference": -0.03515024591480603, "low_cagr": 0.07082487299421736, "low_run_id": "S12-02-08-25bps", "low_total_return": 4.533007505462817, "max_drawdown_difference_pp": 20.279246310623698, "net_return_difference_pp": -19.11081488463875, "phase": [ 2, 8 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": -1.1728453636248748, "contrast": "C-A", "cost_bps_per_side": 25.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 79.47181641460101, "high_cagr": 0.06932034063102543, "high_run_id": "M12-25bps", "high_total_return": 4.3418993566164295, "log_growth_difference": -0.2727106185331824, "low_cagr": 0.08104879426727418, "low_run_id": "S12-03-09-25bps", "low_total_return": 6.01669207801873, "max_drawdown_difference_pp": 2.600179919396828, "net_return_difference_pp": -167.47927214023005, "phase": [ 3, 9 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": -1.578008604541803, "contrast": "C-A", "cost_bps_per_side": 25.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 76.75253109237671, "high_cagr": 0.06932034063102543, "high_run_id": "M12-25bps", "high_total_return": 4.3418993566164295, "log_growth_difference": -0.36623227195621916, "low_cagr": 0.08510042667644346, "low_run_id": "S12-04-10-25bps", "low_total_return": 6.704569130533951, "max_drawdown_difference_pp": 12.418395513348447, "net_return_difference_pp": -236.26697739175216, "phase": [ 4, 10 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": -1.4750512258773218, "contrast": "C-A", "cost_bps_per_side": 25.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 76.91425307665715, "high_cagr": 0.06932034063102543, "high_run_id": "M12-25bps", "high_total_return": 4.3418993566164295, "log_growth_difference": -0.3425003086562601, "low_cagr": 0.08407085288979865, "low_run_id": "S12-05-11-25bps", "low_total_return": 6.523877146936859, "max_drawdown_difference_pp": 14.084233748942875, "net_return_difference_pp": -218.19777903204294, "phase": [ 5, 11 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.31162090328389347, "contrast": "C-A", "cost_bps_per_side": 25.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 78.0665220491982, "high_cagr": 0.06932034063102543, "high_run_id": "M12-25bps", "high_total_return": 4.3418993566164295, "log_growth_difference": -0.07274894844336578, "low_cagr": 0.07243654966386437, "low_run_id": "S12-06-12-25bps", "low_total_return": 4.7450017903350385, "max_drawdown_difference_pp": 11.850013825323524, "net_return_difference_pp": -40.310243371860906, "phase": [ 6, 12 ], "signal": "12-1", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.15265740349210688, "contrast": "C-A", "cost_bps_per_side": 0.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 84.89519892946774, "high_cagr": 0.07582650014306624, "high_run_id": "MMIX-0bps", "high_total_return": 5.2166432331594725, "log_growth_difference": -0.03544930271748478, "low_cagr": 0.07735307417798731, "low_run_id": "SMIX-01-07-0bps", "low_total_return": 5.440971550825241, "max_drawdown_difference_pp": 16.01061300483234, "net_return_difference_pp": -22.43283176657682, "phase": [ 1, 7 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.5693428354339725, "contrast": "C-A", "cost_bps_per_side": 0.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 92.74413789505067, "high_cagr": 0.07582650014306624, "high_run_id": "MMIX-0bps", "high_total_return": 5.2166432331594725, "log_growth_difference": -0.13195473607417982, "low_cagr": 0.08151992849740597, "low_run_id": "SMIX-02-08-0bps", "low_total_return": 6.093542222438861, "max_drawdown_difference_pp": 17.322087691076405, "net_return_difference_pp": -87.68989892793888, "phase": [ 2, 8 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -1.3967119554250118, "contrast": "C-A", "cost_bps_per_side": 0.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 88.39141040044262, "high_cagr": 0.07582650014306624, "high_run_id": "MMIX-0bps", "high_total_return": 5.2166432331594725, "log_growth_difference": -0.32247837672011886, "low_cagr": 0.08979361969731636, "low_run_id": "SMIX-03-09-0bps", "low_total_return": 7.5823559724403875, "max_drawdown_difference_pp": -1.855765264467879, "net_return_difference_pp": -236.5712739280915, "phase": [ 3, 9 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.2993892021563749, "contrast": "C-A", "cost_bps_per_side": 0.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 88.28618477774947, "high_cagr": 0.07582650014306624, "high_run_id": "MMIX-0bps", "high_total_return": 5.2166432331594725, "log_growth_difference": -0.06947528059114494, "low_cagr": 0.07882039216463, "low_run_id": "SMIX-04-10-0bps", "low_total_return": 5.663903130642591, "max_drawdown_difference_pp": 11.228287800488989, "net_return_difference_pp": -44.725989748311875, "phase": [ 4, 10 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": 0.9612049282000878, "contrast": "C-A", "cost_bps_per_side": 0.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 82.93807925349273, "high_cagr": 0.07582650014306624, "high_run_id": "MMIX-0bps", "high_total_return": 5.2166432331594725, "log_growth_difference": 0.22436811478394036, "low_cagr": 0.06621445086106537, "low_run_id": "SMIX-05-11-0bps", "low_total_return": 3.9672281745209164, "max_drawdown_difference_pp": 21.084976551458723, "net_return_difference_pp": 124.94150586385561, "phase": [ 5, 11 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.5388943753803721, "contrast": "C-A", "cost_bps_per_side": 0.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 85.62385871839263, "high_cagr": 0.07582650014306624, "high_run_id": "MMIX-0bps", "high_total_return": 5.2166432331594725, "log_growth_difference": -0.12491539583787203, "low_cagr": 0.08121544389686997, "low_run_id": "SMIX-06-12-0bps", "low_total_return": 6.043783704294563, "max_drawdown_difference_pp": 10.55782452860271, "net_return_difference_pp": -82.714047113509, "phase": [ 6, 12 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.33481007458897594, "contrast": "C-A", "cost_bps_per_side": 5.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 84.88038118511555, "high_cagr": 0.07287792004811866, "high_run_id": "MMIX-5bps", "high_total_return": 4.8044047496111215, "log_growth_difference": -0.0778953356083996, "low_cagr": 0.07622602079400842, "low_run_id": "SMIX-01-07-5bps", "low_total_return": 5.27461673158483, "max_drawdown_difference_pp": 15.939553339655143, "net_return_difference_pp": -47.02119819737085, "phase": [ 1, 7 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.7680220229538959, "contrast": "C-A", "cost_bps_per_side": 5.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 92.72632634358824, "high_cagr": 0.07287792004811866, "high_run_id": "MMIX-5bps", "high_total_return": 4.8044047496111215, "log_growth_difference": -0.178325535992, "low_cagr": 0.08055814027765762, "low_run_id": "SMIX-02-08-5bps", "low_total_return": 5.93750781046126, "max_drawdown_difference_pp": 17.214969870829165, "net_return_difference_pp": -113.31030608501385, "phase": [ 2, 8 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -1.585171022949261, "contrast": "C-A", "cost_bps_per_side": 5.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 88.37178111405368, "high_cagr": 0.07287792004811866, "high_run_id": "MMIX-5bps", "high_total_return": 4.8044047496111215, "log_growth_difference": -0.36667142446932255, "low_cagr": 0.08872963027761127, "low_run_id": "SMIX-03-09-5bps", "low_total_return": 7.375313362101599, "max_drawdown_difference_pp": -2.048156434393744, "net_return_difference_pp": -257.09086124904775, "phase": [ 3, 9 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.4887001397936963, "contrast": "C-A", "cost_bps_per_side": 5.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 88.2697714438209, "high_cagr": 0.07287792004811866, "high_run_id": "MMIX-5bps", "high_total_return": 4.8044047496111215, "log_growth_difference": -0.1136174197569722, "low_cagr": 0.07776492144605562, "low_run_id": "SMIX-04-10-5bps", "low_total_return": 5.502810633980396, "max_drawdown_difference_pp": 11.035896630563148, "net_return_difference_pp": -69.84058843692749, "phase": [ 4, 10 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": 0.7820578237952569, "contrast": "C-A", "cost_bps_per_side": 5.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 82.92250279328047, "high_cagr": 0.07287792004811866, "high_run_id": "MMIX-5bps", "high_total_return": 4.8044047496111215, "log_growth_difference": 0.18290107423144103, "low_cagr": 0.06505734181016609, "low_run_id": "SMIX-05-11-5bps", "low_total_return": 3.834201641944351, "max_drawdown_difference_pp": 20.908166121632156, "net_return_difference_pp": 97.02031076667703, "phase": [ 5, 11 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.7222126930123363, "contrast": "C-A", "cost_bps_per_side": 5.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 85.60542690574411, "high_cagr": 0.07287792004811866, "high_run_id": "MMIX-5bps", "high_total_return": 4.8044047496111215, "log_growth_difference": -0.16772475450371185, "low_cagr": 0.08010004697824202, "low_run_id": "SMIX-06-12-5bps", "low_total_return": 5.864353238973232, "max_drawdown_difference_pp": 10.385863284058871, "net_return_difference_pp": -105.99484893621103, "phase": [ 6, 12 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.5162611918500204, "contrast": "C-A", "cost_bps_per_side": 10.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 84.86607276515291, "high_cagr": 0.06993737017901758, "high_run_id": "MMIX-10bps", "high_total_return": 4.419496180174849, "log_growth_difference": -0.12033874098444788, "low_cagr": 0.07509998209751778, "low_run_id": "SMIX-01-07-10bps", "low_total_return": 5.112535095796203, "max_drawdown_difference_pp": 15.868786012713032, "net_return_difference_pp": -69.30389156213543, "phase": [ 1, 7 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.9659697891428953, "contrast": "C-A", "cost_bps_per_side": 10.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 92.70902703401563, "high_cagr": 0.06993737017901758, "high_run_id": "MMIX-10bps", "high_total_return": 4.419496180174849, "log_growth_difference": -0.22469430462146292, "low_cagr": 0.07959706807044653, "low_run_id": "SMIX-02-08-10bps", "low_total_return": 5.784883752086214, "max_drawdown_difference_pp": 17.10829516224107, "net_return_difference_pp": -136.53875719113654, "phase": [ 2, 8 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -1.7729032757858754, "contrast": "C-A", "cost_bps_per_side": 10.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 88.3523092360176, "high_cagr": 0.06993737017901758, "high_run_id": "MMIX-10bps", "high_total_return": 4.419496180174849, "log_growth_difference": -0.41085930630771744, "low_cagr": 0.08766640293687633, "low_run_id": "SMIX-03-09-10bps", "low_total_return": 7.17321350784402, "max_drawdown_difference_pp": -2.2399712874726307, "net_return_difference_pp": -275.3717327669171, "phase": [ 3, 9 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.6773001393079792, "contrast": "C-A", "cost_bps_per_side": 10.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 88.25386695433022, "high_cagr": 0.06993737017901758, "high_run_id": "MMIX-10bps", "high_total_return": 4.419496180174849, "log_growth_difference": -0.15775815790669384, "low_cagr": 0.07671037157209737, "low_run_id": "SMIX-04-10-10bps", "low_total_return": 5.345595900787915, "max_drawdown_difference_pp": 10.84408177748426, "net_return_difference_pp": -92.60997206130659, "phase": [ 4, 10 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": 0.603608114905696, "contrast": "C-A", "cost_bps_per_side": 10.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 82.90743652408096, "high_cagr": 0.06993737017901758, "high_run_id": "MMIX-10bps", "high_total_return": 4.419496180174849, "log_growth_difference": 0.1414375267524569, "low_cagr": 0.06390128902996062, "low_run_id": "SMIX-05-11-10bps", "low_total_return": 3.704715617945906, "max_drawdown_difference_pp": 20.73192681680315, "net_return_difference_pp": 71.47805622289427, "phase": [ 5, 11 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -0.9048178909330407, "contrast": "C-A", "cost_bps_per_side": 10.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 85.58750791748326, "high_cagr": 0.06993737017901758, "high_run_id": "MMIX-10bps", "high_total_return": 4.419496180174849, "log_growth_difference": -0.21052947735015673, "low_cagr": 0.07898554908834798, "low_run_id": "SMIX-06-12-10bps", "low_total_return": 5.689454510633053, "max_drawdown_difference_pp": 10.214471548656123, "net_return_difference_pp": -126.99583304582038, "phase": [ 6, 12 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -1.0564610788416084, "contrast": "C-A", "cost_bps_per_side": 25.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 84.82645049465292, "high_cagr": 0.0611633317740381, "high_run_id": "MMIX-25bps", "high_total_return": 3.4111910325012964, "log_growth_difference": -0.24766140952500626, "low_cagr": 0.07172794256245418, "low_run_id": "SMIX-01-07-25bps", "low_total_return": 4.650850913155929, "max_drawdown_difference_pp": 15.658187601404105, "net_return_difference_pp": -123.96598806546324, "phase": [ 1, 7 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -1.5554800090678222, "contrast": "C-A", "cost_bps_per_side": 25.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 92.66037467772472, "high_cagr": 0.0611633317740381, "high_run_id": "MMIX-25bps", "high_total_return": 3.4111910325012964, "log_growth_difference": -0.3637964695477415, "low_cagr": 0.07671813186471632, "low_run_id": "SMIX-02-08-25bps", "low_total_return": 5.3467393823963265, "max_drawdown_difference_pp": 16.790874356253006, "net_return_difference_pp": -193.554834989503, "phase": [ 2, 8 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -2.3317926434760494, "contrast": "C-A", "cost_bps_per_side": 25.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 88.29696118155728, "high_cagr": 0.0611633317740381, "high_run_id": "MMIX-25bps", "high_total_return": 3.4111910325012964, "log_growth_difference": -0.5433995123919346, "low_cagr": 0.08448125820879859, "low_run_id": "SMIX-03-09-25bps", "low_total_return": 6.595410936588736, "max_drawdown_difference_pp": -2.812015560497505, "net_return_difference_pp": -318.4219904087439, "phase": [ 3, 9 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -1.238872987651063, "contrast": "C-A", "cost_bps_per_side": 25.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 88.20783807910902, "high_cagr": 0.0611633317740381, "high_run_id": "MMIX-25bps", "high_total_return": 3.4111910325012964, "log_growth_difference": -0.290176128445736, "low_cagr": 0.07355206165054873, "low_run_id": "SMIX-04-10-25bps", "low_total_return": 4.896275361131697, "max_drawdown_difference_pp": 10.272037504459385, "net_return_difference_pp": -148.50843286304007, "phase": [ 4, 10 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": 0.07239512152301675, "contrast": "C-A", "cost_bps_per_side": 25.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 82.86483117929167, "high_cagr": 0.0611633317740381, "high_run_id": "MMIX-25bps", "high_total_return": 3.4111910325012964, "log_growth_difference": 0.01706142340222635, "low_cagr": 0.06043938055880793, "low_run_id": "SMIX-05-11-25bps", "low_total_return": 3.336568230366356, "max_drawdown_difference_pp": 20.206651481149795, "net_return_difference_pp": 7.462280213494044, "phase": [ 5, 11 ], "signal": "mixed", "start_session": "2000-12-29" }, { "cagr_difference_pp": -1.4484109278272816, "contrast": "C-A", "cost_bps_per_side": 25.0, "end_session": "2025-12-31", "extra_two_sided_turnover": 85.53707488402347, "high_cagr": 0.0611633317740381, "high_run_id": "MMIX-25bps", "high_total_return": 3.4111910325012964, "log_growth_difference": -0.3389240474510105, "low_cagr": 0.07564744105231092, "low_run_id": "SMIX-06-12-25bps", "low_total_return": 5.190827591136104, "max_drawdown_difference_pp": 9.703655816434454, "net_return_difference_pp": -177.96365586348077, "phase": [ 6, 12 ], "signal": "mixed", "start_session": "2000-12-29" } ], "checks": { "equal_initial_sleeve_capital": true, "exact_300_month_RF_join": true, "monthly_daily_growth_reconciles": true, "no_anchor_reset": true }, "code_sha256": { "pilot/mechanism_analysis.py": "df55bcba82cfd9e3f0402f123833e854168f76c19562c8caf970968581a79838", "pilot/validation_study.py": "1e86960f766d88ce3c27618b3b42b72b7e6aea45bd819c3e57b85cb52da8bf04", "scripts/run_validation_study.py": "26e17d6178fa99ac9b45bb4fcc2e5ec3c30f48b803c248d840ccd6be469fe27a" }, "derived_inputs": { "validation-daily-nav.csv": { "bytes": 659035, "sha256": "0ac53b58c77eea93f94f50f87638cf057d70eab6631af0e4822439d7c101160c" }, "validation-monthly-returns.csv": { "bytes": 3286371, "sha256": "c8e354ed9a04773d917e2686ec0f81de04dc41e1d18beadd8ba31590dacf5787" } }, "derived_tranche_count": 8, "experiment_id": "sector-etf-validation-v1", "factor_source": { "acquisition_source_sha256": "a71b4e446ecf99a722cf3bb711179345281f1327989f20a236bb03cebfa6fb6b", "captures": [ { "bytes": 13065, "file": "F-F_Research_Data_Factors_CSV.zip", "http_status": 200, "label": "FF3", "retrieved_at_utc": "2026-10-09T05:09:42.337476+00:00", "sha256": "593f4fbef03181bc0b22ff6292f217689dd1fb79355049ca905d95b262040a66", "url": "https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/F-F_Research_Data_Factors_CSV.zip" }, { "bytes": 5600, "file": "F-F_Momentum_Factor_CSV.zip", "http_status": 200, "label": "Mom", "retrieved_at_utc": "2026-10-09T05:09:42.417165+00:00", "sha256": "c06d1c2e9a5e4f6985879722f23c6bb585f46b34eaf3fcb681d4de887e353f3e", "url": "https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/F-F_Momentum_Factor_CSV.zip" } ], "first_month": "2001-01", "last_month": "2025-12", "limitations": [ "Retrieved revised history, not a real-time vintage.", "Long-short stock momentum differs from this long-only sector selection score." ], "normalized_sha256": "a7fd91e1e39ed101e3e7cb1a4d4690430c333673b91622739f123c1f073089cc", "normalized_units": "decimal_monthly_returns", "observations": 300, "run_id": "20261009T050942196828Z-abb85a14", "schema_version": 1, "source": "Kenneth French official Data Library", "source_definition": "U.S. monthly FF3 and long-short stock Momentum factor" }, "generated_at_utc": "2026-10-09T05:32:07.092706+00:00", "mechanism_appendix": { "bootstrap": [ { "cagr95_difference_pp": [ -3.0310209948415126, 2.112073980248505 ], "contrast": "C-A", "growth95_annualized_log_pp": [ -2.772938069228267, 1.9794891231156495 ], "mean_block_months": 12, "repetitions": 10000, "rng": "numpy_default_rng_SeedSequence_seed_and_block_length", "seed": 20261009 }, { "cagr95_difference_pp": [ -0.0065213746881756145, 0.25566471483543574 ], "contrast": "B-A", "growth95_annualized_log_pp": [ -0.00599516143111987, 0.235317004689403 ], "mean_block_months": 12, "repetitions": 10000, "rng": "numpy_default_rng_SeedSequence_seed_and_block_length", "seed": 20261009 }, { "cagr95_difference_pp": [ -3.1777607702463326, 2.0062485665330057 ], "contrast": "C-B", "growth95_annualized_log_pp": [ -2.9118186722102792, 1.8775654209515111 ], "mean_block_months": 12, "repetitions": 10000, "rng": "numpy_default_rng_SeedSequence_seed_and_block_length", "seed": 20261009 }, { "cagr95_difference_pp": [ -2.9056439194982606, 1.9621804530781062 ], "contrast": "C-A", "growth95_annualized_log_pp": [ -2.658867332682207, 1.838338647028964 ], "mean_block_months": 6, "repetitions": 10000, "rng": "numpy_default_rng_SeedSequence_seed_and_block_length", "seed": 20261009 }, { "cagr95_difference_pp": [ -0.02440528108068388, 0.27543042842816956 ], "contrast": "B-A", "growth95_annualized_log_pp": [ -0.022458001235957568, 0.25336796898303915 ], "mean_block_months": 6, "repetitions": 10000, "rng": "numpy_default_rng_SeedSequence_seed_and_block_length", "seed": 20261009 }, { "cagr95_difference_pp": [ -3.0460131126795185, 1.848851397702064 ], "contrast": "C-B", "growth95_annualized_log_pp": [ -2.7840743475738337, 1.7257740007376923 ], "mean_block_months": 6, "repetitions": 10000, "rng": "numpy_default_rng_SeedSequence_seed_and_block_length", "seed": 20261009 }, { "cagr95_difference_pp": [ -3.1991185906858663, 2.184512555710084 ], "contrast": "C-A", "growth95_annualized_log_pp": [ -2.921212170066329, 2.055612646459402 ], "mean_block_months": 24, "repetitions": 10000, "rng": "numpy_default_rng_SeedSequence_seed_and_block_length", "seed": 20261009 }, { "cagr95_difference_pp": [ 0.011486586980911815, 0.24127867262599648 ], "contrast": "B-A", "growth95_annualized_log_pp": [ 0.01076705176189497, 0.2213104822513776 ], "mean_block_months": 24, "repetitions": 10000, "rng": "numpy_default_rng_SeedSequence_seed_and_block_length", "seed": 20261009 }, { "cagr95_difference_pp": [ -3.352982873994055, 2.1083285271645638 ], "contrast": "C-B", "growth95_annualized_log_pp": [ -3.0565330498995373, 1.9639319694858377 ], "mean_block_months": 24, "repetitions": 10000, "rng": "numpy_default_rng_SeedSequence_seed_and_block_length", "seed": 20261009 } ], "inference": [ { "annualized_log_growth_difference_pp": -0.4546576871571307, "cagr_difference_pp": -0.4922203207077633, "contrast": "C-A", "hac95_annualized_log_pp": [ -2.693217291145322, 1.7839019168310604 ], "hac_standard_error_annualized_pp": 1.1421432340826994, "holm_p_value": 1.0, "months": 300, "raw_p_value": 0.6905755348999618 }, { "annualized_log_growth_difference_pp": 0.11276369685800747, "cagr_difference_pp": 0.12242668636616993, "contrast": "B-A", "hac95_annualized_log_pp": [ -0.009633408627443605, 0.23516080234345854 ], "hac_standard_error_annualized_pp": 0.06244865030730352, "holm_p_value": 0.2128943691939708, "months": 300, "raw_p_value": 0.0709647897313236 }, { "annualized_log_growth_difference_pp": -0.5674213840151382, "cagr_difference_pp": -0.6146470070739332, "contrast": "C-B", "hac95_annualized_log_pp": [ -2.8038965976670407, 1.6690538296367647 ], "hac_standard_error_annualized_pp": 1.1410797500836414, "holm_p_value": 1.0, "months": 300, "raw_p_value": 0.6190007301777585 } ], "interpretation": "sequential conditional comparisons, not a unique causal decomposition" }, "months": 300, "owner_mastery_verified": false, "primary_ids": { "benchmark": "SPY-5bps", "monthly": "M12-5bps", "semiannual": "S12-03-09-5bps", "tranched": "T12-5bps", "weight_reset": "B12-03-09-5bps" }, "primary_intervals": [ { "cagr_difference_pp": -0.4922203207077619, "ci95_difference_pp": [ -3.031020994841512, 2.112073980248499 ], "comparison": "monthly_minus_march_september", "high_run_id": "M12-5bps", "low_run_id": "S12-03-09-5bps", "mean_block_months": 12, "months": 300, "primary_block": true, "repetitions": 10000, "seed": 20261009 }, { "cagr_difference_pp": -0.2227651544663492, "ci95_difference_pp": [ -2.438564347861225, 2.3281572164068565 ], "comparison": "monthly_minus_tranched", "high_run_id": "M12-5bps", "low_run_id": "T12-5bps", "mean_block_months": 12, "months": 300, "primary_block": true, "repetitions": 10000, "seed": 20261009 }, { "cagr_difference_pp": -0.4922203207077619, "ci95_difference_pp": [ -2.9056439194982584, 1.962180453078103 ], "comparison": "monthly_minus_march_september", "high_run_id": "M12-5bps", "low_run_id": "S12-03-09-5bps", "mean_block_months": 6, "months": 300, "primary_block": false, "repetitions": 10000, "seed": 20261009 }, { "cagr_difference_pp": -0.2227651544663492, "ci95_difference_pp": [ -2.3596330386852284, 2.179737183758518 ], "comparison": "monthly_minus_tranched", "high_run_id": "M12-5bps", "low_run_id": "T12-5bps", "mean_block_months": 6, "months": 300, "primary_block": false, "repetitions": 10000, "seed": 20261009 }, { "cagr_difference_pp": -0.4922203207077619, "ci95_difference_pp": [ -3.199118590685859, 2.1845125557100853 ], "comparison": "monthly_minus_march_september", "high_run_id": "M12-5bps", "low_run_id": "S12-03-09-5bps", "mean_block_months": 24, "months": 300, "primary_block": false, "repetitions": 10000, "seed": 20261009 }, { "cagr_difference_pp": -0.2227651544663492, "ci95_difference_pp": [ -2.4284254729095833, 2.3829293820010538 ], "comparison": "monthly_minus_tranched", "high_run_id": "M12-5bps", "low_run_id": "T12-5bps", "mean_block_months": 24, "months": 300, "primary_block": false, "repetitions": 10000, "seed": 20261009 } ], "private_extension_summary_sha256": "dd9b5122465d68293b009eccee9f26cf11d7acb20057719bcc5bd9da99285520", "protocol": { "appendix": { "ABC_mechanisms": true, "event_studies": false, "market_states": false, "multifactor_model": false }, "bootstrap": { "confidence_level": 0.95, "interval": "percentile", "mean_block_months": 12, "method": "paired_stationary_calendar_month_rows", "p_values": false, "repetitions": 10000, "sampling_unit": "aligned net monthly return vectors, not resampled price histories", "seed": 20261009, "sensitivity_block_months": [ 6, 24 ], "statistic": "difference of annualized compounded growth rates" }, "classification": "retrospective_extension_fixed_before_tranche_and_interval_results", "cost_bps_per_side": [ 0, 5, 10, 25 ], "experiment_id": "sector-etf-validation-v1", "first_execution": "2000-01-03", "formation_anchor": "1999-12-31", "human_review": "three owner checkpoints pending actual answers and demonstrations", "judgment": "report calendar sensitivity and uncertainty without claiming optimal frequency, causal timing attribution or successful risk elimination", "legacy_input_sha256": "204711ba32495c7cca328d5d6c89773b4e3ea877446b4072cac42cd9807eabf5", "phase_pairs": [ [ 1, 7 ], [ 2, 8 ], [ 3, 9 ], [ 4, 10 ], [ 5, 11 ], [ 6, 12 ] ], "primary_comparisons": [ "monthly_minus_march_september", "monthly_minus_tranched" ], "primary_cost_bps_per_side": 5, "primary_end": "2025-12-31", "primary_months": 300, "primary_reference_phase": [ 3, 9 ], "primary_signal": "12-1", "prospective_registration": false, "publication": "local review package first; publication authorization and verified deployment recorded separately", "report_anchor": "2000-12-29", "risk": { "annualization": 12, "beta": "OLS with intercept: portfolio_return - RF on SPY_return - RF", "daily_metrics": "preserve daily maximum drawdown and daily-return volatility separately", "return_frequency": "monthly_simple", "risk_free": "Kenneth French captured monthly RF in decimal units", "sample_standard_deviation_ddof": 1, "sharpe": "sqrt(12) * mean(portfolio_return - RF) / sample_sd(portfolio_return - RF)", "tracking_error": "sqrt(12) * sample_sd(portfolio_return - SPY_return)" }, "robustness_signal": "mixed", "schema_version": 1, "secondary_end": "2026-10-02", "source_history_already_inspected": true, "source_run_id": "20261009T050633543130Z-d96bbf03d531", "source_run_manifest_sha256": "77b64b45729626a4609cd98fdd3cbd1c613040212d703d1a1e5a20d412ee6246", "tranche": { "aggregate": "sum NAV, cash, units, fees and gross buy-plus-sell notional scaled by one sixth", "cross_sleeve_trade_netting": false, "cross_sleeve_transfers": false, "equal_allocation_at": "formation_anchor", "initial_capital_fraction": 0.16666666666666666, "reset_at_report_anchor": false, "sleeves": 6, "turnover": "on each execution date, summed scaled gross notional divided by summed scaled pretrade NAV" } }, "public_preparation_code_sha256": "33d98a2a224e70adc67f83869d8713a30fe4c352e63cd909fe3515bc00ddacff", "run_id": "20261009-v1", "runs": [ { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.0012823599619116, "annualized_volatility": 0.18595300718055874, "cagr": 0.0005376949353828042, "end_nav": 881139.1368897741, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4872627160086537e-16, "max_drawdown": -0.1922738918272321, "mean_cash_weight": 8.685751462243792e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 880665.6074528809, "start_session": "2000-12-29", "total_return": 0.0005376949353828042, "traded_notional_by_category": { "entry": 1262024.4998269302, "exit": 1269518.9401654906, "resize": 289896.5685386113 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.0012823599619116 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4787005439977485, "annualized_volatility": 0.13707105651513246, "cagr": -0.0863537751377037, "end_nav": 805049.4459977642, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6947334971483602, "max_drawdown": -0.17609587287934314, "mean_cash_weight": 0.4481961216014683, "nonzero_trade_event_count": 12, "order_count": 23, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 881139.1368897741, "start_session": "2001-12-31", "total_return": -0.0863537751377037, "traded_notional_by_category": { "entry": 292759.1031026719, "exit": 833107.6218810217, "resize": 145059.9600710828 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4787005439977485 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4620686157100615, "annualized_volatility": 0.1001608289837566, "cagr": 0.13589632732364576, "end_nav": 914452.7090227961, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.682445098097693, "max_drawdown": -0.0524640548510692, "mean_cash_weight": 0.38546743614857965, "nonzero_trade_event_count": 12, "order_count": 23, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 805049.4459977642, "start_session": "2002-12-31", "total_return": 0.13589632732364576, "traded_notional_by_category": { "entry": 806294.5068102947, "exit": 252425.42058907973, "resize": 119241.9345360605 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4620686157100615 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8396675614152804, "annualized_volatility": 0.12555281305228114, "cagr": 0.22043909319459143, "end_nav": 1116033.834969119, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.1444664111228017e-16, "max_drawdown": -0.06752311021886714, "mean_cash_weight": 6.832387682743092e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 914452.7090227961, "start_session": "2003-12-31", "total_return": 0.22043909319459143, "traded_notional_by_category": { "entry": 1271907.2692283061, "exit": 1266353.9096723646, "resize": 179502.0953920132 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8396675614152804 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6534805775865902, "annualized_volatility": 0.13946590059687497, "cagr": 0.17664514266300957, "end_nav": 1313175.7909639846, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9294980407907236e-16, "max_drawdown": -0.10133613355512527, "mean_cash_weight": 3.0941135885718507e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1116033.834969119, "start_session": "2004-12-31", "total_return": 0.17664514266300957, "traded_notional_by_category": { "entry": 807160.1525873817, "exit": 801950.3453885895, "resize": 398350.74120334635 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6534805775865902 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.240037746511582, "annualized_volatility": 0.11905008804882261, "cagr": 0.24027618916255378, "end_nav": 1628700.665717333, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7763364191744713e-16, "max_drawdown": -0.06178116430019187, "mean_cash_weight": 7.031751432411853e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1313175.7909639846, "start_session": "2005-12-30", "total_return": 0.24027618916255378, "traded_notional_by_category": { "entry": 1438020.2470099204, "exit": 1438020.2470099204, "resize": 338291.1282017462 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.240037746511582 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.513009723787196, "annualized_volatility": 0.16885016995694574, "cagr": 0.056533489558493244, "end_nav": 1720776.797796575, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.490612494897857e-16, "max_drawdown": -0.136468108646713, "mean_cash_weight": 1.0297529791830463e-16, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1628700.665717333, "start_session": "2006-12-29", "total_return": 0.056533489558493244, "traded_notional_by_category": { "entry": 2765201.4132512594, "exit": 2776551.175959236, "resize": 296302.57477245305 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.513009723787196 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 3.0345787664341297, "annualized_volatility": 0.4355424443674804, "cagr": -0.36056317769374213, "end_nav": 1100328.04748138, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4760099511116491e-16, "max_drawdown": -0.47909624278113705, "mean_cash_weight": 3.509703046938324e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1720776.797796575, "start_session": "2007-12-31", "total_return": -0.36056317769374213, "traded_notional_by_category": { "entry": 2169389.861001719, "exit": 2226063.9594847173, "resize": 506114.9955168318 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.0345787664341297 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0073727778753279, "annualized_volatility": 0.10237902914592494, "cagr": -0.04503791920141331, "end_nav": 1050771.5617838646, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.1057833259022315, "mean_cash_weight": 0.9206349206349206, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1100328.04748138, "start_session": "2008-12-31", "total_return": -0.04503791920141331, "traded_notional_by_category": { "entry": 0.0, "exit": 1050771.5617838646, "resize": 8184.6059221770265 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.0073727778753279 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4796916013656305, "annualized_volatility": 0.187233323655899, "cagr": 0.2342905389001979, "end_nav": 1296957.3972552088, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.1805715856254737, "mean_cash_weight": 0.07539682539682542, "nonzero_trade_event_count": 11, "order_count": 35, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1050771.5617838646, "start_session": "2009-12-31", "total_return": 0.2342905389001979, "traded_notional_by_category": { "entry": 1808190.9672657922, "exit": 763530.0201958388, "resize": 162854.9785387541 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.4796916013656305 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5882054205565603, "annualized_volatility": 0.21011977396540746, "cagr": 0.05151849156503263, "end_nav": 1363774.685985908, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.708594654390281e-16, "max_drawdown": -0.18578529220826845, "mean_cash_weight": 1.336817611499319e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1296957.3972552088, "start_session": "2010-12-31", "total_return": 0.05151849156503263, "traded_notional_by_category": { "entry": 915077.3190603801, "exit": 906224.3478314136, "resize": 341149.2692689282 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5882054205565603 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.827941325562275, "annualized_volatility": 0.08816560518841765, "cagr": 0.1207810410292196, "end_nav": 1528492.8122885828, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.698917618775173e-16, "max_drawdown": -0.0695610521075064, "mean_cash_weight": 7.983233781611395e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1363774.685985908, "start_session": "2011-12-30", "total_return": 0.1207810410292196, "traded_notional_by_category": { "entry": 463123.7153905969, "exit": 465244.38266156643, "resize": 236406.05789444328 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.827941325562275 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4214493395243162, "annualized_volatility": 0.1156833648169168, "cagr": 0.36947596426872065, "end_nav": 2093234.1679867157, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.444156437155451e-16, "max_drawdown": -0.0547445757890318, "mean_cash_weight": 2.1605514707713847e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1528492.8122885828, "start_session": "2012-12-31", "total_return": 0.36947596426872065, "traded_notional_by_category": { "entry": 1180983.0698330412, "exit": 1166379.081158692, "resize": 174464.78960715566 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4214493395243162 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8490157221924166, "annualized_volatility": 0.1387683338568727, "cagr": 0.0005272881285298681, "end_nav": 2094337.905513728, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.12171296792416297, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2093234.1679867157, "start_session": "2013-12-31", "total_return": 0.0005272881285298681, "traded_notional_by_category": { "entry": 2839572.3887288477, "exit": 2833373.429811514, "resize": 393226.93813398865 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8490157221924166 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8273711652749656, "annualized_volatility": 0.15508219636563741, "cagr": -0.025234344324949975, "end_nav": 2041488.6616732, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2200451726383645e-16, "max_drawdown": -0.1145755658220976, "mean_cash_weight": 6.777706285903149e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2094337.905513728, "start_session": "2014-12-31", "total_return": -0.025234344324949975, "traded_notional_by_category": { "entry": 2741856.8680268303, "exit": 2744492.883611003, "resize": 321763.3078958851 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8273711652749656 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2479272851031746, "annualized_volatility": 0.12430018071634248, "cagr": 0.06690062582940715, "end_nav": 2178065.530762776, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2592144163012256e-16, "max_drawdown": -0.0942809978637057, "mean_cash_weight": 4.7384317623197256e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2041488.6616732, "start_session": "2015-12-31", "total_return": 0.06690062582940715, "traded_notional_by_category": { "entry": 2101142.071738477, "exit": 2108364.7479226356, "resize": 512508.5267365456 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2479272851031746 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1643856496088723, "annualized_volatility": 0.09072251699459385, "cagr": 0.22310100713171788, "end_nav": 2663994.144274831, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0386051555218218e-16, "max_drawdown": -0.05444608127490025, "mean_cash_weight": 4.957440738594844e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2178065.530762776, "start_session": "2016-12-30", "total_return": 0.22310100713171788, "traded_notional_by_category": { "entry": 2264869.520577822, "exit": 2268010.589601086, "resize": 386583.92089985893 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.1643856496088723 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1727197611545606, "annualized_volatility": 0.1950802111629883, "cagr": -0.09223726224270656, "end_nav": 2418274.6177763185, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7868575007857158e-16, "max_drawdown": -0.24636880288553642, "mean_cash_weight": 1.4573720950040556e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2663994.144274831, "start_session": "2017-12-29", "total_return": -0.09223726224270656, "traded_notional_by_category": { "entry": 2853191.2457455983, "exit": 2877884.9750191313, "resize": 455969.40395194234 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.1727197611545606 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.119842131124684, "annualized_volatility": 0.09817703868215072, "cagr": 0.25286192523413553, "end_nav": 3029764.1933720815, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6727962252097128, "max_drawdown": -0.04253066824998897, "mean_cash_weight": 0.3293259791867862, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2418274.6177763185, "start_session": "2018-12-31", "total_return": 0.25286192523413553, "traded_notional_by_category": { "entry": 2708071.4604167296, "exit": 2646480.570310168, "resize": 329507.7328172794 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.119842131124684 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.578338387648555, "annualized_volatility": 0.33366737865037094, "cagr": 0.21175736840342974, "end_nav": 3671339.085843493, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0459928462955495e-16, "max_drawdown": -0.30266992317089536, "mean_cash_weight": 2.7040016700772755e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3029764.1933720815, "start_session": "2019-12-31", "total_return": 0.21175736840342974, "traded_notional_by_category": { "entry": 2147116.2753993813, "exit": 2148146.264893445, "resize": 751372.5238393787 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.578338387648555 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2024961350035928, "annualized_volatility": 0.15414367736181328, "cagr": 0.2563270481824871, "end_nav": 4612402.596594746, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.06857114678751253, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3671339.085843493, "start_session": "2020-12-31", "total_return": 0.2563270481824871, "traded_notional_by_category": { "entry": 4139540.5511308406, "exit": 4162292.1073009865, "resize": 820352.8626414957 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2024961350035928 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.957224807008014, "annualized_volatility": 0.19333383197514487, "cagr": -0.03307911451364309, "end_nav": 4459828.402918964, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.2753043841786653e-16, "max_drawdown": -0.17486389732096252, "mean_cash_weight": 5.4086684605269065e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4612402.596594746, "start_session": "2021-12-31", "total_return": -0.03307911451364309, "traded_notional_by_category": { "entry": 5800364.141947143, "exit": 5764581.731758497, "resize": 1293882.7783142182 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.957224807008014 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2242440609754044, "annualized_volatility": 0.13182090292499862, "cagr": 0.033319200167782226, "end_nav": 4608426.318189781, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.277641698474882e-16, "max_drawdown": -0.0992116567044895, "mean_cash_weight": 3.880412051938471e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4459828.402918964, "start_session": "2022-12-30", "total_return": 0.033319200167782226, "traded_notional_by_category": { "entry": 4437509.019091562, "exit": 4374576.543658595, "resize": 1035410.6048568967 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2242440609754044 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2502630073486247, "annualized_volatility": 0.14199117830809804, "cagr": 0.1593276087546942, "end_nav": 5342675.863589158, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9796465557710992e-16, "max_drawdown": -0.09545770097907458, "mean_cash_weight": 2.9235065131725784e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4608426.318189781, "start_session": "2023-12-29", "total_return": 0.1593276087546942, "traded_notional_by_category": { "entry": 5000114.021551857, "exit": 5048708.704440283, "resize": 1235966.9937602787 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2502630073486247 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2149411784100224, "annualized_volatility": 0.16399359976386949, "cagr": 0.10998582884158892, "end_nav": 5930294.496677964, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5986601290894332e-16, "max_drawdown": -0.15284911114115296, "mean_cash_weight": 1.3845029642582905e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5342675.863589158, "start_session": "2024-12-31", "total_return": 0.10998582884158892, "traded_notional_by_category": { "entry": 5557661.573721873, "exit": 5499169.110559266, "resize": 1254509.1466119464 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2149411784100224 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.1742502260456598, "annualized_volatility": 0.1781884132260455, "cagr": 0.07927125163125193, "end_nav": 5930294.496677964, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.47909624278113705, "mean_cash_weight": 0.0865394247348628, "nonzero_trade_event_count": 289, "order_count": 896, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 880665.6074528809, "start_session": "2000-12-29", "total_return": 5.733877701696507, "traded_notional_by_category": { "entry": 57771141.262445256, "exit": 57692222.672668405, "resize": 11986874.439923318 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 54.356255651141495 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7051001.475290282, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5632891200800391e-16, "max_drawdown": -0.07811493217876309, "mean_cash_weight": 4.4728216996660183e-17, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 5930294.496677964, "start_session": "2025-12-31", "total_return": 0.18897998729070142, "traded_notional_by_category": { "entry": 4280478.339368297, "exit": 4235940.419245504, "resize": 2828223.2150221737 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.7505592842253361 } }, "monthly_risk": { "beta_intercept_per_month": 0.0009335223005082346, "beta_to_SPY_excess_returns": 0.7305874117513859, "monthly_return_volatility_annualized": 0.13491339209930492, "months": 300, "sharpe_monthly_annualized": 0.508840495940847, "tracking_error_monthly_annualized": 0.08794898534947763 }, "phase": [ 1, 7 ], "policy": "B", "run_id": "B12-01-07-0bps", "signal": "12-1" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.9986647275586646, "annualized_volatility": 0.18587977050605578, "cagr": -0.0024603210376057394, "end_nav": 876587.1281897486, "end_session": "2001-12-31", "fee_by_category": { "entry": 1256.417358328346, "exit": 1265.9897405534464, "resize": 288.3526349535344 }, "max_cash_weight": 1.4948284679345382e-16, "max_drawdown": -0.19293152961397708, "mean_cash_weight": 5.5356790560774526e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 878749.1331688617, "start_session": "2000-12-29", "total_return": -0.0024603210376057394, "traded_notional_by_category": { "entry": 1256417.3583283457, "exit": 1265989.7405534463, "resize": 288352.6349535344 }, "transaction_cost": 2810.7597338353266, "transaction_cost_over_anchor_nav": 0.0031985917570119603, "two_sided_turnover": 2.9986647275586646 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.478599195907069, "annualized_volatility": 0.13708961870908654, "cagr": -0.08770420070174556, "end_nav": 799706.7547664281, "end_session": "2002-12-31", "fee_by_category": { "entry": 290.9505337061664, "exit": 828.5179424534506, "resize": 144.37404146030892 }, "max_cash_weight": 0.6947334971483603, "max_drawdown": -0.17643659207338946, "mean_cash_weight": 0.4481961216014684, "nonzero_trade_event_count": 12, "order_count": 23, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 876587.1281897486, "start_session": "2001-12-31", "total_return": -0.08770420070174556, "traded_notional_by_category": { "entry": 290950.53370616643, "exit": 828517.9424534505, "resize": 144374.04146030892 }, "transaction_cost": 1263.842517619926, "transaction_cost_over_anchor_nav": 0.0014417762672718037, "two_sided_turnover": 1.478599195907069 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4612151609063504, "annualized_volatility": 0.10022757656986299, "cagr": 0.13423725343359938, "end_nav": 907057.1930785705, "end_session": "2003-12-31", "fee_by_category": { "entry": 800.035984638514, "exit": 250.7476434543418, "resize": 118.16310198022633 }, "max_cash_weight": 0.682445098097693, "max_drawdown": -0.0524640548510692, "mean_cash_weight": 0.38546743614857965, "nonzero_trade_event_count": 12, "order_count": 23, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 799706.7547664281, "start_session": "2002-12-31", "total_return": 0.13423725343359938, "traded_notional_by_category": { "entry": 800035.9846385141, "exit": 250747.6434543418, "resize": 118163.10198022632 }, "transaction_cost": 1168.9467300730823, "transaction_cost_over_anchor_nav": 0.0014617192153322486, "two_sided_turnover": 1.4612151609063504 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8374505879010745, "annualized_volatility": 0.1255065216614278, "cagr": 0.21697834758210544, "end_nav": 1103868.9639952215, "end_session": "2004-12-31", "fee_by_category": { "entry": 1258.8407342293704, "exit": 1255.425921990728, "resize": 177.64724051668315 }, "max_cash_weight": 1.2839307591907282e-16, "max_drawdown": -0.06754678507338596, "mean_cash_weight": 3.997293871764004e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 907057.1930785705, "start_session": "2003-12-31", "total_return": 0.21697834758210544, "traded_notional_by_category": { "entry": 1258840.7342293705, "exit": 1255425.921990728, "resize": 177647.24051668314 }, "transaction_cost": 2691.913896736781, "transaction_cost_over_anchor_nav": 0.00296774439062698, "two_sided_turnover": 2.8374505879010745 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6530260589141685, "annualized_volatility": 0.13942900193639743, "cagr": 0.1747011666838636, "end_nav": 1296716.1598712946, "end_session": "2005-12-30", "fee_by_category": { "entry": 797.4298001595077, "exit": 792.8270086987243, "resize": 393.64915029310725 }, "max_cash_weight": 0.0, "max_drawdown": -0.10135882249848516, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1103868.9639952215, "start_session": "2004-12-31", "total_return": 0.1747011666838636, "traded_notional_by_category": { "entry": 797429.8001595077, "exit": 792827.0086987242, "resize": 393649.15029310726 }, "transaction_cost": 1983.9059591513394, "transaction_cost_over_anchor_nav": 0.001797229584180906, "two_sided_turnover": 1.6530260589141685 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.238042459858307, "annualized_volatility": 0.11912812752907985, "cagr": 0.23750102451539035, "end_nav": 1604687.5763463897, "end_session": "2006-12-29", "fee_by_category": { "entry": 1416.8925933136604, "exit": 1419.7292151220963, "resize": 333.8571075684357 }, "max_cash_weight": 1.4842438708473036e-16, "max_drawdown": -0.06193532752441133, "mean_cash_weight": 1.1583959061182911e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1296716.1598712946, "start_session": "2005-12-30", "total_return": 0.23750102451539035, "traded_notional_by_category": { "entry": 1416892.5933136605, "exit": 1419729.2151220962, "resize": 333857.1075684357 }, "transaction_cost": 3170.478916004193, "transaction_cost_over_anchor_nav": 0.002445006096260016, "two_sided_turnover": 2.238042459858307 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.50966778253953, "annualized_volatility": 0.1686393258569592, "cagr": 0.052828847314000615, "end_nav": 1689461.3713038669, "end_session": "2007-12-31", "fee_by_category": { "entry": 2717.3699954403924, "exit": 2733.27194624994, "resize": 290.5640128049115 }, "max_cash_weight": 1.4556403310708239e-16, "max_drawdown": -0.13820639223972142, "mean_cash_weight": 5.696115552064405e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1604687.5763463897, "start_session": "2006-12-29", "total_return": 0.052828847314000615, "traded_notional_by_category": { "entry": 2717369.9954403923, "exit": 2733271.94624994, "resize": 290564.0128049115 }, "transaction_cost": 5741.2059544952435, "transaction_cost_over_anchor_nav": 0.0035777717975277326, "two_sided_turnover": 3.50966778253953 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 3.0323515490365067, "annualized_volatility": 0.4354366284249084, "cagr": -0.3625006893734418, "end_nav": 1077030.4595364148, "end_session": "2008-12-31", "fee_by_category": { "entry": 2125.147548432142, "exit": 2184.2387403342523, "resize": 495.7940728741038 }, "max_cash_weight": 1.5077460429664828e-16, "max_drawdown": -0.4795470104701427, "mean_cash_weight": 4.783883795933314e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1689461.3713038669, "start_session": "2007-12-31", "total_return": -0.3625006893734418, "traded_notional_by_category": { "entry": 2125147.548432142, "exit": 2184238.740334252, "resize": 495794.0728741038 }, "transaction_cost": 4805.180361640498, "transaction_cost_over_anchor_nav": 0.00284420848162514, "two_sided_turnover": 3.0323515490365067 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0073703211016274, "annualized_volatility": 0.10251755836181348, "cagr": -0.045999912621009886, "end_nav": 1027487.1525075736, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 1028.5156681757494, "resize": 8.008641168565664 }, "max_cash_weight": 1.0, "max_drawdown": -0.1057833259022315, "mean_cash_weight": 0.9206349206349206, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1077030.4595364148, "start_session": "2008-12-31", "total_return": -0.045999912621009886, "traded_notional_by_category": { "entry": 0.0, "exit": 1028515.6681757494, "resize": 8008.641168565664 }, "transaction_cost": 1036.5243093443148, "transaction_cost_over_anchor_nav": 0.0009623908963451832, "two_sided_turnover": 1.0073703211016274 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4773663388676592, "annualized_volatility": 0.1870252499288017, "cagr": 0.23123480639126703, "end_nav": 1265077.9452871766, "end_session": "2010-12-31", "fee_by_category": { "entry": 1765.313461967087, "exit": 745.8150365249554, "resize": 158.49189868107072 }, "max_cash_weight": 1.0, "max_drawdown": -0.18061364671020086, "mean_cash_weight": 0.0753968253968254, "nonzero_trade_event_count": 11, "order_count": 35, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1027487.1525075736, "start_session": "2009-12-31", "total_return": 0.23123480639126703, "traded_notional_by_category": { "entry": 1765313.461967087, "exit": 745815.0365249554, "resize": 158491.8986810707 }, "transaction_cost": 2669.6203971731134, "transaction_cost_over_anchor_nav": 0.0025982031898480946, "two_sided_turnover": 2.4773663388676592 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5877575227503355, "annualized_volatility": 0.21019067363919153, "cagr": 0.049849321815084835, "end_nav": 1328141.2229029634, "end_session": "2011-12-30", "fee_by_category": { "entry": 891.3081944462157, "exit": 883.8632707240283, "resize": 333.0559073693427 }, "max_cash_weight": 0.0, "max_drawdown": -0.18695095661006866, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1265077.9452871766, "start_session": "2010-12-31", "total_return": 0.049849321815084835, "traded_notional_by_category": { "entry": 891308.1944462156, "exit": 883863.2707240283, "resize": 333055.9073693427 }, "transaction_cost": 2108.2273725395867, "transaction_cost_over_anchor_nav": 0.0016664802199685906, "two_sided_turnover": 1.5877575227503355 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8277273156287697, "annualized_volatility": 0.08809968033214528, "cagr": 0.11985346274223363, "end_nav": 1487323.5474785883, "end_session": "2012-12-31", "fee_by_category": { "entry": 450.7089700836086, "exit": 453.081332526501, "resize": 230.10216763359972 }, "max_cash_weight": 0.0, "max_drawdown": -0.06957156241736495, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1328141.2229029634, "start_session": "2011-12-30", "total_return": 0.11985346274223363, "traded_notional_by_category": { "entry": 450708.9700836086, "exit": 453081.332526501, "resize": 230102.16763359972 }, "transaction_cost": 1133.8924702437093, "transaction_cost_over_anchor_nav": 0.0008537439021471843, "two_sided_turnover": 0.8277273156287697 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4214581398931598, "annualized_volatility": 0.11559692722243205, "cagr": 0.3675300840850282, "end_nav": 2033959.6959450361, "end_session": "2013-12-31", "fee_by_category": { "entry": 1147.9551536648646, "exit": 1134.5178000474339, "resize": 170.33736515260128 }, "max_cash_weight": 1.3213648582058675e-16, "max_drawdown": -0.0547445757890318, "mean_cash_weight": 1.1143491674608802e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1487323.5474785883, "start_session": "2012-12-31", "total_return": 0.3675300840850282, "traded_notional_by_category": { "entry": 1147955.1536648646, "exit": 1134517.8000474337, "resize": 170337.36515260127 }, "transaction_cost": 2452.8103188648997, "transaction_cost_over_anchor_nav": 0.001649143740797401, "two_sided_turnover": 1.4214581398931598 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8468118972217704, "annualized_volatility": 0.1389704917213507, "cagr": -0.0023192073971517457, "end_nav": 2029242.5215726919, "end_session": "2014-12-31", "fee_by_category": { "entry": 2752.96451242758, "exit": 2751.588629799804, "resize": 381.43514276322446 }, "max_cash_weight": 1.2168159385476785e-16, "max_drawdown": -0.12349928362212148, "mean_cash_weight": 4.6474452232047906e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2033959.6959450361, "start_session": "2013-12-31", "total_return": -0.0023192073971517457, "traded_notional_by_category": { "entry": 2752964.5124275796, "exit": 2751588.6297998037, "resize": 381435.14276322443 }, "transaction_cost": 5885.988284990609, "transaction_cost_over_anchor_nav": 0.002893856892407993, "two_sided_turnover": 2.8468118972217704 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8256149955769296, "annualized_volatility": 0.15498265045174617, "cagr": -0.027986507310217568, "end_nav": 1972451.1109084934, "end_session": "2015-12-31", "fee_by_category": { "entry": 2651.1465908398905, "exit": 2657.25272327838, "resize": 311.2904909521558 }, "max_cash_weight": 1.262728878473869e-16, "max_drawdown": -0.11702806679943512, "mean_cash_weight": 4.1618657232584344e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2029242.5215726919, "start_session": "2014-12-31", "total_return": -0.027986507310217568, "traded_notional_by_category": { "entry": 2651146.5908398903, "exit": 2657252.72327838, "resize": 311290.4909521558 }, "transaction_cost": 5619.689805070426, "transaction_cost_over_anchor_nav": 0.002769353463338175, "two_sided_turnover": 2.8256149955769296 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2463222430246943, "annualized_volatility": 0.12427880158554074, "cagr": 0.0645054806059353, "end_nav": 2099685.017789357, "end_session": "2016-12-30", "fee_by_category": { "entry": 2026.6468023703128, "exit": 2035.9321830384858, "resize": 493.5719998022871 }, "max_cash_weight": 1.304198379478514e-16, "max_drawdown": -0.09491319205390636, "mean_cash_weight": 2.893211799408086e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1972451.1109084934, "start_session": "2015-12-31", "total_return": 0.0645054806059353, "traded_notional_by_category": { "entry": 2026646.8023703126, "exit": 2035932.1830384857, "resize": 493571.9998022871 }, "transaction_cost": 4556.150985211086, "transaction_cost_over_anchor_nav": 0.0023098929854401123, "two_sided_turnover": 2.2463222430246943 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1637346274985476, "annualized_volatility": 0.09078758707149458, "cagr": 0.22045603778164446, "end_nav": 2562573.2574006803, "end_session": "2017-12-29", "fee_by_category": { "entry": 2179.8464614847053, "exit": 2185.2740208491723, "resize": 373.0758010742348 }, "max_cash_weight": 0.0, "max_drawdown": -0.054462000401865884, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2099685.017789357, "start_session": "2016-12-30", "total_return": 0.22045603778164446, "traded_notional_by_category": { "entry": 2179846.461484705, "exit": 2185274.0208491725, "resize": 373075.80107423477 }, "transaction_cost": 4738.196283408112, "transaction_cost_over_anchor_nav": 0.002256622418726738, "two_sided_turnover": 2.1637346274985476 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1711481890951383, "annualized_volatility": 0.1950939781198749, "cagr": -0.09420704155192716, "end_nav": 2321160.812060877, "end_session": "2018-12-31", "fee_by_category": { "entry": 2740.0819025930086, "exit": 2766.905827264308, "resize": 436.8265910180296 }, "max_cash_weight": 0.0, "max_drawdown": -0.24639017085212678, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2562573.2574006803, "start_session": "2017-12-29", "total_return": -0.09420704155192716, "traded_notional_by_category": { "entry": 2740081.9025930087, "exit": 2766905.827264308, "resize": 436826.5910180296 }, "transaction_cost": 5943.814320875346, "transaction_cost_over_anchor_nav": 0.002319470986325828, "two_sided_turnover": 2.1711481890951383 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.118737592923586, "annualized_volatility": 0.09819868485676787, "cagr": 0.2502088586529809, "end_nav": 2901935.8095966554, "end_session": "2019-12-31", "fee_by_category": { "entry": 2594.5944203419253, "exit": 2540.152245704843, "resize": 315.18909816402453 }, "max_cash_weight": 0.6727962252097128, "max_drawdown": -0.0431691280510218, "mean_cash_weight": 0.3293259791867862, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2321160.812060877, "start_session": "2018-12-31", "total_return": 0.2502088586529809, "traded_notional_by_category": { "entry": 2594594.420341925, "exit": 2540152.245704843, "resize": 315189.09816402453 }, "transaction_cost": 5449.9357642107925, "transaction_cost_over_anchor_nav": 0.002347935453628474, "two_sided_turnover": 2.118737592923586 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5772168007141116, "annualized_volatility": 0.33364255098112244, "cagr": 0.2098465910864562, "end_nav": 3510897.146792229, "end_session": "2020-12-31", "fee_by_category": { "entry": 2053.4447994062352, "exit": 2057.171835702987, "resize": 718.5496384273135 }, "max_cash_weight": 1.5156060647449547e-16, "max_drawdown": -0.3026807071054324, "mean_cash_weight": 3.6424074676032257e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2901935.8095966554, "start_session": "2019-12-31", "total_return": 0.2098465910864562, "traded_notional_by_category": { "entry": 2053444.7994062353, "exit": 2057171.8357029874, "resize": 718549.6384273135 }, "transaction_cost": 4829.166273536536, "transaction_cost_over_anchor_nav": 0.0016641189159203869, "two_sided_turnover": 1.5772168007141116 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2009195882071926, "annualized_volatility": 0.1541171943914676, "cagr": 0.25356360339782524, "end_nav": 4401132.87849201, "end_session": "2021-12-31", "fee_by_category": { "entry": 3951.896458530271, "exit": 3978.1483135194003, "resize": 781.6997730537473 }, "max_cash_weight": 1.3393321361655205e-16, "max_drawdown": -0.06858955892180407, "mean_cash_weight": 1.8989988198200777e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3510897.146792229, "start_session": "2020-12-31", "total_return": 0.25356360339782524, "traded_notional_by_category": { "entry": 3951896.4585302705, "exit": 3978148.3135194005, "resize": 781699.7730537474 }, "transaction_cost": 8711.744545103418, "transaction_cost_over_anchor_nav": 0.0024813442777903657, "two_sided_turnover": 2.2009195882071926 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.9554344990495234, "annualized_volatility": 0.1932902837414637, "cagr": -0.03593429441732199, "end_nav": 4242981.273866522, "end_session": "2022-12-30", "fee_by_category": { "entry": 5523.245429024981, "exit": 5496.469863191166, "resize": 1232.274979154122 }, "max_cash_weight": 1.1617452982809907e-16, "max_drawdown": -0.17719574571215657, "mean_cash_weight": 1.017381431127954e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4401132.87849201, "start_session": "2021-12-31", "total_return": -0.03593429441732199, "traded_notional_by_category": { "entry": 5523245.42902498, "exit": 5496469.863191166, "resize": 1232274.979154122 }, "transaction_cost": 12251.990271370269, "transaction_cost_over_anchor_nav": 0.00278382648504997, "two_sided_turnover": 2.9554344990495234 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.223576582856715, "annualized_volatility": 0.1318486500109643, "cagr": 0.031022928336428945, "end_nav": 4374610.977858493, "end_session": "2023-12-29", "fee_by_category": { "entry": 4214.865679423346, "exit": 4159.737896433664, "resize": 985.6120608035292 }, "max_cash_weight": 1.2014441811106757e-16, "max_drawdown": -0.09983118059422857, "mean_cash_weight": 2.9926274127317846e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4242981.273866522, "start_session": "2022-12-30", "total_return": 0.031022928336428945, "traded_notional_by_category": { "entry": 4214865.679423345, "exit": 4159737.8964336645, "resize": 985612.0608035291 }, "transaction_cost": 9360.21563666054, "transaction_cost_over_anchor_nav": 0.002206046888378277, "two_sided_turnover": 2.223576582856715 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.248671058175733, "annualized_volatility": 0.1420975525673573, "cagr": 0.15672225065130796, "end_nav": 5060209.856032396, "end_session": "2024-12-31", "fee_by_category": { "entry": 4738.362115317509, "exit": 4789.88230385727, "resize": 1169.5373536095967 }, "max_cash_weight": 0.0, "max_drawdown": -0.09669037493980348, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4374610.977858493, "start_session": "2023-12-29", "total_return": 0.15672225065130796, "traded_notional_by_category": { "entry": 4738362.115317509, "exit": 4789882.30385727, "resize": 1169537.3536095966 }, "transaction_cost": 10697.781772784376, "transaction_cost_over_anchor_nav": 0.002445424707917976, "two_sided_turnover": 2.248671058175733 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.214263007744089, "annualized_volatility": 0.1640779382785677, "cagr": 0.10752950196644395, "end_nav": 5604331.70169725, "end_session": "2025-12-31", "fee_by_category": { "entry": 5255.2557096343435, "exit": 5205.724703577231, "resize": 1188.762266029379 }, "max_cash_weight": 0.0, "max_drawdown": -0.15290508224679666, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5060209.856032396, "start_session": "2024-12-31", "total_return": 0.10752950196644395, "traded_notional_by_category": { "entry": 5255255.709634343, "exit": 5205724.703577231, "resize": 1188762.2660293789 }, "transaction_cost": 11649.742679240953, "transaction_cost_over_anchor_nav": 0.0023022252062042487, "two_sided_turnover": 2.214263007744089 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.1729259297180503, "annualized_volatility": 0.17817088391923802, "cagr": 0.0769272267611727, "end_nav": 5604331.70169725, "end_session": "2025-12-31", "fee_by_category": { "entry": 55600.72120980398, "exit": 55600.78181307236, "resize": 11530.222537308135 }, "max_cash_weight": 1.0, "max_drawdown": -0.4795470104701427, "mean_cash_weight": 0.08653942473486279, "nonzero_trade_event_count": 289, "order_count": 896, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 878749.1331688617, "start_session": "2000-12-29", "total_return": 5.3776241593404945, "traded_notional_by_category": { "entry": 55600721.20980398, "exit": 55600781.81307236, "resize": 11530222.537308134 }, "transaction_cost": 122731.72556018448, "transaction_cost_over_anchor_nav": 0.13966639729999047, "two_sided_turnover": 54.323148242951255 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6651783.616655691, "end_session": "2026-10-02", "fee_by_category": { "entry": 4040.2967017583233, "exit": 4000.9242577842733, "resize": 2670.244491013151 }, "max_cash_weight": 1.436994210858474e-16, "max_drawdown": -0.07816497016859048, "mean_cash_weight": 1.553868774335179e-17, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 5604331.70169725, "start_session": "2025-12-31", "total_return": 0.18690041394966395, "traded_notional_by_category": { "entry": 4040296.701758323, "exit": 4000924.2577842735, "resize": 2670244.491013151 }, "transaction_cost": 10711.465450555748, "transaction_cost_over_anchor_nav": 0.0019112832752764836, "two_sided_turnover": 1.7500978085977736 } }, "monthly_risk": { "beta_intercept_per_month": 0.0007456610239891205, "beta_to_SPY_excess_returns": 0.7313897991427282, "monthly_return_volatility_annualized": 0.1348853045391382, "months": 300, "sharpe_monthly_annualized": 0.4927007379146639, "tracking_error_monthly_annualized": 0.08770234738396027 }, "phase": [ 1, 7 ], "policy": "B", "run_id": "B12-01-07-10bps", "signal": "12-1" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.9947484373686226, "annualized_volatility": 0.18581632873369347, "cagr": -0.006939106734661693, "end_nav": 869807.4300734373, "end_session": "2001-12-31", "fee_by_category": { "entry": 3120.145718693535, "exit": 3151.8013091920134, "resize": 715.1383411449357 }, "max_cash_weight": 1.2659691261403092e-16, "max_drawdown": -0.1939156888622483, "mean_cash_weight": 9.481187931071093e-18, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 875885.2915991641, "start_session": "2000-12-29", "total_return": -0.006939106734661693, "traded_notional_by_category": { "entry": 1248058.2874774141, "exit": 1260720.5236768052, "resize": 286055.3364579743 }, "transaction_cost": 6987.085369030484, "transaction_cost_over_anchor_nav": 0.007977169426231237, "two_sided_turnover": 2.9947484373686226 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4784473460968945, "annualized_volatility": 0.13713253530961067, "cagr": -0.08972765242892389, "end_nav": 791761.6513077124, "end_session": "2002-12-31", "fee_by_category": { "entry": 720.6486773021763, "exit": 2054.2117338249645, "resize": 358.38118981939135 }, "max_cash_weight": 0.6947334971483603, "max_drawdown": -0.17694720722294366, "mean_cash_weight": 0.4481961216014684, "nonzero_trade_event_count": 12, "order_count": 23, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 869807.4300734373, "start_session": "2001-12-31", "total_return": -0.08972765242892389, "traded_notional_by_category": { "entry": 288259.47092087055, "exit": 821684.6935299858, "resize": 143352.47592775655 }, "transaction_cost": 3133.241600946532, "transaction_cost_over_anchor_nav": 0.003602224460972924, "two_sided_turnover": 1.4784473460968945 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4599378100330838, "annualized_volatility": 0.10034341843542216, "cagr": 0.13175494359367934, "end_nav": 896080.1630153985, "end_session": "2003-12-31", "fee_by_category": { "entry": 1976.8568662188077, "exit": 620.6316470035379, "resize": 291.4092540346331 }, "max_cash_weight": 0.682445098097693, "max_drawdown": -0.052464054851069086, "mean_cash_weight": 0.38546743614857965, "nonzero_trade_event_count": 12, "order_count": 23, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 791761.6513077124, "start_session": "2002-12-31", "total_return": 0.13175494359367934, "traded_notional_by_category": { "entry": 790742.7464875231, "exit": 248252.65880141515, "resize": 116563.70161385322 }, "transaction_cost": 2888.8977672569786, "transaction_cost_over_anchor_nav": 0.003648696249035973, "two_sided_turnover": 1.4599378100330838 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8341329509950937, "annualized_volatility": 0.12550378798489692, "cagr": 0.2118055369146199, "end_nav": 1085874.903061415, "end_session": "2004-12-31", "fee_by_category": { "entry": 3098.745742281426, "exit": 3098.045713439375, "resize": 437.2545994219775 }, "max_cash_weight": 1.2997769155608014e-16, "max_drawdown": -0.06758232697341404, "mean_cash_weight": 4.88077207254955e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 896080.1630153985, "start_session": "2003-12-31", "total_return": 0.2118055369146199, "traded_notional_by_category": { "entry": 1239498.2969125703, "exit": 1239218.2853757502, "resize": 174901.839768791 }, "transaction_cost": 6634.046055142778, "transaction_cost_over_anchor_nav": 0.007403406892546929, "two_sided_turnover": 2.8341329509950937 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.652344969193414, "annualized_volatility": 0.13938643845427445, "cagr": 0.1717911335183966, "end_nav": 1272418.5835175146, "end_session": "2005-12-30", "fee_by_category": { "entry": 1957.6441039590231, "exit": 1948.3503132107294, "resize": 966.7568375312761 }, "max_cash_weight": 0.0, "max_drawdown": -0.10139288429835758, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1085874.903061415, "start_session": "2004-12-31", "total_return": 0.1717911335183966, "traded_notional_by_category": { "entry": 783057.6415836092, "exit": 779340.1252842917, "resize": 386702.73501251044 }, "transaction_cost": 4872.751254701028, "transaction_cost_over_anchor_nav": 0.004487396514058152, "two_sided_turnover": 1.652344969193414 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.235057103721087, "annualized_volatility": 0.11930723890381319, "cagr": 0.23334987608972013, "end_nav": 1569337.302315584, "end_session": "2006-12-29", "fee_by_category": { "entry": 3464.470024492394, "exit": 3481.8357890261896, "resize": 818.292537187855 }, "max_cash_weight": 0.0, "max_drawdown": -0.062166549249146774, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1272418.5835175146, "start_session": "2005-12-30", "total_return": 0.23334987608972013, "traded_notional_by_category": { "entry": 1385788.0097969575, "exit": 1392734.3156104758, "resize": 327317.014875142 }, "transaction_cost": 7764.598350706439, "transaction_cost_over_anchor_nav": 0.006102235892564328, "two_sided_turnover": 2.235057103721087 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.504667446828172, "annualized_volatility": 0.16838928120152094, "cagr": 0.04729792558153023, "end_nav": 1643563.7012528258, "end_session": "2007-12-31", "fee_by_category": { "entry": 6617.97836516821, "exit": 6674.08000504706, "resize": 705.3995533587522 }, "max_cash_weight": 1.5603364294429768e-16, "max_drawdown": -0.1408072685287548, "mean_cash_weight": 5.965004549235872e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1569337.302315584, "start_session": "2006-12-29", "total_return": 0.04729792558153023, "traded_notional_by_category": { "entry": 2647191.3460672842, "exit": 2669632.0020188238, "resize": 282159.82134350087 }, "transaction_cost": 13997.457923574022, "transaction_cost_over_anchor_nav": 0.008919343153903584, "two_sided_turnover": 3.504667446828172 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 3.029018627503521, "annualized_volatility": 0.4352986220785218, "cagr": -0.36539607675208596, "end_nav": 1043011.9729229058, "end_session": "2008-12-31", "fee_by_category": { "entry": 5151.208240602682, "exit": 5307.466301890399, "resize": 1201.7735907058704 }, "max_cash_weight": 1.5566248326825218e-16, "max_drawdown": -0.4802224711664601, "mean_cash_weight": 2.5144277495986575e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1643563.7012528258, "start_session": "2007-12-31", "total_return": -0.36539607675208596, "traded_notional_by_category": { "entry": 2060483.2962410727, "exit": 2122986.5207561594, "resize": 480709.4362823481 }, "transaction_cost": 11660.44813319895, "transaction_cost_over_anchor_nav": 0.0070946128369169, "two_sided_turnover": 3.029018627503521 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0073666390094866, "annualized_volatility": 0.10274273821895823, "cagr": -0.04744286758782135, "end_nav": 993528.493999012, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 2490.046350874717, "resize": 19.379525144771762 }, "max_cash_weight": 1.0, "max_drawdown": -0.10578332590223138, "mean_cash_weight": 0.9206349206349206, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1043011.9729229058, "start_session": "2008-12-31", "total_return": -0.04744286758782135, "traded_notional_by_category": { "entry": 0.0, "exit": 996018.5403498868, "resize": 7751.810057908704 }, "transaction_cost": 2509.425876019489, "transaction_cost_over_anchor_nav": 0.002405941581846993, "two_sided_turnover": 1.0073666390094866 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4738872613030356, "annualized_volatility": 0.18674235323034802, "cagr": 0.22666962162196125, "end_nav": 1218731.221804405, "end_session": "2010-12-31", "fee_by_category": { "entry": 4257.272464827109, "exit": 1800.0363448111962, "resize": 380.41162812770057 }, "max_cash_weight": 1.0, "max_drawdown": -0.1806767384222584, "mean_cash_weight": 0.0753968253968254, "nonzero_trade_event_count": 11, "order_count": 35, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 993528.493999012, "start_session": "2009-12-31", "total_return": 0.22666962162196125, "traded_notional_by_category": { "entry": 1702908.9859308433, "exit": 720014.5379244784, "resize": 152164.6512510802 }, "transaction_cost": 6437.7204377660055, "transaction_cost_over_anchor_nav": 0.006479653554629111, "two_sided_turnover": 2.4738872613030356 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.587086337140531, "annualized_volatility": 0.21031252285178426, "cagr": 0.047348779959766496, "end_nav": 1276436.6582557193, "end_session": "2011-12-30", "fee_by_category": { "entry": 2142.030615546091, "exit": 2128.3961565252544, "resize": 803.1899467194824 }, "max_cash_weight": 0.0, "max_drawdown": -0.18869778865505693, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1218731.221804405, "start_session": "2010-12-31", "total_return": 0.047348779959766496, "traded_notional_by_category": { "entry": 856812.2462184364, "exit": 851358.4626101017, "resize": 321275.97868779296 }, "transaction_cost": 5073.616718790828, "transaction_cost_over_anchor_nav": 0.004163031707088813, "two_sided_turnover": 1.587086337140531 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8274066453922054, "annualized_volatility": 0.08801094019240857, "cagr": 0.11846345398462721, "end_nav": 1427647.7535852871, "end_session": "2012-12-31", "fee_by_category": { "entry": 1081.7764660386115, "exit": 1088.5823287734204, "resize": 552.4038208056455 }, "max_cash_weight": 0.0, "max_drawdown": -0.06958731475520452, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1276436.6582557193, "start_session": "2011-12-30", "total_return": 0.11846345398462721, "traded_notional_by_category": { "entry": 432710.5864154446, "exit": 435432.9315093681, "resize": 220961.5283222582 }, "transaction_cost": 2722.7626156176775, "transaction_cost_over_anchor_nav": 0.0021330965371508495, "two_sided_turnover": 0.8274066453922054 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4214719327302296, "annualized_volatility": 0.11548184957663768, "cagr": 0.3646141133542733, "end_nav": 1948188.2734410067, "end_session": "2013-12-31", "fee_by_category": { "entry": 2750.354721534132, "exit": 2720.889778113915, "resize": 410.8174071701757 }, "max_cash_weight": 1.4148747098932355e-16, "max_drawdown": -0.0547445757890318, "mean_cash_weight": 4.322241781463244e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1427647.7535852871, "start_session": "2012-12-31", "total_return": 0.3646141133542733, "traded_notional_by_category": { "entry": 1100141.8886136527, "exit": 1088355.9112455659, "resize": 164326.9628680703 }, "transaction_cost": 5882.061906818222, "transaction_cost_over_anchor_nav": 0.004120107282798894, "two_sided_turnover": 1.4214719327302296 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.843513987045376, "annualized_volatility": 0.1393317543530665, "cagr": -0.006573908291564123, "end_nav": 1935381.062396705, "end_session": "2014-12-31", "fee_by_category": { "entry": 6569.987065652425, "exit": 6583.319092238114, "resize": 911.0238487963294 }, "max_cash_weight": 1.2756826413373358e-16, "max_drawdown": -0.1261719957685018, "mean_cash_weight": 3.148345547330887e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1948188.2734410067, "start_session": "2013-12-31", "total_return": -0.006573908291564123, "traded_notional_by_category": { "entry": 2627994.82626097, "exit": 2633327.636895246, "resize": 364409.53951853176 }, "transaction_cost": 14064.330006686869, "transaction_cost_over_anchor_nav": 0.007219184202277128, "two_sided_turnover": 2.843513987045376 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8229863679466947, "annualized_volatility": 0.15487707949776977, "cagr": -0.03210031179042483, "end_nav": 1873254.7268604871, "end_session": "2015-12-31", "fee_by_category": { "entry": 6301.728451852159, "exit": 6328.947596442648, "resize": 740.5407947827579 }, "max_cash_weight": 1.289782691139925e-16, "max_drawdown": -0.1206941382628004, "mean_cash_weight": 2.0795079445339404e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1935381.062396705, "start_session": "2014-12-31", "total_return": -0.03210031179042483, "traded_notional_by_category": { "entry": 2520691.3807408633, "exit": 2531579.0385770593, "resize": 296216.31791310315 }, "transaction_cost": 13371.216843077565, "transaction_cost_over_anchor_nav": 0.00690882901712345, "two_sided_turnover": 2.8229863679466947 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2439201402813325, "annualized_volatility": 0.12428153833828197, "cagr": 0.060924616680052335, "end_nav": 1987382.0530385585, "end_session": "2016-12-30", "fee_by_category": { "entry": 4799.594795238987, "exit": 4829.825395941024, "resize": 1166.180837700363 }, "max_cash_weight": 1.374700058994063e-16, "max_drawdown": -0.09586069317641366, "mean_cash_weight": 3.147098133387685e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1873254.7268604871, "start_session": "2015-12-31", "total_return": 0.060924616680052335, "traded_notional_by_category": { "entry": 1919837.918095595, "exit": 1931930.1583764094, "resize": 466472.3350801453 }, "transaction_cost": 10795.601028880374, "transaction_cost_over_anchor_nav": 0.005763018170504469, "two_sided_turnover": 2.2439201402813325 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.162758995211634, "annualized_volatility": 0.09093075495717927, "cagr": 0.21649716996133472, "end_nav": 2417644.6431533536, "end_session": "2017-12-29", "fee_by_category": { "entry": 5145.667965114942, "exit": 5167.014195705264, "resize": 884.2367998488864 }, "max_cash_weight": 1.1668601522400426e-16, "max_drawdown": -0.05448589900781875, "mean_cash_weight": 2.6933556429424673e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1987382.0530385585, "start_session": "2016-12-30", "total_return": 0.21649716996133472, "traded_notional_by_category": { "entry": 2058267.1860459764, "exit": 2066805.6782821054, "resize": 353694.7199395546 }, "transaction_cost": 11196.91896066909, "transaction_cost_over_anchor_nav": 0.005634004263825287, "two_sided_turnover": 2.162758995211634 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1687962148908944, "annualized_volatility": 0.1951362404239975, "cagr": -0.09715223109468718, "end_nav": 2182765.0720768864, "end_session": "2018-12-31", "fee_by_category": { "entry": 6446.9607396537, "exit": 6521.050209320063, "resize": 1024.0178338338985 }, "max_cash_weight": 0.0, "max_drawdown": -0.24642219556127753, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2417644.6431533536, "start_session": "2017-12-29", "total_return": -0.09715223109468718, "traded_notional_by_category": { "entry": 2578784.29586148, "exit": 2608420.0837280247, "resize": 409607.1335335594 }, "transaction_cost": 13992.02878280766, "transaction_cost_over_anchor_nav": 0.005787462943502624, "two_sided_turnover": 2.1687962148908944 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1170838844715707, "annualized_volatility": 0.09827331254418882, "cagr": 0.24623974334427068, "end_nav": 2720248.5832059374, "end_session": "2019-12-31", "fee_by_category": { "entry": 6083.110451267443, "exit": 5971.571658217788, "resize": 737.177612321573 }, "max_cash_weight": 0.6727962252097129, "max_drawdown": -0.04412442949895201, "mean_cash_weight": 0.3293259791867862, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2182765.0720768864, "start_session": "2018-12-31", "total_return": 0.24623974334427068, "traded_notional_by_category": { "entry": 2433244.1805069773, "exit": 2388628.6632871153, "resize": 294871.0449286292 }, "transaction_cost": 12791.859721806804, "transaction_cost_over_anchor_nav": 0.0058603923461334455, "two_sided_turnover": 2.1170838844715707 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5765010121693024, "annualized_volatility": 0.3336154392955673, "cagr": 0.20698419163948722, "end_nav": 3283297.037259279, "end_session": "2020-12-31", "fee_by_category": { "entry": 4801.378424660821, "exit": 4819.734089026943, "resize": 1686.9450270510836 }, "max_cash_weight": 1.466250556711852e-16, "max_drawdown": -0.3026968695385439, "mean_cash_weight": 1.2566190475745426e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2720248.5832059374, "start_session": "2019-12-31", "total_return": 0.20698419163948722, "traded_notional_by_category": { "entry": 1920551.3698643283, "exit": 1927893.6356107774, "resize": 674778.0108204334 }, "transaction_cost": 11308.057540738848, "transaction_cost_over_anchor_nav": 0.00415699418448434, "two_sided_turnover": 1.5765010121693024 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.198560131249157, "annualized_volatility": 0.1541044564330219, "cagr": 0.24943193910049244, "end_nav": 4102256.1839057626, "end_session": "2021-12-31", "fee_by_category": { "entry": 9215.69732092298, "exit": 9292.773613797603, "resize": 1817.771388755 }, "max_cash_weight": 1.4226875214498108e-16, "max_drawdown": -0.06861715412723679, "mean_cash_weight": 4.2673038495512924e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3283297.037259279, "start_session": "2020-12-31", "total_return": 0.24943193910049244, "traded_notional_by_category": { "entry": 3686278.9283691915, "exit": 3717109.445519041, "resize": 727108.555502 }, "transaction_cost": 20326.24232347558, "transaction_cost_over_anchor_nav": 0.006190802139681776, "two_sided_turnover": 2.198560131249157 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.9527547173751265, "annualized_volatility": 0.1932597903844452, "cagr": -0.040201275239012624, "end_nav": 3937340.2539556255, "end_session": "2022-12-30", "fee_by_category": { "entry": 12830.554805108482, "exit": 12793.825152144898, "resize": 2863.3525736234496 }, "max_cash_weight": 1.2188949604298797e-16, "max_drawdown": -0.18068121019853722, "mean_cash_weight": 9.306762674836852e-18, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4102256.1839057626, "start_session": "2021-12-31", "total_return": -0.040201275239012624, "traded_notional_by_category": { "entry": 5132221.922043392, "exit": 5117530.060857959, "resize": 1145341.0294493798 }, "transaction_cost": 28487.73253087683, "transaction_cost_over_anchor_nav": 0.006944406017996085, "two_sided_turnover": 2.9527547173751265 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2225762914742777, "annualized_volatility": 0.13192219802534766, "cagr": 0.02758631734811612, "end_nav": 4045956.971708758, "end_session": "2023-12-29", "fee_by_category": { "entry": 9754.223803514275, "exit": 9642.804461229018, "resize": 2288.4254499275403 }, "max_cash_weight": 1.2694089797167136e-16, "max_drawdown": -0.10134954746137559, "mean_cash_weight": 1.0249008478369594e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 3937340.2539556255, "start_session": "2022-12-30", "total_return": 0.02758631734811612, "traded_notional_by_category": { "entry": 3901689.52140571, "exit": 3857121.784491607, "resize": 915370.179971016 }, "transaction_cost": 21685.45371467083, "transaction_cost_over_anchor_nav": 0.005507640263724902, "two_sided_turnover": 2.2225762914742777 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2462886009131275, "annualized_volatility": 0.14228603547663385, "cagr": 0.1528270552831803, "end_nav": 4664288.661497461, "end_session": "2024-12-31", "fee_by_category": { "entry": 10928.064842159649, "exit": 11065.814530831352, "resize": 2691.3251871083257 }, "max_cash_weight": 1.1167655005171247e-16, "max_drawdown": -0.09853477488104412, "mean_cash_weight": 9.395283103676695e-18, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4045956.971708758, "start_session": "2023-12-29", "total_return": 0.1528270552831803, "traded_notional_by_category": { "entry": 4371225.936863859, "exit": 4426325.812332541, "resize": 1076530.0748433303 }, "transaction_cost": 24685.204560099326, "transaction_cost_over_anchor_nav": 0.006101202937329768, "two_sided_turnover": 2.2462886009131275 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2132466736489875, "annualized_volatility": 0.16422977061848396, "cagr": 0.10385334817479541, "end_nav": 5148690.655847707, "end_session": "2025-12-31", "fee_by_category": { "entry": 12080.592507095113, "exit": 11986.70666153114, "resize": 2741.380511428076 }, "max_cash_weight": 0.0, "max_drawdown": -0.1529890348536438, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4664288.661497461, "start_session": "2024-12-31", "total_return": 0.10385334817479541, "traded_notional_by_category": { "entry": 4832237.002838044, "exit": 4794682.664612455, "resize": 1096552.2045712303 }, "transaction_cost": 26808.679680054327, "transaction_cost_over_anchor_nav": 0.005747645916804697, "two_sided_turnover": 2.2132466736489875 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.1709824209597146, "annualized_volatility": 0.17817186662775156, "cagr": 0.07342074103783203, "end_nav": 5148690.655847707, "end_session": "2025-12-31", "fee_by_category": { "entry": 131296.69317890517, "exit": 131567.76042815862, "resize": 27212.986096349752 }, "max_cash_weight": 1.0, "max_drawdown": -0.48195092108784, "mean_cash_weight": 0.08653942473486279, "nonzero_trade_event_count": 289, "order_count": 896, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 875885.2915991641, "start_session": "2000-12-29", "total_return": 4.87827048271057, "traded_notional_by_category": { "entry": 52518677.27156207, "exit": 52627104.17126345, "resize": 10885194.4385399 }, "transaction_cost": 290077.4397034135, "transaction_cost_over_anchor_nav": 0.33118199664455966, "two_sided_turnover": 54.27456052399286 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6094957.276968898, "end_session": "2026-10-02", "fee_by_category": { "entry": 9262.676141682172, "exit": 9181.58899157519, "resize": 6124.195121070282 }, "max_cash_weight": 0.0, "max_drawdown": -0.0782400897529858, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 5148690.655847707, "start_session": "2025-12-31", "total_return": 0.18378781798561827, "traded_notional_by_category": { "entry": 3705070.4566728687, "exit": 3672635.596630076, "resize": 2449678.0484281126 }, "transaction_cost": 24568.460254327645, "transaction_cost_over_anchor_nav": 0.00477178799359865, "two_sided_turnover": 1.7494063238836526 } }, "monthly_risk": { "beta_intercept_per_month": 0.0004642899357018039, "beta_to_SPY_excess_returns": 0.732591632652551, "monthly_return_volatility_annualized": 0.1348744550515675, "months": 300, "sharpe_monthly_annualized": 0.46840767590192395, "tracking_error_monthly_annualized": 0.08737982871101889 }, "phase": [ 1, 7 ], "policy": "B", "run_id": "B12-01-07-25bps", "signal": "12-1" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.9999728652000286, "annualized_volatility": 0.18591328434748908, "cagr": -0.0009625322580896212, "end_nav": 878859.8976741252, "end_session": "2001-12-31", "fee_by_category": { "entry": 629.6087365716351, "exit": 633.876348144629, "resize": 144.56167783734452 }, "max_cash_weight": 1.4006037562753898e-16, "max_drawdown": -0.19260286419566952, "mean_cash_weight": 6.369437154425658e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 879706.6436963386, "start_session": "2000-12-29", "total_return": -0.0009625322580896212, "traded_notional_by_category": { "entry": 1259217.47314327, "exit": 1267752.6962892578, "resize": 289123.35567468905 }, "transaction_cost": 1408.0467625536085, "transaction_cost_over_anchor_nav": 0.0016005867099483278, "two_sided_turnover": 2.9999728652000286 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4786498584583962, "annualized_volatility": 0.13707933226512026, "cagr": -0.08702913379575983, "end_nav": 802373.482051716, "end_session": "2002-12-31", "fee_by_category": { "entry": 145.92667943003195, "exit": 415.4046744483396, "resize": 72.35825550816874 }, "max_cash_weight": 0.6947334971483602, "max_drawdown": -0.17626626340800366, "mean_cash_weight": 0.4481961216014684, "nonzero_trade_event_count": 12, "order_count": 23, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 878859.8976741252, "start_session": "2001-12-31", "total_return": -0.08702913379575983, "traded_notional_by_category": { "entry": 291853.3588600639, "exit": 830809.3488966792, "resize": 144716.51101633746 }, "transaction_cost": 633.6896093865404, "transaction_cost_over_anchor_nav": 0.0007210359820303326, "two_sided_turnover": 1.4786498584583962 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4616416992091283, "annualized_volatility": 0.10019315041302133, "cagr": 0.13506636946961081, "end_nav": 910747.1552311312, "end_session": "2003-12-31", "fee_by_category": { "entry": 401.5794532317716, "exit": 125.792539723046, "resize": 59.350626729897826 }, "max_cash_weight": 0.682445098097693, "max_drawdown": -0.0524640548510692, "mean_cash_weight": 0.38546743614857965, "nonzero_trade_event_count": 12, "order_count": 23, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 802373.482051716, "start_session": "2002-12-31", "total_return": 0.13506636946961081, "traded_notional_by_category": { "entry": 803158.9064635432, "exit": 251585.07944609202, "resize": 118701.25345979564 }, "transaction_cost": 586.7226196847154, "transaction_cost_over_anchor_nav": 0.0007312338116963079, "two_sided_turnover": 1.4616416992091283 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8385585520923278, "annualized_volatility": 0.1255252059374046, "cagr": 0.21870749714818727, "end_nav": 1109934.3860865636, "end_session": "2004-12-31", "fee_by_category": { "entry": 632.678359030795, "exit": 630.4387736268582, "resize": 89.28609545511534 }, "max_cash_weight": 1.278825996728345e-16, "max_drawdown": -0.06753494567289298, "mean_cash_weight": 2.9482647889630306e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 910747.1552311312, "start_session": "2003-12-31", "total_return": 0.21870749714818727, "traded_notional_by_category": { "entry": 1265356.71806159, "exit": 1260877.5472537163, "resize": 178572.19091023068 }, "transaction_cost": 1352.4032281127686, "transaction_cost_over_anchor_nav": 0.0014849381854720731, "two_sided_turnover": 2.8385585520923278 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6532532723393005, "annualized_volatility": 0.13944659824667652, "cagr": 0.17567275881399258, "end_nav": 1304919.6217929055, "end_session": "2005-12-30", "fee_by_category": { "entry": 401.13997942393894, "exit": 398.6876813553768, "resize": 197.9964110310087 }, "max_cash_weight": 0.0, "max_drawdown": -0.10134747613574435, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1109934.3860865636, "start_session": "2004-12-31", "total_return": 0.17567275881399258, "traded_notional_by_category": { "entry": 802279.9588478778, "exit": 797375.3627107537, "resize": 395992.8220620174 }, "transaction_cost": 997.8240718103244, "transaction_cost_over_anchor_nav": 0.0008989937462235757, "two_sided_turnover": 1.6532532723393005 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2390395972662427, "annualized_volatility": 0.11908494777856113, "cagr": 0.2388878320259713, "end_nav": 1616649.0412111632, "end_session": "2006-12-29", "fee_by_category": { "entry": 713.7084476937438, "exit": 714.4225131741775, "resize": 168.03332678212428 }, "max_cash_weight": 0.0, "max_drawdown": -0.06185824746143265, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1304919.6217929055, "start_session": "2005-12-30", "total_return": 0.2388878320259713, "traded_notional_by_category": { "entry": 1427416.8953874875, "exit": 1428845.026348355, "resize": 336066.6535642485 }, "transaction_cost": 1596.1642876500457, "transaction_cost_over_anchor_nav": 0.001223189735975448, "two_sided_turnover": 2.2390395972662427 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.51133791308602, "annualized_volatility": 0.168740325602266, "cagr": 0.054679427182309004, "end_nav": 1705046.4847394186, "end_session": "2007-12-31", "fee_by_category": { "entry": 1370.5899392785623, "exit": 1377.4126875949596, "resize": 146.70977204904415 }, "max_cash_weight": 1.4548928440302047e-16, "max_drawdown": -0.13733768792318146, "mean_cash_weight": 4.644682724426236e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1616649.0412111632, "start_session": "2006-12-29", "total_return": 0.054679427182309004, "traded_notional_by_category": { "entry": 2741179.878557124, "exit": 2754825.375189919, "resize": 293419.5440980883 }, "transaction_cost": 2894.712398922566, "transaction_cost_over_anchor_nav": 0.0017905632732469268, "two_sided_turnover": 3.51133791308602 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 3.033464629755695, "annualized_volatility": 0.4354881507940369, "cagr": -0.3615326605460053, "end_nav": 1088616.4927569628, "end_session": "2008-12-31", "fee_by_category": { "entry": 1073.5769155987832, "exit": 1102.5255090458534, "resize": 250.46385595162022 }, "max_cash_weight": 1.7126939360196883e-16, "max_drawdown": -0.47932167271751636, "mean_cash_weight": 3.5306421106660594e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1705046.4847394186, "start_session": "2007-12-31", "total_return": -0.3615326605460053, "traded_notional_by_category": { "entry": 2147153.8311975664, "exit": 2205051.0180917066, "resize": 500927.7119032404 }, "transaction_cost": 2426.566280596257, "transaction_cost_over_anchor_nav": 0.0014231672287615712, "two_sided_turnover": 3.033464629755695 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0073715492837805, "annualized_volatility": 0.10244713144528424, "cagr": -0.045518918256946206, "end_nav": 1039063.8476099952, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 519.7918197148549, "resize": 4.048071063267446 }, "max_cash_weight": 1.0, "max_drawdown": -0.1057833259022315, "mean_cash_weight": 0.9206349206349206, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1088616.4927569628, "start_session": "2008-12-31", "total_return": -0.045518918256946206, "traded_notional_by_category": { "entry": 0.0, "exit": 1039583.6394297098, "resize": 8096.142126534891 }, "transaction_cost": 523.8398907781224, "transaction_cost_over_anchor_nav": 0.00048119782702490374, "two_sided_turnover": 1.0073715492837805 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4785283812047036, "annualized_volatility": 0.1871273355782956, "cagr": 0.23276144165317358, "end_nav": 1280917.8467493912, "end_session": "2010-12-31", "fee_by_category": { "entry": 893.3113403708587, "exit": 377.31012147692525, "resize": 80.32934229691423 }, "max_cash_weight": 1.0, "max_drawdown": -0.18059261616446198, "mean_cash_weight": 0.0753968253968254, "nonzero_trade_event_count": 11, "order_count": 35, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1039063.8476099952, "start_session": "2009-12-31", "total_return": 0.23276144165317358, "traded_notional_by_category": { "entry": 1786622.680741717, "exit": 754620.2429538504, "resize": 160658.68459382845 }, "transaction_cost": 1350.9508041446982, "transaction_cost_over_anchor_nav": 0.0013001614936869283, "two_sided_turnover": 2.4785283812047036 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.587981427555292, "annualized_volatility": 0.21015418837249122, "cagr": 0.05068369232953662, "end_nav": 1345839.49279345, "end_session": "2011-12-30", "fee_by_category": { "entry": 451.5570991890865, "exit": 447.4867573366788, "resize": 168.5390952447804 }, "max_cash_weight": 0.0, "max_drawdown": -0.18636823544502745, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1280917.8467493912, "start_session": "2010-12-31", "total_return": 0.05068369232953662, "traded_notional_by_category": { "entry": 903114.1983781729, "exit": 894973.5146733576, "resize": 337078.19048956083 }, "transaction_cost": 1067.5829517705458, "transaction_cost_over_anchor_nav": 0.0008334515398312005, "two_sided_turnover": 1.587981427555292 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8278342976060685, "annualized_volatility": 0.08813196635434487, "cagr": 0.120317161239343, "end_nav": 1507767.080050155, "end_session": "2012-12-31", "fee_by_category": { "entry": 228.43699789727393, "exit": 229.5611998700194, "resize": 116.61635749835638 }, "max_cash_weight": 0.0, "max_drawdown": -0.0695663081381489, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1345839.49279345, "start_session": "2011-12-30", "total_return": 0.120317161239343, "traded_notional_by_category": { "entry": 456873.99579454784, "exit": 459122.3997400388, "resize": 233232.71499671275 }, "transaction_cost": 574.6145552656496, "transaction_cost_over_anchor_nav": 0.0004269562294333991, "two_sided_turnover": 0.8278342976060685 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.421453700223666, "annualized_volatility": 0.11563917547899662, "cagr": 0.3685028340787273, "end_nav": 2063383.5221792446, "end_session": "2013-12-31", "fee_by_category": { "entry": 582.1758323365513, "exit": 575.1688687532469, "resize": 86.1944194989792 }, "max_cash_weight": 1.3618629258455726e-16, "max_drawdown": -0.054744575789032024, "mean_cash_weight": 5.491638541831458e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1507767.080050155, "start_session": "2012-12-31", "total_return": 0.3685028340787273, "traded_notional_by_category": { "entry": 1164351.6646731026, "exit": 1150337.737506494, "resize": 172388.8389979584 }, "transaction_cost": 1243.5391205887772, "transaction_cost_over_anchor_nav": 0.0008247554526441919, "two_sided_turnover": 1.421453700223666 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8479132868810253, "annualized_volatility": 0.13886551761187108, "cagr": -0.0008969646881459292, "end_nav": 2061532.7400217475, "end_session": "2014-12-31", "fee_by_category": { "entry": 1397.9660420362486, "exit": 1396.09039908761, "resize": 193.64299618631688 }, "max_cash_weight": 1.1912329023006946e-16, "max_drawdown": -0.12260657743077008, "mean_cash_weight": 3.649348466350614e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2063383.5221792446, "start_session": "2013-12-31", "total_return": -0.0008969646881459292, "traded_notional_by_category": { "entry": 2795932.0840724967, "exit": 2792180.79817522, "resize": 387285.9923726338 }, "transaction_cost": 2987.699437310175, "transaction_cost_over_anchor_nav": 0.0014479612758343215, "two_sided_turnover": 2.8479132868810253 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.826492704607621, "annualized_volatility": 0.15502950235748947, "cagr": -0.026611390614281638, "end_nav": 2006672.4870128985, "end_session": "2015-12-31", "fee_by_category": { "entry": 1348.0596116941938, "exit": 1350.2597456991957, "resize": 158.24181199259084 }, "max_cash_weight": 1.275560750747237e-16, "max_drawdown": -0.11580266350678348, "mean_cash_weight": 1.9460287246706902e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2061532.7400217475, "start_session": "2014-12-31", "total_return": -0.026611390614281638, "traded_notional_by_category": { "entry": 2696119.2233883874, "exit": 2700519.4913983913, "resize": 316483.6239851817 }, "transaction_cost": 2856.56116938598, "transaction_cost_over_anchor_nav": 0.0013856491890377864, "two_sided_turnover": 2.826492704607621 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2471243993468764, "annualized_volatility": 0.12428716319157923, "cagr": 0.06570226120569433, "end_nav": 2138515.4069089005, "end_session": "2016-12-30", "fee_by_category": { "entry": 1031.778745899677, "exit": 1035.9156902953116, "resize": 251.4755251302174 }, "max_cash_weight": 1.1876352554982117e-16, "max_drawdown": -0.09459714767141292, "mean_cash_weight": 2.866592477227091e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2006672.4870128985, "start_session": "2015-12-31", "total_return": 0.06570226120569433, "traded_notional_by_category": { "entry": 2063557.491799354, "exit": 2071831.3805906232, "resize": 502951.05026043474 }, "transaction_cost": 2319.1699613252063, "transaction_cost_over_anchor_nav": 0.0011557291866683668, "two_sided_turnover": 2.2471243993468764 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.164060078459011, "annualized_volatility": 0.0907520052786215, "cagr": 0.22177794939055384, "end_nav": 2612790.968593262, "end_session": "2017-12-29", "fee_by_category": { "entry": 1110.9753688784594, "exit": 1113.1285595987742, "resize": 189.88485704737292 }, "max_cash_weight": 0.0, "max_drawdown": -0.054454039511567465, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2138515.4069089005, "start_session": "2016-12-30", "total_return": 0.22177794939055384, "traded_notional_by_category": { "entry": 2221950.737756919, "exit": 2226257.119197549, "resize": 379769.7140947458 }, "transaction_cost": 2413.9887855246066, "transaction_cost_over_anchor_nav": 0.0011288152415108792, "two_sided_turnover": 2.164060078459011 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1719336155149684, "annualized_volatility": 0.1950856485612796, "cagr": -0.09322278523479632, "end_nav": 2369219.317264677, "end_session": "2018-12-31", "fee_by_category": { "entry": 1398.0318008832696, "exit": 1410.924553338125, "resize": 223.14774012443877 }, "max_cash_weight": 0.0, "max_drawdown": -0.24637948868611537, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2612790.968593262, "start_session": "2017-12-29", "total_return": -0.09322278523479632, "traded_notional_by_category": { "entry": 2796063.601766539, "exit": 2821849.1066762498, "resize": 446295.48024887755 }, "transaction_cost": 3032.1040943458333, "transaction_cost_over_anchor_nav": 0.0011604847577907586, "two_sided_turnover": 2.1719336155149684 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1192896550774565, "annualized_volatility": 0.0981850440888383, "cagr": 0.2515346915676049, "end_nav": 2965160.167488859, "end_session": "2019-12-31", "fee_by_category": { "entry": 1325.3624348929598, "exit": 1296.3852314905962, "resize": 161.13438644146413 }, "max_cash_weight": 0.6727962252097128, "max_drawdown": -0.04285005768568795, "mean_cash_weight": 0.3293259791867862, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2369219.317264677, "start_session": "2018-12-31", "total_return": 0.2515346915676049, "traded_notional_by_category": { "entry": 2650724.8697859193, "exit": 2592770.4629811924, "resize": 322268.77288292826 }, "transaction_cost": 2782.88205282502, "transaction_cost_over_anchor_nav": 0.0011745987518107554, "two_sided_turnover": 2.1192896550774565 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5776528879541747, "annualized_volatility": 0.33365428688994603, "cagr": 0.21080160888360666, "end_nav": 3590220.701393095, "end_session": "2020-12-31", "fee_by_category": { "entry": 1049.8787488016926, "exit": 1051.083092199107, "resize": 367.192548541653 }, "max_cash_weight": 1.4797493083595942e-16, "max_drawdown": -0.3026753160366754, "mean_cash_weight": 1.2213479206674044e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2965160.167488859, "start_session": "2019-12-31", "total_return": 0.21080160888360666, "traded_notional_by_category": { "entry": 2099757.4976033852, "exit": 2102166.1843982143, "resize": 734385.097083306 }, "transaction_cost": 2468.154389542453, "transaction_cost_over_anchor_nav": 0.0008323848460546024, "two_sided_turnover": 1.5776528879541747 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2017075033761935, "annualized_volatility": 0.15412863104268973, "cagr": 0.25494442361613734, "end_nav": 4505527.448764482, "end_session": "2021-12-31", "fee_by_category": { "entry": 2022.3142440881038, "exit": 2034.5885915840624, "resize": 400.3965051568196 }, "max_cash_weight": 1.145966183561738e-16, "max_drawdown": -0.06858035438874699, "mean_cash_weight": 1.8267357462799992e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3590220.701393095, "start_session": "2020-12-31", "total_return": 0.25494442361613734, "traded_notional_by_category": { "entry": 4044628.488176208, "exit": 4069177.1831681253, "resize": 800793.0103136392 }, "transaction_cost": 4457.299340828986, "transaction_cost_over_anchor_nav": 0.001241511236091821, "two_sided_turnover": 2.2017075033761935 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.9563292736522078, "annualized_volatility": 0.19330973058715667, "cagr": -0.034507759489711964, "end_nav": 4350051.791188221, "end_session": "2022-12-30", "fee_by_category": { "entry": 2830.0531711320937, "exit": 2814.463494657819, "resize": 631.3507457884574 }, "max_cash_weight": 1.203770792491472e-16, "max_drawdown": -0.1760306438871223, "mean_cash_weight": 9.70925959889936e-18, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4505527.448764482, "start_session": "2021-12-31", "total_return": -0.034507759489711964, "traded_notional_by_category": { "entry": 5660106.3422641875, "exit": 5628926.989315637, "resize": 1262701.491576915 }, "transaction_cost": 6275.86741157837, "transaction_cost_over_anchor_nav": 0.0013929262407000442, "two_sided_turnover": 2.9563292736522078 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2239102601593124, "annualized_volatility": 0.1318326439682377, "cagr": 0.03217054384294271, "end_nav": 4489995.323055713, "end_session": "2023-12-29", "fee_by_category": { "entry": 2162.376454284411, "exit": 2132.901441951657, "resize": 505.1021587962055 }, "max_cash_weight": 0.0, "max_drawdown": -0.0995214710613912, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4350051.791188221, "start_session": "2022-12-30", "total_return": 0.03217054384294271, "traded_notional_by_category": { "entry": 4324752.908568822, "exit": 4265802.883903314, "resize": 1010204.3175924111 }, "transaction_cost": 4800.380055032274, "transaction_cost_over_anchor_nav": 0.0011035225062736656, "two_sided_turnover": 2.2239102601593124 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.249466667637006, "annualized_volatility": 0.14204242750478993, "cagr": 0.15802407169455868, "end_nav": 5199522.665894503, "end_session": "2024-12-31", "fee_by_category": { "entry": 2433.738261041465, "exit": 2458.795561476524, "resize": 601.146553352679 }, "max_cash_weight": 0.0, "max_drawdown": -0.09607434597392206, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4489995.323055713, "start_session": "2023-12-29", "total_return": 0.15802407169455868, "traded_notional_by_category": { "entry": 4867476.52208293, "exit": 4917591.122953048, "resize": 1202293.106705358 }, "transaction_cost": 5493.680375870668, "transaction_cost_over_anchor_nav": 0.0012235381065234354, "two_sided_turnover": 2.249466667637006 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2146020315791675, "annualized_volatility": 0.16403407657870006, "cagr": 0.10875710896165747, "end_nav": 5765007.719017799, "end_session": "2025-12-31", "fee_by_category": { "entry": 2702.1709303259, "exit": 2675.2164675310714, "resize": 610.5963604990152 }, "max_cash_weight": 0.0, "max_drawdown": -0.15287709696719176, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5199522.665894503, "start_session": "2024-12-31", "total_return": 0.10875710896165747, "traded_notional_by_category": { "entry": 5404341.8606518, "exit": 5350432.935062142, "resize": 1221192.7209980304 }, "transaction_cost": 5987.9837583559865, "transaction_cost_over_anchor_nav": 0.001151641053059212, "two_sided_turnover": 2.2146020315791675 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.173582804301027, "annualized_volatility": 0.17817782480237812, "cagr": 0.07809859696649757, "end_nav": 5765007.719017799, "end_session": "2025-12-31", "fee_by_category": { "entry": 28336.995594011507, "exit": 28317.63232317482, "resize": 5877.799496003852 }, "max_cash_weight": 1.0, "max_drawdown": -0.47932167271751636, "mean_cash_weight": 0.08653942473486279, "nonzero_trade_event_count": 289, "order_count": 896, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 879706.6436963386, "start_session": "2000-12-29", "total_return": 5.553329749556594, "traded_notional_by_category": { "entry": 56673991.188023016, "exit": 56635264.64634964, "resize": 11755598.992007704 }, "transaction_cost": 62532.42741319018, "transaction_cost_over_anchor_nav": 0.07108327288565462, "two_sided_turnover": 54.33957010752567 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6848481.823348068, "end_session": "2026-10-02", "fee_by_category": { "entry": 2079.3261781815536, "exit": 2058.377027256195, "resize": 1374.0488809947587 }, "max_cash_weight": 1.402498194947782e-16, "max_drawdown": -0.0781399470031493, "mean_cash_weight": 3.039560461319075e-17, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 5765007.719017799, "start_session": "2025-12-31", "total_return": 0.18793974911014755, "traded_notional_by_category": { "entry": 4158652.3563631075, "exit": 4116754.05451239, "resize": 2748097.7619895176 }, "transaction_cost": 5511.752086432508, "transaction_cost_over_anchor_nav": 0.0009560702006087792, "two_sided_turnover": 1.7503284978041351 } }, "monthly_risk": { "beta_intercept_per_month": 0.0008395632807033969, "beta_to_SPY_excess_returns": 0.7309887103967776, "monthly_return_volatility_annualized": 0.134897254917236, "months": 300, "sharpe_monthly_annualized": 0.5007766702922091, "tracking_error_monthly_annualized": 0.0878225104564407 }, "phase": [ 1, 7 ], "policy": "B", "run_id": "B12-01-07-5bps", "signal": "12-1" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.030002001218969, "annualized_volatility": 0.21705963104016612, "cagr": -0.06746143169692576, "end_nav": 839683.4151790774, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6258656285863012e-16, "max_drawdown": -0.27925268758315913, "mean_cash_weight": 9.181847514196572e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 900427.5466129364, "start_session": "2000-12-29", "total_return": -0.06746143169692576, "traded_notional_by_category": { "entry": 1125455.5796001859, "exit": 1108117.7395520746, "resize": 328632.15943757456 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.030002001218969 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.1336851561679346, "annualized_volatility": 0.13481931119974103, "cagr": -0.07124049304270652, "end_nav": 779863.9546819363, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.1721987479795959, "mean_cash_weight": 0.5044185293952087, "nonzero_trade_event_count": 9, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 839683.4151790774, "start_session": "2001-12-31", "total_return": -0.07124049304270652, "traded_notional_by_category": { "entry": 0.0, "exit": 802427.4340916739, "resize": 117161.07445757519 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.1336851561679346 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0297283662044385, "annualized_volatility": 0.08541052658390687, "cagr": 0.11660646189210278, "end_nav": 870801.13119458, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.05601590420816949, "mean_cash_weight": 0.6626984126984127, "nonzero_trade_event_count": 4, "order_count": 12, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 779863.9546819363, "start_session": "2002-12-31", "total_return": 0.11660646189210278, "traded_notional_by_category": { "entry": 779863.9546819363, "exit": 0.0, "resize": 23385.5073828437 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.0297283662044385 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.209517882619931, "annualized_volatility": 0.12537527248460378, "cagr": 0.18447506834033067, "end_nav": 1031442.2293825374, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4217571977912085e-16, "max_drawdown": -0.08467211171097444, "mean_cash_weight": 1.0720570933199544e-16, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 870801.13119458, "start_session": "2003-12-31", "total_return": 0.18447506834033067, "traded_notional_by_category": { "entry": 893971.4790909146, "exit": 882382.3876544004, "resize": 201778.1851126029 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.209517882619931 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9878774474127321, "annualized_volatility": 0.14433717370532068, "cagr": 0.15858502830208376, "end_nav": 1195013.5245211315, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.1017416788633766, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1031442.2293825374, "start_session": "2004-12-31", "total_return": 0.15858502830208376, "traded_notional_by_category": { "entry": 404363.9183374574, "exit": 384665.2759814031, "resize": 383694.26346445584 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.9878774474127321 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2478261092092464, "annualized_volatility": 0.11993766835802687, "cagr": 0.20226402161670687, "end_nav": 1436721.7658771307, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8959177701816222e-16, "max_drawdown": -0.07444541548164041, "mean_cash_weight": 2.906925561091007e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1195013.5245211315, "start_session": "2005-12-30", "total_return": 0.20226402161670687, "traded_notional_by_category": { "entry": 1296798.8507418798, "exit": 1304081.1209447603, "resize": 310738.71837472 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2478261092092464 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4992074222990017, "annualized_volatility": 0.1617717412562258, "cagr": 0.0581649359427141, "end_nav": 1520288.5953568772, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6375036943390565e-16, "max_drawdown": -0.10050234201330344, "mean_cash_weight": 2.6858440565697e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1436721.7658771307, "start_session": "2006-12-29", "total_return": 0.0581649359427141, "traded_notional_by_category": { "entry": 2423242.666877348, "exit": 2426667.463018604, "resize": 247120.7989708322 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.4992074222990017 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.470079913220148, "annualized_volatility": 0.3934418239477715, "cagr": -0.3545971576036039, "end_nav": 981198.5807061531, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7090823098222262e-16, "max_drawdown": -0.44964300774551913, "mean_cash_weight": 3.403546409455007e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1520288.5953568772, "start_session": "2007-12-31", "total_return": -0.3545971576036039, "traded_notional_by_category": { "entry": 1391226.7408551397, "exit": 1403994.45492999, "resize": 611152.6893569278 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.470079913220148 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0266880396919138, "annualized_volatility": 0.13850964901870103, "cagr": -0.1594522733207765, "end_nav": 824744.2364334376, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.19980452217972922, "mean_cash_weight": 0.8452380952380952, "nonzero_trade_event_count": 3, "order_count": 9, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 981198.5807061531, "start_session": "2008-12-31", "total_return": -0.1594522733207765, "traded_notional_by_category": { "entry": 0.0, "exit": 824744.2364334374, "resize": 24933.842720433953 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.0266880396919138 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8072472522194805, "annualized_volatility": 0.155119883421478, "cagr": 0.1809720819433409, "end_nav": 973999.9179715677, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.14300455691042846, "mean_cash_weight": 0.1507936507936508, "nonzero_trade_event_count": 10, "order_count": 31, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 824744.2364334376, "start_session": "2009-12-31", "total_return": 0.1809720819433409, "traded_notional_by_category": { "entry": 1097187.4358743983, "exit": 267603.5214422605, "resize": 126944.01508709343 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.8072472522194805 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5776483365918341, "annualized_volatility": 0.24509601798925157, "cagr": -0.008279511068735923, "end_nav": 965935.6748697743, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4107985562869783e-16, "max_drawdown": -0.2163611695106501, "mean_cash_weight": 3.999123292793782e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 973999.9179715677, "start_session": "2010-12-31", "total_return": -0.008279511068735923, "traded_notional_by_category": { "entry": 647594.3192173083, "exit": 648637.3371539125, "resize": 231896.99731694843 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5776483365918341 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1686683507693236, "annualized_volatility": 0.09168806765411465, "cagr": 0.13197191046713042, "end_nav": 1093412.0512706954, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.193988470998021e-16, "max_drawdown": -0.08108506990801534, "mean_cash_weight": 1.9206796067795172e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 965935.6748697743, "start_session": "2011-12-30", "total_return": 0.13197191046713042, "traded_notional_by_category": { "entry": 1062714.6167197803, "exit": 1074211.1311092793, "resize": 169757.413939244 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.1686683507693236 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0987269284599503, "annualized_volatility": 0.11439248902090353, "cagr": 0.35063147169113895, "end_nav": 1476796.7279725664, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0985990319746488e-16, "max_drawdown": -0.05356514870191764, "mean_cash_weight": 6.331954103814275e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1093412.0512706954, "start_session": "2012-12-31", "total_return": 0.35063147169113895, "traded_notional_by_category": { "entry": 1206138.5736577888, "exit": 1196943.135076467, "resize": 134574.61831036472 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0987269284599503 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.127821654648347, "annualized_volatility": 0.12759952200360408, "cagr": 0.10976945778570202, "end_nav": 1638903.9040618138, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.08168122658023069, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1476796.7279725664, "start_session": "2013-12-31", "total_return": 0.10976945778570202, "traded_notional_by_category": { "entry": 1561113.3732409598, "exit": 1550346.392759245, "resize": 206365.4000003665 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.127821654648347 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1589860214884555, "annualized_volatility": 0.14783126859738963, "cagr": 0.0779963451657002, "end_nav": 1766732.4186564325, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4529264734079175e-16, "max_drawdown": -0.10159809982883317, "mean_cash_weight": 5.709549186980375e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1638903.9040618138, "start_session": "2014-12-31", "total_return": 0.0779963451657002, "traded_notional_by_category": { "entry": 1699017.8983451088, "exit": 1729380.1820733284, "resize": 239020.50692491676 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.1589860214884555 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4827241014605168, "annualized_volatility": 0.11494650844585028, "cagr": 0.017357611564353226, "end_nav": 1797398.673717621, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3413707935827406, "max_drawdown": -0.08820380766398495, "mean_cash_weight": 0.16991254785189353, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1766732.4186564325, "start_session": "2015-12-31", "total_return": 0.017357611564353226, "traded_notional_by_category": { "entry": 1165604.920336177, "exit": 1139455.4834344634, "resize": 260694.60697419802 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4827241014605168 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5199308936979965, "annualized_volatility": 0.08441968619373653, "cagr": 0.2586177852115161, "end_nav": 2262237.9378565885, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.260740306250101e-16, "max_drawdown": -0.046516995119561866, "mean_cash_weight": 1.8598760144613394e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1797398.673717621, "start_session": "2016-12-30", "total_return": 0.2586177852115161, "traded_notional_by_category": { "entry": 1280451.639054822, "exit": 1282929.5637304164, "resize": 370109.8552674027 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5199308936979965 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.114759363662288, "annualized_volatility": 0.19559444342852564, "cagr": -0.047807622920073456, "end_nav": 2154085.719568056, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0456761460213726e-16, "max_drawdown": -0.24636880288553642, "mean_cash_weight": 3.3093848103165935e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2262237.9378565885, "start_session": "2017-12-29", "total_return": -0.047807622920073456, "traded_notional_by_category": { "entry": 2441449.7399364156, "exit": 2420150.6431026403, "resize": 297866.1870313891 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.114759363662288 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.862601089610741, "annualized_volatility": 0.11311928969296287, "cagr": 0.3180229161347674, "end_nav": 2839134.341709348, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8517020586041446e-16, "max_drawdown": -0.04766333425106817, "mean_cash_weight": 1.5786196807473837e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2154085.719568056, "start_session": "2018-12-31", "total_return": 0.3180229161347674, "traded_notional_by_category": { "entry": 3371672.5984450625, "exit": 3342610.825618053, "resize": 521903.2532171076 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.862601089610741 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5454495114427385, "annualized_volatility": 0.33377170721633237, "cagr": 0.1762800322883451, "end_nav": 3339617.035136821, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6494016393261412e-16, "max_drawdown": -0.30266992317089536, "mean_cash_weight": 2.5659567808945366e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2839134.341709348, "start_session": "2019-12-31", "total_return": 0.1762800322883451, "traded_notional_by_category": { "entry": 2099575.935901232, "exit": 2028937.4566815458, "resize": 664493.6385476835 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5454495114427385 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8375489115004893, "annualized_volatility": 0.1445773218754813, "cagr": 0.21881784474628274, "end_nav": 4070384.837043431, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4266483202860584e-16, "max_drawdown": -0.07199436933390158, "mean_cash_weight": 6.46713675018158e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3339617.035136821, "start_session": "2020-12-31", "total_return": 0.21881784474628274, "traded_notional_by_category": { "entry": 5074722.340441549, "exit": 5053501.002704129, "resize": 655966.1615715651 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8375489115004893 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3796267610342317, "annualized_volatility": 0.19642702707574156, "cagr": 0.025036022590075646, "end_nav": 4172291.083773952, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2819063419047614e-16, "max_drawdown": -0.14565092848899652, "mean_cash_weight": 2.9486964819144526e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4070384.837043431, "start_session": "2021-12-31", "total_return": 0.025036022590075646, "traded_notional_by_category": { "entry": 3894490.4931441797, "exit": 3839563.5813825065, "resize": 1595657.089770949 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.3796267610342317 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.188392153057073, "annualized_volatility": 0.1386783355841106, "cagr": 0.06487923568049792, "end_nav": 4442986.140325762, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.224787624342884e-16, "max_drawdown": -0.11295386516040096, "mean_cash_weight": 3.8067616770934184e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4172291.083773952, "start_session": "2022-12-30", "total_return": 0.06487923568049792, "traded_notional_by_category": { "entry": 4106756.136064457, "exit": 4140230.7604952487, "resize": 730051.4214694274 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.188392153057073 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8789619554147508, "annualized_volatility": 0.13731955337185706, "cagr": 0.09924079221445337, "end_nav": 4883911.604689527, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0579615427401482e-16, "max_drawdown": -0.10319814770569646, "mean_cash_weight": 3.13860953617211e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4442986.140325762, "start_session": "2023-12-29", "total_return": 0.09924079221445337, "traded_notional_by_category": { "entry": 6416867.111121066, "exit": 6377997.000855399, "resize": 1062980.1539615889 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8789619554147508 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1896747836701995, "annualized_volatility": 0.1637224061972796, "cagr": 0.1685004317910832, "end_nav": 5706852.818909195, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0706767541866449e-16, "max_drawdown": -0.13654346561335828, "mean_cash_weight": 8.985705306203214e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4883911.604689527, "start_session": "2024-12-31", "total_return": 0.1685004317910832, "traded_notional_by_category": { "entry": 5320661.287411759, "exit": 5358241.290245127, "resize": 971073.4631812167 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.1896747836701995 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.062935216270909, "annualized_volatility": 0.1760304507446806, "cagr": 0.07665835759500816, "end_nav": 5706852.818909195, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.5077125593283052, "mean_cash_weight": 0.09351541776145537, "nonzero_trade_event_count": 278, "order_count": 886, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 900427.5466129364, "start_session": "2000-12-29", "total_return": 5.3379367283644195, "traded_notional_by_category": { "entry": 50760941.60909693, "exit": 50587819.420470364, "resize": 10487952.021849427 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 51.57338040677273 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6545259.403894244, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4568366214570096e-16, "max_drawdown": -0.07730447713470401, "mean_cash_weight": 4.704916820498629e-17, "nonzero_trade_event_count": 10, "order_count": 33, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 5706852.818909195, "start_session": "2025-12-31", "total_return": 0.1469122494638475, "traded_notional_by_category": { "entry": 6329236.364593018, "exit": 6018016.875641618, "resize": 2561243.5230272235 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.353964700273066 } }, "monthly_risk": { "beta_intercept_per_month": 0.0004930080304533591, "beta_to_SPY_excess_returns": 0.7767574821809514, "monthly_return_volatility_annualized": 0.1407182445258758, "months": 300, "sharpe_monthly_annualized": 0.47593333103635177, "tracking_error_monthly_annualized": 0.08515586029671861 }, "phase": [ 2, 8 ], "policy": "B", "run_id": "B12-02-08-0bps", "signal": "12-1" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.0291264422183977, "annualized_volatility": 0.2170949201484559, "cagr": -0.07028359631352155, "end_nav": 834782.307738275, "end_session": "2001-12-31", "fee_by_category": { "entry": 1119.8600741061732, "exit": 1104.071177002848, "resize": 328.0115521894729 }, "max_cash_weight": 1.5185360419121874e-16, "max_drawdown": -0.28127751036782833, "mean_cash_weight": 3.6638326789326207e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 897889.1890346624, "start_session": "2000-12-29", "total_return": -0.07028359631352155, "traded_notional_by_category": { "entry": 1119860.0741061731, "exit": 1104071.177002848, "resize": 328011.55218947295 }, "transaction_cost": 2551.942803298494, "transaction_cost_over_anchor_nav": 0.0028421578458274295, "two_sided_turnover": 3.0291264422183977 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.1336822983940302, "annualized_volatility": 0.13484450679115928, "cagr": -0.07229307480588676, "end_nav": 774433.3279183211, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 797.4890956274066, "resize": 116.44668920547132 }, "max_cash_weight": 1.0, "max_drawdown": -0.17224397245300782, "mean_cash_weight": 0.5044185293952087, "nonzero_trade_event_count": 9, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 834782.307738275, "start_session": "2001-12-31", "total_return": -0.07229307480588676, "traded_notional_by_category": { "entry": 0.0, "exit": 797489.0956274067, "resize": 116446.68920547131 }, "transaction_cost": 913.935784832878, "transaction_cost_over_anchor_nav": 0.0010948193036206745, "two_sided_turnover": 1.1336822983940302 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.028723597093904, "annualized_volatility": 0.08532942373665839, "cagr": 0.11545781593282833, "end_nav": 863847.7085453623, "end_session": "2003-12-31", "fee_by_category": { "entry": 773.6596682500711, "exit": 0.0, "resize": 23.19485940296331 }, "max_cash_weight": 1.0, "max_drawdown": -0.05601590420816949, "mean_cash_weight": 0.6626984126984127, "nonzero_trade_event_count": 4, "order_count": 12, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 774433.3279183211, "start_session": "2002-12-31", "total_return": 0.11545781593282833, "traded_notional_by_category": { "entry": 773659.6682500711, "exit": 0.0, "resize": 23194.85940296331 }, "transaction_cost": 796.8545276530344, "transaction_cost_over_anchor_nav": 0.001028951749526304, "two_sided_turnover": 1.028723597093904 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.208806592027054, "annualized_volatility": 0.1252971695044054, "cagr": 0.18186035539812462, "end_nav": 1020947.3598312775, "end_session": "2004-12-31", "fee_by_category": { "entry": 885.3731641902942, "exit": 874.8618747492417, "resize": 200.27504901289475 }, "max_cash_weight": 1.3856885367861552e-16, "max_drawdown": -0.08594519928577082, "mean_cash_weight": 2.1773478807015572e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 863847.7085453623, "start_session": "2003-12-31", "total_return": 0.18186035539812462, "traded_notional_by_category": { "entry": 885373.1641902942, "exit": 874861.8747492416, "resize": 200275.04901289474 }, "transaction_cost": 1960.5100879524305, "transaction_cost_over_anchor_nav": 0.0022695089291302787, "two_sided_turnover": 2.208806592027054 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9876546657780565, "annualized_volatility": 0.14430830631054173, "cagr": 0.15744104148774407, "end_nav": 1181686.3754672764, "end_session": "2005-12-30", "fee_by_category": { "entry": 399.8867290150689, "exit": 380.66302885141437, "resize": 379.67039819893125 }, "max_cash_weight": 0.0, "max_drawdown": -0.10177295419419685, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1020947.3598312775, "start_session": "2004-12-31", "total_return": 0.15744104148774407, "traded_notional_by_category": { "entry": 399886.7290150689, "exit": 380663.02885141433, "resize": 379670.39819893125 }, "transaction_cost": 1160.2201560654144, "transaction_cost_over_anchor_nav": 0.0011364152567642206, "two_sided_turnover": 0.9876546657780565 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2471080683934286, "annualized_volatility": 0.11983351449572474, "cagr": 0.19956406843412, "end_nav": 1417508.5161686952, "end_session": "2006-12-29", "fee_by_category": { "entry": 1280.106911578893, "exit": 1288.7657123818433, "resize": 307.5416563307916 }, "max_cash_weight": 0.0, "max_drawdown": -0.07446796419308066, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1181686.3754672764, "start_session": "2005-12-30", "total_return": 0.19956406843412, "traded_notional_by_category": { "entry": 1280106.911578893, "exit": 1288765.7123818432, "resize": 307541.6563307916 }, "transaction_cost": 2876.414280291528, "transaction_cost_over_anchor_nav": 0.0024341604845482816, "two_sided_turnover": 2.2471080683934286 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4958758403789365, "annualized_volatility": 0.16171190076140676, "cagr": 0.054469129063028365, "end_nav": 1494718.9704838297, "end_session": "2007-12-31", "fee_by_category": { "entry": 2384.597450736871, "exit": 2392.124010154519, "resize": 242.69408629680228 }, "max_cash_weight": 0.0, "max_drawdown": -0.1005301346265749, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1417508.5161686952, "start_session": "2006-12-29", "total_return": 0.054469129063028365, "traded_notional_by_category": { "entry": 2384597.450736871, "exit": 2392124.0101545188, "resize": 242694.08629680227 }, "transaction_cost": 5019.415547188192, "transaction_cost_over_anchor_nav": 0.003541012621747692, "two_sided_turnover": 3.4958758403789365 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4685051173816195, "annualized_volatility": 0.39341120525574735, "cagr": -0.3561891116793976, "end_nav": 962316.3481768507, "end_session": "2008-12-31", "fee_by_category": { "entry": 1365.5030537021896, "exit": 1379.5721687356506, "resize": 599.3317083351919 }, "max_cash_weight": 0.0, "max_drawdown": -0.4501784123553917, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1494718.9704838297, "start_session": "2007-12-31", "total_return": -0.3561891116793976, "traded_notional_by_category": { "entry": 1365503.0537021896, "exit": 1379572.1687356506, "resize": 599331.708335192 }, "transaction_cost": 3344.4069307730324, "transaction_cost_over_anchor_nav": 0.002237482093165963, "two_sided_turnover": 2.4685051173816195 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0266839853554153, "annualized_volatility": 0.13863309637872934, "cagr": -0.16031522766310258, "end_nav": 808042.3837349534, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 808.8512349699231, "resize": 24.450425260780552 }, "max_cash_weight": 1.0, "max_drawdown": -0.20062024470975803, "mean_cash_weight": 0.8452380952380952, "nonzero_trade_event_count": 3, "order_count": 9, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 962316.3481768507, "start_session": "2008-12-31", "total_return": -0.16031522766310258, "traded_notional_by_category": { "entry": 0.0, "exit": 808851.234969923, "resize": 24450.425260780554 }, "transaction_cost": 833.3016602307036, "transaction_cost_over_anchor_nav": 0.0008659331848715125, "two_sided_turnover": 1.0266839853554153 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.806037967532938, "annualized_volatility": 0.15494537805244002, "cagr": 0.17884027294839222, "end_nav": 952552.9041959819, "end_session": "2010-12-31", "fee_by_category": { "entry": 1073.6927439225005, "exit": 261.8992187804322, "resize": 124.22144896733508 }, "max_cash_weight": 1.0, "max_drawdown": -0.14306102058567804, "mean_cash_weight": 0.15079365079365084, "nonzero_trade_event_count": 10, "order_count": 31, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 808042.3837349534, "start_session": "2009-12-31", "total_return": 0.17884027294839222, "traded_notional_by_category": { "entry": 1073692.7439225006, "exit": 261899.2187804322, "resize": 124221.44896733508 }, "transaction_cost": 1459.813411670268, "transaction_cost_over_anchor_nav": 0.0018066050012410023, "two_sided_turnover": 1.806037967532938 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5772319195620976, "annualized_volatility": 0.24518306947242458, "cagr": -0.009842915657464313, "end_nav": 943177.0063007082, "end_session": "2011-12-30", "fee_by_category": { "entry": 632.6544048179126, "exit": 634.1040467995481, "resize": 226.6215294406716 }, "max_cash_weight": 1.4218989875924248e-16, "max_drawdown": -0.21699191066885803, "mean_cash_weight": 6.181962694596209e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 952552.9041959819, "start_session": "2010-12-31", "total_return": -0.009842915657464313, "traded_notional_by_category": { "entry": 632654.4048179126, "exit": 634104.0467995481, "resize": 226621.52944067158 }, "transaction_cost": 1493.3799810581322, "transaction_cost_over_anchor_nav": 0.0015677659209056157, "two_sided_turnover": 1.5772319195620976 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1671204558837105, "annualized_volatility": 0.0916251954128145, "cagr": 0.12952016624601526, "end_nav": 1065337.4489561948, "end_session": "2012-12-31", "fee_by_category": { "entry": 1035.9853141242345, "exit": 1048.3520878917539, "resize": 165.09848513174563 }, "max_cash_weight": 1.2016613608184736e-16, "max_drawdown": -0.08111236557256574, "mean_cash_weight": 2.8525193195009274e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 943177.0063007082, "start_session": "2011-12-30", "total_return": 0.12952016624601526, "traded_notional_by_category": { "entry": 1035985.3141242345, "exit": 1048352.0878917538, "resize": 165098.48513174563 }, "transaction_cost": 2249.435887147734, "transaction_cost_over_anchor_nav": 0.0023849562405792554, "two_sided_turnover": 2.1671204558837105 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0985161371889536, "annualized_volatility": 0.11432439585741311, "cagr": 0.3477986225927079, "end_nav": 1435860.3462995887, "end_session": "2013-12-31", "fee_by_category": { "entry": 1173.2694701661444, "exit": 1165.6014004149542, "resize": 132.03965266011033 }, "max_cash_weight": 0.0, "max_drawdown": -0.053585709272025994, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1065337.4489561948, "start_session": "2012-12-31", "total_return": 0.3477986225927079, "traded_notional_by_category": { "entry": 1173269.4701661444, "exit": 1165601.4004149542, "resize": 132039.65266011033 }, "transaction_cost": 2470.910523241209, "transaction_cost_over_anchor_nav": 0.002319368877591019, "two_sided_turnover": 2.0985161371889536 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.12760286827877, "annualized_volatility": 0.12766981611270886, "cagr": 0.10740958693732039, "end_nav": 1590085.5129953052, "end_session": "2014-12-31", "fee_by_category": { "entry": 1515.346819568003, "exit": 1506.5798741568315, "resize": 201.78639957342222 }, "max_cash_weight": 0.0, "max_drawdown": -0.08168879650372785, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1435860.3462995887, "start_session": "2013-12-31", "total_return": 0.10740958693732039, "traded_notional_by_category": { "entry": 1515346.8195680028, "exit": 1506579.8741568315, "resize": 201786.3995734222 }, "transaction_cost": 3223.713093298257, "transaction_cost_over_anchor_nav": 0.0022451438969020997, "two_sided_turnover": 2.12760286827877 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1569650995176093, "annualized_volatility": 0.14794603077303697, "cagr": 0.07567241881380427, "end_nav": 1710411.1298844488, "end_session": "2015-12-31", "fee_by_category": { "entry": 1645.756821238081, "exit": 1677.0602028400087, "resize": 230.13708328744448 }, "max_cash_weight": 1.4947601408264338e-16, "max_drawdown": -0.10221582691195019, "mean_cash_weight": 4.7323367559081634e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1590085.5129953052, "start_session": "2014-12-31", "total_return": 0.07567241881380427, "traded_notional_by_category": { "entry": 1645756.8212380812, "exit": 1677060.2028400088, "resize": 230137.0832874445 }, "transaction_cost": 3552.954107365534, "transaction_cost_over_anchor_nav": 0.0022344421594488323, "two_sided_turnover": 2.1569650995176093 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4819481680431434, "annualized_volatility": 0.11491876858869957, "cagr": 0.01585048475097306, "end_nav": 1737521.975416577, "end_session": "2016-12-30", "fee_by_category": { "entry": 1127.031458125937, "exit": 1103.0683128633596, "resize": 251.65108716004434 }, "max_cash_weight": 0.34137079358274053, "max_drawdown": -0.08825564115257223, "mean_cash_weight": 0.16991254785189353, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1710411.1298844488, "start_session": "2015-12-31", "total_return": 0.01585048475097306, "traded_notional_by_category": { "entry": 1127031.4581259368, "exit": 1103068.3128633595, "resize": 251651.08716004435 }, "transaction_cost": 2481.7508581493407, "transaction_cost_over_anchor_nav": 0.0014509674398090486, "two_sided_turnover": 1.4819481680431434 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5185842979355106, "annualized_volatility": 0.08435054655535168, "cagr": 0.25670679622185655, "end_nav": 2183555.6750908378, "end_session": "2017-12-29", "fee_by_category": { "entry": 1236.1162241248094, "exit": 1240.1634472025369, "resize": 356.48133606439274 }, "max_cash_weight": 1.2899392415837937e-16, "max_drawdown": -0.04653762010795914, "mean_cash_weight": 3.189764400626618e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1737521.975416577, "start_session": "2016-12-30", "total_return": 0.25670679622185655, "traded_notional_by_category": { "entry": 1236116.2241248093, "exit": 1240163.4472025367, "resize": 356481.3360643927 }, "transaction_cost": 2832.761007391739, "transaction_cost_over_anchor_nav": 0.0016303454272643513, "two_sided_turnover": 1.5185842979355106 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1145199327233914, "annualized_volatility": 0.19569931827162065, "cagr": -0.04981998246424202, "end_nav": 2074770.969648116, "end_session": "2018-12-31", "fee_by_category": { "entry": 2352.746346478802, "exit": 2334.772277408819, "resize": 289.200782417823 }, "max_cash_weight": 0.0, "max_drawdown": -0.24639017085212633, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2183555.6750908378, "start_session": "2017-12-29", "total_return": -0.04981998246424202, "traded_notional_by_category": { "entry": 2352746.346478802, "exit": 2334772.2774088187, "resize": 289200.782417823 }, "transaction_cost": 4976.719406305444, "transaction_cost_over_anchor_nav": 0.0022791813660068038, "two_sided_turnover": 2.1145199327233914 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8608185575515517, "annualized_volatility": 0.11298577471301945, "cagr": 0.3142553291952803, "end_nav": 2726778.8037196957, "end_session": "2019-12-31", "fee_by_category": { "entry": 3240.6624129288975, "exit": 3217.059807508368, "resize": 501.9662940743775 }, "max_cash_weight": 1.1430687793436547e-16, "max_drawdown": -0.047673124743616735, "mean_cash_weight": 8.87232235017203e-18, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2074770.969648116, "start_session": "2018-12-31", "total_return": 0.3142553291952803, "traded_notional_by_category": { "entry": 3240662.412928897, "exit": 3217059.807508368, "resize": 501966.2940743775 }, "transaction_cost": 6959.688514511643, "transaction_cost_over_anchor_nav": 0.0033544370035657554, "two_sided_turnover": 2.8608185575515517 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5449547926226423, "annualized_volatility": 0.3337532522560288, "cagr": 0.17446308857805737, "end_nav": 3202501.0556858145, "end_session": "2020-12-31", "fee_by_category": { "entry": 2013.458826255427, "exit": 1948.3145724162544, "resize": 639.1744823583733 }, "max_cash_weight": 0.0, "max_drawdown": -0.3026807071054324, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2726778.8037196957, "start_session": "2019-12-31", "total_return": 0.17446308857805737, "traded_notional_by_category": { "entry": 2013458.826255427, "exit": 1948314.5724162543, "resize": 639174.4823583734 }, "transaction_cost": 4600.947881030054, "transaction_cost_over_anchor_nav": 0.0016873198056086317, "two_sided_turnover": 1.5449547926226423 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8353293933649355, "annualized_volatility": 0.14451723046615553, "cagr": 0.21536428616972714, "end_nav": 3892205.4095013877, "end_session": "2021-12-31", "fee_by_category": { "entry": 4855.039048491741, "exit": 4842.96843879767, "resize": 628.355084758715 }, "max_cash_weight": 1.375886330897969e-16, "max_drawdown": -0.07261423260400546, "mean_cash_weight": 3.3030638875220883e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3202501.0556858145, "start_session": "2020-12-31", "total_return": 0.21536428616972714, "traded_notional_by_category": { "entry": 4855039.048491741, "exit": 4842968.43879767, "resize": 628355.084758715 }, "transaction_cost": 10326.362572048127, "transaction_cost_over_anchor_nav": 0.0032244681242850487, "two_sided_turnover": 2.8353293933649355 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3789231348529243, "annualized_volatility": 0.19647688198100743, "cagr": 0.02259928963616087, "end_nav": 3980166.4868741417, "end_session": "2022-12-30", "fee_by_category": { "entry": 3717.7613053740533, "exit": 3669.437653573508, "resize": 1524.9274108339405 }, "max_cash_weight": 1.2820483058292537e-16, "max_drawdown": -0.14629595371406956, "mean_cash_weight": 3.8899432122008865e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3892205.4095013877, "start_session": "2021-12-31", "total_return": 0.02259928963616087, "traded_notional_by_category": { "entry": 3717761.3053740533, "exit": 3669437.653573508, "resize": 1524927.4108339404 }, "transaction_cost": 8912.126369781503, "transaction_cost_over_anchor_nav": 0.0022897369054638854, "two_sided_turnover": 2.3789231348529243 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.18726218599426, "annualized_volatility": 0.13861419485483373, "cagr": 0.06255141647701801, "end_nav": 4229131.538442476, "end_session": "2023-12-29", "fee_by_category": { "entry": 3911.015916959458, "exit": 3947.3513177975947, "resize": 695.9002441366331 }, "max_cash_weight": 1.2802319928606986e-16, "max_drawdown": -0.11415590240101625, "mean_cash_weight": 5.0480232925721684e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 3980166.4868741417, "start_session": "2022-12-30", "total_return": 0.06255141647701801, "traded_notional_by_category": { "entry": 3911015.916959458, "exit": 3947351.3177975947, "resize": 695900.2441366331 }, "transaction_cost": 8554.267478893686, "transaction_cost_over_anchor_nav": 0.002149223533011518, "two_sided_turnover": 2.18726218599426 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8771597084990677, "annualized_volatility": 0.13735596705693282, "cagr": 0.09608068875428089, "end_nav": 4635469.409488481, "end_session": "2024-12-31", "fee_by_category": { "entry": 6095.16915697253, "exit": 6066.385914946988, "resize": 1010.0615186603521 }, "max_cash_weight": 1.1322121831786862e-16, "max_drawdown": -0.10322353829487885, "mean_cash_weight": 9.270096872053606e-18, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4229131.538442476, "start_session": "2023-12-29", "total_return": 0.09608068875428089, "traded_notional_by_category": { "entry": 6095169.156972529, "exit": 6066385.914946988, "resize": 1010061.5186603521 }, "transaction_cost": 13171.61659057987, "transaction_cost_over_anchor_nav": 0.003114496787543944, "two_sided_turnover": 2.8771597084990677 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1889965708466517, "annualized_volatility": 0.1638378642760989, "cagr": 0.16594406576195575, "end_nav": 5404698.050014171, "end_session": "2025-12-31", "fee_by_category": { "entry": 5041.789449267933, "exit": 5082.995856352745, "resize": 922.5540256778887 }, "max_cash_weight": 0.0, "max_drawdown": -0.13773272872669007, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4635469.409488481, "start_session": "2024-12-31", "total_return": 0.16594406576195575, "traded_notional_by_category": { "entry": 5041789.449267933, "exit": 5082995.856352745, "resize": 922554.0256778887 }, "transaction_cost": 11047.339331298566, "transaction_cost_over_anchor_nav": 0.0023832191209557847, "two_sided_turnover": 2.1889965708466517 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.0619255118967597, "annualized_volatility": 0.17602709216722817, "cagr": 0.07443945461459212, "end_nav": 5404698.050014171, "end_session": "2025-12-31", "fee_by_category": { "entry": 48876.482770396025, "exit": 48772.51273222422, "resize": 10121.79328943657 }, "max_cash_weight": 1.0, "max_drawdown": -0.5099875780168415, "mean_cash_weight": 0.09351541776145536, "nonzero_trade_event_count": 278, "order_count": 886, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 897889.1890346624, "start_session": "2000-12-29", "total_return": 5.019337481749684, "traded_notional_by_category": { "entry": 48876482.770396024, "exit": 48772512.73222422, "resize": 10121793.28943657 }, "transaction_cost": 107770.78879205682, "transaction_cost_over_anchor_nav": 0.12002682525660345, "two_sided_turnover": 51.548137797418995 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6184134.707993027, "end_session": "2026-10-02", "fee_by_category": { "entry": 5983.317142178117, "exit": 5695.429380700676, "resize": 2428.5731346221905 }, "max_cash_weight": 0.0, "max_drawdown": -0.07764032118717579, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 10, "order_count": 33, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 5404698.050014171, "start_session": "2025-12-31", "total_return": 0.14421465376346276, "traded_notional_by_category": { "entry": 5983317.142178116, "exit": 5695429.380700676, "resize": 2428573.1346221906 }, "transaction_cost": 14107.319657500984, "transaction_cost_over_anchor_nav": 0.0026101957087989393, "two_sided_turnover": 2.3536991035184522 } }, "monthly_risk": { "beta_intercept_per_month": 0.0003174943884934091, "beta_to_SPY_excess_returns": 0.7773214057384435, "monthly_return_volatility_annualized": 0.14080340448511638, "months": 300, "sharpe_monthly_annualized": 0.4610083329528624, "tracking_error_monthly_annualized": 0.085150346879776 }, "phase": [ 2, 8 ], "policy": "B", "run_id": "B12-02-08-10bps", "signal": "12-1" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.027814364942393, "annualized_volatility": 0.217178820175911, "cagr": -0.07450400684633796, "end_nav": 827481.5487582491, "end_session": "2001-12-31", "fee_by_category": { "entry": 2778.7934880721086, "exit": 2745.073320018518, "resize": 817.7019393832793 }, "max_cash_weight": 1.528339937059257e-16, "max_drawdown": -0.2843064116466, "mean_cash_weight": 6.985369475755278e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 894095.2255650237, "start_session": "2000-12-29", "total_return": -0.07450400684633796, "traded_notional_by_category": { "entry": 1111517.3952288434, "exit": 1098029.3280074073, "resize": 327080.7757533117 }, "transaction_cost": 6341.568747473906, "transaction_cost_over_anchor_nav": 0.007092721855735612, "two_sided_turnover": 3.027814364942393 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.1336780775770017, "annualized_volatility": 0.1348899500795068, "cagr": -0.07387067630912147, "end_nav": 766354.927118158, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 1975.3397182681292, "resize": 288.45739607020363 }, "max_cash_weight": 1.0, "max_drawdown": -0.17231180574541138, "mean_cash_weight": 0.5044185293952087, "nonzero_trade_event_count": 9, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 827481.5487582491, "start_session": "2001-12-31", "total_return": -0.07387067630912147, "traded_notional_by_category": { "entry": 0.0, "exit": 790135.8873072518, "resize": 115382.95842808145 }, "transaction_cost": 2263.797114338333, "transaction_cost_over_anchor_nav": 0.0027357674835595722, "two_sided_turnover": 1.1336780775770017 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0272201927179851, "annualized_volatility": 0.08523010313963564, "cagr": 0.11373916886040725, "end_nav": 853519.4995806552, "end_session": "2003-12-31", "fee_by_category": { "entry": 1911.1095439355565, "exit": 0.0, "resize": 57.27937611677997 }, "max_cash_weight": 1.0, "max_drawdown": -0.05601590420816949, "mean_cash_weight": 0.6626984126984127, "nonzero_trade_event_count": 4, "order_count": 12, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 766354.927118158, "start_session": "2002-12-31", "total_return": 0.11373916886040725, "traded_notional_by_category": { "entry": 764443.8175742226, "exit": 0.0, "resize": 22911.750446711987 }, "transaction_cost": 1968.3889200523365, "transaction_cost_over_anchor_nav": 0.002568508207358138, "two_sided_turnover": 1.0272201927179851 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.207740575733528, "annualized_volatility": 0.1252137846862535, "cagr": 0.1779472938490696, "end_nav": 1005400.984778445, "end_session": "2004-12-31", "fee_by_category": { "entry": 2181.568070252055, "exit": 2159.2483599088528, "resize": 495.10250834159206 }, "max_cash_weight": 1.4557017037015154e-16, "max_drawdown": -0.08785297207677178, "mean_cash_weight": 5.580312885423909e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 853519.4995806552, "start_session": "2003-12-31", "total_return": 0.1779472938490696, "traded_notional_by_category": { "entry": 872627.228100822, "exit": 863699.343963541, "resize": 198041.00333663682 }, "transaction_cost": 4835.918938502499, "transaction_cost_over_anchor_nav": 0.005665856422587236, "two_sided_turnover": 2.207740575733528 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9873209046170421, "annualized_volatility": 0.14427111646432547, "cagr": 0.15572713350473055, "end_nav": 1161969.1981608255, "end_session": "2005-12-30", "fee_by_category": { "entry": 983.1554314955557, "exit": 936.8403212546048, "resize": 934.2808018482251 }, "max_cash_weight": 0.0, "max_drawdown": -0.10181990631719706, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1005400.984778445, "start_session": "2004-12-31", "total_return": 0.15572713350473055, "traded_notional_by_category": { "entry": 393262.17259822227, "exit": 374736.1285018419, "resize": 373712.32073929004 }, "transaction_cost": 2854.2765545983857, "transaction_cost_over_anchor_nav": 0.0028389434641615833, "two_sided_turnover": 0.9873209046170421 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2460319427174196, "annualized_volatility": 0.11971342751302816, "cagr": 0.1955236008739134, "end_nav": 1389161.599889804, "end_session": "2006-12-29", "fee_by_category": { "entry": 3138.66404664428, "exit": 3165.3113123552184, "resize": 757.0111693584043 }, "max_cash_weight": 0.0, "max_drawdown": -0.07450175909782009, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1161969.1981608255, "start_session": "2005-12-30", "total_return": 0.1955236008739134, "traded_notional_by_category": { "entry": 1255465.618657712, "exit": 1266124.5249420875, "resize": 302804.4677433617 }, "transaction_cost": 7060.986528357903, "transaction_cost_over_anchor_nav": 0.006076741568996916, "two_sided_turnover": 2.2460319427174196 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4908910088134992, "annualized_volatility": 0.1616898655384821, "cagr": 0.04895131685221199, "end_nav": 1457162.8895249355, "end_session": "2007-12-31", "fee_by_category": { "entry": 5819.443865432711, "exit": 5853.0502202562, "resize": 590.4916254230689 }, "max_cash_weight": 0.0, "max_drawdown": -0.10057185831622273, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1389161.599889804, "start_session": "2006-12-29", "total_return": 0.04895131685221199, "traded_notional_by_category": { "entry": 2327777.5461730845, "exit": 2341220.0881024804, "resize": 236196.65016922756 }, "transaction_cost": 12262.98571111198, "transaction_cost_over_anchor_nav": 0.008827616392567105, "two_sided_turnover": 3.4908910088134992 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4661483935858124, "annualized_volatility": 0.39337644311238373, "cagr": -0.3585686574054946, "end_nav": 934669.9486068684, "end_session": "2008-12-31", "fee_by_category": { "entry": 3319.509817739341, "exit": 3359.3243809489873, "resize": 1455.0619562931395 }, "max_cash_weight": 1.3371079069371527e-16, "max_drawdown": -0.450980513043175, "mean_cash_weight": 1.1086515914939588e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1457162.8895249355, "start_session": "2007-12-31", "total_return": -0.3585686574054946, "traded_notional_by_category": { "entry": 1327803.9270957364, "exit": 1343729.7523795948, "resize": 582024.7825172557 }, "transaction_cost": 8133.896154981468, "transaction_cost_over_anchor_nav": 0.005582008856699117, "two_sided_turnover": 2.4661483935858124 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0266779149647791, "annualized_volatility": 0.13883109708231178, "cagr": -0.16160956190002784, "end_nav": 783618.3476913909, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 1963.9557586250396, "resize": 59.35692284161968 }, "max_cash_weight": 1.0, "max_drawdown": -0.2018437508565345, "mean_cash_weight": 0.8452380952380952, "nonzero_trade_event_count": 3, "order_count": 9, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 934669.9486068684, "start_session": "2008-12-31", "total_return": -0.16160956190002784, "traded_notional_by_category": { "entry": 0.0, "exit": 785582.3034500158, "resize": 23742.76913664787 }, "transaction_cost": 2023.3126814666593, "transaction_cost_over_anchor_nav": 0.002164734925395237, "two_sided_turnover": 1.0266779149647791 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8042281134611833, "annualized_volatility": 0.15470145958322357, "cagr": 0.17565190812568798, "end_nav": 921262.4057056825, "end_session": "2010-12-31", "fee_by_category": { "entry": 2598.4710962430418, "exit": 633.9233729586737, "resize": 300.616171494751 }, "max_cash_weight": 1.0, "max_drawdown": -0.14314569395071286, "mean_cash_weight": 0.15079365079365079, "nonzero_trade_event_count": 10, "order_count": 31, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 783618.3476913909, "start_session": "2009-12-31", "total_return": 0.17565190812568798, "traded_notional_by_category": { "entry": 1039388.4384972167, "exit": 253569.34918346946, "resize": 120246.46859790038 }, "transaction_cost": 3533.0106406964665, "transaction_cost_over_anchor_nav": 0.004508585909333324, "two_sided_turnover": 1.8042281134611833 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5766079507641473, "annualized_volatility": 0.24532041561378054, "cagr": -0.012183597608346974, "end_nav": 910038.1152628667, "end_session": "2011-12-30", "fee_by_category": { "entry": 1527.217465850014, "exit": 1532.277724687807, "resize": 547.3301788805153 }, "max_cash_weight": 1.2794285582610248e-16, "max_drawdown": -0.21793718406605, "mean_cash_weight": 2.132886335579687e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 921262.4057056825, "start_session": "2010-12-31", "total_return": -0.012183597608346974, "traded_notional_by_category": { "entry": 610886.9863400055, "exit": 612911.0898751228, "resize": 218932.0715522061 }, "transaction_cost": 3606.825369418336, "transaction_cost_over_anchor_nav": 0.003915090149212727, "two_sided_turnover": 1.5766079507641473 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.164803966979557, "annualized_volatility": 0.0915777877841553, "cagr": 0.1258542461995813, "end_nav": 1024570.2762721624, "end_session": "2012-12-31", "fee_by_category": { "entry": 2492.8647772454397, "exit": 2526.8120620003924, "resize": 395.8652881763308 }, "max_cash_weight": 1.18157679499921e-16, "max_drawdown": -0.08115334321742873, "mean_cash_weight": 3.731491345436145e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 910038.1152628667, "start_session": "2011-12-30", "total_return": 0.1258542461995813, "traded_notional_by_category": { "entry": 997145.9108981759, "exit": 1010724.824800157, "resize": 158346.11527053232 }, "transaction_cost": 5415.542127422163, "transaction_cost_over_anchor_nav": 0.005950895942262671, "two_sided_turnover": 2.164803966979557 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.098200824445215, "annualized_volatility": 0.1142589083590177, "cagr": 0.3435559355775182, "end_nav": 1376567.4761017615, "end_session": "2013-12-31", "fee_by_category": { "entry": 2814.0853774412217, "exit": 2800.2997249319906, "resize": 320.78028212718607 }, "max_cash_weight": 0.0, "max_drawdown": -0.05361657584933621, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1024570.2762721624, "start_session": "2012-12-31", "total_return": 0.3435559355775182, "traded_notional_by_category": { "entry": 1125634.1509764886, "exit": 1120119.8899727962, "resize": 128312.11285087443 }, "transaction_cost": 5935.1653845003975, "transaction_cost_over_anchor_nav": 0.005792833856253512, "two_sided_turnover": 2.098200824445215 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1272755749983134, "annualized_volatility": 0.12780752218015418, "cagr": 0.10387547903922711, "end_nav": 1519559.0821116518, "end_session": "2014-12-31", "fee_by_category": { "entry": 3622.9776649324895, "exit": 3608.070230415582, "resize": 487.7335047960053 }, "max_cash_weight": 0.0, "max_drawdown": -0.08170014193444819, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1376567.4761017615, "start_session": "2013-12-31", "total_return": 0.10387547903922711, "traded_notional_by_category": { "entry": 1449191.0659729957, "exit": 1443228.0921662329, "resize": 195093.40191840212 }, "transaction_cost": 7718.7814001440765, "transaction_cost_over_anchor_nav": 0.005607267013167085, "two_sided_turnover": 2.1272755749983134 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.153941377044982, "annualized_volatility": 0.14814597925342468, "cagr": 0.07219943406094909, "end_nav": 1629270.3878622882, "end_session": "2015-12-31", "fee_by_category": { "entry": 3922.4273956776124, "exit": 4003.807049690881, "resize": 543.5293238154263 }, "max_cash_weight": 1.5109920500560407e-16, "max_drawdown": -0.10314010683681352, "mean_cash_weight": 4.83530105306939e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1519559.0821116518, "start_session": "2014-12-31", "total_return": 0.07219943406094909, "traded_notional_by_category": { "entry": 1568970.9582710448, "exit": 1601522.8198763523, "resize": 217411.72952617053 }, "transaction_cost": 8469.763769183919, "transaction_cost_over_anchor_nav": 0.005573829848994046, "two_sided_turnover": 2.153941377044982 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4811778921261836, "annualized_volatility": 0.11489562182242598, "cagr": 0.013593791734666905, "end_nav": 1651418.350194348, "end_session": "2016-12-30", "fee_by_category": { "entry": 2678.866079469556, "exit": 2626.624777862467, "resize": 598.2123082745044 }, "max_cash_weight": 0.34137079358274064, "max_drawdown": -0.0883333801932813, "mean_cash_weight": 0.16991254785189353, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1629270.3878622882, "start_session": "2015-12-31", "total_return": 0.013593791734666905, "traded_notional_by_category": { "entry": 1071546.4317878224, "exit": 1050649.9111449867, "resize": 239284.92330980173 }, "transaction_cost": 5903.703165606527, "transaction_cost_over_anchor_nav": 0.0036235257263544703, "two_sided_turnover": 1.4811778921261836 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5165694731390165, "annualized_volatility": 0.08428710175661852, "cagr": 0.25384787993564206, "end_nav": 2070627.397277999, "end_session": "2017-12-29", "fee_by_category": { "entry": 2931.1780737183158, "exit": 2946.6671674036934, "resize": 842.4214268152047 }, "max_cash_weight": 1.407504807191354e-16, "max_drawdown": -0.04656853183078624, "mean_cash_weight": 2.26730564470053e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1651418.350194348, "start_session": "2016-12-30", "total_return": 0.25384787993564206, "traded_notional_by_category": { "entry": 1172471.2294873262, "exit": 1178666.8669614773, "resize": 336968.57072608185 }, "transaction_cost": 6720.266667937212, "transaction_cost_over_anchor_nav": 0.004069390816171041, "two_sided_turnover": 1.5165694731390165 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1141616671162216, "annualized_volatility": 0.19587718878404115, "cagr": -0.052833657184638616, "end_nav": 1961228.5792130926, "end_session": "2018-12-31", "fee_by_category": { "entry": 5564.215153360767, "exit": 5530.782004614003, "resize": 691.6249109471089 }, "max_cash_weight": 1.14912940209796e-16, "max_drawdown": -0.24642219556127742, "mean_cash_weight": 1.8298573307906098e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2070627.397277999, "start_session": "2017-12-29", "total_return": -0.052833657184638616, "traded_notional_by_category": { "entry": 2225686.0613443065, "exit": 2212312.8018456013, "resize": 276649.96437884355 }, "transaction_cost": 11786.622068921879, "transaction_cost_over_anchor_nav": 0.0056922950427567565, "two_sided_turnover": 2.1141616671162216 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8581504027401454, "annualized_volatility": 0.11284544878660477, "cagr": 0.30862409292933934, "end_nav": 2566510.9704998303, "end_session": "2019-12-31", "fee_by_category": { "entry": 7634.039815923652, "exit": 7593.7653354757695, "resize": 1183.6883958436058 }, "max_cash_weight": 0.0, "max_drawdown": -0.04768782273076155, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1961228.5792130926, "start_session": "2018-12-31", "total_return": 0.30862409292933934, "traded_notional_by_category": { "entry": 3053615.9263694608, "exit": 3037506.134190308, "resize": 473475.3583374423 }, "transaction_cost": 16411.493547243026, "transaction_cost_over_anchor_nav": 0.008367965733921663, "two_sided_turnover": 2.8581504027401454 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5442198761975827, "annualized_volatility": 0.33373565520400805, "cagr": 0.1717411661841921, "end_nav": 3007286.557597994, "end_session": "2020-12-31", "fee_by_category": { "entry": 4727.114691947725, "exit": 4583.339944187832, "resize": 1507.509637928703 }, "max_cash_weight": 0.0, "max_drawdown": -0.30269686953854347, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2566510.9704998303, "start_session": "2019-12-31", "total_return": 0.1717411661841921, "traded_notional_by_category": { "entry": 1890845.87677909, "exit": 1833335.9776751327, "resize": 603003.8551714811 }, "transaction_cost": 10817.96427406426, "transaction_cost_over_anchor_nav": 0.004215046963916718, "two_sided_turnover": 1.5442198761975827 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.83200793864045, "annualized_volatility": 0.14448428233312205, "cagr": 0.21020225950534388, "end_nav": 3639424.9869851395, "end_session": "2021-12-31", "fee_by_category": { "entry": 11357.967589915763, "exit": 11358.664079215723, "resize": 1472.747496864609 }, "max_cash_weight": 1.4667476052764685e-16, "max_drawdown": -0.07354325332522738, "mean_cash_weight": 4.584501401763276e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3007286.557597994, "start_session": "2020-12-31", "total_return": 0.21020225950534388, "traded_notional_by_category": { "entry": 4543187.035966305, "exit": 4543465.63168629, "resize": 589098.9987458437 }, "transaction_cost": 24189.379165996095, "transaction_cost_over_anchor_nav": 0.008043589695461827, "two_sided_turnover": 2.83200793864045 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3778686860666793, "annualized_volatility": 0.19657266543765659, "cagr": 0.018953437548432817, "end_nav": 3708404.601188168, "end_session": "2022-12-30", "fee_by_category": { "entry": 8668.896899257335, "exit": 8570.631369314508, "resize": 3561.650474726022 }, "max_cash_weight": 1.360579383366314e-16, "max_drawdown": -0.1474017643623985, "mean_cash_weight": 2.0496018098183532e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3639424.9869851395, "start_session": "2021-12-31", "total_return": 0.018953437548432817, "traded_notional_by_category": { "entry": 3467558.7597029344, "exit": 3428252.5477258028, "resize": 1424660.189890409 }, "transaction_cost": 20801.178743297867, "transaction_cost_over_anchor_nav": 0.005715512427838042, "two_sided_turnover": 2.3778686860666793 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1855704168391603, "annualized_volatility": 0.13854881696079674, "cagr": 0.05906924141338532, "end_nav": 3927457.247834261, "end_session": "2023-12-29", "fee_by_category": { "entry": 9086.823792019684, "exit": 9186.797596864964, "resize": 1619.1003911152668 }, "max_cash_weight": 1.3804662911939862e-16, "max_drawdown": -0.11595735823119402, "mean_cash_weight": 3.201179478991648e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 3708404.601188168, "start_session": "2022-12-30", "total_return": 0.05906924141338532, "traded_notional_by_category": { "entry": 3634729.5168078733, "exit": 3674719.0387459854, "resize": 647640.1564461067 }, "transaction_cost": 19892.721779999916, "transaction_cost_over_anchor_nav": 0.005364226377463321, "two_sided_turnover": 2.1855704168391603 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8744619799061146, "annualized_volatility": 0.13745899907344672, "cagr": 0.0913576184908309, "end_nav": 4286260.388720952, "end_session": "2024-12-31", "fee_by_category": { "entry": 14106.411590712294, "exit": 14068.096959493163, "resize": 2338.9260630882327 }, "max_cash_weight": 1.2192020174890224e-16, "max_drawdown": -0.10326165594335923, "mean_cash_weight": 1.9952813601757226e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3927457.247834261, "start_session": "2023-12-29", "total_return": 0.0913576184908309, "traded_notional_by_category": { "entry": 5642564.636284918, "exit": 5627238.783797265, "resize": 935570.4252352931 }, "transaction_cost": 30513.43461329369, "transaction_cost_over_anchor_nav": 0.007769259520296466, "two_sided_turnover": 2.8744619799061146 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1879801629873956, "annualized_volatility": 0.1640362734820298, "cagr": 0.16211801629418265, "end_nav": 4981140.420260725, "end_session": "2025-12-31", "fee_by_category": { "entry": 11626.491614153523, "exit": 11740.918372821405, "resize": 2135.6826573623257 }, "max_cash_weight": 0.0, "max_drawdown": -0.13951496907111394, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4286260.388720952, "start_session": "2024-12-31", "total_return": 0.16211801629418265, "traded_notional_by_category": { "entry": 4650596.645661409, "exit": 4696367.349128561, "resize": 854273.0629449303 }, "transaction_cost": 25503.092644337252, "transaction_cost_over_anchor_nav": 0.0059499634486619565, "two_sided_turnover": 2.1879801629873956 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.060429987164872, "annualized_volatility": 0.17604578092103398, "cagr": 0.07111919057149585, "end_nav": 4981140.420260725, "end_session": "2025-12-31", "fee_by_category": { "entry": 115492.29334144005, "exit": 115469.6211635744, "resize": 24002.16220793211 }, "max_cash_weight": 1.0, "max_drawdown": -0.5133796627894213, "mean_cash_weight": 0.09351541776145536, "nonzero_trade_event_count": 278, "order_count": 886, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 894095.2255650237, "start_session": "2000-12-29", "total_return": 4.5711520180782665, "traded_notional_by_category": { "entry": 46196917.336576015, "exit": 46187848.46542976, "resize": 9600864.883172844 }, "transaction_cost": 254964.07671294655, "transaction_cost_over_anchor_nav": 0.28516434203283203, "two_sided_turnover": 51.51074967912181 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 5679379.166451419, "end_session": "2026-10-02", "fee_by_category": { "entry": 13748.728487062872, "exit": 13109.041769858795, "resize": 5605.7589145913535 }, "max_cash_weight": 0.0, "max_drawdown": -0.07856437419312201, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 10, "order_count": 33, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 4981140.420260725, "start_session": "2025-12-31", "total_return": 0.14017648315044817, "traded_notional_by_category": { "entry": 5499491.394825148, "exit": 5243616.707943518, "resize": 2242303.5658365414 }, "transaction_cost": 32463.52917151302, "transaction_cost_over_anchor_nav": 0.006517288498727727, "two_sided_turnover": 2.3533016888185085 } }, "monthly_risk": { "beta_intercept_per_month": 5.454146740123747e-05, "beta_to_SPY_excess_returns": 0.7781664808040195, "monthly_return_volatility_annualized": 0.1409559467817615, "months": 300, "sharpe_monthly_annualized": 0.4386051879359612, "tracking_error_monthly_annualized": 0.0851834882609041 }, "phase": [ 2, 8 ], "policy": "B", "run_id": "B12-02-08-25bps", "signal": "12-1" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.029564137588441, "annualized_volatility": 0.21707520759999266, "cagr": -0.06887337097909074, "end_nav": 837229.4555172113, "end_session": "2001-12-31", "fee_by_category": { "entry": 561.3272218711062, "exit": 553.0462934376687, "resize": 164.1609237245852 }, "max_cash_weight": 1.4367962977852207e-16, "max_drawdown": -0.28026565521460844, "mean_cash_weight": 4.473660675477686e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 899157.4608896838, "start_session": "2000-12-29", "total_return": -0.06887337097909074, "traded_notional_by_category": { "entry": 1122654.4437422124, "exit": 1106092.5868753374, "resize": 328321.84744917037 }, "transaction_cost": 1278.5344390333603, "transaction_cost_over_anchor_nav": 0.0014219249626959629, "two_sided_turnover": 3.029564137588441 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.1336837228881558, "annualized_volatility": 0.1348313987960589, "cagr": -0.07176686869354487, "end_nav": 777144.1191167396, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 399.97731542399185, "resize": 58.401678319560425 }, "max_cash_weight": 1.0, "max_drawdown": -0.17222136044415337, "mean_cash_weight": 0.5044185293952087, "nonzero_trade_event_count": 9, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 837229.4555172113, "start_session": "2001-12-31", "total_return": -0.07176686869354487, "traded_notional_by_category": { "entry": 0.0, "exit": 799954.6308479838, "resize": 116803.35663912084 }, "transaction_cost": 458.37899374355226, "transaction_cost_over_anchor_nav": 0.0005474950632982467, "two_sided_turnover": 1.1336837228881558 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0292257311981865, "annualized_volatility": 0.08536848292279711, "cagr": 0.11603185021018336, "end_nav": 867317.589137818, "end_session": "2003-12-31", "fee_by_category": { "entry": 388.3778706230583, "exit": 0.0, "resize": 11.644995747281602 }, "max_cash_weight": 1.0, "max_drawdown": -0.05601590420816949, "mean_cash_weight": 0.6626984126984127, "nonzero_trade_event_count": 4, "order_count": 12, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 777144.1191167396, "start_session": "2002-12-31", "total_return": 0.11603185021018336, "traded_notional_by_category": { "entry": 776755.7412461166, "exit": 0.0, "resize": 23289.991494563204 }, "transaction_cost": 400.0228663703399, "transaction_cost_over_anchor_nav": 0.0005147344701327528, "two_sided_turnover": 1.0292257311981865 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.209162175977631, "annualized_volatility": 0.12533396916505474, "cagr": 0.1831671105840169, "end_nav": 1026181.6458988875, "end_session": "2004-12-31", "fee_by_category": { "entry": 444.8310779286067, "exit": 439.30710204617355, "resize": 100.51261645517097 }, "max_cash_weight": 1.3679385398786922e-16, "max_drawdown": -0.08530877949824778, "mean_cash_weight": 6.227345000607003e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 867317.589137818, "start_session": "2003-12-31", "total_return": 0.1831671105840169, "traded_notional_by_category": { "entry": 889662.1558572134, "exit": 878614.2040923471, "resize": 201025.23291034193 }, "transaction_cost": 984.6507964299512, "transaction_cost_over_anchor_nav": 0.0011352828638109044, "two_sided_turnover": 2.209162175977631 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9877660291636358, "annualized_volatility": 0.14432233221130075, "cagr": 0.1580128966238883, "end_nav": 1188331.58022964, "end_session": "2005-12-30", "fee_by_category": { "entry": 201.05959884547224, "exit": 191.32950986177676, "resize": 190.83855687120973 }, "max_cash_weight": 1.1141549809199247e-16, "max_drawdown": -0.10175731392207454, "mean_cash_weight": 8.174057015963548e-18, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1026181.6458988875, "start_session": "2004-12-31", "total_return": 0.1580128966238883, "traded_notional_by_category": { "entry": 402119.1976909445, "exit": 382659.0197235535, "resize": 381677.11374241946 }, "transaction_cost": 583.2276655784588, "transaction_cost_over_anchor_nav": 0.0005683473953264662, "two_sided_turnover": 0.9877660291636358 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2474670263916394, "annualized_volatility": 0.11988318242129978, "cagr": 0.20091341340771174, "end_nav": 1427083.334273757, "end_session": "2006-12-29", "fee_by_category": { "entry": 644.2131079692069, "exit": 648.2005585501386, "resize": 154.56813487944734 }, "max_cash_weight": 0.0, "max_drawdown": -0.0744566917161067, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1188331.58022964, "start_session": "2005-12-30", "total_return": 0.20091341340771174, "traded_notional_by_category": { "entry": 1288426.2159384137, "exit": 1296401.117100277, "resize": 309136.2697588947 }, "transaction_cost": 1446.9818013987929, "transaction_cost_over_anchor_nav": 0.0012176582912314506, "two_sided_turnover": 2.2474670263916394 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4975407935891116, "annualized_volatility": 0.16173729027112368, "cagr": 0.056315300854508976, "end_nav": 1507449.9615878393, "end_session": "2007-12-31", "fee_by_category": { "entry": 1201.9213554837113, "exit": 1204.6672056956268, "resize": 122.44891308067416 }, "max_cash_weight": 0.0, "max_drawdown": -0.10051623600350201, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1427083.334273757, "start_session": "2006-12-29", "total_return": 0.056315300854508976, "traded_notional_by_category": { "entry": 2403842.7109674225, "exit": 2409334.4113912536, "resize": 244897.82616134832 }, "transaction_cost": 2529.037474260012, "transaction_cost_over_anchor_nav": 0.0017721722435691113, "two_sided_turnover": 3.4975407935891116 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4692921499573943, "annualized_volatility": 0.39342576777421234, "cagr": -0.35539369495021633, "end_nav": 971711.7497865754, "end_session": "2008-12-31", "fee_by_category": { "entry": 689.1525338836647, "exit": 695.8649805873824, "resize": 302.6067647786523 }, "max_cash_weight": 1.3775999617526326e-16, "max_drawdown": -0.4499107771945121, "mean_cash_weight": 1.9714684140734613e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1507449.9615878393, "start_session": "2007-12-31", "total_return": -0.35539369495021633, "traded_notional_by_category": { "entry": 1378305.0677673295, "exit": 1391729.9611747647, "resize": 605213.5295573046 }, "transaction_cost": 1687.6242792496994, "transaction_cost_over_anchor_nav": 0.0011195225859915625, "two_sided_turnover": 2.4692921499573943 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.026686011782499, "annualized_volatility": 0.13857051582132188, "cagr": -0.15988375698004886, "end_nav": 816350.8245290406, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 408.379602065553, "resize": 12.345477049666544 }, "max_cash_weight": 1.0, "max_drawdown": -0.20021238862474533, "mean_cash_weight": 0.8452380952380952, "nonzero_trade_event_count": 3, "order_count": 9, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 971711.7497865754, "start_session": "2008-12-31", "total_return": -0.15988375698004886, "traded_notional_by_category": { "entry": 0.0, "exit": 816759.204131106, "resize": 24690.95409933309 }, "transaction_cost": 420.7250791152195, "transaction_cost_over_anchor_nav": 0.0004329731313917184, "two_sided_turnover": 1.026686011782499 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.806642337835999, "annualized_volatility": 0.1550314402599733, "cagr": 0.17990555288658983, "end_nav": 963216.8709653611, "end_session": "2010-12-31", "fee_by_category": { "entry": 542.6883353654443, "exit": 132.3680236220894, "resize": 62.78768447889063 }, "max_cash_weight": 1.0, "max_drawdown": -0.14303279022782722, "mean_cash_weight": 0.15079365079365084, "nonzero_trade_event_count": 10, "order_count": 31, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 816350.8245290406, "start_session": "2009-12-31", "total_return": 0.17990555288658983, "traded_notional_by_category": { "entry": 1085376.6707308888, "exit": 264736.0472441788, "resize": 125575.36895778126 }, "transaction_cost": 737.8440434664244, "transaction_cost_over_anchor_nav": 0.0009038320551609568, "two_sided_turnover": 1.806642337835999 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5774400842707503, "annualized_volatility": 0.2451390915379223, "cagr": -0.00906150868031852, "end_nav": 954488.6729280793, "end_session": "2011-12-30", "fee_by_category": { "entry": 320.04043198396005, "exit": 320.6648071107387, "resize": 114.62205886698858 }, "max_cash_weight": 1.4276806403890096e-16, "max_drawdown": -0.21667659601719957, "mean_cash_weight": 3.1948319809909803e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 963216.8709653611, "start_session": "2010-12-31", "total_return": -0.00906150868031852, "traded_notional_by_category": { "entry": 640080.8639679201, "exit": 641329.6142214774, "resize": 229244.11773397715 }, "transaction_cost": 755.3272979616873, "transaction_cost_over_anchor_nav": 0.0007841715824647865, "two_sided_turnover": 1.5774400842707503 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.167894045752497, "annualized_volatility": 0.09165349749192199, "cagr": 0.1307452569199541, "end_nav": 1079283.539697247, "end_session": "2012-12-31", "fee_by_category": { "entry": 524.6324505831593, "exit": 530.6014632246818, "resize": 83.70596349315755 }, "max_cash_weight": 0.0, "max_drawdown": -0.08109871546527259, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 954488.6729280793, "start_session": "2011-12-30", "total_return": 0.1307452569199541, "traded_notional_by_category": { "entry": 1049264.9011663185, "exit": 1061202.9264493636, "resize": 167411.9269863151 }, "transaction_cost": 1138.9398773009987, "transaction_cost_over_anchor_nav": 0.0011932460903984114, "two_sided_turnover": 2.167894045752497 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.098621474535263, "annualized_volatility": 0.11435599948578636, "cagr": 0.3492146078118843, "end_nav": 1456185.1177304436, "end_session": "2013-12-31", "fee_by_category": { "entry": 594.795373465509, "exit": 590.5841902730544, "resize": 66.65105636017857 }, "max_cash_weight": 0.0, "max_drawdown": -0.05357542727330511, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1079283.539697247, "start_session": "2012-12-31", "total_return": 0.3492146078118843, "traded_notional_by_category": { "entry": 1189590.7469310178, "exit": 1181168.3805461088, "resize": 133302.11272035714 }, "transaction_cost": 1252.030620098742, "transaction_cost_over_anchor_nav": 0.0011600571805718011, "two_sided_turnover": 2.098621474535263 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1277122023665163, "annualized_volatility": 0.12763251366973505, "cagr": 0.10858914225612448, "end_nav": 1614311.0106309261, "end_session": "2014-12-31", "fee_by_category": { "entry": 769.0302653852959, "exit": 764.1535053778667, "resize": 102.03203019585435 }, "max_cash_weight": 0.0, "max_drawdown": -0.08168501217270085, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1456185.1177304436, "start_session": "2013-12-31", "total_return": 0.10858914225612448, "traded_notional_by_category": { "entry": 1538060.530770592, "exit": 1528307.0107557336, "resize": 204064.06039170868 }, "transaction_cost": 1635.2158009590173, "transaction_cost_over_anchor_nav": 0.0011229450026982862, "two_sided_turnover": 2.1277122023665163 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.157975048790794, "annualized_volatility": 0.14788678540951805, "cagr": 0.07683351938980154, "end_nav": 1738344.2069674076, "end_session": "2015-12-31", "fee_by_category": { "entry": 836.0879543983707, "exit": 851.5100025933893, "resize": 117.26891969227887 }, "max_cash_weight": 1.4562432857878284e-16, "max_drawdown": -0.10190711772498506, "mean_cash_weight": 5.764917832450049e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1614311.0106309261, "start_session": "2014-12-31", "total_return": 0.07683351938980154, "traded_notional_by_category": { "entry": 1672175.9087967414, "exit": 1703020.0051867787, "resize": 234537.83938455774 }, "transaction_cost": 1804.866876684039, "transaction_cost_over_anchor_nav": 0.0011180416070993887, "two_sided_turnover": 2.157975048790794 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4823360080339403, "annualized_volatility": 0.11493140388842249, "cagr": 0.01660371482618217, "end_nav": 1767207.1784496403, "end_session": "2016-12-30", "fee_by_category": { "entry": 573.0781044496448, "exit": 560.5573077228652, "resize": 128.06656862035464 }, "max_cash_weight": 0.34137079358274053, "max_drawdown": -0.08822972515730232, "mean_cash_weight": 0.16991254785189353, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1738344.2069674076, "start_session": "2015-12-31", "total_return": 0.01660371482618217, "traded_notional_by_category": { "entry": 1146156.2088992896, "exit": 1121114.6154457303, "resize": 256133.13724070927 }, "transaction_cost": 1261.7019807928648, "transaction_cost_over_anchor_nav": 0.0007258067623983059, "two_sided_turnover": 1.4823360080339403 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.519257257227648, "annualized_volatility": 0.08438242506833979, "cagr": 0.2576617852081404, "end_nav": 2222548.9348816155, "end_session": "2017-12-29", "fee_by_category": { "entry": 629.044405786637, "exit": 630.6827882252845, "resize": 181.61601309322327 }, "max_cash_weight": 1.2674103846953347e-16, "max_drawdown": -0.04652730933222338, "mean_cash_weight": 2.220322887343217e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1767207.1784496403, "start_session": "2016-12-30", "total_return": 0.2576617852081404, "traded_notional_by_category": { "entry": 1258088.811573274, "exit": 1261365.576450569, "resize": 363232.02618644654 }, "transaction_cost": 1441.3432071051448, "transaction_cost_over_anchor_nav": 0.0008156051110937802, "two_sided_turnover": 1.519257257227648 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.114639589459499, "annualized_volatility": 0.19564550766221617, "cagr": -0.04881412719363998, "end_nav": 2114057.148480215, "end_session": "2018-12-31", "fee_by_category": { "entry": 1198.3441702713346, "exit": 1188.539219454504, "resize": 146.75156609748765 }, "max_cash_weight": 0.0, "max_drawdown": -0.24637948868611548, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2222548.9348816155, "start_session": "2017-12-29", "total_return": -0.04881412719363998, "traded_notional_by_category": { "entry": 2396688.3405426694, "exit": 2377078.438909008, "resize": 293503.1321949753 }, "transaction_cost": 2533.6349558233264, "transaction_cost_over_anchor_nav": 0.0011399681312115996, "two_sided_turnover": 2.114639589459499 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8617094466704227, "annualized_volatility": 0.11304853336194176, "cagr": 0.3161377766987534, "end_nav": 2782390.4752148567, "end_session": "2019-12-31", "fee_by_category": { "entry": 1652.7596429014743, "exit": 1639.617628734137, "resize": 255.9189945930675 }, "max_cash_weight": 1.1218157012364701e-16, "max_drawdown": -0.047668228681332026, "mean_cash_weight": 8.707359258442239e-18, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2114057.148480215, "start_session": "2018-12-31", "total_return": 0.3161377766987534, "traded_notional_by_category": { "entry": 3305519.2858029483, "exit": 3279235.257468274, "resize": 511837.989186135 }, "transaction_cost": 3548.296266228679, "transaction_cost_over_anchor_nav": 0.0016784296814206423, "two_sided_turnover": 2.8617094466704227 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5452021091241492, "annualized_volatility": 0.3337618065164505, "cagr": 0.1753713260648322, "end_nav": 3270341.9824834447, "end_session": "2020-12-31", "fee_by_category": { "entry": 1028.033739887396, "exit": 994.1090320325175, "resize": 325.85583242616593 }, "max_cash_weight": 0.0, "max_drawdown": -0.3026753160366754, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2782390.4752148567, "start_session": "2019-12-31", "total_return": 0.1753713260648322, "traded_notional_by_category": { "entry": 2056067.4797747917, "exit": 1988218.064065035, "resize": 651711.6648523319 }, "transaction_cost": 2347.9986043460794, "transaction_cost_over_anchor_nav": 0.0008438781778696129, "two_sided_turnover": 1.5452021091241492 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8364386299258197, "annualized_volatility": 0.14454345175506778, "cagr": 0.21708984197566905, "end_nav": 3980300.006667172, "end_session": "2021-12-31", "fee_by_category": { "entry": 2481.8336254324677, "exit": 2473.558533633481, "resize": 321.0061981928301 }, "max_cash_weight": 1.4573688626617828e-16, "max_drawdown": -0.07230435261561818, "mean_cash_weight": 8.545403783026409e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3270341.9824834447, "start_session": "2020-12-31", "total_return": 0.21708984197566905, "traded_notional_by_category": { "entry": 4963667.250864935, "exit": 4947117.0672669625, "resize": 642012.3963856602 }, "transaction_cost": 5276.3983572587795, "transaction_cost_over_anchor_nav": 0.001613408746094489, "two_sided_turnover": 2.8364386299258197 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.37927488187215, "annualized_volatility": 0.19645055179861845, "cagr": 0.0238170387761647, "end_nav": 4075098.9662667327, "end_session": "2022-12-30", "fee_by_category": { "entry": 1902.5510217796484, "exit": 1876.7692260046556, "resize": 779.9459268106806 }, "max_cash_weight": 1.2771431053194638e-16, "max_drawdown": -0.1459734973688781, "mean_cash_weight": 3.973621915091969e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3980300.006667172, "start_session": "2021-12-31", "total_return": 0.0238170387761647, "traded_notional_by_category": { "entry": 3805102.043559297, "exit": 3753538.4520093114, "resize": 1559891.853621361 }, "transaction_cost": 4559.266174594985, "transaction_cost_over_anchor_nav": 0.0011454579220053817, "two_sided_turnover": 2.37927488187215 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1878269570644084, "annualized_volatility": 0.13864420747116887, "cagr": 0.06371468786422718, "end_nav": 4334742.624918252, "end_session": "2023-12-29", "fee_by_category": { "entry": 2003.8465198500635, "exit": 2021.3213813129637, "resize": 356.3858299805373 }, "max_cash_weight": 1.2345210527522458e-16, "max_drawdown": -0.11355499052496065, "mean_cash_weight": 2.7593984654931347e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4075098.9662667327, "start_session": "2022-12-30", "total_return": 0.06371468786422718, "traded_notional_by_category": { "entry": 4007693.0397001267, "exit": 4042642.762625927, "resize": 712771.6599610746 }, "transaction_cost": 4381.553731143564, "transaction_cost_over_anchor_nav": 0.0010752017969167457, "two_sided_turnover": 2.1878269570644084 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8780604551459823, "annualized_volatility": 0.1373345217469281, "cagr": 0.09765959889461917, "end_nav": 4758071.850979177, "end_session": "2024-12-31", "fee_by_category": { "entry": 3126.976351557981, "exit": 3110.1215603774513, "resize": 518.0919209817672 }, "max_cash_weight": 0.0, "max_drawdown": -0.10321084088405252, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4334742.624918252, "start_session": "2023-12-29", "total_return": 0.09765959889461917, "traded_notional_by_category": { "entry": 6253952.703115962, "exit": 6220243.120754902, "resize": 1036183.8419635345 }, "transaction_cost": 6755.1898329172, "transaction_cost_over_anchor_nav": 0.0015583831423081535, "two_sided_turnover": 2.8780604551459823 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1893356164623836, "annualized_volatility": 0.16377844899082167, "cagr": 0.16722168146879546, "end_nav": 5553724.626449259, "end_session": "2025-12-31", "fee_by_category": { "entry": 2589.676065265979, "exit": 2609.4035319835266, "resize": 473.2517536844742 }, "max_cash_weight": 0.0, "max_drawdown": -0.13713820753738837, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4758071.850979177, "start_session": "2024-12-31", "total_return": 0.16722168146879546, "traded_notional_by_category": { "entry": 5179352.130531958, "exit": 5218807.063967053, "resize": 946503.5073689483 }, "transaction_cost": 5672.33135093398, "transaction_cost_over_anchor_nav": 0.0011921491580180014, "two_sided_turnover": 2.1893356164623836 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.062430156922997, "annualized_volatility": 0.17602718582920354, "cagr": 0.07554836297039369, "end_nav": 5553724.626449259, "end_session": "2025-12-31", "fee_by_category": { "entry": 24904.301224969193, "exit": 24835.334769351517, "resize": 5151.486378474186 }, "max_cash_weight": 1.0, "max_drawdown": -0.5088514363493729, "mean_cash_weight": 0.09351541776145536, "nonzero_trade_event_count": 278, "order_count": 886, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 899157.4608896838, "start_session": "2000-12-29", "total_return": 5.176587380984471, "traded_notional_by_category": { "entry": 49808602.44993839, "exit": 49670669.53870304, "resize": 10302972.75694837 }, "transaction_cost": 54891.1223727949, "transaction_cost_over_anchor_nav": 0.0610472856650515, "two_sided_turnover": 51.56075392307492 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6362140.905120052, "end_session": "2026-10-02", "fee_by_category": { "entry": 3076.9257194116612, "exit": 2927.2529439183563, "resize": 1247.0144505210167 }, "max_cash_weight": 1.497688917053029e-16, "max_drawdown": -0.07733250889786936, "mean_cash_weight": 3.194765957202398e-17, "nonzero_trade_event_count": 10, "order_count": 33, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 5553724.626449259, "start_session": "2025-12-31", "total_return": 0.14556290292478002, "traded_notional_by_category": { "entry": 6153851.438823322, "exit": 5854505.887836712, "resize": 2494028.9010420335 }, "transaction_cost": 7251.193113851034, "transaction_cost_over_anchor_nav": 0.0013056450583303482, "two_sided_turnover": 2.353831836518916 } }, "monthly_risk": { "beta_intercept_per_month": 0.0004052298222339589, "beta_to_SPY_excess_returns": 0.7770394906299679, "monthly_return_volatility_annualized": 0.1407591640099506, "months": 300, "sharpe_monthly_annualized": 0.4684722273449365, "tracking_error_monthly_annualized": 0.08515033637031787 }, "phase": [ 2, 8 ], "policy": "B", "run_id": "B12-02-08-5bps", "signal": "12-1" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.1071946699551547, "annualized_volatility": 0.1925232450139217, "cagr": -0.03800575425404351, "end_nav": 887255.7420332632, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5675093038032936e-16, "max_drawdown": -0.24322238743877933, "mean_cash_weight": 8.809097638004094e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 922308.7829857662, "start_session": "2000-12-29", "total_return": -0.03800575425404351, "traded_notional_by_category": { "entry": 1067563.732060506, "exit": 1053976.6174990027, "resize": 406683.66288221185 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.1071946699551547 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.912853052441288, "annualized_volatility": 0.22883662983021544, "cagr": -0.13763871203813227, "end_nav": 765135.0044513675, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5399803457506392e-16, "max_drawdown": -0.27943934496796996, "mean_cash_weight": 3.53169999600103e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 887255.7420332632, "start_session": "2001-12-31", "total_return": -0.13763871203813227, "traded_notional_by_category": { "entry": 240560.72784719442, "exit": 246419.50958570227, "resize": 202790.54470196628 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.912853052441288 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0754330534790295, "annualized_volatility": 0.135892404616595, "cagr": 0.13127477485500583, "end_nav": 865577.9298944047, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.12916846601694953, "mean_cash_weight": 0.503968253968254, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 765135.0044513675, "start_session": "2002-12-31", "total_return": 0.13127477485500583, "traded_notional_by_category": { "entry": 748229.3150817266, "exit": 748229.3150817266, "resize": 57858.255532197596 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0754330534790295 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.848426240064259, "annualized_volatility": 0.12756638868293688, "cagr": 0.11672899832481254, "end_nav": 966615.9746230434, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4680429189844653e-16, "max_drawdown": -0.10818209430802472, "mean_cash_weight": 4.3450333943328155e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 865577.9298944047, "start_session": "2003-12-31", "total_return": 0.11672899832481254, "traded_notional_by_category": { "entry": 1168685.1975294047, "exit": 1172277.042060971, "resize": 155519.47039649537 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.848426240064259 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9757628015523577, "annualized_volatility": 0.13988058626073852, "cagr": 0.182740114711341, "end_nav": 1143255.488707473, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.1768395190582762e-16, "max_drawdown": -0.10007639898793153, "mean_cash_weight": 8.952117721980357e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 966615.9746230434, "start_session": "2004-12-31", "total_return": 0.182740114711341, "traded_notional_by_category": { "entry": 396716.70460350474, "exit": 391440.35070850776, "resize": 332371.0195830726 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.9757628015523577 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.905237908033923, "annualized_volatility": 0.10872127282258964, "cagr": 0.15343880223715312, "end_nav": 1318675.2415457987, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.1298491744257185e-16, "max_drawdown": -0.10120615372499908, "mean_cash_weight": 6.773585803522776e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1143255.488707473, "start_session": "2005-12-30", "total_return": 0.15343880223715312, "traded_notional_by_category": { "entry": 1605622.432429683, "exit": 1605248.0917428734, "resize": 285460.9529185493 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.905237908033923 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4850564055485114, "annualized_volatility": 0.16376924708701077, "cagr": 0.0509979271407035, "end_nav": 1385924.9454364008, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7059352510432908e-16, "max_drawdown": -0.09725179903914771, "mean_cash_weight": 2.8604769160826504e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1318675.2415457987, "start_session": "2006-12-29", "total_return": 0.0509979271407035, "traded_notional_by_category": { "entry": 2285993.1938297255, "exit": 2282392.9111832594, "resize": 210013.98646302999 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.4850564055485114 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3996347384703705, "annualized_volatility": 0.22781504078372827, "cagr": -0.21286381066053728, "end_nav": 1090911.6802613114, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.7124741803443221, "max_drawdown": -0.2594803665506311, "mean_cash_weight": 0.17167089676205685, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1385924.9454364008, "start_session": "2007-12-31", "total_return": -0.21286381066053728, "traded_notional_by_category": { "entry": 851544.8747063971, "exit": 1596978.9012111106, "resize": 527281.7525524069 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.3996347384703705 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7353827741169516, "annualized_volatility": 0.049221731978740725, "cagr": -0.00411954251877833, "end_nav": 1086417.623210243, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.0706444888687372, "mean_cash_weight": 0.8335386133388558, "nonzero_trade_event_count": 7, "order_count": 7, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1090911.6802613114, "start_session": "2008-12-31", "total_return": -0.00411954251877833, "traded_notional_by_category": { "entry": 349734.5388821259, "exit": 360835.0360465728, "resize": 61403.845955596305 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.7353827741169516 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2211741220775307, "annualized_volatility": 0.16202289799543834, "cagr": 0.08679037158377478, "end_nav": 1180708.2124238214, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6882807952945137, "max_drawdown": -0.1527367904810193, "mean_cash_weight": 0.1606918058522377, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1086417.623210243, "start_session": "2009-12-31", "total_return": 0.08679037158377478, "traded_notional_by_category": { "entry": 1463344.2387296343, "exit": 757739.2868945587, "resize": 215201.28195347986 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2211741220775307 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.895057993016953, "annualized_volatility": 0.22863372860697986, "cagr": -0.01692096709037938, "end_nav": 1160729.4876180573, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9550627329262271e-16, "max_drawdown": -0.1983698647337968, "mean_cash_weight": 3.997771108553452e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1180708.2124238214, "start_session": "2010-12-31", "total_return": -0.01692096709037938, "traded_notional_by_category": { "entry": 1500814.978992362, "exit": 1528609.9628274837, "resize": 231528.82830773864 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.895057993016953 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4598264510253147, "annualized_volatility": 0.09291067151819371, "cagr": 0.09720376334352121, "end_nav": 1273556.7620383296, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.060779665194865995, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1160729.4876180573, "start_session": "2011-12-30", "total_return": 0.09720376334352121, "traded_notional_by_category": { "entry": 821573.5159611956, "exit": 799882.9712073763, "resize": 174778.5895856747 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4598264510253147 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1231664717478425, "annualized_volatility": 0.1124964947331042, "cagr": 0.3013340282253647, "end_nav": 1657322.7513169916, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6025171436272639e-16, "max_drawdown": -0.07009664224555479, "mean_cash_weight": 2.713338292971111e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1273556.7620383296, "start_session": "2012-12-31", "total_return": 0.3013340282253647, "traded_notional_by_category": { "entry": 1486150.7983542671, "exit": 1480219.8885529859, "resize": 187200.64152609167 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.1231664717478425 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.142933242316074, "annualized_volatility": 0.12758043812906003, "cagr": 0.10963958137721841, "end_nav": 1839030.9239783266, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.481970638794071e-16, "max_drawdown": -0.08605971922868483, "mean_cash_weight": 8.861568092756833e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1657322.7513169916, "start_session": "2013-12-31", "total_return": 0.10963958137721841, "traded_notional_by_category": { "entry": 1749671.4286891082, "exit": 1757425.5905644943, "resize": 237244.29052690056 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.142933242316074 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4819184440935214, "annualized_volatility": 0.15465581633345885, "cagr": 0.05452599915815859, "end_nav": 1939305.9225909964, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3213701857709304e-16, "max_drawdown": -0.11528645926240866, "mean_cash_weight": 8.257616285007395e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1839030.9239783266, "start_session": "2014-12-31", "total_return": 0.05452599915815859, "traded_notional_by_category": { "entry": 1231187.6775606587, "exit": 1221768.287793805, "resize": 289905.7704207931 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4819184440935214 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2509541646128883, "annualized_volatility": 0.11546070683599388, "cagr": 0.0684948848037461, "end_nav": 2072138.4583580892, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2364244483982862e-16, "max_drawdown": -0.08820380766398495, "mean_cash_weight": 4.947377091960806e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1939305.9225909964, "start_session": "2015-12-31", "total_return": 0.0684948848037461, "traded_notional_by_category": { "entry": 1966495.3150542416, "exit": 1967026.3513957253, "resize": 495960.9063047209 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2509541646128883 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8422670775203435, "annualized_volatility": 0.0816238350828507, "cagr": 0.2837286589058621, "end_nav": 2660063.5242152903, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.1167651627287286e-16, "max_drawdown": -0.031071201603991905, "mean_cash_weight": 8.792375790660024e-18, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2072138.4583580892, "start_session": "2016-12-30", "total_return": 0.2837286589058621, "traded_notional_by_category": { "entry": 741543.7647438778, "exit": 739588.4959540986, "resize": 414800.6858031037 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.8422670775203435 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5129600416879796, "annualized_volatility": 0.1949294915483474, "cagr": -0.019907559289726207, "end_nav": 2607108.1518925363, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.919520065356963e-16, "max_drawdown": -0.19946018073892635, "mean_cash_weight": 1.3299333128515161e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2660063.5242152903, "start_session": "2017-12-29", "total_return": -0.019907559289726207, "traded_notional_by_category": { "entry": 1898892.975461811, "exit": 1913386.062968527, "resize": 492963.18084401207 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5129600416879796 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.224389301222872, "annualized_volatility": 0.11393257590581383, "cagr": 0.28669533310937734, "end_nav": 3354553.89195154, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8472280598869733e-16, "max_drawdown": -0.0476633342510685, "mean_cash_weight": 5.293642762391409e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2607108.1518925363, "start_session": "2018-12-31", "total_return": 0.28669533310937734, "traded_notional_by_category": { "entry": 3108353.6434149463, "exit": 3109439.6278764233, "resize": 676643.3833027369 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.224389301222872 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5983746870997269, "annualized_volatility": 0.33212451709111124, "cagr": 0.18897393789466532, "end_nav": 3988477.1507934984, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8478987267053367e-16, "max_drawdown": -0.30266992317089525, "mean_cash_weight": 4.4644123499315966e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3354553.89195154, "start_session": "2019-12-31", "total_return": 0.18897393789466532, "traded_notional_by_category": { "entry": 2445136.1185406693, "exit": 2487811.6670270558, "resize": 857237.691341769 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5983746870997269 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.834919429745122, "annualized_volatility": 0.14450023348435856, "cagr": 0.20014063794835946, "end_nav": 4786733.512195764, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.1277210833299954e-16, "max_drawdown": -0.07583079752756328, "mean_cash_weight": 3.6248003425975007e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3988477.1507934984, "start_session": "2020-12-31", "total_return": 0.20014063794835946, "traded_notional_by_category": { "entry": 5829257.028159931, "exit": 5835375.115306696, "resize": 731594.9069562864 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.834919429745122 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.390728238974675, "annualized_volatility": 0.19961122715725932, "cagr": 0.03816632218296312, "end_nav": 4969425.525626214, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.028128094998591e-16, "max_drawdown": -0.12239408668625407, "mean_cash_weight": 1.652097103779178e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4786733.512195764, "start_session": "2021-12-31", "total_return": 0.03816632218296312, "traded_notional_by_category": { "entry": 4610480.426443139, "exit": 4618029.0676851105, "resize": 1844101.9908379517 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.390728238974675 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1473629748874856, "annualized_volatility": 0.11123592029884764, "cagr": 0.15079658914366956, "end_nav": 5718797.944894135, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6870172400916476, "max_drawdown": -0.08855971922228023, "mean_cash_weight": 0.33284939277590014, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4969425.525626214, "start_session": "2022-12-30", "total_return": 0.15079658914366956, "traded_notional_by_category": { "entry": 5030273.689635213, "exit": 4976138.204146353, "resize": 706516.7979597622 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.1473629748874856 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5817212074655818, "annualized_volatility": 0.13305682246539474, "cagr": 0.19107526614881154, "end_nav": 6811518.784266058, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6246539649750257e-16, "max_drawdown": -0.09094352546558482, "mean_cash_weight": 2.593605689589497e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 5718797.944894135, "start_session": "2023-12-29", "total_return": 0.19107526614881154, "traded_notional_by_category": { "entry": 4359482.826191813, "exit": 4442119.378291344, "resize": 1509344.8468426005 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5817212074655818 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.170600678924408, "annualized_volatility": 0.1439775440841079, "cagr": 0.1004436045639372, "end_nav": 7495692.283512708, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.458233325611758e-16, "max_drawdown": -0.11323661862922196, "mean_cash_weight": 7.495263665064028e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6811518.784266058, "start_session": "2024-12-31", "total_return": 0.1004436045639372, "traded_notional_by_category": { "entry": 7256902.602561274, "exit": 7244328.349108916, "resize": 1238058.7219590899 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.170600678924408 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.0529334468032068, "annualized_volatility": 0.1635658524556348, "cagr": 0.08742025001067999, "end_nav": 7495692.283512708, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.3223442667308093, "mean_cash_weight": 0.08019582483075095, "nonzero_trade_event_count": 290, "order_count": 897, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 922308.7829857662, "start_session": "2000-12-29", "total_return": 7.127096284659784, "traded_notional_by_category": { "entry": 54214211.745464414, "exit": 54336686.08272068, "resize": 12542466.005458238 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 51.32333617008017 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 8104292.586087166, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3365628073527658e-16, "max_drawdown": -0.10156320535960572, "mean_cash_weight": 4.119575170198846e-17, "nonzero_trade_event_count": 10, "order_count": 34, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 7495692.283512708, "start_session": "2025-12-31", "total_return": 0.08119334139597978, "traded_notional_by_category": { "entry": 10166455.205674116, "exit": 10025298.503274722, "resize": 3153113.264248182 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.0448878133767887 } }, "monthly_risk": { "beta_intercept_per_month": 0.001586517792143154, "beta_to_SPY_excess_returns": 0.7218313141852251, "monthly_return_volatility_annualized": 0.13233237276089097, "months": 300, "sharpe_monthly_annualized": 0.5724717462987648, "tracking_error_monthly_annualized": 0.08636674053012686 }, "phase": [ 3, 9 ], "policy": "B", "run_id": "B12-03-09-0bps", "signal": "12-1" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.1063562215663, "annualized_volatility": 0.19254880431476415, "cagr": -0.04099113547467681, "end_nav": 882595.20039887, "end_session": "2001-12-31", "fee_by_category": { "entry": 1062.779074102647, "exit": 1050.6534198069428, "resize": 406.2561462070241 }, "max_cash_weight": 1.5736063427488563e-16, "max_drawdown": -0.24445341793144726, "mean_cash_weight": 3.1408933588710574e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 920320.1691318303, "start_session": "2000-12-29", "total_return": -0.04099113547467681, "traded_notional_by_category": { "entry": 1062779.074102647, "exit": 1050653.4198069428, "resize": 406256.14620702405 }, "transaction_cost": 2519.688640116614, "transaction_cost_over_anchor_nav": 0.002737839204907921, "two_sided_turnover": 3.1063562215663 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9125769737596034, "annualized_volatility": 0.22872221557614633, "cagr": -0.13842553132689028, "end_nav": 760421.4908370932, "end_session": "2002-12-31", "fee_by_category": { "entry": 239.08854240492056, "exit": 245.0803818802883, "resize": 201.64254376609526 }, "max_cash_weight": 1.366500384421051e-16, "max_drawdown": -0.28002810654512755, "mean_cash_weight": 2.1569679001071642e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 882595.20039887, "start_session": "2001-12-31", "total_return": -0.13842553132689028, "traded_notional_by_category": { "entry": 239088.54240492056, "exit": 245080.38188028827, "resize": 201642.54376609524 }, "transaction_cost": 685.8114680513041, "transaction_cost_over_anchor_nav": 0.000777039652766485, "two_sided_turnover": 0.9125769737596034 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0744325489624496, "annualized_volatility": 0.13576677470806972, "cagr": 0.12892932464018503, "end_nav": 858462.1200926022, "end_session": "2003-12-31", "fee_by_category": { "entry": 742.0887716745746, "exit": 743.5744348811304, "resize": 57.4762281213286 }, "max_cash_weight": 1.0, "max_drawdown": -0.12919629142802125, "mean_cash_weight": 0.503968253968254, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 760421.4908370932, "start_session": "2002-12-31", "total_return": 0.12892932464018503, "traded_notional_by_category": { "entry": 742088.7716745746, "exit": 743574.4348811303, "resize": 57476.228121328604 }, "transaction_cost": 1543.1394346770335, "transaction_cost_over_anchor_nav": 0.002029321176836155, "two_sided_turnover": 2.0744325489624496 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.84572871742722, "annualized_volatility": 0.1273812699483027, "cagr": 0.11355361622933247, "end_nav": 955943.5982250166, "end_session": "2004-12-31", "fee_by_category": { "entry": 1156.611102818559, "exit": 1161.717688642478, "resize": 153.2975478399534 }, "max_cash_weight": 1.418562695265993e-16, "max_drawdown": -0.1094349032548918, "mean_cash_weight": 1.1608771121471105e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 858462.1200926022, "start_session": "2003-12-31", "total_return": 0.11355361622933247, "traded_notional_by_category": { "entry": 1156611.102818559, "exit": 1161717.688642478, "resize": 153297.5478399534 }, "transaction_cost": 2471.6263393009904, "transaction_cost_over_anchor_nav": 0.002879132673943, "two_sided_turnover": 2.84572871742722 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9759783829123212, "annualized_volatility": 0.13986376717063714, "cagr": 0.18158607978559704, "end_nav": 1129529.6487228351, "end_session": "2005-12-30", "fee_by_category": { "entry": 391.9680344010391, "exit": 387.0129327331401, "resize": 329.14211414746643 }, "max_cash_weight": 1.163933314528808e-16, "max_drawdown": -0.10067654810497861, "mean_cash_weight": 9.879905586062932e-18, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 955943.5982250166, "start_session": "2004-12-31", "total_return": 0.18158607978559704, "traded_notional_by_category": { "entry": 391968.0344010391, "exit": 387012.9327331401, "resize": 329142.11414746643 }, "transaction_cost": 1108.1230812816457, "transaction_cost_over_anchor_nav": 0.0011591929516963071, "two_sided_turnover": 0.9759783829123212 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.9034373950344783, "annualized_volatility": 0.10871329477932509, "cagr": 0.15009266587517045, "end_nav": 1299063.7648846903, "end_session": "2006-12-29", "fee_by_category": { "entry": 1582.9177847989417, "exit": 1584.6690743685672, "resize": 281.71251167654555 }, "max_cash_weight": 0.0, "max_drawdown": -0.10253385595275788, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1129529.6487228351, "start_session": "2005-12-30", "total_return": 0.15009266587517045, "traded_notional_by_category": { "entry": 1582917.7847989418, "exit": 1584669.0743685672, "resize": 281712.51167654555 }, "transaction_cost": 3449.299370844055, "transaction_cost_over_anchor_nav": 0.0030537484117784735, "two_sided_turnover": 2.9034373950344783 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.482594477792866, "annualized_volatility": 0.16356163804303755, "cagr": 0.04734106780008318, "end_nav": 1360562.8306547278, "end_session": "2007-12-31", "fee_by_category": { "entry": 2246.105195537402, "exit": 2246.4611911794427, "resize": 207.11013382931804 }, "max_cash_weight": 0.0, "max_drawdown": -0.09911966536080652, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1299063.7648846903, "start_session": "2006-12-29", "total_return": 0.04734106780008318, "traded_notional_by_category": { "entry": 2246105.195537402, "exit": 2246461.1911794427, "resize": 207110.13382931805 }, "transaction_cost": 4699.6765205461625, "transaction_cost_over_anchor_nav": 0.003617741213006063, "two_sided_turnover": 3.482594477792866 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.398432527054333, "annualized_volatility": 0.22767938868973936, "cagr": -0.21475035252790708, "end_nav": 1068381.4831352578, "end_session": "2008-12-31", "fee_by_category": { "entry": 834.7109843399982, "exit": 1566.4303665957177, "resize": 516.6762120610557 }, "max_cash_weight": 0.712474180344322, "max_drawdown": -0.26011664711988025, "mean_cash_weight": 0.17167089676205685, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1360562.8306547278, "start_session": "2007-12-31", "total_return": -0.21475035252790708, "traded_notional_by_category": { "entry": 834710.9843399981, "exit": 1566430.3665957176, "resize": 516676.21206105564 }, "transaction_cost": 2917.8175629967714, "transaction_cost_over_anchor_nav": 0.0021445665699927024, "two_sided_turnover": 2.398432527054333 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7352648572919228, "annualized_volatility": 0.04929395334792907, "cagr": -0.004851623882714651, "end_nav": 1063198.0980158288, "end_session": "2009-12-31", "fee_by_category": { "entry": 342.2649908091677, "exit": 353.36764345136174, "resize": 60.11689602044132 }, "max_cash_weight": 1.0, "max_drawdown": -0.07067964409207173, "mean_cash_weight": 0.8335386133388558, "nonzero_trade_event_count": 7, "order_count": 7, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1068381.4831352578, "start_session": "2008-12-31", "total_return": -0.004851623882714651, "traded_notional_by_category": { "entry": 342264.99080916774, "exit": 353367.64345136174, "resize": 60116.896020441316 }, "transaction_cost": 755.7495302809708, "transaction_cost_over_anchor_nav": 0.0007073779751996061, "two_sided_turnover": 0.7352648572919228 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2195889849534916, "annualized_volatility": 0.1619910394070177, "cagr": 0.0843795758776058, "end_nav": 1152910.3026002815, "end_session": "2010-12-31", "fee_by_category": { "entry": 1429.7941454227853, "exit": 740.9769003647257, "resize": 210.32069089822198 }, "max_cash_weight": 0.6882807952945136, "max_drawdown": -0.1527969937237531, "mean_cash_weight": 0.16069180585223772, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1063198.0980158288, "start_session": "2009-12-31", "total_return": 0.0843795758776058, "traded_notional_by_category": { "entry": 1429794.1454227853, "exit": 740976.9003647257, "resize": 210320.69089822198 }, "transaction_cost": 2381.091736685733, "transaction_cost_over_anchor_nav": 0.0022395560536925298, "two_sided_turnover": 2.2195889849534916 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8923381852306314, "annualized_volatility": 0.22880370267686764, "cagr": -0.019762069659318482, "end_nav": 1130126.4088893489, "end_session": "2011-12-30", "fee_by_category": { "entry": 1462.5017242852578, "exit": 1491.5944926258253, "resize": 224.72291130621457 }, "max_cash_weight": 0.0, "max_drawdown": -0.1995068629670701, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1152910.3026002815, "start_session": "2010-12-31", "total_return": -0.019762069659318482, "traded_notional_by_category": { "entry": 1462501.724285258, "exit": 1491594.4926258253, "resize": 224722.91130621458 }, "transaction_cost": 3178.819128217298, "transaction_cost_over_anchor_nav": 0.002757212873410679, "two_sided_turnover": 2.8923381852306314 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4598330654013878, "annualized_volatility": 0.09286091166515327, "cagr": 0.09560270567343965, "end_nav": 1238169.5513321785, "end_session": "2012-12-31", "fee_by_category": { "entry": 799.0375734232357, "exit": 778.4580328319902, "resize": 170.61046078597911 }, "max_cash_weight": 0.0, "max_drawdown": -0.060782247069664175, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1130126.4088893489, "start_session": "2011-12-30", "total_return": 0.09560270567343965, "traded_notional_by_category": { "entry": 799037.5734232357, "exit": 778458.0328319902, "resize": 170610.4607859791 }, "transaction_cost": 1748.1060670412048, "transaction_cost_over_anchor_nav": 0.001546823482126381, "two_sided_turnover": 1.4598330654013878 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.122507497116324, "annualized_volatility": 0.11240462882130656, "cagr": 0.29857341929151215, "end_nav": 1607854.0679360647, "end_session": "2013-12-31", "fee_by_category": { "entry": 1442.478169951013, "exit": 1438.327500262936, "resize": 182.52249139380584 }, "max_cash_weight": 0.0, "max_drawdown": -0.07013709107412236, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1238169.5513321785, "start_session": "2012-12-31", "total_return": 0.29857341929151215, "traded_notional_by_category": { "entry": 1442478.1699510128, "exit": 1438327.5002629359, "resize": 182522.49139380583 }, "transaction_cost": 3063.3281616077543, "transaction_cost_over_anchor_nav": 0.002474078092383907, "two_sided_turnover": 2.122507497116324 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1418139210984, "annualized_volatility": 0.1277273197416207, "cagr": 0.10726423481382308, "end_nav": 1780319.3042255193, "end_session": "2014-12-31", "fee_by_category": { "entry": 1694.6233021463352, "exit": 1704.0623777623655, "resize": 230.00765689162043 }, "max_cash_weight": 1.4471485690813455e-16, "max_drawdown": -0.08727790020938642, "mean_cash_weight": 2.4483574697090937e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1607854.0679360647, "start_session": "2013-12-31", "total_return": 0.10726423481382308, "traded_notional_by_category": { "entry": 1694623.3021463351, "exit": 1704062.3777623654, "resize": 230007.65689162043 }, "transaction_cost": 3628.6933368003206, "transaction_cost_over_anchor_nav": 0.0022568549031681236, "two_sided_turnover": 2.1418139210984 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.481465840326274, "annualized_volatility": 0.1546447208420444, "cagr": 0.05296442359105091, "end_nav": 1874612.8899818447, "end_session": "2015-12-31", "fee_by_category": { "entry": 1190.5959462292, "exit": 1182.2846762078202, "resize": 280.48749452016096 }, "max_cash_weight": 1.365992826492074e-16, "max_drawdown": -0.11529797550793397, "mean_cash_weight": 4.274872386881856e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1780319.3042255193, "start_session": "2014-12-31", "total_return": 0.05296442359105091, "traded_notional_by_category": { "entry": 1190595.9462292, "exit": 1182284.67620782, "resize": 280487.49452016095 }, "transaction_cost": 2653.3681169571814, "transaction_cost_over_anchor_nav": 0.0014903888929696568, "two_sided_turnover": 1.481465840326274 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2502719323103655, "annualized_volatility": 0.11540137002453535, "cagr": 0.06609198703270391, "end_nav": 1998509.7807978643, "end_session": "2016-12-30", "fee_by_category": { "entry": 1897.7259353959425, "exit": 1900.343419620376, "resize": 479.6097211554127 }, "max_cash_weight": 1.362245728799167e-16, "max_drawdown": -0.08825564115257212, "mean_cash_weight": 4.0463585684359106e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1874612.8899818447, "start_session": "2015-12-31", "total_return": 0.06609198703270391, "traded_notional_by_category": { "entry": 1897725.9353959425, "exit": 1900343.4196203758, "resize": 479609.7211554127 }, "transaction_cost": 4277.679076171731, "transaction_cost_over_anchor_nav": 0.0022818999586699524, "two_sided_turnover": 2.2502719323103655 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8420426622560018, "annualized_volatility": 0.08164595605518418, "cagr": 0.28264786408744724, "end_nav": 2563384.301698253, "end_session": "2017-12-29", "fee_by_category": { "entry": 714.6925303736499, "exit": 713.2905857889003, "resize": 399.8155050424285 }, "max_cash_weight": 1.1579208568727704e-16, "max_drawdown": -0.03172665886133319, "mean_cash_weight": 9.116397653909873e-18, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1998509.7807978643, "start_session": "2016-12-30", "total_return": 0.28264786408744724, "traded_notional_by_category": { "entry": 714692.5303736499, "exit": 713290.5857889003, "resize": 399815.5050424285 }, "transaction_cost": 1827.7986212049784, "transaction_cost_over_anchor_nav": 0.0009145807735177893, "two_sided_turnover": 0.8420426622560018 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.512062110788904, "annualized_volatility": 0.19498639230578863, "cagr": -0.021388846043184695, "end_nav": 2508556.4695197125, "end_session": "2018-12-31", "fee_by_category": { "entry": 1827.845150361019, "exit": 1843.0307800223932, "resize": 473.3641448320403 }, "max_cash_weight": 0.0, "max_drawdown": -0.19948946279003332, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2563384.301698253, "start_session": "2017-12-29", "total_return": -0.021388846043184695, "traded_notional_by_category": { "entry": 1827845.1503610192, "exit": 1843030.7800223934, "resize": 473364.1448320403 }, "transaction_cost": 4144.240075215453, "transaction_cost_over_anchor_nav": 0.0016167065049395347, "two_sided_turnover": 1.512062110788904 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2237050717945124, "annualized_volatility": 0.1139865067791828, "cagr": 0.28383583692763903, "end_nav": 3220574.694526084, "end_session": "2019-12-31", "fee_by_category": { "entry": 2985.729585948653, "exit": 2990.1488373655484, "resize": 651.7944919561658 }, "max_cash_weight": 0.0, "max_drawdown": -0.04767312474361651, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2508556.4695197125, "start_session": "2018-12-31", "total_return": 0.28383583692763903, "traded_notional_by_category": { "entry": 2985729.5859486526, "exit": 2990148.837365548, "resize": 651794.4919561658 }, "transaction_cost": 6627.672915270367, "transaction_cost_over_anchor_nav": 0.002642026598085432, "two_sided_turnover": 2.2237050717945124 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.596978903579326, "annualized_volatility": 0.33211238875104304, "cagr": 0.187075591531485, "end_nav": 3823065.6105758823, "end_session": "2020-12-31", "fee_by_category": { "entry": 2343.792407324534, "exit": 2387.9354269261385, "resize": 821.0689553056994 }, "max_cash_weight": 1.4540602110969947e-16, "max_drawdown": -0.3026807071054324, "mean_cash_weight": 3.303027144625756e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3220574.694526084, "start_session": "2019-12-31", "total_return": 0.187075591531485, "traded_notional_by_category": { "entry": 2343792.407324534, "exit": 2387935.4269261383, "resize": 821068.9553056995 }, "transaction_cost": 5552.796789556372, "transaction_cost_over_anchor_nav": 0.0017241633299157127, "two_sided_turnover": 1.596978903579326 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8326893528873764, "annualized_volatility": 0.14431176737509493, "cagr": 0.19674315398019449, "end_nav": 4575227.5966738, "end_session": "2021-12-31", "fee_by_category": { "entry": 5574.582760062873, "exit": 5589.84989992092, "resize": 700.6508755256357 }, "max_cash_weight": 1.2514543182041907e-16, "max_drawdown": -0.07584378454113627, "mean_cash_weight": 1.0963685783506471e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3823065.6105758823, "start_session": "2020-12-31", "total_return": 0.19674315398019449, "traded_notional_by_category": { "entry": 5574582.760062873, "exit": 5589849.89992092, "resize": 700650.8755256357 }, "transaction_cost": 11865.083535509428, "transaction_cost_over_anchor_nav": 0.0031035521605191985, "two_sided_turnover": 2.8326893528873764 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3895399547746097, "annualized_volatility": 0.19942187313904386, "cagr": 0.03568736844433085, "end_nav": 4738505.429632968, "end_session": "2022-12-30", "fee_by_category": { "entry": 4399.408884216297, "exit": 4411.519914801693, "resize": 1759.7925214644463 }, "max_cash_weight": 0.0, "max_drawdown": -0.12239408668625407, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4575227.5966738, "start_session": "2021-12-31", "total_return": 0.03568736844433085, "traded_notional_by_category": { "entry": 4399408.8842162965, "exit": 4411519.914801693, "resize": 1759792.5214644463 }, "transaction_cost": 10570.721320482437, "transaction_cost_over_anchor_nav": 0.002310425240520794, "two_sided_turnover": 2.3895399547746097 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.14579053883452, "annualized_volatility": 0.11120244850292106, "cagr": 0.14832858595826615, "end_nav": 5441361.239565993, "end_session": "2023-12-29", "fee_by_category": { "entry": 4786.373887322877, "exit": 4743.486072555779, "resize": 672.0528772763375 }, "max_cash_weight": 0.6870172400916474, "max_drawdown": -0.0885954544911266, "mean_cash_weight": 0.33284939277590014, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4738505.429632968, "start_session": "2022-12-30", "total_return": 0.14832858595826615, "traded_notional_by_category": { "entry": 4786373.887322877, "exit": 4743486.072555779, "resize": 672052.8772763375 }, "transaction_cost": 10201.912837154994, "transaction_cost_over_anchor_nav": 0.0021529811432431357, "two_sided_turnover": 2.14579053883452 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5812512389844453, "annualized_volatility": 0.1331092701941211, "cagr": 0.1891928026222922, "end_nav": 6470827.622559792, "end_session": "2024-12-31", "fee_by_category": { "entry": 4143.2219033599995, "exit": 4224.669610135751, "resize": 1434.940114763378 }, "max_cash_weight": 1.5398664890861653e-16, "max_drawdown": -0.09097889523758618, "mean_cash_weight": 2.4797307191292262e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 5441361.239565993, "start_session": "2023-12-29", "total_return": 0.1891928026222922, "traded_notional_by_category": { "entry": 4143221.9033599994, "exit": 4224669.610135751, "resize": 1434940.114763378 }, "transaction_cost": 9802.83162825913, "transaction_cost_over_anchor_nav": 0.0018015403125562404, "two_sided_turnover": 1.5812512389844453 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.169016724799862, "annualized_volatility": 0.1439863509604129, "cagr": 0.09805807635969899, "end_nav": 7105344.531683209, "end_session": "2025-12-31", "fee_by_category": { "entry": 6882.3387481243535, "exit": 6878.133181799211, "resize": 1171.9393638136507 }, "max_cash_weight": 1.4652521249726853e-16, "max_drawdown": -0.11385063359040426, "mean_cash_weight": 3.409023543888552e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6470827.622559792, "start_session": "2024-12-31", "total_return": 0.09805807635969899, "traded_notional_by_category": { "entry": 6882338.748124354, "exit": 6878133.181799211, "resize": 1171939.3638136508 }, "transaction_cost": 14932.411293737212, "transaction_cost_over_anchor_nav": 0.0023076509165036456, "two_sided_turnover": 2.169016724799862 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.051827923477517, "annualized_volatility": 0.163531091008472, "cagr": 0.08519016232903875, "end_nav": 7105344.531683209, "end_session": "2025-12-31", "fee_by_category": { "entry": 52173.277134835276, "exit": 52357.078842531446, "resize": 12077.130610600427 }, "max_cash_weight": 1.0, "max_drawdown": -0.3264641966702425, "mean_cash_weight": 0.08019582483075093, "nonzero_trade_event_count": 290, "order_count": 897, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 920320.1691318303, "start_session": "2000-12-29", "total_return": 6.720513762494117, "traded_notional_by_category": { "entry": 52173277.13483527, "exit": 52357078.84253144, "resize": 12077130.610600427 }, "transaction_cost": 116607.48658796714, "transaction_cost_over_anchor_nav": 0.12670317406818, "two_sided_turnover": 51.295698086937925 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7658895.644031879, "end_session": "2026-10-02", "fee_by_category": { "entry": 9615.004568955832, "exit": 9494.478763151015, "resize": 2985.0643710551176 }, "max_cash_weight": 1.3053132327418344e-16, "max_drawdown": -0.10164097810766815, "mean_cash_weight": 4.0268084080415763e-17, "nonzero_trade_event_count": 10, "order_count": 34, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 7105344.531683209, "start_session": "2025-12-31", "total_return": 0.07790630135953958, "traded_notional_by_category": { "entry": 9615004.568955831, "exit": 9494478.763151016, "resize": 2985064.3710551173 }, "transaction_cost": 22094.547703161967, "transaction_cost_over_anchor_nav": 0.0031095673974204756, "two_sided_turnover": 3.0430096177191093 } }, "monthly_risk": { "beta_intercept_per_month": 0.0014196983549805654, "beta_to_SPY_excess_returns": 0.7208319680241564, "monthly_return_volatility_annualized": 0.13221816771562217, "months": 300, "sharpe_monthly_annualized": 0.5572390224799657, "tracking_error_monthly_annualized": 0.08645770210576346 }, "phase": [ 3, 9 ], "policy": "B", "run_id": "B12-03-09-10bps", "signal": "12-1" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.105099842425623, "annualized_volatility": 0.19262222879155932, "cagr": -0.04545527415982764, "end_nav": 875648.7348424554, "end_session": "2001-12-31", "fee_by_category": { "entry": 2639.1060132330185, "exit": 2614.225365564085, "resize": 1014.0322629059929 }, "max_cash_weight": 1.4560231636773226e-16, "max_drawdown": -0.2462975050688445, "mean_cash_weight": 3.6541183671053014e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 917346.9939522486, "start_session": "2000-12-29", "total_return": -0.04545527415982764, "traded_notional_by_category": { "entry": 1055642.4052932071, "exit": 1045690.1462256341, "resize": 405612.90516239713 }, "transaction_cost": 6267.363641703097, "transaction_cost_over_anchor_nav": 0.006832053392033393, "two_sided_turnover": 3.105099842425623 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9121632356901646, "annualized_volatility": 0.22855486537131953, "cagr": -0.1396043000385917, "end_nav": 753404.406135096, "end_session": "2002-12-31", "fee_by_category": { "entry": 592.2418750582564, "exit": 607.7123253489063, "resize": 499.83123024456955 }, "max_cash_weight": 1.5639580271974806e-16, "max_drawdown": -0.2809103336546972, "mean_cash_weight": 3.3733216355601816e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 875648.7348424554, "start_session": "2001-12-31", "total_return": -0.1396043000385917, "traded_notional_by_category": { "entry": 236896.75002330253, "exit": 243084.93013956255, "resize": 199932.4920978278 }, "transaction_cost": 1699.7854306517324, "transaction_cost_over_anchor_nav": 0.0019411727134597571, "two_sided_turnover": 0.9121632356901646 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0729355605273145, "annualized_volatility": 0.1356064443302375, "cagr": 0.12542025708987237, "end_nav": 847896.5804452024, "end_session": "2003-12-31", "fee_by_category": { "entry": 1832.427849926437, "exit": 1841.6129519310803, "resize": 142.26979720480836 }, "max_cash_weight": 1.0, "max_drawdown": -0.1292379940302063, "mean_cash_weight": 0.503968253968254, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 753404.406135096, "start_session": "2002-12-31", "total_return": 0.12542025708987237, "traded_notional_by_category": { "entry": 732971.1399705748, "exit": 736645.1807724321, "resize": 56907.91888192334 }, "transaction_cost": 3816.3105990623253, "transaction_cost_over_anchor_nav": 0.005065421131049248, "two_sided_turnover": 2.0729355605273145 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8416925014355785, "annualized_volatility": 0.1271570469604448, "cagr": 0.10881123635748469, "end_nav": 940157.2556667284, "end_session": "2004-12-31", "fee_by_category": { "entry": 2846.8389061794487, "exit": 2865.142392337725, "resize": 375.04787454339663 }, "max_cash_weight": 1.4490390445798507e-16, "max_drawdown": -0.11130933769500562, "mean_cash_weight": 4.469421847015798e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 847896.5804452024, "start_session": "2003-12-31", "total_return": 0.10881123635748469, "traded_notional_by_category": { "entry": 1138735.5624717795, "exit": 1146056.95693509, "resize": 150019.14981735864 }, "transaction_cost": 6087.029173060571, "transaction_cost_over_anchor_nav": 0.007178975966460997, "two_sided_turnover": 2.8416925014355785 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.976302161834772, "annualized_volatility": 0.1398446519268499, "cagr": 0.1798551723524069, "end_nav": 1109249.4009230337, "end_session": "2005-12-30", "fee_by_category": { "entry": 962.3786568880154, "exit": 951.1655661613012, "resize": 810.893000513166 }, "max_cash_weight": 1.2842326862325505e-16, "max_drawdown": -0.10157752259262232, "mean_cash_weight": 2.9569363661855144e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 940157.2556667284, "start_session": "2004-12-31", "total_return": 0.1798551723524069, "traded_notional_by_category": { "entry": 384951.46275520616, "exit": 380466.22646452044, "resize": 324357.2002052664 }, "transaction_cost": 2724.437223562483, "transaction_cost_over_anchor_nav": 0.002897852680645859, "two_sided_turnover": 0.976302161834772 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.900742279941795, "annualized_volatility": 0.10876296393533173, "cagr": 0.1450917007903254, "end_nav": 1270192.2831036062, "end_session": "2006-12-29", "fee_by_category": { "entry": 3873.6609009364065, "exit": 3885.7429922006986, "resize": 690.4533973958133 }, "max_cash_weight": 0.0, "max_drawdown": -0.10452023707275537, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1109249.4009230337, "start_session": "2005-12-30", "total_return": 0.1450917007903254, "traded_notional_by_category": { "entry": 1549464.3603745624, "exit": 1554297.1968802793, "resize": 276181.35895832535 }, "transaction_cost": 8449.857290532918, "transaction_cost_over_anchor_nav": 0.007617635207647247, "two_sided_turnover": 2.900742279941795 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.478909678079705, "annualized_volatility": 0.16331794104638597, "cagr": 0.04187794295447045, "end_nav": 1323385.3230766277, "end_session": "2007-12-31", "fee_by_category": { "entry": 5468.938479433988, "exit": 5484.054156929668, "resize": 507.0748808878244 }, "max_cash_weight": 0.0, "max_drawdown": -0.10191419588697315, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1270192.2831036062, "start_session": "2006-12-29", "total_return": 0.04187794295447045, "traded_notional_by_category": { "entry": 2187575.3917735945, "exit": 2193621.6627718676, "resize": 202829.95235512976 }, "transaction_cost": 11460.067517251478, "transaction_cost_over_anchor_nav": 0.009022309196564935, "two_sided_turnover": 3.478909678079705 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3966347382268784, "annualized_volatility": 0.22749596084456472, "cagr": -0.21757157270124317, "end_nav": 1035454.297045103, "end_session": "2008-12-31", "fee_by_category": { "entry": 2025.2058310731622, "exit": 3804.2516111444975, "resize": 1252.9157004085819 }, "max_cash_weight": 0.7124741803443221, "max_drawdown": -0.26107128283834846, "mean_cash_weight": 0.17167089676205685, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1323385.3230766277, "start_session": "2007-12-31", "total_return": -0.21757157270124317, "traded_notional_by_category": { "entry": 810082.3324292649, "exit": 1521700.644457799, "resize": 501166.28016343276 }, "transaction_cost": 7082.373142626242, "transaction_cost_over_anchor_nav": 0.005351708998979243, "two_sided_turnover": 2.3966347382268784 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7350881449948283, "annualized_volatility": 0.04941060906070276, "cagr": -0.005948726980209096, "end_nav": 1029294.6621314974, "end_session": "2009-12-31", "fee_by_category": { "entry": 828.3957686589381, "exit": 856.1372007968079, "resize": 145.59202997162953 }, "max_cash_weight": 1.0, "max_drawdown": -0.07073233177532223, "mean_cash_weight": 0.8335386133388558, "nonzero_trade_event_count": 7, "order_count": 7, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1035454.297045103, "start_session": "2008-12-31", "total_return": -0.005948726980209096, "traded_notional_by_category": { "entry": 331358.3074635752, "exit": 342454.88031872315, "resize": 58236.81198865181 }, "transaction_cost": 1830.1249994273755, "transaction_cost_over_anchor_nav": 0.0017674609151268582, "two_sided_turnover": 0.7350881449948283 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2172166788860133, "annualized_volatility": 0.161969690686193, "cagr": 0.08077518089799107, "end_nav": 1112436.1246625057, "end_session": "2010-12-31", "fee_by_category": { "entry": 3452.266362265277, "exit": 1791.316014326363, "resize": 508.01713012337945 }, "max_cash_weight": 0.6882807952945136, "max_drawdown": -0.15288727440044048, "mean_cash_weight": 0.16069180585223772, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1029294.6621314974, "start_session": "2009-12-31", "total_return": 0.08077518089799107, "traded_notional_by_category": { "entry": 1380906.544906111, "exit": 716526.4057305453, "resize": 203206.8520493518 }, "transaction_cost": 5751.59950671502, "transaction_cost_over_anchor_nav": 0.005587903754212052, "two_sided_turnover": 2.2172166788860133 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8882687103472606, "annualized_volatility": 0.22908701298187345, "cagr": -0.02400515939713954, "end_nav": 1085731.918170846, "end_session": "2011-12-30", "fee_by_category": { "entry": 3517.1578629647074, "exit": 3594.370169888147, "resize": 537.201778087942 }, "max_cash_weight": 1.236912293728909e-16, "max_drawdown": -0.2012081006464711, "mean_cash_weight": 1.8822373858344463e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1112436.1246625057, "start_session": "2010-12-31", "total_return": -0.02400515939713954, "traded_notional_by_category": { "entry": 1406863.1451858832, "exit": 1437748.0679552588, "resize": 214880.71123517677 }, "transaction_cost": 7648.729810940797, "transaction_cost_over_anchor_nav": 0.006875657524391607, "two_sided_turnover": 2.8882687103472606 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.459843595236587, "annualized_volatility": 0.09280454116175485, "cagr": 0.09320362724302234, "end_nav": 1186926.0711578932, "end_session": "2012-12-31", "fee_by_category": { "entry": 1915.9726512875795, "exit": 1868.4850459130118, "resize": 411.3575431833713 }, "max_cash_weight": 0.0, "max_drawdown": -0.060786116657205014, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1085731.918170846, "start_session": "2011-12-30", "total_return": 0.09320362724302234, "traded_notional_by_category": { "entry": 766389.0605150318, "exit": 747394.0183652047, "resize": 164543.01727334852 }, "transaction_cost": 4195.815240383963, "transaction_cost_over_anchor_nav": 0.0038645039076061574, "two_sided_turnover": 1.459843595236587 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.121519918861352, "annualized_volatility": 0.11230435792578948, "cagr": 0.294441267953758, "end_nav": 1536406.0885169958, "end_session": "2013-12-31", "fee_by_category": { "entry": 3448.414854956177, "exit": 3444.2608952545315, "resize": 439.29712856179395 }, "max_cash_weight": 0.0, "max_drawdown": -0.07019781492017885, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1186926.0711578932, "start_session": "2012-12-31", "total_return": 0.294441267953758, "traded_notional_by_category": { "entry": 1379365.941982471, "exit": 1377704.3581018127, "resize": 175718.85142471758 }, "transaction_cost": 7331.972878772503, "transaction_cost_over_anchor_nav": 0.006177278481733807, "two_sided_turnover": 2.121519918861352 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.140138120766644, "annualized_volatility": 0.12797933132600334, "cagr": 0.10371070474195343, "end_nav": 1695747.8467269214, "end_session": "2014-12-31", "fee_by_category": { "entry": 4038.2095894356917, "exit": 4067.6069444665864, "resize": 548.911813738504 }, "max_cash_weight": 1.5192398227473617e-16, "max_drawdown": -0.08910365022209454, "mean_cash_weight": 2.367294258413391e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1536406.0885169958, "start_session": "2013-12-31", "total_return": 0.10371070474195343, "traded_notional_by_category": { "entry": 1615283.8357742764, "exit": 1627042.7777866344, "resize": 219564.7254954016 }, "transaction_cost": 8654.728347640781, "transaction_cost_over_anchor_nav": 0.005633099486083586, "two_sided_turnover": 2.140138120766644 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.480787551481802, "annualized_volatility": 0.15463928159651044, "cagr": 0.05062635174578012, "end_nav": 1781597.3736874678, "end_session": "2015-12-31", "fee_by_category": { "entry": 2830.5106719752966, "exit": 2813.5981561752387, "resize": 667.3271820517751 }, "max_cash_weight": 1.4357678086784252e-16, "max_drawdown": -0.11531523549290124, "mean_cash_weight": 8.7267968771896e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1695747.8467269214, "start_session": "2014-12-31", "total_return": 0.05062635174578012, "traded_notional_by_category": { "entry": 1132204.2687901189, "exit": 1125439.2624700954, "resize": 266930.87282071006 }, "transaction_cost": 6311.43601020231, "transaction_cost_over_anchor_nav": 0.0037219189293882598, "two_sided_turnover": 1.480787551481802 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2492495207598786, "annualized_volatility": 0.1153490467426434, "cagr": 0.06249600945079714, "end_nav": 1892940.099990955, "end_session": "2016-12-30", "fee_by_category": { "entry": 4497.6308646396565, "exit": 4511.335883389724, "resize": 1140.22137434264 }, "max_cash_weight": 1.4334895169200295e-16, "max_drawdown": -0.0883333801932813, "mean_cash_weight": 1.0984267144708911e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1781597.3736874678, "start_session": "2015-12-31", "total_return": 0.06249600945079714, "traded_notional_by_category": { "entry": 1799052.3458558628, "exit": 1804534.3533558897, "resize": 456088.549737056 }, "transaction_cost": 10149.188122372021, "transaction_cost_over_anchor_nav": 0.005696678874961351, "two_sided_turnover": 2.2492495207598786 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8417063899770763, "annualized_volatility": 0.0816896324933057, "cagr": 0.2810283485709475, "end_nav": 2424909.930235137, "end_session": "2017-12-29", "fee_by_category": { "entry": 1690.5665238458646, "exit": 1688.9638476747787, "resize": 945.8656341117924 }, "max_cash_weight": 1.2225174804960651e-16, "max_drawdown": -0.032709026107973216, "mean_cash_weight": 3.7710113987598426e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1892940.099990955, "start_session": "2016-12-30", "total_return": 0.2810283485709475, "traded_notional_by_category": { "entry": 676226.6095383458, "exit": 675585.5390699115, "resize": 378346.2536447169 }, "transaction_cost": 4325.396005632435, "transaction_cost_over_anchor_nav": 0.002285014726907155, "two_sided_turnover": 0.8417063899770763 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.510718096527941, "annualized_volatility": 0.19508024540856558, "cagr": -0.023604963637779752, "end_nav": 2367670.019507046, "end_session": "2018-12-31", "fee_by_category": { "entry": 4315.564575083958, "exit": 4355.790876662288, "resize": 1113.5373450146433 }, "max_cash_weight": 0.0, "max_drawdown": -0.19959643774354785, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2424909.930235137, "start_session": "2017-12-29", "total_return": -0.023604963637779752, "traded_notional_by_category": { "entry": 1726225.830033583, "exit": 1742316.350664915, "resize": 445414.9380058573 }, "transaction_cost": 9784.892796760889, "transaction_cost_over_anchor_nav": 0.004035157213370013, "two_sided_turnover": 1.510718096527941 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2226796534836573, "annualized_volatility": 0.1141038099031876, "cagr": 0.27955638442014075, "end_nav": 3029567.2896604, "end_session": "2019-12-31", "fee_by_category": { "entry": 7027.008249253486, "exit": 7049.348436274644, "resize": 1540.5412378946676 }, "max_cash_weight": 0.0, "max_drawdown": -0.047687822730761775, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2367670.019507046, "start_session": "2018-12-31", "total_return": 0.27955638442014075, "traded_notional_by_category": { "entry": 2810803.2997013936, "exit": 2819739.3745098575, "resize": 616216.495157867 }, "transaction_cost": 15616.897923422797, "transaction_cost_over_anchor_nav": 0.0065958929220526555, "two_sided_turnover": 2.2226796534836573 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.594896917076384, "annualized_volatility": 0.3321046435314216, "cagr": 0.18423583062396443, "end_nav": 3587722.135702176, "end_session": "2020-12-31", "fee_by_category": { "entry": 5498.9959217726855, "exit": 5613.963556749247, "resize": 1924.1955792765118 }, "max_cash_weight": 0.0, "max_drawdown": -0.3026968695385439, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3029567.2896604, "start_session": "2019-12-31", "total_return": 0.18423583062396443, "traded_notional_by_category": { "entry": 2199598.3687090743, "exit": 2245585.4226996987, "resize": 769678.2317106047 }, "transaction_cost": 13037.155057798445, "transaction_cost_over_anchor_nav": 0.004303305987720725, "two_sided_turnover": 1.594896917076384 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8293520589685874, "annualized_volatility": 0.14408806014670214, "cagr": 0.1916649451427106, "end_nav": 4275362.702028822, "end_session": "2021-12-31", "fee_by_category": { "entry": 13033.223977804128, "exit": 13101.993653402938, "resize": 1641.6814450636239 }, "max_cash_weight": 1.3106734589346308e-16, "max_drawdown": -0.07586324884124585, "mean_cash_weight": 4.77407137407718e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3587722.135702176, "start_session": "2020-12-31", "total_return": 0.1916649451427106, "traded_notional_by_category": { "entry": 5213289.591121651, "exit": 5240797.461361175, "resize": 656672.5780254495 }, "transaction_cost": 27776.899076270693, "transaction_cost_over_anchor_nav": 0.007742210245285425, "two_sided_turnover": 2.8293520589685874 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3877608047167, "annualized_volatility": 0.19915995853882518, "cagr": 0.031980231904445544, "end_nav": 4412089.79271532, "end_session": "2022-12-30", "fee_by_category": { "entry": 10251.94629273308, "exit": 10297.361018917356, "resize": 4101.290385253344 }, "max_cash_weight": 1.1938129741652798e-16, "max_drawdown": -0.12257443313645622, "mean_cash_weight": 2.832308521877746e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4275362.702028822, "start_session": "2021-12-31", "total_return": 0.031980231904445544, "traded_notional_by_category": { "entry": 4100778.517093232, "exit": 4118944.4075669423, "resize": 1640516.1541013375 }, "transaction_cost": 24650.59769690378, "transaction_cost_over_anchor_nav": 0.005765732503865961, "two_sided_turnover": 2.3877608047167 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.143437214607219, "annualized_volatility": 0.11118985778817109, "cagr": 0.14463845426100042, "end_nav": 5050247.640394402, "end_session": "2023-12-29", "fee_by_category": { "entry": 11106.316072555217, "exit": 11036.864417915473, "resize": 1558.700637573725 }, "max_cash_weight": 0.6870172400916474, "max_drawdown": -0.08864901147226845, "mean_cash_weight": 0.33284939277590014, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4412089.79271532, "start_session": "2022-12-30", "total_return": 0.14463845426100042, "traded_notional_by_category": { "entry": 4442526.429022087, "exit": 4414745.767166189, "resize": 623480.25502949 }, "transaction_cost": 23701.881128044413, "transaction_cost_over_anchor_nav": 0.00537203054370696, "two_sided_turnover": 2.143437214607219 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5805469446283302, "annualized_volatility": 0.13320099355095338, "cagr": 0.18637466973166683, "end_nav": 5991485.876436038, "end_session": "2024-12-31", "fee_by_category": { "entry": 9596.968686480797, "exit": 9795.747910743543, "resize": 3325.392697790638 }, "max_cash_weight": 0.0, "max_drawdown": -0.09103199414467811, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 5050247.640394402, "start_session": "2023-12-29", "total_return": 0.18637466973166683, "traded_notional_by_category": { "entry": 3838787.4745923188, "exit": 3918299.164297417, "resize": 1330157.0791162553 }, "transaction_cost": 22718.10929501498, "transaction_cost_over_anchor_nav": 0.004498414912034056, "two_sided_turnover": 1.5805469446283302 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.166646137775471, "annualized_volatility": 0.14402882649665974, "cagr": 0.09449136013163972, "end_nav": 6557629.526109989, "end_session": "2025-12-31", "fee_by_category": { "entry": 15891.135790687724, "exit": 15908.172426822777, "resize": 2698.3032000380645 }, "max_cash_weight": 1.4611529124438778e-16, "max_drawdown": -0.1147708556044521, "mean_cash_weight": 2.460499139253611e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5991485.876436038, "start_session": "2024-12-31", "total_return": 0.09449136013163972, "traded_notional_by_category": { "entry": 6356454.31627509, "exit": 6363268.970729111, "resize": 1079321.2800152258 }, "transaction_cost": 34497.61141754857, "transaction_cost_over_anchor_nav": 0.005757772300394548, "two_sided_turnover": 2.166646137775471 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.0501734582903026, "annualized_volatility": 0.16350388954593492, "cagr": 0.08185368676446392, "end_nav": 6557629.526109989, "end_session": "2025-12-31", "fee_by_category": { "entry": 123181.083229129, "exit": 123849.22381699142, "resize": 28539.9522861822 }, "max_cash_weight": 1.0, "max_drawdown": -0.33319020044721104, "mean_cash_weight": 0.08019582483075094, "nonzero_trade_event_count": 290, "order_count": 897, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 917346.9939522486, "start_session": "2000-12-29", "total_return": 6.1484722458809715, "traded_notional_by_category": { "entry": 49272433.2916516, "exit": 49539689.526796564, "resize": 11415980.91447288 }, "transaction_cost": 275570.2593323026, "transaction_cost_over_anchor_nav": 0.3003991522826608, "two_sided_turnover": 51.254336457257565 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7036301.76560252, "end_session": "2026-10-02", "fee_by_category": { "entry": 22108.638310067567, "exit": 21876.330811258056, "resize": 6874.100086784248 }, "max_cash_weight": 1.5281098959504864e-16, "max_drawdown": -0.1017575342713215, "mean_cash_weight": 1.045971572742023e-16, "nonzero_trade_event_count": 10, "order_count": 34, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 6557629.526109989, "start_session": "2025-12-31", "total_return": 0.07299470602702396, "traded_notional_by_category": { "entry": 8843455.324027026, "exit": 8750532.32450322, "resize": 2749640.034713699 }, "transaction_cost": 50859.06920810986, "transaction_cost_over_anchor_nav": 0.007755709438236542, "two_sided_turnover": 3.040198092242853 } }, "monthly_risk": { "beta_intercept_per_month": 0.001169799622598779, "beta_to_SPY_excess_returns": 0.7193361862769276, "monthly_return_volatility_annualized": 0.13207389461102928, "months": 300, "sharpe_monthly_annualized": 0.5342641912291466, "tracking_error_monthly_annualized": 0.08663461101611254 }, "phase": [ 3, 9 ], "policy": "B", "run_id": "B12-03-09-25bps", "signal": "12-1" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.106775359484697, "annualized_volatility": 0.19253368169407803, "cagr": -0.03949937507372192, "end_nav": 884922.5045681724, "end_session": "2001-12-31", "fee_by_category": { "entry": 532.5843533299876, "exit": 526.1567899938219, "resize": 203.23501831698405 }, "max_cash_weight": 1.5705548660893532e-16, "max_drawdown": -0.24383806672606156, "mean_cash_weight": 5.433552006447565e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 921313.8248984413, "start_session": "2000-12-29", "total_return": -0.03949937507372192, "traded_notional_by_category": { "entry": 1065168.706659975, "exit": 1052313.5799876438, "resize": 406470.0366339681 }, "transaction_cost": 1261.9761616407936, "transaction_cost_over_anchor_nav": 0.0013697571093974458, "two_sided_turnover": 3.106775359484697 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9127149877549191, "annualized_volatility": 0.22877913785944268, "cagr": -0.1380322191211628, "end_nav": 762774.6875123702, "end_session": "2002-12-31", "fee_by_category": { "entry": 119.91176582073479, "exit": 122.87452995797511, "resize": 101.10787228044092 }, "max_cash_weight": 1.362833003160674e-16, "max_drawdown": -0.2797337868227353, "mean_cash_weight": 2.0304734036417962e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 884922.5045681724, "start_session": "2001-12-31", "total_return": -0.1380322191211628, "traded_notional_by_category": { "entry": 239823.53164146957, "exit": 245749.05991595023, "resize": 202215.74456088184 }, "transaction_cost": 343.89416805915084, "transaction_cost_over_anchor_nav": 0.0003886150101098011, "two_sided_turnover": 0.9127149877549191 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.074932549500003, "annualized_volatility": 0.13582771482053344, "cagr": 0.13010144134215396, "end_nav": 862012.7737770405, "end_session": "2003-12-31", "fee_by_category": { "entry": 372.5763985726908, "exit": 372.94916135265345, "resize": 28.833462463077506 }, "max_cash_weight": 1.0, "max_drawdown": -0.1291823810917252, "mean_cash_weight": 0.503968253968254, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 762774.6875123702, "start_session": "2002-12-31", "total_return": 0.13010144134215396, "traded_notional_by_category": { "entry": 745152.7971453816, "exit": 745898.3227053069, "resize": 57666.924926155014 }, "transaction_cost": 774.3590223884217, "transaction_cost_over_anchor_nav": 0.001015187099238743, "two_sided_turnover": 2.074932549500003 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.847076806214649, "annualized_volatility": 0.12747026093422645, "cagr": 0.11513992375211246, "end_nav": 961264.8588230759, "end_session": "2004-12-31", "fee_by_category": { "entry": 581.3161654915684, "exit": 583.492702746526, "resize": 77.20242297797749 }, "max_cash_weight": 1.4117025181431583e-16, "max_drawdown": -0.10880881802118048, "mean_cash_weight": 5.721076020147422e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 862012.7737770405, "start_session": "2003-12-31", "total_return": 0.11513992375211246, "traded_notional_by_category": { "entry": 1162632.3309831368, "exit": 1166985.405493052, "resize": 154404.84595595498 }, "transaction_cost": 1242.0112912160719, "transaction_cost_over_anchor_nav": 0.0014408270144002737, "two_sided_turnover": 2.847076806214649 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9758705651188342, "annualized_volatility": 0.13987176977342958, "cagr": 0.18216308753931743, "end_nav": 1136371.8334493334, "end_session": "2005-12-30", "fee_by_category": { "entry": 197.16760809537257, "exit": 194.61014897415802, "resize": 165.37632254992857 }, "max_cash_weight": 1.2559684658077728e-16, "max_drawdown": -0.10037642352569176, "mean_cash_weight": 1.95980687781318e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 961264.8588230759, "start_session": "2004-12-31", "total_return": 0.18216308753931743, "traded_notional_by_category": { "entry": 394335.2161907451, "exit": 389220.29794831603, "resize": 330752.6450998571 }, "transaction_cost": 557.1540796194591, "transaction_cost_over_anchor_nav": 0.0005796051676138567, "two_sided_turnover": 0.9758705651188342 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.9043372738814193, "annualized_volatility": 0.10871316309473937, "cagr": 0.1517645153106808, "end_nav": 1308832.7539654812, "end_session": "2006-12-29", "fee_by_category": { "entry": 797.1147413590394, "exit": 797.4625907734021, "resize": 141.79028904558243 }, "max_cash_weight": 0.0, "max_drawdown": -0.10187035035229397, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1136371.8334493334, "start_session": "2005-12-30", "total_return": 0.1517645153106808, "traded_notional_by_category": { "entry": 1594229.4827180787, "exit": 1594925.181546804, "resize": 283580.5780911649 }, "transaction_cost": 1736.367621178024, "transaction_cost_over_anchor_nav": 0.0015279924845615614, "two_sided_turnover": 2.9043372738814193 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.483824901187577, "annualized_volatility": 0.16366092418415112, "cagr": 0.04916801640650226, "end_nav": 1373185.4642858235, "end_session": "2007-12-31", "fee_by_category": { "entry": 1132.9806767442522, "exit": 1132.1778808716683, "resize": 104.27848606198943 }, "max_cash_weight": 0.0, "max_drawdown": -0.09818621777510972, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1308832.7539654812, "start_session": "2006-12-29", "total_return": 0.04916801640650226, "traded_notional_by_category": { "entry": 2265961.353488504, "exit": 2264355.7617433365, "resize": 208556.97212397883 }, "transaction_cost": 2369.4370436779095, "transaction_cost_over_anchor_nav": 0.0018103436336682635, "two_sided_turnover": 3.483824901187577 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3990332635389766, "annualized_volatility": 0.2277458755778362, "cagr": -0.21380765565725712, "end_nav": 1079587.8993842495, "end_session": "2008-12-31", "fee_by_category": { "entry": 421.5429470083398, "exit": 790.8154074987021, "resize": 260.97603091934417 }, "max_cash_weight": 0.712474180344322, "max_drawdown": -0.25979849253529497, "mean_cash_weight": 0.17167089676205685, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1373185.4642858235, "start_session": "2007-12-31", "total_return": -0.21380765565725712, "traded_notional_by_category": { "entry": 843085.8940166796, "exit": 1581630.814997404, "resize": 521952.0618386884 }, "transaction_cost": 1473.3343854263862, "transaction_cost_over_anchor_nav": 0.0010729318243931812, "two_sided_turnover": 2.3990332635389766 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7353238048351969, "annualized_volatility": 0.04925728571001556, "cagr": -0.004485651180630934, "end_nav": 1074745.2446487816, "end_session": "2009-12-31", "fee_by_category": { "entry": 172.98981776702917, "exit": 178.5409244887599, "resize": 30.37848365837493 }, "max_cash_weight": 1.0, "max_drawdown": -0.07066206949258291, "mean_cash_weight": 0.8335386133388558, "nonzero_trade_event_count": 7, "order_count": 7, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1079587.8993842495, "start_session": "2008-12-31", "total_return": -0.004485651180630934, "traded_notional_by_category": { "entry": 345979.6355340583, "exit": 357081.84897751984, "resize": 60756.967316749855 }, "transaction_cost": 381.909225914164, "transaction_cost_over_anchor_nav": 0.0003537546374241399, "two_sided_turnover": 0.7353238048351969 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2203811928565558, "annualized_volatility": 0.1620052005634867, "cagr": 0.08558418542853063, "end_nav": 1166726.4409552345, "end_session": "2010-12-31", "fee_by_category": { "entry": 723.2359313037485, "exit": 374.6555966778034, "resize": 106.37348505149983 }, "max_cash_weight": 0.6882807952945136, "max_drawdown": -0.15276689371836694, "mean_cash_weight": 0.16069180585223772, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1074745.2446487816, "start_session": "2009-12-31", "total_return": 0.08558418542853063, "traded_notional_by_category": { "entry": 1446471.862607497, "exit": 749311.1933556068, "resize": 212746.97010299965 }, "transaction_cost": 1204.2650130330517, "transaction_cost_over_anchor_nav": 0.001120512064630345, "two_sided_turnover": 2.2203811928565558 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8936974053160776, "annualized_volatility": 0.2287168150460515, "cagr": -0.018342759542671838, "end_nav": 1145325.4583967153, "end_session": "2011-12-30", "fee_by_category": { "entry": 740.7670668302004, "exit": 754.9942983966712, "resize": 114.0504753218166 }, "max_cash_weight": 0.0, "max_drawdown": -0.19893864839585362, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1166726.4409552345, "start_session": "2010-12-31", "total_return": -0.018342759542671838, "traded_notional_by_category": { "entry": 1481534.1336604008, "exit": 1509988.5967933421, "resize": 228100.9506436332 }, "transaction_cost": 1609.8118405486882, "transaction_cost_over_anchor_nav": 0.0013797680279112267, "two_sided_turnover": 2.8936974053160776 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4598297176623394, "annualized_volatility": 0.09288457480751856, "cagr": 0.09640306718634672, "end_nav": 1255738.3455127673, "end_session": "2012-12-31", "fee_by_category": { "entry": 405.11353803659665, "exit": 394.5488166218637, "resize": 86.34100562862808 }, "max_cash_weight": 0.0, "max_drawdown": -0.06078095634738523, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1145325.4583967153, "start_session": "2011-12-30", "total_return": 0.09640306718634672, "traded_notional_by_category": { "entry": 810227.0760731932, "exit": 789097.6332437273, "resize": 172682.01125725615 }, "transaction_cost": 886.0033602870884, "transaction_cost_over_anchor_nav": 0.0007735821759584047, "two_sided_turnover": 1.4598297176623394 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.122836925482692, "annualized_volatility": 0.11244806021967815, "cagr": 0.2999531389624086, "end_nav": 1632401.0039647836, "end_session": "2013-12-31", "fee_by_category": { "entry": 732.075749538388, "exit": 729.5615726065494, "resize": 92.4235491945639 }, "max_cash_weight": 0.0, "max_drawdown": -0.07011686328854094, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1255738.3455127673, "start_session": "2012-12-31", "total_return": 0.2999531389624086, "traded_notional_by_category": { "entry": 1464151.4990767757, "exit": 1459123.1452130987, "resize": 184847.09838912782 }, "transaction_cost": 1554.0608713395013, "transaction_cost_over_anchor_nav": 0.0012375674254853763, "two_sided_turnover": 2.122836925482692 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1423733692403317, "annualized_volatility": 0.12765175706899998, "cagr": 0.10845127416934752, "end_nav": 1809436.9728000865, "end_session": "2014-12-31", "fee_by_category": { "entry": 860.9636096306454, "exit": 865.2690610277454, "resize": 116.7989670042586 }, "max_cash_weight": 1.5046219895273332e-16, "max_drawdown": -0.08666891121720088, "mean_cash_weight": 8.107401183051708e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1632401.0039647836, "start_session": "2013-12-31", "total_return": 0.10845127416934752, "traded_notional_by_category": { "entry": 1721927.2192612905, "exit": 1730538.1220554907, "resize": 233597.9340085172 }, "transaction_cost": 1843.0316376626495, "transaction_cost_over_anchor_nav": 0.001129031183628462, "two_sided_turnover": 2.1423733692403317 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.481692101064354, "annualized_volatility": 0.15464952073863572, "cagr": 0.053744924962443985, "end_nav": 1906685.0271274988, "end_session": "2015-12-31", "fee_by_category": { "entry": 605.3608356659408, "exit": 600.9321575335312, "resize": 142.5788677274292 }, "max_cash_weight": 1.3366276683763946e-16, "max_drawdown": -0.1152922183446985, "mean_cash_weight": 6.332622376553636e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1809436.9728000865, "start_session": "2014-12-31", "total_return": 0.053744924962443985, "traded_notional_by_category": { "entry": 1210721.6713318815, "exit": 1201864.3150670622, "resize": 285157.7354548584 }, "transaction_cost": 1348.871860926901, "transaction_cost_over_anchor_nav": 0.0007454649602077792, "two_sided_turnover": 1.481692101064354 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2506129859635475, "annualized_volatility": 0.11542859181296873, "cagr": 0.06729287728279565, "end_nav": 2034991.3486749334, "end_session": "2016-12-30", "fee_by_category": { "entry": 965.9023979544463, "exit": 966.6986774096696, "resize": 243.85838164488592 }, "max_cash_weight": 1.3392934757222656e-16, "max_drawdown": -0.08822972515730243, "mean_cash_weight": 4.029845768028352e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1906685.0271274988, "start_session": "2015-12-31", "total_return": 0.06729287728279565, "traded_notional_by_category": { "entry": 1931804.7959088925, "exit": 1933397.3548193392, "resize": 487716.76328977186 }, "transaction_cost": 2176.4594570090017, "transaction_cost_over_anchor_nav": 0.001141488723120635, "two_sided_turnover": 2.2506129859635475 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8421548465012149, "annualized_volatility": 0.08163419454411469, "cagr": 0.2831881496270352, "end_nav": 2611276.7832132126, "end_session": "2017-12-29", "fee_by_category": { "entry": 363.9972163924238, "exit": 363.1603002442185, "resize": 203.6196005369995 }, "max_cash_weight": 1.137156725349938e-16, "max_drawdown": -0.0313989848449987, "mean_cash_weight": 1.7191244754498736e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2034991.3486749334, "start_session": "2016-12-30", "total_return": 0.2831881496270352, "traded_notional_by_category": { "entry": 727994.4327848476, "exit": 726320.600488437, "resize": 407239.20107399905 }, "transaction_cost": 930.7771171736417, "transaction_cost_over_anchor_nav": 0.0004573862772339101, "two_sided_turnover": 0.8421548465012149 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5125108837492585, "annualized_volatility": 0.19495737323088183, "cagr": -0.02064859095583349, "end_nav": 2557357.5970441783, "end_session": "2018-12-31", "fee_by_category": { "entry": 931.5152247258366, "exit": 938.9395577851865, "resize": 241.53220693037625 }, "max_cash_weight": 0.0, "max_drawdown": -0.19947481938482525, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2611276.7832132126, "start_session": "2017-12-29", "total_return": -0.02064859095583349, "traded_notional_by_category": { "entry": 1863030.449451673, "exit": 1877879.115570373, "resize": 483064.4138607525 }, "transaction_cost": 2111.986989441399, "transaction_cost_over_anchor_nav": 0.0008087947639325195, "two_sided_turnover": 1.5125108837492585 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.224047124748609, "annualized_volatility": 0.11395710826638376, "cagr": 0.2852649314316196, "end_nav": 3286882.036611117, "end_session": "2019-12-31", "fee_by_category": { "entry": 1523.2123627209778, "exit": 1524.6054232759302, "resize": 332.051547288694 }, "max_cash_weight": 0.0, "max_drawdown": -0.04766822868133214, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2557357.5970441783, "start_session": "2018-12-31", "total_return": 0.2852649314316196, "traded_notional_by_category": { "entry": 3046424.725441956, "exit": 3049210.8465518607, "resize": 664103.094577388 }, "transaction_cost": 3379.8693332856024, "transaction_cost_over_anchor_nav": 0.0013216256252907659, "two_sided_turnover": 2.224047124748609 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5976764499824248, "annualized_volatility": 0.33211775367149127, "cagr": 0.18802424511124238, "end_nav": 3904895.5503146253, "end_session": "2020-12-31", "fee_by_category": { "entry": 1196.9639981289167, "exit": 1218.6811194633503, "resize": 419.4792666726967 }, "max_cash_weight": 1.467176534392671e-16, "max_drawdown": -0.3026753160366753, "mean_cash_weight": 4.568204679821304e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3286882.036611117, "start_session": "2019-12-31", "total_return": 0.18802424511124238, "traded_notional_by_category": { "entry": 2393927.996257833, "exit": 2437362.238926701, "resize": 838958.5333453935 }, "transaction_cost": 2835.1243842649637, "transaction_cost_over_anchor_nav": 0.0008625573880308981, "two_sided_turnover": 1.5976764499824248 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.833803868882838, "annualized_volatility": 0.1444020623781034, "cagr": 0.19844069212853155, "end_nav": 4679785.7260086825, "end_session": "2021-12-31", "fee_by_category": { "entry": 2850.2485840234767, "exit": 2855.6465479290723, "resize": 357.97782502547966 }, "max_cash_weight": 1.225209381310551e-16, "max_drawdown": -0.07583729211642043, "mean_cash_weight": 2.8694054572469604e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3904895.5503146253, "start_session": "2020-12-31", "total_return": 0.19844069212853155, "traded_notional_by_category": { "entry": 5700497.168046953, "exit": 5711293.095858145, "resize": 715955.6500509593 }, "transaction_cost": 6063.872956978029, "transaction_cost_over_anchor_nav": 0.0015528899246714679, "two_sided_turnover": 2.833803868882838 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3901338780885335, "annualized_volatility": 0.199515075603229, "cagr": 0.036926090765990516, "end_nav": 4852591.9184926655, "end_session": "2022-12-30", "fee_by_category": { "entry": 2251.854220581416, "exit": 2256.796677982398, "resize": 900.7264596006878 }, "max_cash_weight": 0.0, "max_drawdown": -0.12239408668625396, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4679785.7260086825, "start_session": "2021-12-31", "total_return": 0.036926090765990516, "traded_notional_by_category": { "entry": 4503708.441162832, "exit": 4513593.355964796, "resize": 1801452.9192013755 }, "transaction_cost": 5409.377358164502, "transaction_cost_over_anchor_nav": 0.0011559027859119689, "two_sided_turnover": 2.3901338780885335 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1465764008590464, "annualized_volatility": 0.11121666900414952, "cagr": 0.14956179428376815, "end_nav": 5578354.272749341, "end_session": "2023-12-29", "fee_by_category": { "entry": 2453.40394745499, "exit": 2429.209746092911, "resize": 344.53481531393993 }, "max_cash_weight": 0.6870172400916474, "max_drawdown": -0.08857758992027642, "mean_cash_weight": 0.33284939277590014, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4852591.9184926655, "start_session": "2022-12-30", "total_return": 0.14956179428376815, "traded_notional_by_category": { "entry": 4906807.89490998, "exit": 4858419.492185822, "resize": 689069.6306278799 }, "transaction_cost": 5227.148508861841, "transaction_cost_over_anchor_nav": 0.0010771869130271976, "two_sided_turnover": 2.1465764008590464 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5814861793078938, "annualized_volatility": 0.13308217431986047, "cagr": 0.19013366312401558, "end_nav": 6638987.204830677, "end_session": "2024-12-31", "fee_by_category": { "entry": 2124.9881596053065, "exit": 2166.0147978021073, "resize": 735.8360276716447 }, "max_cash_weight": 1.5806558905515918e-16, "max_drawdown": -0.09096120740361313, "mean_cash_weight": 4.789755098113921e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 5578354.272749341, "start_session": "2023-12-29", "total_return": 0.19013366312401558, "traded_notional_by_category": { "entry": 4249976.319210612, "exit": 4332029.595604215, "resize": 1471672.0553432894 }, "transaction_cost": 5026.838985079058, "transaction_cost_over_anchor_nav": 0.0009011329756583453, "two_sided_turnover": 1.5814861793078938 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1698083449049026, "annualized_volatility": 0.14397998930999314, "cagr": 0.09925006702879857, "end_nav": 7297907.129913458, "end_session": "2025-12-31", "fee_by_category": { "entry": 3533.568815287458, "exit": 3529.4276778926514, "resize": 602.2727455156311 }, "max_cash_weight": 1.4966690654718546e-16, "max_drawdown": -0.11354367950872146, "mean_cash_weight": 4.6432078079142646e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6638987.204830677, "start_session": "2024-12-31", "total_return": 0.09925006702879857, "traded_notional_by_category": { "entry": 7067137.6305749165, "exit": 7058855.355785303, "resize": 1204545.491031262 }, "transaction_cost": 7665.2692386957415, "transaction_cost_over_anchor_nav": 0.0011545841258917202, "two_sided_turnover": 2.1698083449049026 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.0523804474450755, "annualized_volatility": 0.16354680518552148, "cagr": 0.08630462800408889, "end_nav": 7297907.129913458, "end_session": "2025-12-31", "fee_by_category": { "entry": 26591.356132069785, "exit": 26668.222165399326, "resize": 6153.633614402931 }, "max_cash_weight": 1.0, "max_drawdown": -0.3242068258843912, "mean_cash_weight": 0.08019582483075094, "nonzero_trade_event_count": 290, "order_count": 897, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 921313.8248984413, "start_session": "2000-12-29", "total_return": 6.9211957236373, "traded_notional_by_category": { "entry": 53182712.26413956, "exit": 53336444.33079865, "resize": 12307267.228805862 }, "transaction_cost": 59413.211911872044, "transaction_cost_over_anchor_nav": 0.06448748548674096, "two_sided_turnover": 51.30951118612689 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7878445.0896009635, "end_session": "2026-10-02", "fee_by_category": { "entry": 4943.440970990337, "exit": 4878.137597580087, "resize": 1533.9689690516445 }, "max_cash_weight": 1.2045865233976261e-16, "max_drawdown": -0.10160209860236724, "mean_cash_weight": 1.317522294754412e-17, "nonzero_trade_event_count": 10, "order_count": 34, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 7297907.129913458, "start_session": "2025-12-31", "total_return": 0.07954855403790129, "traded_notional_by_category": { "entry": 9886881.941980673, "exit": 9756275.195160173, "resize": 3067937.938103289 }, "transaction_cost": 11355.547537622067, "transaction_cost_over_anchor_nav": 0.0015560005540597676, "two_sided_turnover": 3.0439483303098713 } }, "monthly_risk": { "beta_intercept_per_month": 0.001503086003849542, "beta_to_SPY_excess_returns": 0.7213314248815074, "monthly_return_volatility_annualized": 0.1322734658854151, "months": 300, "sharpe_monthly_annualized": 0.5648641742869199, "tracking_error_monthly_annualized": 0.08640950968757836 }, "phase": [ 3, 9 ], "policy": "B", "run_id": "B12-03-09-5bps", "signal": "12-1" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.5990563878482926, "annualized_volatility": 0.15590133238466516, "cagr": -0.01499413131376881, "end_nav": 988458.4819535761, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3354753821791192, "max_drawdown": -0.14587391490139034, "mean_cash_weight": 0.05320051896001411, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 1003505.1702503558, "start_session": "2000-12-29", "total_return": -0.01499413131376881, "traded_notional_by_category": { "entry": 933902.2877934449, "exit": 1246934.01713461, "resize": 247456.92411119927 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.5990563878482926 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8648334434351628, "annualized_volatility": 0.20820948263611913, "cagr": -0.14973020928279612, "end_nav": 840456.3865833122, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6793675225538247, "max_drawdown": -0.2647536029026978, "mean_cash_weight": 0.2166553131249728, "nonzero_trade_event_count": 12, "order_count": 31, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 988458.4819535761, "start_session": "2001-12-31", "total_return": -0.14973020928279612, "traded_notional_by_category": { "entry": 618534.4060899338, "exit": 839558.9450563577, "resize": 187250.15950550832 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.8648334434351628 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3727815897558766, "annualized_volatility": 0.05471814554896527, "cagr": 0.10496739032546132, "end_nav": 928676.9001653295, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.03451165130083522, "mean_cash_weight": 0.7288435484396919, "nonzero_trade_event_count": 7, "order_count": 11, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 840456.3865833122, "start_session": "2002-12-31", "total_return": 0.10496739032546132, "traded_notional_by_category": { "entry": 853176.354781976, "exit": 289979.44308262994, "resize": 27959.02164553327 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3727815897558766 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.218405454319973, "annualized_volatility": 0.11130717990151234, "cagr": 0.13466139982618075, "end_nav": 1053733.831527831, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3225167795587926e-16, "max_drawdown": -0.0768634466344843, "mean_cash_weight": 8.270033583280468e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 928676.9001653295, "start_session": "2003-12-31", "total_return": 0.13466139982618075, "traded_notional_by_category": { "entry": 938484.3064925501, "exit": 934755.0274317028, "resize": 211424.34973510297 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.218405454319973 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6700961609974145, "annualized_volatility": 0.14812033369490005, "cagr": 0.18320123404726885, "end_nav": 1246779.1698210866, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.10412213278527427, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1053733.831527831, "start_session": "2004-12-31", "total_return": 0.18320123404726885, "traded_notional_by_category": { "entry": 774626.1107441328, "exit": 796878.8320015534, "resize": 368784.41854661546 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6700961609974145 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8866330384772025, "annualized_volatility": 0.11864275998742917, "cagr": 0.11506238007715064, "end_nav": 1390236.5485313148, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.865173143977357e-16, "max_drawdown": -0.10432763034143766, "mean_cash_weight": 2.969400056692011e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1246779.1698210866, "start_session": "2005-12-30", "total_return": 0.11506238007715064, "traded_notional_by_category": { "entry": 1753684.7739988994, "exit": 1759758.517993835, "resize": 276576.135484105 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8866330384772025 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4210732668672503, "annualized_volatility": 0.15781502874493292, "cagr": 0.07364329226631527, "end_nav": 1492618.1449941199, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6785722856658046e-16, "max_drawdown": -0.08699678382656506, "mean_cash_weight": 1.322065917000259e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1390236.5485313148, "start_session": "2006-12-29", "total_return": 0.07364329226631527, "traded_notional_by_category": { "entry": 2461783.8834995106, "exit": 2466872.724599677, "resize": 119031.38250794966 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.4210732668672503 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7308243919962023, "annualized_volatility": 0.34849736635433853, "cagr": -0.2871558651769256, "end_nav": 1064004.0901895557, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6914204219896662, "max_drawdown": -0.44090208019898913, "mean_cash_weight": 0.10880084787592499, "nonzero_trade_event_count": 12, "order_count": 35, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1492618.1449941199, "start_session": "2007-12-31", "total_return": -0.2871558651769256, "traded_notional_by_category": { "entry": 501882.29722978274, "exit": 1172880.84185857, "resize": 610153.3369099956 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.7308243919962023 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4194741882026685, "annualized_volatility": 0.07750681463051101, "cagr": 0.09545288801881324, "end_nav": 1165566.3534619785, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.07064448886873709, "mean_cash_weight": 0.7246720637318742, "nonzero_trade_event_count": 7, "order_count": 11, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1064004.0901895557, "start_session": "2008-12-31", "total_return": 0.09545288801881324, "traded_notional_by_category": { "entry": 1040876.026505522, "exit": 358659.5160690314, "resize": 79087.55542667623 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4194741882026685 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8408199082100953, "annualized_volatility": 0.16429825958626118, "cagr": 0.17001223295170265, "end_nav": 1363726.891867423, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9749762156272962e-16, "max_drawdown": -0.13412307296238102, "mean_cash_weight": 4.602914227715816e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1165566.3534619785, "start_session": "2009-12-31", "total_return": 0.17001223295170265, "traded_notional_by_category": { "entry": 1705174.0842954675, "exit": 1683008.7462743989, "resize": 228034.61618553067 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8408199082100953 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 3.613340407510568, "annualized_volatility": 0.23191055482187817, "cagr": 0.024736003743963897, "end_nav": 1397460.0453703997, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8926321325600633e-16, "max_drawdown": -0.218308028858332, "mean_cash_weight": 2.89209958328957e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1363726.891867423, "start_session": "2010-12-31", "total_return": 0.024736003743963897, "traded_notional_by_category": { "entry": 2368919.2625576374, "exit": 2398722.848512577, "resize": 345132.78652992146 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.613340407510568 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.130455403902697, "annualized_volatility": 0.0930147268058948, "cagr": 0.0921334559157525, "end_nav": 1526212.868854559, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6661416629478718e-16, "max_drawdown": -0.05992480833928859, "mean_cash_weight": 6.693382903352705e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1397460.0453703997, "start_session": "2011-12-30", "total_return": 0.0921334559157525, "traded_notional_by_category": { "entry": 1495507.0576810557, "exit": 1486346.972269635, "resize": 198681.0643327444 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.130455403902697 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1144963662596354, "annualized_volatility": 0.11078166188616266, "cagr": 0.30048888601173696, "end_nav": 1984822.8736334427, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3409131574726687e-16, "max_drawdown": -0.07009664224555467, "mean_cash_weight": 6.453852646258384e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1526212.868854559, "start_session": "2012-12-31", "total_return": 0.30048888601173696, "traded_notional_by_category": { "entry": 1842413.3724355174, "exit": 1846131.4146253034, "resize": 195741.5660464078 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.1144963662596354 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4672801594883293, "annualized_volatility": 0.12623785674065222, "cagr": 0.1567612357091568, "end_nav": 2295966.159968021, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2046093261784529e-16, "max_drawdown": -0.07460910048399194, "mean_cash_weight": 2.866533118541584e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1984822.8736334427, "start_session": "2013-12-31", "total_return": 0.1567612357091568, "traded_notional_by_category": { "entry": 1412907.154823129, "exit": 1409874.276671079, "resize": 279134.805347249 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4672801594883293 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5032522237618722, "annualized_volatility": 0.15206517733036246, "cagr": 0.0684048289867365, "end_nav": 2453021.3324999674, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0845718271879913e-16, "max_drawdown": -0.10813738854458854, "mean_cash_weight": 1.6783740331577843e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2295966.159968021, "start_session": "2014-12-31", "total_return": 0.0684048289867365, "traded_notional_by_category": { "entry": 1574136.4710499644, "exit": 1587255.0038667775, "resize": 384136.5741981851 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5032522237618722 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5366338084045823, "annualized_volatility": 0.123440848891483, "cagr": 0.031989220015042896, "end_nav": 2531491.5716069024, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.859550271519696e-16, "max_drawdown": -0.09080305334846484, "mean_cash_weight": 1.6034700419124375e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2453021.3324999674, "start_session": "2015-12-31", "total_return": 0.031989220015042896, "traded_notional_by_category": { "entry": 1671159.3260438894, "exit": 1679831.5122716033, "resize": 497427.1422086373 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5366338084045823 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.160150674913543, "annualized_volatility": 0.0764240893129957, "cagr": 0.2795507991971564, "end_nav": 3239172.0636104774, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.02626776674280995, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2531491.5716069024, "start_session": "2016-12-30", "total_return": 0.2795507991971564, "traded_notional_by_category": { "entry": 2892069.3900368814, "exit": 2881602.008440497, "resize": 472970.3584001969 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.160150674913543 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1806078952107573, "annualized_volatility": 0.19079276895276998, "cagr": -0.046975151412338434, "end_nav": 3087011.4654717585, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4704784240253755e-16, "max_drawdown": -0.2029050054199455, "mean_cash_weight": 9.5628397064843e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3239172.0636104774, "start_session": "2017-12-29", "total_return": -0.046975151412338434, "traded_notional_by_category": { "entry": 3242215.1822807468, "exit": 3269864.590166021, "resize": 583385.0111480926 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.1806078952107573 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.214622379168924, "annualized_volatility": 0.11123657953486657, "cagr": 0.3197470725608613, "end_nav": 4074074.3445181674, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4108661835748666e-16, "max_drawdown": -0.03886892426692712, "mean_cash_weight": 6.125749289790833e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3087011.4654717585, "start_session": "2018-12-31", "total_return": 0.3197470725608613, "traded_notional_by_category": { "entry": 3744255.7445896436, "exit": 3862961.5820995704, "resize": 668515.6912976612 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.214622379168924 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2034252353288024, "annualized_volatility": 0.3042829670954897, "cagr": 0.1277197861128918, "end_nav": 4594414.2484080475, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.35262426206197994, "max_drawdown": -0.31219626652776067, "mean_cash_weight": 0.1678196877147796, "nonzero_trade_event_count": 12, "order_count": 33, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 4074074.3445181674, "start_session": "2019-12-31", "total_return": 0.1277197861128918, "traded_notional_by_category": { "entry": 3823325.0891472823, "exit": 3697574.098209828, "resize": 804105.0863499516 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2034252353288024 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 3.475271451982581, "annualized_volatility": 0.14878714379415472, "cagr": 0.1586026434972212, "end_nav": 5323100.493526863, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8394857419469075e-16, "max_drawdown": -0.07583079752756305, "mean_cash_weight": 1.473023815557119e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4594414.2484080475, "start_session": "2020-12-31", "total_return": 0.1586026434972212, "traded_notional_by_category": { "entry": 8689363.554725844, "exit": 8672292.569637772, "resize": 717862.0076797772 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.475271451982581 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4734332187156234, "annualized_volatility": 0.19652897232877237, "cagr": 0.13959890489025728, "end_nav": 6066199.493044001, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3468935593991266, "max_drawdown": -0.14329918164342603, "mean_cash_weight": 0.05629499776922127, "nonzero_trade_event_count": 12, "order_count": 36, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 5323100.493526863, "start_session": "2021-12-31", "total_return": 0.13959890489025728, "traded_notional_by_category": { "entry": 1856688.5120063452, "exit": 3744285.972530652, "resize": 2825591.3194948286 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4734332187156234 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9045790951213628, "annualized_volatility": 0.1259090806862107, "cagr": 0.20494360274983503, "end_nav": 7309428.272147662, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3471864790448308, "max_drawdown": -0.08404607808540765, "mean_cash_weight": 0.10813243431842497, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6066199.493044001, "start_session": "2022-12-30", "total_return": 0.20494360274983503, "traded_notional_by_category": { "entry": 6069906.191824131, "exit": 4066657.0003737547, "resize": 1488462.8512089755 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.9045790951213628 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5691392036048843, "annualized_volatility": 0.14404007346501338, "cagr": 0.1627137107491432, "end_nav": 8498772.469763506, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3193400080289967e-16, "max_drawdown": -0.09094352546558471, "mean_cash_weight": 2.8512822777656085e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 7309428.272147662, "start_session": "2023-12-29", "total_return": 0.1627137107491432, "traded_notional_by_category": { "entry": 5345107.791728946, "exit": 5309145.19266315, "resize": 1923726.2636392792 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5691392036048843 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.190755729952532, "annualized_volatility": 0.15890585243812158, "cagr": 0.045869239282803065, "end_nav": 8888604.697789188, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.210581662991156e-16, "max_drawdown": -0.13250867097669983, "mean_cash_weight": 3.292068920659063e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 8498772.469763506, "start_session": "2024-12-31", "total_return": 0.045869239282803065, "traded_notional_by_category": { "entry": 9015978.990421249, "exit": 8952115.966620306, "resize": 1774972.3959777118 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.190755729952532 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.1504576433374734, "annualized_volatility": 0.16697745096533279, "cagr": 0.09117035647903626, "end_nav": 8888604.697789188, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.44090208019898913, "mean_cash_weight": 0.0867225943058598, "nonzero_trade_event_count": 290, "order_count": 895, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 1003505.1702503558, "start_session": "2000-12-29", "total_return": 7.8575574509214015, "traded_notional_by_category": { "entry": 66626077.62278348, "exit": 66413947.62046089, "resize": 15515602.823917836 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 53.761441083436836 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 10595172.475096468, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.07520259905066173, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 8888604.697789188, "start_session": "2025-12-31", "total_return": 0.1919950133153907, "traded_notional_by_category": { "entry": 6372100.3041570345, "exit": 6094783.75013987, "resize": 4493554.429667862 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.7622297887534621 } }, "monthly_risk": { "beta_intercept_per_month": 0.0017608869220487634, "beta_to_SPY_excess_returns": 0.7503831637610175, "monthly_return_volatility_annualized": 0.13847067858293796, "months": 300, "sharpe_monthly_annualized": 0.5780154496176945, "tracking_error_monthly_annualized": 0.08861010008736432 }, "phase": [ 4, 10 ], "policy": "B", "run_id": "B12-04-10-0bps", "signal": "12-1" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.5972895496442256, "annualized_volatility": 0.155682719068791, "cagr": -0.01755075723430266, "end_nav": 982508.3937414134, "end_session": "2001-12-31", "fee_by_category": { "entry": 928.8814768714578, "exit": 1241.7919307026277, "resize": 246.03965494689106 }, "max_cash_weight": 0.3354753821791191, "max_drawdown": -0.14594323935710463, "mean_cash_weight": 0.053200518960014063, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 1000060.2076658428, "start_session": "2000-12-29", "total_return": -0.01755075723430266, "traded_notional_by_category": { "entry": 928881.4768714578, "exit": 1241791.9307026276, "resize": 246039.65494689107 }, "transaction_cost": 2416.7130625209766, "transaction_cost_over_anchor_nav": 0.0024165675666284383, "two_sided_turnover": 2.5972895496442256 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8642835248807368, "annualized_volatility": 0.20820363081310211, "cagr": -0.1513146835834578, "end_nav": 833840.44702434, "end_session": "2002-12-31", "fee_by_category": { "entry": 614.1615892520393, "exit": 834.0703603196636, "resize": 186.06329399952776 }, "max_cash_weight": 0.6793675225538247, "max_drawdown": -0.2651071476373321, "mean_cash_weight": 0.2166553131249728, "nonzero_trade_event_count": 12, "order_count": 31, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 982508.3937414134, "start_session": "2001-12-31", "total_return": -0.1513146835834578, "traded_notional_by_category": { "entry": 614161.5892520393, "exit": 834070.3603196635, "resize": 186063.29399952776 }, "transaction_cost": 1634.2952435712307, "transaction_cost_over_anchor_nav": 0.0016633906173033279, "two_sided_turnover": 1.8642835248807368 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3717839748625402, "annualized_volatility": 0.054724717933905216, "cagr": 0.10345203806358683, "end_nav": 920102.9406888603, "end_session": "2003-12-31", "fee_by_category": { "entry": 845.3083114099868, "exit": 287.6903213651007, "resize": 27.727771980386404 }, "max_cash_weight": 1.0, "max_drawdown": -0.034513258767829624, "mean_cash_weight": 0.7288435484396919, "nonzero_trade_event_count": 7, "order_count": 11, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 833840.44702434, "start_session": "2002-12-31", "total_return": 0.10345203806358683, "traded_notional_by_category": { "entry": 845308.3114099868, "exit": 287690.3213651007, "resize": 27727.771980386402 }, "transaction_cost": 1160.7264047554738, "transaction_cost_over_anchor_nav": 0.0013920245880343963, "two_sided_turnover": 1.3717839748625402 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2168417657447397, "annualized_volatility": 0.11120147018377351, "cagr": 0.1321475486834338, "end_nav": 1041692.288837312, "end_session": "2004-12-31", "fee_by_category": { "entry": 928.2528192392574, "exit": 925.5908644753637, "resize": 208.8445925282073 }, "max_cash_weight": 1.336715650066864e-16, "max_drawdown": -0.07809620969513154, "mean_cash_weight": 6.322078948365144e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 920102.9406888603, "start_session": "2003-12-31", "total_return": 0.1321475486834338, "traded_notional_by_category": { "entry": 928252.8192392574, "exit": 925590.8644753636, "resize": 208844.5925282073 }, "transaction_cost": 2062.6882762428286, "transaction_cost_over_anchor_nav": 0.0022418016343894527, "two_sided_turnover": 2.2168417657447397 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.66915944792121, "annualized_volatility": 0.14809017138642627, "cagr": 0.1812273417671546, "end_nav": 1230475.4132826412, "end_session": "2005-12-30", "fee_by_category": { "entry": 764.812393853733, "exit": 787.3247601124688, "resize": 363.81652322475827 }, "max_cash_weight": 0.0, "max_drawdown": -0.1041402620130466, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1041692.288837312, "start_session": "2004-12-31", "total_return": 0.1812273417671546, "traded_notional_by_category": { "entry": 764812.393853733, "exit": 787324.7601124686, "resize": 363816.5232247583 }, "transaction_cost": 1915.95367719096, "transaction_cost_over_anchor_nav": 0.001839270289050001, "two_sided_turnover": 1.66915944792121 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8839286399858093, "annualized_volatility": 0.11880198797808823, "cagr": 0.11184877298715379, "end_nav": 1368102.5784491654, "end_session": "2006-12-29", "fee_by_category": { "entry": 1726.7491530905745, "exit": 1735.5982360680966, "resize": 272.0529269528491 }, "max_cash_weight": 0.0, "max_drawdown": -0.10624104068455964, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1230475.4132826412, "start_session": "2005-12-30", "total_return": 0.11184877298715379, "traded_notional_by_category": { "entry": 1726749.1530905743, "exit": 1735598.2360680967, "resize": 272052.9269528491 }, "transaction_cost": 3734.4003161115197, "transaction_cost_over_anchor_nav": 0.0030349247744405968, "two_sided_turnover": 2.8839286399858093 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4177307422562215, "annualized_volatility": 0.15804732500032787, "cagr": 0.06997703298811908, "end_nav": 1463838.3377124334, "end_session": "2007-12-31", "fee_by_category": { "entry": 2416.2818200424667, "exit": 2425.497212381563, "resize": 116.36427489626233 }, "max_cash_weight": 0.0, "max_drawdown": -0.08699678382656506, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1368102.5784491654, "start_session": "2006-12-29", "total_return": 0.06997703298811908, "traded_notional_by_category": { "entry": 2416281.8200424667, "exit": 2425497.2123815627, "resize": 116364.27489626233 }, "transaction_cost": 4958.1433073202925, "transaction_cost_over_anchor_nav": 0.003624102012102539, "two_sided_turnover": 3.4177307422562215 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.730779847944551, "annualized_volatility": 0.34850653878940774, "cagr": -0.28838890033017506, "end_nav": 1041683.6092383934, "end_session": "2008-12-31", "fee_by_category": { "entry": 491.79754300645646, "exit": 1149.4806808865692, "resize": 598.2154708690017 }, "max_cash_weight": 0.6914204219896662, "max_drawdown": -0.44102859225577906, "mean_cash_weight": 0.10880084787592498, "nonzero_trade_event_count": 12, "order_count": 35, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1463838.3377124334, "start_session": "2007-12-31", "total_return": -0.28838890033017506, "traded_notional_by_category": { "entry": 491797.54300645646, "exit": 1149480.680886569, "resize": 598215.4708690017 }, "transaction_cost": 2239.493694762027, "transaction_cost_over_anchor_nav": 0.0015298777447390294, "two_sided_turnover": 1.730779847944551 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4184607372111577, "annualized_volatility": 0.07742704887617821, "cagr": 0.09389952073718999, "end_nav": 1139497.2009056648, "end_session": "2009-12-31", "fee_by_category": { "entry": 1017.6173727194083, "exit": 351.11680418605476, "resize": 77.37940052836731 }, "max_cash_weight": 1.0, "max_drawdown": -0.07067964409207161, "mean_cash_weight": 0.7246720637318742, "nonzero_trade_event_count": 7, "order_count": 11, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1041683.6092383934, "start_session": "2008-12-31", "total_return": 0.09389952073718999, "traded_notional_by_category": { "entry": 1017617.3727194082, "exit": 351116.80418605474, "resize": 77379.40052836732 }, "transaction_cost": 1446.1135774338304, "transaction_cost_over_anchor_nav": 0.0013882464546899496, "two_sided_turnover": 1.4184607372111577 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8399564066789424, "annualized_volatility": 0.16423905981246234, "cagr": 0.1666920862604815, "end_nav": 1329442.366612609, "end_session": "2010-12-31", "fee_by_category": { "entry": 1663.5123792728014, "exit": 1644.0737784774064, "resize": 223.82305286378343 }, "max_cash_weight": 0.0, "max_drawdown": -0.13531489083455595, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1139497.2009056648, "start_session": "2009-12-31", "total_return": 0.1666920862604815, "traded_notional_by_category": { "entry": 1663512.3792728013, "exit": 1644073.7784774066, "resize": 223823.05286378344 }, "transaction_cost": 3531.4092106139915, "transaction_cost_over_anchor_nav": 0.0030990942389391134, "two_sided_turnover": 2.8399564066789424 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 3.609892314169468, "annualized_volatility": 0.23217978735241987, "cagr": 0.021040471540703765, "end_nav": 1357414.4608923276, "end_session": "2011-12-30", "fee_by_category": { "entry": 2303.3009229024274, "exit": 2336.372285542435, "resize": 335.20841578845005 }, "max_cash_weight": 0.0, "max_drawdown": -0.22000027751249873, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1329442.366612609, "start_session": "2010-12-31", "total_return": 0.021040471540703765, "traded_notional_by_category": { "entry": 2303300.922902427, "exit": 2336372.285542435, "resize": 335208.41578845005 }, "transaction_cost": 4974.881624233312, "transaction_cost_over_anchor_nav": 0.0037420814539777347, "two_sided_turnover": 3.609892314169468 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.129778958075616, "annualized_volatility": 0.09288375928338101, "cagr": 0.08980871434899473, "end_nav": 1479322.1084638014, "end_session": "2012-12-31", "fee_by_category": { "entry": 1450.2378439171487, "exit": 1442.9637562547146, "resize": 193.51706595154062 }, "max_cash_weight": 0.0, "max_drawdown": -0.06117782425619733, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1357414.4608923276, "start_session": "2011-12-30", "total_return": 0.08980871434899473, "traded_notional_by_category": { "entry": 1450237.8439171487, "exit": 1442963.7562547144, "resize": 193517.0659515406 }, "transaction_cost": 3086.718666123404, "transaction_cost_over_anchor_nav": 0.0022739691929422046, "two_sided_turnover": 2.129778958075616 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1129416112758053, "annualized_volatility": 0.11080735319209771, "cagr": 0.29774248055273467, "end_nav": 1919779.1425743154, "end_session": "2013-12-31", "fee_by_category": { "entry": 1782.859722696055, "exit": 1788.4600005651441, "resize": 188.80851581065514 }, "max_cash_weight": 1.4443554014017873e-16, "max_drawdown": -0.07013709107412225, "mean_cash_weight": 5.769042697657118e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1479322.1084638014, "start_session": "2012-12-31", "total_return": 0.29774248055273467, "traded_notional_by_category": { "entry": 1782859.7226960552, "exit": 1788460.000565144, "resize": 188808.51581065514 }, "transaction_cost": 3760.1282390718543, "transaction_cost_over_anchor_nav": 0.0025417914175409374, "two_sided_turnover": 2.1129416112758053 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.46682641204112, "annualized_volatility": 0.12623654362756123, "cagr": 0.1550651866271131, "end_nav": 2217470.0536004407, "end_session": "2014-12-31", "fee_by_category": { "entry": 1365.084542203123, "exit": 1363.0686707869222, "resize": 269.85239246469797 }, "max_cash_weight": 1.2832716928055644e-16, "max_drawdown": -0.07461697263324729, "mean_cash_weight": 1.8479162262630635e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1919779.1425743154, "start_session": "2013-12-31", "total_return": 0.1550651866271131, "traded_notional_by_category": { "entry": 1365084.5422031232, "exit": 1363068.6707869219, "resize": 269852.39246469794 }, "transaction_cost": 2998.005605454743, "transaction_cost_over_anchor_nav": 0.0015616408882506072, "two_sided_turnover": 1.46682641204112 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5019118792865298, "annualized_volatility": 0.15195354628182214, "cagr": 0.06680041892932542, "end_nav": 2365597.982144184, "end_session": "2015-12-31", "fee_by_category": { "entry": 1518.1629925407526, "exit": 1532.8738596704102, "resize": 369.7053234622011 }, "max_cash_weight": 0.0, "max_drawdown": -0.10813738854458854, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2217470.0536004407, "start_session": "2014-12-31", "total_return": 0.06680041892932542, "traded_notional_by_category": { "entry": 1518162.9925407525, "exit": 1532873.8596704102, "resize": 369705.32346220105 }, "transaction_cost": 3420.7421756733643, "transaction_cost_over_anchor_nav": 0.0015426328622202613, "two_sided_turnover": 1.5019118792865298 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5361761415446062, "annualized_volatility": 0.12343921898470445, "cagr": 0.030404649204976986, "end_nav": 2437523.1589512792, "end_session": "2016-12-30", "fee_by_category": { "entry": 1609.7701651264288, "exit": 1619.2257437082094, "resize": 479.41996357512613 }, "max_cash_weight": 0.0, "max_drawdown": -0.09145792261623942, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2365597.982144184, "start_session": "2015-12-31", "total_return": 0.030404649204976986, "traded_notional_by_category": { "entry": 1609770.1651264285, "exit": 1619225.7437082094, "resize": 479419.96357512614 }, "transaction_cost": 3708.4158724097642, "transaction_cost_over_anchor_nav": 0.0015676441645627575, "two_sided_turnover": 1.5361761415446062 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.159476910779364, "annualized_volatility": 0.07640573600357936, "cagr": 0.2767891848566211, "end_nav": 3112203.2071865397, "end_session": "2017-12-29", "fee_by_category": { "entry": 2780.123526487808, "exit": 2773.105842298059, "resize": 456.0596160945598 }, "max_cash_weight": 0.0, "max_drawdown": -0.02626776674280984, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2437523.1589512792, "start_session": "2016-12-30", "total_return": 0.2767891848566211, "traded_notional_by_category": { "entry": 2780123.5264878077, "exit": 2773105.842298059, "resize": 456059.6160945598 }, "transaction_cost": 6009.288984880426, "transaction_cost_over_anchor_nav": 0.002465325903802229, "two_sided_turnover": 2.159476910779364 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.179475143381001, "annualized_volatility": 0.19070102188316476, "cagr": -0.04905105495359807, "end_nav": 2959546.3566440684, "end_session": "2018-12-31", "fee_by_category": { "entry": 3110.0252552477195, "exit": 3140.012098298639, "resize": 559.7796725156546 }, "max_cash_weight": 1.6909336117945085e-16, "max_drawdown": -0.20348069826734072, "mean_cash_weight": 4.769832334160708e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3112203.2071865397, "start_session": "2017-12-29", "total_return": -0.04905105495359807, "traded_notional_by_category": { "entry": 3110025.2552477196, "exit": 3140012.0982986395, "resize": 559779.6725156546 }, "transaction_cost": 6809.8170260620145, "transaction_cost_over_anchor_nav": 0.002188101667120301, "two_sided_turnover": 2.179475143381001 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2125559479203045, "annualized_volatility": 0.11129989466749422, "cagr": 0.3168287332862849, "end_nav": 3897215.6799216485, "end_session": "2019-12-31", "fee_by_category": { "entry": 3583.5475069049326, "exit": 3701.332771022432, "resize": 636.949209106414 }, "max_cash_weight": 1.367945072406024e-16, "max_drawdown": -0.03888381814744968, "mean_cash_weight": 2.160333398966001e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2959546.3566440684, "start_session": "2018-12-31", "total_return": 0.3168287332862849, "traded_notional_by_category": { "entry": 3583547.506904932, "exit": 3701332.7710224316, "resize": 636949.209106414 }, "transaction_cost": 7921.829487033778, "transaction_cost_over_anchor_nav": 0.00267670397162375, "two_sided_turnover": 2.2125559479203045 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.202183378020853, "annualized_volatility": 0.30440128486937995, "cagr": 0.12523744120461155, "end_nav": 4385292.999497526, "end_session": "2020-12-31", "fee_by_category": { "entry": 3650.39168960993, "exit": 3536.776493966096, "resize": 768.2418942083516 }, "max_cash_weight": 0.35262426206198005, "max_drawdown": -0.3122011326959694, "mean_cash_weight": 0.1678196877147796, "nonzero_trade_event_count": 12, "order_count": 33, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3897215.6799216485, "start_session": "2019-12-31", "total_return": 0.12523744120461155, "traded_notional_by_category": { "entry": 3650391.68960993, "exit": 3536776.493966096, "resize": 768241.8942083516 }, "transaction_cost": 7955.410077784378, "transaction_cost_over_anchor_nav": 0.0020413060839230526, "two_sided_turnover": 2.202183378020853 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4728204931696562, "annualized_volatility": 0.1487242476428637, "cagr": 0.15458266709626045, "end_nav": 5063183.287358413, "end_session": "2021-12-31", "fee_by_category": { "entry": 8271.81175767396, "exit": 8269.946845770126, "resize": 686.5349297411761 }, "max_cash_weight": 0.0, "max_drawdown": -0.07584378454113605, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4385292.999497526, "start_session": "2020-12-31", "total_return": 0.15458266709626045, "traded_notional_by_category": { "entry": 8271811.75767396, "exit": 8269946.845770126, "resize": 686534.9297411761 }, "transaction_cost": 17228.293533185264, "transaction_cost_over_anchor_nav": 0.003928652779907593, "two_sided_turnover": 3.4728204931696562 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4736334271441875, "annualized_volatility": 0.19650704603770378, "cagr": 0.13792043674828847, "end_nav": 5761499.737687521, "end_session": "2022-12-30", "fee_by_category": { "entry": 1764.514968992296, "exit": 3559.1540570558705, "resize": 2688.1740141182304 }, "max_cash_weight": 0.34689355939912664, "max_drawdown": -0.14329918164342603, "mean_cash_weight": 0.05629499776922127, "nonzero_trade_event_count": 12, "order_count": 36, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 5063183.287358413, "start_session": "2021-12-31", "total_return": 0.13792043674828847, "traded_notional_by_category": { "entry": 1764514.968992296, "exit": 3559154.05705587, "resize": 2688174.01411823 }, "transaction_cost": 8011.843040166396, "transaction_cost_over_anchor_nav": 0.0015823727061530831, "two_sided_turnover": 1.4736334271441875 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9032833543115952, "annualized_volatility": 0.12587550189402297, "cagr": 0.2026515429861666, "end_nav": 6929076.549444291, "end_session": "2023-12-29", "fee_by_category": { "entry": 5757.235361993361, "exit": 3859.930853509256, "resize": 1410.1574076035945 }, "max_cash_weight": 0.34718647904483074, "max_drawdown": -0.08408046331848384, "mean_cash_weight": 0.10813243431842495, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5761499.737687521, "start_session": "2022-12-30", "total_return": 0.2026515429861666, "traded_notional_by_category": { "entry": 5757235.361993361, "exit": 3859930.8535092557, "resize": 1410157.4076035945 }, "transaction_cost": 11027.323623106211, "transaction_cost_over_anchor_nav": 0.0019139675648986876, "two_sided_turnover": 1.9032833543115952 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5686785076546508, "annualized_volatility": 0.1441041463883081, "cagr": 0.1608906834899726, "end_nav": 8043900.411438724, "end_session": "2024-12-31", "fee_by_category": { "entry": 5061.023651237212, "exit": 5030.389912610767, "resize": 1822.3808339560255 }, "max_cash_weight": 1.2993127541984574e-16, "max_drawdown": -0.09097889523758629, "mean_cash_weight": 2.1029439679802263e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 6929076.549444291, "start_session": "2023-12-29", "total_return": 0.1608906834899726, "traded_notional_by_category": { "entry": 5061023.651237212, "exit": 5030389.912610767, "resize": 1822380.8339560255 }, "transaction_cost": 11913.794397804004, "transaction_cost_over_anchor_nav": 0.001719391366625829, "two_sided_turnover": 1.5686785076546508 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1900319802082167, "annualized_volatility": 0.15893518786753083, "cagr": 0.043580087961430536, "end_nav": 8394454.298922211, "end_session": "2025-12-31", "fee_by_category": { "entry": 8518.897764489004, "exit": 8468.097877381417, "resize": 1682.1482377969753 }, "max_cash_weight": 1.1332572661997842e-16, "max_drawdown": -0.13253609720631498, "mean_cash_weight": 9.336728875798562e-18, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 8043900.411438724, "start_session": "2024-12-31", "total_return": 0.043580087961430536, "traded_notional_by_category": { "entry": 8518897.764489003, "exit": 8468097.877381418, "resize": 1682148.2377969753 }, "transaction_cost": 18669.143879667397, "transaction_cost_over_anchor_nav": 0.0023209068890409413, "two_sided_turnover": 2.1900319802082167 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.1491952438445243, "annualized_volatility": 0.16698890652616788, "cagr": 0.08882642639294813, "end_nav": 8394454.298922211, "end_session": "2025-12-31", "fee_by_category": { "entry": 63924.36253078034, "exit": 63803.946017415416, "resize": 14867.264454983688 }, "max_cash_weight": 1.0, "max_drawdown": -0.44102859225577906, "mean_cash_weight": 0.08672259430585978, "nonzero_trade_event_count": 290, "order_count": 895, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 1000060.2076658428, "start_session": "2000-12-29", "total_return": 7.393948918850603, "traded_notional_by_category": { "entry": 63924362.53078034, "exit": 63803946.01741541, "resize": 14867264.454983687 }, "transaction_cost": 142595.57300317945, "transaction_cost_over_anchor_nav": 0.14258698817344198, "two_sided_turnover": 53.72988109611311 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 9988526.285207426, "end_session": "2026-10-02", "fee_by_category": { "entry": 6009.171151860366, "exit": 5755.320634889187, "resize": 4242.146173757144 }, "max_cash_weight": 0.0, "max_drawdown": -0.0752624393978647, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 8394454.298922211, "start_session": "2025-12-31", "total_return": 0.18989584427064932, "traded_notional_by_category": { "entry": 6009171.151860366, "exit": 5755320.634889187, "resize": 4242146.173757144 }, "transaction_cost": 16006.637960506698, "transaction_cost_over_anchor_nav": 0.0019068110195753687, "two_sided_turnover": 1.7617050975949229 } }, "monthly_risk": { "beta_intercept_per_month": 0.0015833297247026526, "beta_to_SPY_excess_returns": 0.7498910029302647, "monthly_return_volatility_annualized": 0.1384349832693698, "months": 300, "sharpe_monthly_annualized": 0.5625210286599858, "tracking_error_monthly_annualized": 0.08868014819110893 }, "phase": [ 4, 10 ], "policy": "B", "run_id": "B12-04-10-10bps", "signal": "12-1" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.594644766066387, "annualized_volatility": 0.15539576922075113, "cagr": -0.021372759111001338, "end_nav": 973651.07487551, "end_session": "2001-12-31", "fee_by_category": { "entry": 2303.5078549112536, "exit": 3085.301332815085, "resize": 609.8225433233953 }, "max_cash_weight": 0.33547538217911915, "max_drawdown": -0.14604719006688593, "mean_cash_weight": 0.05320051896001408, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 994915.1568589401, "start_session": "2000-12-29", "total_return": -0.021372759111001338, "traded_notional_by_category": { "entry": 921403.1419645015, "exit": 1234120.533126034, "resize": 243929.0173293581 }, "transaction_cost": 5998.631731049734, "transaction_cost_over_anchor_nav": 0.00602928972354597, "two_sided_turnover": 2.594644766066387 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8634594106807114, "annualized_volatility": 0.2082118900644206, "cagr": -0.15368713602472261, "end_nav": 824013.4296905, "end_session": "2002-12-31", "fee_by_category": { "entry": 1519.1524120653764, "exit": 2064.7636201346836, "resize": 460.7433216330911 }, "max_cash_weight": 0.6793675225538247, "max_drawdown": -0.26563700454799144, "mean_cash_weight": 0.2166553131249728, "nonzero_trade_event_count": 12, "order_count": 31, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 973651.07487551, "start_session": "2001-12-31", "total_return": -0.15368713602472261, "traded_notional_by_category": { "entry": 607660.9648261506, "exit": 825905.4480538734, "resize": 184297.32865323644 }, "transaction_cost": 4044.6593538331513, "transaction_cost_over_anchor_nav": 0.004154115841088449, "two_sided_turnover": 1.8634594106807114 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3702913031441197, "annualized_volatility": 0.05477243786069038, "cagr": 0.10118472021832381, "end_nav": 907390.9980298746, "end_session": "2003-12-31", "fee_by_category": { "entry": 2084.1070870984654, "exit": 710.7256537842119, "resize": 68.46122919136862 }, "max_cash_weight": 1.0, "max_drawdown": -0.03451566796066119, "mean_cash_weight": 0.7288435484396919, "nonzero_trade_event_count": 7, "order_count": 11, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 824013.4296905, "start_session": "2002-12-31", "total_return": 0.10118472021832381, "traded_notional_by_category": { "entry": 833642.8348393862, "exit": 284290.26151368476, "resize": 27384.491676547448 }, "transaction_cost": 2863.293970074046, "transaction_cost_over_anchor_nav": 0.0034748146897915252, "two_sided_turnover": 1.3702913031441197 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.214501595197029, "annualized_volatility": 0.11108127495214565, "cagr": 0.12838906775996395, "end_nav": 1023890.0823607136, "end_session": "2004-12-31", "fee_by_category": { "entry": 2282.792347518165, "exit": 2280.037447199172, "resize": 512.582687712221 }, "max_cash_weight": 1.3189892258978993e-16, "max_drawdown": -0.07994074295295772, "mean_cash_weight": 7.340628784549979e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 907390.9980298746, "start_session": "2003-12-31", "total_return": 0.12838906775996395, "traded_notional_by_category": { "entry": 913116.9390072661, "exit": 912014.9788796689, "resize": 205033.07508488838 }, "transaction_cost": 5075.412482429559, "transaction_cost_over_anchor_nav": 0.0055934128655114315, "two_sided_turnover": 2.214501595197029 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.667757428116393, "annualized_volatility": 0.14805745673819432, "cagr": 0.17827461077656181, "end_nav": 1206423.6882715516, "end_session": "2005-12-30", "fee_by_category": { "entry": 1875.8180632671288, "exit": 1933.0254518296508, "resize": 891.2309592227684 }, "max_cash_weight": 0.0, "max_drawdown": -0.10416747853513975, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1023890.0823607136, "start_session": "2004-12-31", "total_return": 0.17827461077656181, "traded_notional_by_category": { "entry": 750327.2253068516, "exit": 773210.1807318603, "resize": 356492.3836891074 }, "transaction_cost": 4700.074474319548, "transaction_cost_over_anchor_nav": 0.004590409219984734, "two_sided_turnover": 1.667757428116393 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.879882128750578, "annualized_volatility": 0.11910887616201034, "cagr": 0.10704767888335476, "end_nav": 1335568.5438509171, "end_session": "2006-12-29", "fee_by_category": { "entry": 4217.819108392343, "exit": 4249.970431811446, "resize": 663.5261091183596 }, "max_cash_weight": 0.0, "max_drawdown": -0.10910348666487735, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1206423.6882715516, "start_session": "2005-12-30", "total_return": 0.10704767888335476, "traded_notional_by_category": { "entry": 1687127.643356937, "exit": 1699988.1727245785, "resize": 265410.44364734384 }, "transaction_cost": 9131.315649322149, "transaction_cost_over_anchor_nav": 0.00756891276099247, "two_sided_turnover": 2.879882128750578 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4127294715104104, "annualized_volatility": 0.1584607839763367, "cagr": 0.06450287571924185, "end_nav": 1421716.5556494617, "end_session": "2007-12-31", "fee_by_category": { "entry": 5874.057374262615, "exit": 5911.874710054348, "resize": 281.1746235779116 }, "max_cash_weight": 0.0, "max_drawdown": -0.08699678382656506, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1335568.5438509171, "start_session": "2006-12-29", "total_return": 0.06450287571924185, "traded_notional_by_category": { "entry": 2349622.949705046, "exit": 2364749.8840217395, "resize": 112469.84943116462 }, "transaction_cost": 12067.106707894876, "transaction_cost_over_anchor_nav": 0.009035183378234661, "two_sided_turnover": 3.4127294715104104 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.730713752979445, "annualized_volatility": 0.3485251026039415, "cagr": -0.2902355584144599, "end_nav": 1009083.8572134576, "end_session": "2008-12-31", "fee_by_category": { "entry": 1192.6318838015493, "exit": 2788.154694480315, "resize": 1451.874539966442 }, "max_cash_weight": 0.6914204219896662, "max_drawdown": -0.4412182898999496, "mean_cash_weight": 0.10880084787592498, "nonzero_trade_event_count": 12, "order_count": 35, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1421716.5556494617, "start_session": "2007-12-31", "total_return": -0.2902355584144599, "traded_notional_by_category": { "entry": 477052.7535206197, "exit": 1115261.877792126, "resize": 580749.8159865767 }, "transaction_cost": 5432.661118248306, "transaction_cost_over_anchor_nav": 0.003821198463688554, "two_sided_turnover": 1.730713752979445 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4169443288224388, "annualized_volatility": 0.07733477637959092, "cagr": 0.0915754540172189, "end_nav": 1101491.1695792265, "end_session": "2009-12-31", "fee_by_category": { "entry": 2459.269571887591, "exit": 850.2529517127249, "resize": 187.216708363285 }, "max_cash_weight": 1.0, "max_drawdown": -0.07073233177532223, "mean_cash_weight": 0.7246720637318742, "nonzero_trade_event_count": 7, "order_count": 11, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1009083.8572134576, "start_session": "2008-12-31", "total_return": 0.0915754540172189, "traded_notional_by_category": { "entry": 983707.8287550365, "exit": 340101.18068508996, "resize": 74886.683345314 }, "transaction_cost": 3496.739231963601, "transaction_cost_over_anchor_nav": 0.003465261293169131, "two_sided_turnover": 1.4169443288224388 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8386623367987225, "annualized_volatility": 0.16419097870633897, "cagr": 0.16172552265785, "end_nav": 1279630.4046824335, "end_session": "2010-12-31", "fee_by_category": { "entry": 4007.3261675220283, "exit": 3968.415215516894, "resize": 544.1057360110154 }, "max_cash_weight": 0.0, "max_drawdown": -0.13710100858065222, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1101491.1695792265, "start_session": "2009-12-31", "total_return": 0.16172552265785, "traded_notional_by_category": { "entry": 1602930.4670088114, "exit": 1587366.0862067575, "resize": 217642.29440440616 }, "transaction_cost": 8519.847119049939, "transaction_cost_over_anchor_nav": 0.007734830159650349, "two_sided_turnover": 2.8386623367987225 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 3.6047328978006528, "annualized_volatility": 0.23262783844515972, "cagr": 0.015524025203134117, "end_nav": 1299495.4193354202, "end_session": "2011-12-30", "fee_by_category": { "entry": 5520.697522942472, "exit": 5614.716551702308, "resize": 802.1431920310254 }, "max_cash_weight": 0.0, "max_drawdown": -0.22253163914829222, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1279630.4046824335, "start_session": "2010-12-31", "total_return": 0.015524025203134117, "traded_notional_by_category": { "entry": 2208279.009176988, "exit": 2245886.620680923, "resize": 320857.27681241016 }, "transaction_cost": 11937.557266675803, "transaction_cost_over_anchor_nav": 0.00932891030331399, "two_sided_turnover": 3.6047328978006528 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1287651760388786, "annualized_volatility": 0.09273296830505072, "cagr": 0.08632909132120026, "end_nav": 1411679.6780627093, "end_session": "2012-12-31", "fee_by_category": { "entry": 3462.246130451261, "exit": 3450.6510297035584, "resize": 465.0446538295766 }, "max_cash_weight": 0.0, "max_drawdown": -0.06305578316580218, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1299495.4193354202, "start_session": "2011-12-30", "total_return": 0.08632909132120026, "traded_notional_by_category": { "entry": 1384898.452180504, "exit": 1380260.4118814233, "resize": 186017.86153183063 }, "transaction_cost": 7377.941813984395, "transaction_cost_over_anchor_nav": 0.005677543532825668, "two_sided_turnover": 2.1287651760388786 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.110614794294734, "annualized_volatility": 0.1108834580583694, "cagr": 0.2936358631704654, "end_nav": 1826199.4588508576, "end_session": "2013-12-31", "fee_by_category": { "entry": 4242.825025279008, "exit": 4263.303208509067, "resize": 447.1622059442985 }, "max_cash_weight": 1.4482636663342953e-16, "max_drawdown": -0.07019781492017885, "mean_cash_weight": 3.3852334753839754e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1411679.6780627093, "start_session": "2012-12-31", "total_return": 0.2936358631704654, "traded_notional_by_category": { "entry": 1697130.010111603, "exit": 1705321.2834036269, "resize": 178864.8823777194 }, "transaction_cost": 8953.290439732375, "transaction_cost_over_anchor_nav": 0.006342296045530134, "two_sided_turnover": 2.110614794294734 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4661464015757482, "annualized_volatility": 0.12624802819785497, "cagr": 0.1525257706019565, "end_nav": 2104741.9385849605, "end_session": "2014-12-31", "fee_by_category": { "entry": 3240.9417487411392, "exit": 3239.414713565738, "resize": 641.2652151668779 }, "max_cash_weight": 1.3094413414094273e-16, "max_drawdown": -0.07462877102513776, "mean_cash_weight": 4.1261365065607705e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1826199.4588508576, "start_session": "2013-12-31", "total_return": 0.1525257706019565, "traded_notional_by_category": { "entry": 1296376.6994964557, "exit": 1295765.8854262952, "resize": 256506.08606675116 }, "transaction_cost": 7121.621677473756, "transaction_cost_over_anchor_nav": 0.0038996954264541627, "two_sided_turnover": 1.4661464015757482 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4999064528194035, "annualized_volatility": 0.1518091444762073, "cagr": 0.06440005754540357, "end_nav": 2240287.4405480563, "end_session": "2015-12-31", "fee_by_category": { "entry": 3594.809221900577, "exit": 3636.9613825099136, "resize": 872.6688070906207 }, "max_cash_weight": 1.1291668712101357e-16, "max_drawdown": -0.10813738854458854, "mean_cash_weight": 8.242272497440002e-18, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2104741.9385849605, "start_session": "2014-12-31", "total_return": 0.06440005754540357, "traded_notional_by_category": { "entry": 1437923.6887602308, "exit": 1454784.5530039654, "resize": 349067.5228362483 }, "transaction_cost": 8104.439411501112, "transaction_cost_over_anchor_nav": 0.003850562039425037, "two_sided_turnover": 1.4999064528194035 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.535492545346116, "annualized_volatility": 0.12345086731349299, "cagr": 0.02803235091141154, "end_nav": 2303087.9642239274, "end_session": "2016-12-30", "fee_by_category": { "entry": 3804.7555544546976, "exit": 3831.0143192966684, "resize": 1134.0763418160736 }, "max_cash_weight": 0.0, "max_drawdown": -0.092440846655376, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2240287.4405480563, "start_session": "2015-12-31", "total_return": 0.02803235091141154, "traded_notional_by_category": { "entry": 1521902.2217818792, "exit": 1532405.7277186674, "resize": 453630.5367264295 }, "transaction_cost": 8769.84621556744, "transaction_cost_over_anchor_nav": 0.003914607588668182, "two_sided_turnover": 1.535492545346116 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1584671636589285, "annualized_volatility": 0.07643350664070055, "cagr": 0.2726557809028398, "end_nav": 2931038.211597334, "end_session": "2017-12-29", "fee_by_category": { "entry": 6550.733767722628, "exit": 6544.984683920303, "resize": 1079.5538322172197 }, "max_cash_weight": 0.0, "max_drawdown": -0.02626776674280984, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2303087.9642239274, "start_session": "2016-12-30", "total_return": 0.2726557809028398, "traded_notional_by_category": { "entry": 2620293.5070890505, "exit": 2617993.8735681213, "resize": 431821.5328868879 }, "transaction_cost": 14175.27228386015, "transaction_cost_over_anchor_nav": 0.006154898338256393, "two_sided_turnover": 2.1584671636589285 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1777792068101856, "annualized_volatility": 0.19058599648009986, "cagr": -0.05215641951442507, "end_nav": 2778165.7530204533, "end_session": "2018-12-31", "fee_by_category": { "entry": 7304.480339255018, "exit": 7387.141718145494, "resize": 1315.4104371007775 }, "max_cash_weight": 1.4651581816982591e-16, "max_drawdown": -0.20434215122967236, "mean_cash_weight": 1.0988072477236586e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2931038.211597334, "start_session": "2017-12-29", "total_return": -0.05215641951442507, "traded_notional_by_category": { "entry": 2921792.1357020075, "exit": 2954856.687258198, "resize": 526164.1748403109 }, "transaction_cost": 16007.032494501289, "transaction_cost_over_anchor_nav": 0.00546121590334979, "two_sided_turnover": 2.1777792068101856 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.209464073638523, "annualized_volatility": 0.11143368860498518, "cagr": 0.31246767732432823, "end_nav": 3646252.7530887476, "end_session": "2019-12-31", "fee_by_category": { "entry": 8388.385578350757, "exit": 8678.76728534236, "resize": 1480.8915824512212 }, "max_cash_weight": 1.460325950975571e-16, "max_drawdown": -0.03890614036638462, "mean_cash_weight": 4.5964658550002195e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2778165.7530204533, "start_session": "2018-12-31", "total_return": 0.31246767732432823, "traded_notional_by_category": { "entry": 3355354.231340303, "exit": 3471506.914136944, "resize": 592356.6329804885 }, "transaction_cost": 18548.04444614434, "transaction_cost_over_anchor_nav": 0.006676363505661495, "two_sided_turnover": 2.209464073638523 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.200330085887626, "annualized_volatility": 0.3045953454515146, "cagr": 0.12152326671397473, "end_nav": 4089357.2989089163, "end_session": "2020-12-31", "fee_by_category": { "entry": 8513.939697270907, "exit": 8271.56799379282, "resize": 1793.6421937138139 }, "max_cash_weight": 0.35262426206197994, "max_drawdown": -0.3122084380360661, "mean_cash_weight": 0.16781968771477962, "nonzero_trade_event_count": 12, "order_count": 33, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3646252.7530887476, "start_session": "2019-12-31", "total_return": 0.12152326671397473, "traded_notional_by_category": { "entry": 3405575.878908363, "exit": 3308627.1975171277, "resize": 717456.8774855256 }, "transaction_cost": 18579.14988477754, "transaction_cost_over_anchor_nav": 0.005095409216774429, "two_sided_turnover": 2.200330085887626 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 3.469152142809508, "annualized_volatility": 0.14870278731072514, "cagr": 0.14857694070199168, "end_nav": 4696941.495818163, "end_session": "2021-12-31", "fee_by_category": { "entry": 19207.176581802065, "exit": 19253.05351798877, "resize": 1605.2224601376267 }, "max_cash_weight": 1.1700185295230959e-16, "max_drawdown": -0.07586324884124562, "mean_cash_weight": 1.0250246718537039e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4089357.2989089163, "start_session": "2020-12-31", "total_return": 0.14857694070199168, "traded_notional_by_category": { "entry": 7682870.632720826, "exit": 7701221.4071955085, "resize": 642088.9840550506 }, "transaction_cost": 40065.45255992846, "transaction_cost_over_anchor_nav": 0.009797493745684277, "two_sided_turnover": 3.469152142809508 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4739341806613377, "annualized_volatility": 0.19648007182208815, "cagr": 0.1354051880756828, "end_nav": 5332931.7424399005, "end_session": "2022-12-30", "fee_by_category": { "entry": 4086.9297026012637, "exit": 8246.24619521801, "resize": 6236.239771658354 }, "max_cash_weight": 0.34689355939912664, "max_drawdown": -0.14329918164342614, "mean_cash_weight": 0.05629499776922127, "nonzero_trade_event_count": 12, "order_count": 36, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4696941.495818163, "start_session": "2021-12-31", "total_return": 0.1354051880756828, "traded_notional_by_category": { "entry": 1634771.8810405054, "exit": 3298498.4780872036, "resize": 2494495.908663342 }, "transaction_cost": 18569.415669477625, "transaction_cost_over_anchor_nav": 0.003953512234719246, "two_sided_turnover": 1.4739341806613377 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9016563982326602, "annualized_volatility": 0.12584717598843642, "cagr": 0.19922317565247938, "end_nav": 6395375.339706688, "end_session": "2023-12-29", "fee_by_category": { "entry": 13295.511279488768, "exit": 8923.504017103482, "resize": 3255.181100627628 }, "max_cash_weight": 0.3471864790448307, "max_drawdown": -0.08413199822234563, "mean_cash_weight": 0.10813243431842494, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5332931.7424399005, "start_session": "2022-12-30", "total_return": 0.19922317565247938, "traded_notional_by_category": { "entry": 5318204.511795507, "exit": 3569401.6068413923, "resize": 1302072.4402510512 }, "transaction_cost": 25474.196397219876, "transaction_cost_over_anchor_nav": 0.0047767715072169715, "two_sided_turnover": 1.9016563982326602 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5679881168659082, "annualized_volatility": 0.14421188037588556, "cagr": 0.15816150627393877, "end_nav": 7406877.5366219, "end_session": "2024-12-31", "fee_by_category": { "entry": 11657.464597359878, "exit": 11598.721360262554, "resize": 4200.742359564426 }, "max_cash_weight": 1.4095249647173009e-16, "max_drawdown": -0.091031994144678, "mean_cash_weight": 1.1574332432283331e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 6395375.339706688, "start_session": "2023-12-29", "total_return": 0.15816150627393877, "traded_notional_by_category": { "entry": 4662985.838943951, "exit": 4639488.544105021, "resize": 1680296.9438257702 }, "transaction_cost": 27456.92831718686, "transaction_cost_over_anchor_nav": 0.004293247363718627, "two_sided_turnover": 1.5679881168659082 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.188947267351795, "annualized_volatility": 0.1590055305173108, "cagr": 0.04015419618359384, "end_nav": 7704294.750335271, "end_session": "2025-12-31", "fee_by_category": { "entry": 19560.585941842808, "exit": 19476.86449775894, "resize": 3879.8200478582444 }, "max_cash_weight": 1.1924640248473204e-16, "max_drawdown": -0.13257722198464283, "mean_cash_weight": 3.064434738785773e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 7406877.5366219, "start_session": "2024-12-31", "total_return": 0.04015419618359384, "traded_notional_by_category": { "entry": 7824234.376737123, "exit": 7790745.799103575, "resize": 1551928.0191432978 }, "transaction_cost": 42917.270487459995, "transaction_cost_over_anchor_nav": 0.005794245993033326, "two_sided_turnover": 2.188947267351795 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.1473185370343297, "annualized_volatility": 0.16703274252681444, "cagr": 0.0853201688102525, "end_nav": 7704294.750335271, "end_session": "2025-12-31", "fee_by_category": { "entry": 150247.96456018978, "exit": 150259.4339841585, "resize": 34879.802659327645 }, "max_cash_weight": 1.0, "max_drawdown": -0.4412182898999496, "mean_cash_weight": 0.08672259430585978, "nonzero_trade_event_count": 290, "order_count": 895, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 994915.1568589401, "start_session": "2000-12-29", "total_return": 6.743670098120328, "traded_notional_by_category": { "entry": 60099185.82407591, "exit": 60103773.5936634, "resize": 13951921.063731056 }, "transaction_cost": 335387.20120367594, "transaction_cost_over_anchor_nav": 0.33710130847994246, "two_sided_turnover": 53.68296342585824 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 9143089.776133014, "end_session": "2026-10-02", "fee_by_category": { "entry": 13757.956236574431, "exit": 13203.177994645434, "resize": 9727.963423933656 }, "max_cash_weight": 1.1313593129555045e-16, "max_drawdown": -0.07535212518051759, "mean_cash_weight": 1.1667858118794351e-17, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 7704294.750335271, "start_session": "2025-12-31", "total_return": 0.18675233391546064, "traded_notional_by_category": { "entry": 5503182.494629772, "exit": 5281271.197858173, "resize": 3891185.369573462 }, "transaction_cost": 36689.09765515352, "transaction_cost_over_anchor_nav": 0.0047621617349929285, "two_sided_turnover": 1.7609187943548599 } }, "monthly_risk": { "beta_intercept_per_month": 0.001317384702559054, "beta_to_SPY_excess_returns": 0.7491530534006452, "monthly_return_volatility_annualized": 0.1384088885970798, "months": 300, "sharpe_monthly_annualized": 0.5391917607435832, "tracking_error_monthly_annualized": 0.08882783863470198 }, "phase": [ 4, 10 ], "policy": "B", "run_id": "B12-04-10-25bps", "signal": "12-1" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.598172603246329, "annualized_volatility": 0.15578929385053206, "cagr": -0.016273308741234893, "end_nav": 985478.8975828453, "end_session": "2001-12-31", "fee_by_category": { "entry": 465.6941712713716, "exit": 622.1800913525803, "resize": 123.37363384621835 }, "max_cash_weight": 0.3354753821791191, "max_drawdown": -0.1459085795316376, "mean_cash_weight": 0.05320051896001405, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 1001781.1922149211, "start_session": "2000-12-29", "total_return": -0.016273308741234893, "traded_notional_by_category": { "entry": 931388.3425427431, "exit": 1244360.1827051605, "resize": 246747.2676924367 }, "transaction_cost": 1211.2478964701702, "transaction_cost_over_anchor_nav": 0.0012090942671743735, "two_sided_turnover": 2.598172603246329 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8645584332192864, "annualized_volatility": 0.2082054194274292, "cagr": -0.15052273066805233, "end_nav": 837141.9229029336, "end_session": "2002-12-31", "fee_by_category": { "entry": 308.1720357579476, "exit": 418.4050503799103, "resize": 93.32788344308112 }, "max_cash_weight": 0.6793675225538247, "max_drawdown": -0.2649304059748838, "mean_cash_weight": 0.2166553131249728, "nonzero_trade_event_count": 12, "order_count": 31, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 985478.8975828453, "start_session": "2001-12-31", "total_return": -0.15052273066805233, "traded_notional_by_category": { "entry": 616344.0715158951, "exit": 836810.1007598205, "resize": 186655.76688616225 }, "transaction_cost": 819.9049695809389, "transaction_cost_over_anchor_nav": 0.000831986328263323, "two_sided_turnover": 1.8645584332192864 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3722825317698415, "annualized_volatility": 0.054718897043877814, "cagr": 0.10420933272850319, "end_nav": 924379.9240877044, "end_session": "2003-12-31", "fee_by_category": { "entry": 424.616584639811, "exit": 144.4163143627688, "resize": 13.92157791617996 }, "max_cash_weight": 1.0, "max_drawdown": -0.03451245516826551, "mean_cash_weight": 0.7288435484396919, "nonzero_trade_event_count": 7, "order_count": 11, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 837141.9229029336, "start_session": "2002-12-31", "total_return": 0.10420933272850319, "traded_notional_by_category": { "entry": 849233.1692796219, "exit": 288832.62872553756, "resize": 27843.155832359917 }, "transaction_cost": 582.9544769187597, "transaction_cost_over_anchor_nav": 0.0006963627802765687, "two_sided_turnover": 1.3722825317698415 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.217623251866309, "annualized_volatility": 0.11125176263313036, "cagr": 0.13340365273278088, "end_nav": 1047695.5824738548, "end_session": "2004-12-31", "fee_by_category": { "entry": 466.67718293787743, "exit": 465.08075542226743, "resize": 105.065282580881 }, "max_cash_weight": 1.2911037134302282e-16, "max_drawdown": -0.0774801362015548, "mean_cash_weight": 5.051320769426369e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 924379.9240877044, "start_session": "2003-12-31", "total_return": 0.13340365273278088, "traded_notional_by_category": { "entry": 933354.3658757547, "exit": 930161.5108445348, "resize": 210130.565161762 }, "transaction_cost": 1036.8232209410257, "transaction_cost_over_anchor_nav": 0.0011216418638302804, "two_sided_turnover": 2.217623251866309 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6696276007728923, "annualized_volatility": 0.14810441537751018, "cagr": 0.18221374629700482, "end_nav": 1238600.1195352385, "end_session": "2005-12-30", "fee_by_category": { "entry": 384.8517102401853, "exit": 396.0436205355438, "resize": 183.14593831091136 }, "max_cash_weight": 0.0, "max_drawdown": -0.10413119588813957, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1047695.5824738548, "start_session": "2004-12-31", "total_return": 0.18221374629700482, "traded_notional_by_category": { "entry": 769703.4204803706, "exit": 792087.2410710877, "resize": 366291.8766218227 }, "transaction_cost": 964.0412690866405, "transaction_cost_over_anchor_nav": 0.000920153988633142, "two_sided_turnover": 1.6696276007728923 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.885280165463822, "annualized_volatility": 0.11871780563127637, "cagr": 0.11345428521740719, "end_nav": 1379124.610767304, "end_session": "2006-12-29", "fee_by_category": { "entry": 870.082140620071, "exit": 873.8179747943303, "resize": 137.1524659084345 }, "max_cash_weight": 0.0, "max_drawdown": -0.10528484785102066, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1238600.1195352385, "start_session": "2005-12-30", "total_return": 0.11345428521740719, "traded_notional_by_category": { "entry": 1740164.281240142, "exit": 1747635.9495886606, "resize": 274304.931816869 }, "transaction_cost": 1881.0525813228357, "transaction_cost_over_anchor_nav": 0.0015186923944659925, "two_sided_turnover": 2.885280165463822 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.419401168486542, "annualized_volatility": 0.15792681117439483, "cagr": 0.07180847559106329, "end_nav": 1478157.4467166227, "end_session": "2007-12-31", "fee_by_category": { "entry": 1219.4626003149865, "exit": 1223.0481067045332, "resize": 58.845323336405706 }, "max_cash_weight": 0.0, "max_drawdown": -0.08699678382656495, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1379124.610767304, "start_session": "2006-12-29", "total_return": 0.07180847559106329, "traded_notional_by_category": { "entry": 2438925.200629973, "exit": 2446096.213409066, "resize": 117690.64667281142 }, "transaction_cost": 2501.356030355925, "transaction_cost_over_anchor_nav": 0.0018137273534436058, "two_sided_turnover": 3.419401168486542 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7308020718937762, "annualized_volatility": 0.3485016322087661, "cagr": -0.2877725759213754, "end_nav": 1052784.270657617, "end_session": "2008-12-31", "fee_by_category": { "entry": 248.40703824641562, "exit": 580.5605935665293, "resize": 302.0772978397045 }, "max_cash_weight": 0.6914204219896662, "max_drawdown": -0.440965340931581, "mean_cash_weight": 0.10880084787592498, "nonzero_trade_event_count": 12, "order_count": 35, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1478157.4467166227, "start_session": "2007-12-31", "total_return": -0.2877725759213754, "traded_notional_by_category": { "entry": 496814.0764928312, "exit": 1161121.1871330584, "resize": 604154.595679409 }, "transaction_cost": 1131.0449296526494, "transaction_cost_over_anchor_nav": 0.0007651721622517265, "two_sided_turnover": 1.7308020718937762 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4189672110015359, "annualized_volatility": 0.07746510356088908, "cagr": 0.09467580462557845, "end_nav": 1152457.4685792795, "end_session": "2009-12-31", "fee_by_category": { "entry": 514.5902326649951, "exit": 177.4339879625778, "resize": 39.11438726086711 }, "max_cash_weight": 1.0, "max_drawdown": -0.07066206949258269, "mean_cash_weight": 0.7246720637318742, "nonzero_trade_event_count": 7, "order_count": 11, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1052784.270657617, "start_session": "2008-12-31", "total_return": 0.09467580462557845, "traded_notional_by_category": { "entry": 1029180.4653299904, "exit": 354867.97592515557, "resize": 78228.77452173422 }, "transaction_cost": 731.13860788844, "transaction_cost_over_anchor_nav": 0.0006944809380859552, "two_sided_turnover": 1.4189672110015359 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8403880785688322, "annualized_volatility": 0.16426594310948217, "cagr": 0.16835124804998292, "end_nav": 1346475.121739125, "end_session": "2010-12-31", "fee_by_category": { "entry": 842.1068592993317, "exit": 831.7132384963397, "resize": 112.95981726985757 }, "max_cash_weight": 0.0, "max_drawdown": -0.13471908924008102, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1152457.4685792795, "start_session": "2009-12-31", "total_return": 0.16835124804998292, "traded_notional_by_category": { "entry": 1684213.7185986633, "exit": 1663426.4769926795, "resize": 225919.63453971513 }, "transaction_cost": 1786.7799150655292, "transaction_cost_over_anchor_nav": 0.001550408551968713, "two_sided_turnover": 2.8403880785688322 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 3.611615510910501, "annualized_volatility": 0.23204220502627593, "cagr": 0.022886442058574596, "end_nav": 1377291.1465961197, "end_session": "2011-12-30", "fee_by_category": { "entry": 1167.9393689375524, "exit": 1183.6706352852536, "resize": 170.06710005371724 }, "max_cash_weight": 0.0, "max_drawdown": -0.21915462157862564, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1346475.121739125, "start_session": "2010-12-31", "total_return": 0.022886442058574596, "traded_notional_by_category": { "entry": 2335878.737875105, "exit": 2367341.2705705073, "resize": 340134.2001074345 }, "transaction_cost": 2521.677104276523, "transaction_cost_over_anchor_nav": 0.0018727988832199821, "two_sided_turnover": 3.611615510910501 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1301171218380235, "annualized_volatility": 0.09294620273601358, "cagr": 0.09097058526365243, "end_nav": 1502584.1282804157, "end_session": "2012-12-31", "fee_by_category": { "entry": 736.3489694461092, "exit": 732.2470491593745, "resize": 98.04116616918351 }, "max_cash_weight": 0.0, "max_drawdown": -0.06055142069833597, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1377291.1465961197, "start_session": "2011-12-30", "total_return": 0.09097058526365243, "traded_notional_by_category": { "entry": 1472697.9388922183, "exit": 1464494.098318749, "resize": 196082.332338367 }, "transaction_cost": 1566.6371847746673, "transaction_cost_over_anchor_nav": 0.0011374771330277577, "two_sided_turnover": 2.1301171218380235 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.113718633724003, "annualized_volatility": 0.11079199268823299, "cagr": 0.2991148153594809, "end_nav": 1952029.302373099, "end_session": "2013-12-31", "fee_by_category": { "entry": 906.1955844252409, "exit": 908.5331700068799, "resize": 96.12195701518353 }, "max_cash_weight": 1.398316547473263e-16, "max_drawdown": -0.07011686328854072, "mean_cash_weight": 5.589302478803482e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1502584.1282804157, "start_session": "2012-12-31", "total_return": 0.2991148153594809, "traded_notional_by_category": { "entry": 1812391.1688504817, "exit": 1817066.3400137597, "resize": 192243.91403036704 }, "transaction_cost": 1910.8507114473043, "transaction_cost_over_anchor_nav": 0.0012717096337455103, "two_sided_turnover": 2.113718633724003 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4670532450258476, "annualized_volatility": 0.12623630200766722, "cagr": 0.15591290032123717, "end_nav": 2256375.85241813, "end_session": "2014-12-31", "fee_by_category": { "entry": 694.394710107493, "exit": 693.13667460336, "resize": 137.2271160288721 }, "max_cash_weight": 1.2379865238905555e-16, "max_drawdown": -0.0746130372145225, "mean_cash_weight": 3.907346445985991e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1952029.302373099, "start_session": "2013-12-31", "total_return": 0.15591290032123717, "traded_notional_by_category": { "entry": 1388789.420214986, "exit": 1386273.34920672, "resize": 274454.2320577442 }, "transaction_cost": 1524.7585007397252, "transaction_cost_over_anchor_nav": 0.0007811145554454859, "two_sided_turnover": 1.4670532450258476 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.50258171150509, "annualized_volatility": 0.15200782150028608, "cagr": 0.0676022062002326, "end_nav": 2408911.8380585257, "end_session": "2015-12-31", "fee_by_category": { "entry": 772.9478012394952, "exit": 779.9134041796099, "resize": 188.4259751142576 }, "max_cash_weight": 0.0, "max_drawdown": -0.10813738854458854, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2256375.85241813, "start_session": "2014-12-31", "total_return": 0.0676022062002326, "traded_notional_by_category": { "entry": 1545895.6024789903, "exit": 1559826.8083592197, "resize": 376851.9502285152 }, "transaction_cost": 1741.287180533363, "transaction_cost_over_anchor_nav": 0.0007717185852114342, "two_sided_turnover": 1.50258171150509 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5364047810414179, "annualized_volatility": 0.12343909301133833, "cagr": 0.031196630094982192, "end_nav": 2484061.769601861, "end_session": "2016-12-30", "fee_by_category": { "entry": 820.0882907902287, "exit": 824.6246400501396, "resize": 244.17004587875672 }, "max_cash_weight": 0.0, "max_drawdown": -0.0911304466724272, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2408911.8380585257, "start_session": "2015-12-31", "total_return": 0.031196630094982192, "traded_notional_by_category": { "entry": 1640176.5815804575, "exit": 1649249.2801002793, "resize": 488340.09175751347 }, "transaction_cost": 1888.8829767191253, "transaction_cost_over_anchor_nav": 0.0007841229167778426, "two_sided_turnover": 1.5364047810414179 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.15981373287034, "annualized_volatility": 0.07641122138539164, "cagr": 0.27816939015658426, "end_nav": 3175051.7171632964, "end_session": "2017-12-29", "fee_by_category": { "entry": 1417.7714229441642, "exit": 1413.4159580016556, "resize": 232.2189715878513 }, "max_cash_weight": 0.0, "max_drawdown": -0.02626776674280995, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2484061.769601861, "start_session": "2016-12-30", "total_return": 0.27816939015658426, "traded_notional_by_category": { "entry": 2835542.8458883283, "exit": 2826831.916003311, "resize": 464437.9431757026 }, "transaction_cost": 3063.406352533671, "transaction_cost_over_anchor_nav": 0.0012332247088302742, "two_sided_turnover": 2.15981373287034 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1800413061837562, "annualized_volatility": 0.19074538756249224, "cagr": -0.04801367038598081, "end_nav": 3022605.8305569757, "end_session": "2018-12-31", "fee_by_category": { "entry": 1587.7156499176485, "exit": 1602.1396269456457, "resize": 285.7297357293744 }, "max_cash_weight": 1.5100220183194788e-16, "max_drawdown": -0.20319299121184997, "mean_cash_weight": 7.124997576906209e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3175051.7171632964, "start_session": "2017-12-29", "total_return": -0.04801367038598081, "traded_notional_by_category": { "entry": 3175431.299835297, "exit": 3204279.253891291, "resize": 571459.4714587488 }, "transaction_cost": 3475.5850125926686, "transaction_cost_over_anchor_nav": 0.00109465461422401, "two_sided_turnover": 2.1800413061837562 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2135886443441595, "annualized_volatility": 0.11126563517459952, "cagr": 0.31828680312731383, "end_nav": 3984661.377478935, "end_session": "2019-12-31", "fee_by_category": { "entry": 1831.5091369801405, "exit": 1890.640877657966, "resize": 326.27136216991846 }, "max_cash_weight": 1.4409441921887073e-16, "max_drawdown": -0.03887637244813835, "mean_cash_weight": 9.463686938563648e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3022605.8305569757, "start_session": "2018-12-31", "total_return": 0.31828680312731383, "traded_notional_by_category": { "entry": 3663018.2739602807, "exit": 3781281.7553159324, "resize": 652542.7243398369 }, "transaction_cost": 4048.4213768080253, "transaction_cost_over_anchor_nav": 0.0013393811842353333, "two_sided_turnover": 2.2135886443441595 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2028041080734546, "annualized_volatility": 0.30434101653573603, "cagr": 0.12647798857843529, "end_nav": 4488633.333668647, "end_session": "2020-12-31", "fee_by_category": { "entry": 1867.9278607410072, "exit": 1808.1396824710853, "resize": 392.98421572241784 }, "max_cash_weight": 0.35262426206198, "max_drawdown": -0.3121986992062834, "mean_cash_weight": 0.1678196877147796, "nonzero_trade_event_count": 12, "order_count": 33, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3984661.377478935, "start_session": "2019-12-31", "total_return": 0.12647798857843529, "traded_notional_by_category": { "entry": 3735855.7214820143, "exit": 3616279.3649421707, "resize": 785968.4314448356 }, "transaction_cost": 4069.051758934511, "transaction_cost_over_anchor_nav": 0.00102117880880231, "two_sided_turnover": 2.2028041080734546 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4740454323643544, "annualized_volatility": 0.14875082420177976, "cagr": 0.1565910356645892, "end_nav": 5191513.076106419, "end_session": "2021-12-31", "fee_by_category": { "entry": 4239.006170758882, "exit": 4234.362886633635, "resize": 351.01186801032446 }, "max_cash_weight": 0.0, "max_drawdown": -0.07583729211642043, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4488633.333668647, "start_session": "2020-12-31", "total_return": 0.1565910356645892, "traded_notional_by_category": { "entry": 8478012.341517763, "exit": 8468725.77326727, "resize": 702023.7360206489 }, "transaction_cost": 8824.380925402842, "transaction_cost_over_anchor_nav": 0.0019659393560200883, "two_sided_turnover": 3.4740454323643544 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4735332935494279, "annualized_volatility": 0.19651761528626235, "cagr": 0.13875950715732266, "end_nav": 5911884.871947741, "end_session": "2022-12-30", "fee_by_category": { "entry": 905.0072156687726, "exit": 1825.272500285746, "resize": 1378.012444151121 }, "max_cash_weight": 0.3468935593991267, "max_drawdown": -0.14329918164342614, "mean_cash_weight": 0.056294997769221276, "nonzero_trade_event_count": 12, "order_count": 36, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 5191513.076106419, "start_session": "2021-12-31", "total_return": 0.13875950715732266, "traded_notional_by_category": { "entry": 1810014.4313375452, "exit": 3650545.000571492, "resize": 2756024.888302242 }, "transaction_cost": 4108.29216010564, "transaction_cost_over_anchor_nav": 0.0007913477438810221, "two_sided_turnover": 1.4735332935494279 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9039309453238416, "annualized_volatility": 0.12589081382914685, "cagr": 0.20379686059973978, "end_nav": 7116708.449077785, "end_session": "2023-12-29", "fee_by_category": { "entry": 2955.7505026276076, "exit": 1980.9720163514698, "resize": 724.3904085074356 }, "max_cash_weight": 0.3471864790448308, "max_drawdown": -0.08406327356690435, "mean_cash_weight": 0.10813243431842494, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5911884.871947741, "start_session": "2022-12-30", "total_return": 0.20379686059973978, "traded_notional_by_category": { "entry": 5911501.005255215, "exit": 3961944.0327029396, "resize": 1448780.8170148712 }, "transaction_cost": 5661.112927486513, "transaction_cost_over_anchor_nav": 0.0009575817273351928, "two_sided_turnover": 1.9039309453238416 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5689088120617618, "annualized_volatility": 0.1440713331939545, "cagr": 0.16180183912264323, "end_nav": 8268204.964638224, "end_session": "2024-12-31", "fee_by_category": { "entry": 2600.5619478260505, "exit": 2583.9428951504287, "resize": 936.1834909185 }, "max_cash_weight": 1.2816538020229997e-16, "max_drawdown": -0.09096120740361302, "mean_cash_weight": 3.0202647668837774e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 7116708.449077785, "start_session": "2023-12-29", "total_return": 0.16180183912264323, "traded_notional_by_category": { "entry": 5201123.895652101, "exit": 5167885.790300857, "resize": 1872366.9818369998 }, "transaction_cost": 6120.688333894979, "transaction_cost_over_anchor_nav": 0.0008600448336039572, "two_sided_turnover": 1.5689088120617618 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1903937942562033, "annualized_volatility": 0.15891876103709296, "cagr": 0.04472414061143781, "end_nav": 8637993.326080892, "end_session": "2025-12-31", "fee_by_category": { "entry": 4381.955357721451, "exit": 4353.3698835941905, "resize": 863.968732916682 }, "max_cash_weight": 0.0, "max_drawdown": -0.13252238506410308, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 8268204.964638224, "start_session": "2024-12-31", "total_return": 0.04472414061143781, "traded_notional_by_category": { "entry": 8763910.715442903, "exit": 8706739.76718838, "resize": 1727937.465833364 }, "transaction_cost": 9599.293974232323, "transaction_cost_over_anchor_nav": 0.0011609888742825016, "two_sided_turnover": 2.1903937942562033 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.149826167574454, "annualized_volatility": 0.16698139633720835, "cagr": 0.08999774536416605, "end_nav": 8637993.326080892, "end_session": "2025-12-31", "fee_by_category": { "entry": 32629.780546124835, "exit": 32547.08163395382, "resize": 7593.808197686137 }, "max_cash_weight": 1.0, "max_drawdown": -0.440965340931581, "mean_cash_weight": 0.08672259430585978, "nonzero_trade_event_count": 290, "order_count": 895, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 1001781.1922149211, "start_session": "2000-12-29", "total_return": 7.622634756181075, "traded_notional_by_category": { "entry": 65259561.09224967, "exit": 65094163.26790764, "resize": 15187616.395372273 }, "transaction_cost": 72770.67037776479, "transaction_cost_over_anchor_nav": 0.07264128229126571, "two_sided_turnover": 53.745654189361346 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 10287375.64299474, "end_session": "2026-10-02", "fee_by_category": { "entry": 3093.9869265175685, "exit": 2961.3091579251577, "resize": 2183.0194518291646 }, "max_cash_weight": 0.0, "max_drawdown": -0.07523252421012783, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 8637993.326080892, "start_session": "2025-12-31", "total_return": 0.19094507886847145, "traded_notional_by_category": { "entry": 6187973.853035137, "exit": 5922618.315850316, "resize": 4366038.903658329 }, "transaction_cost": 8238.31553627189, "transaction_cost_over_anchor_nav": 0.0009537302502188505, "two_sided_turnover": 1.7619673942452256 } }, "monthly_risk": { "beta_intercept_per_month": 0.0016720820833673322, "beta_to_SPY_excess_returns": 0.7501370556803278, "monthly_return_volatility_annualized": 0.13845099479860418, "months": 300, "sharpe_monthly_annualized": 0.5702744923222526, "tracking_error_monthly_annualized": 0.08864226896796099 }, "phase": [ 4, 10 ], "policy": "B", "run_id": "B12-04-10-5bps", "signal": "12-1" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.26686641508281, "annualized_volatility": 0.15569429901556892, "cagr": -0.062177186832634956, "end_nav": 887999.1604927345, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3354753821791191, "max_drawdown": -0.16080444076591704, "mean_cash_weight": 0.026577056195358315, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 946873.0638932122, "start_session": "2000-12-29", "total_return": -0.062177186832634956, "traded_notional_by_category": { "entry": 1215513.766307251, "exit": 1513983.4628276522, "resize": 236082.8185377402 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.26686641508281 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8589572457490893, "annualized_volatility": 0.21497223739517102, "cagr": -0.10165505013623144, "end_nav": 797729.5613119141, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6793675225538247, "max_drawdown": -0.26215007114532407, "mean_cash_weight": 0.1930186425858606, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 887999.1604927345, "start_session": "2001-12-31", "total_return": -0.10165505013623144, "traded_notional_by_category": { "entry": 578116.7496004105, "exit": 809360.1095558903, "resize": 162886.96587259579 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.8589572457490893 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3680327457355033, "annualized_volatility": 0.048636713575132384, "cagr": 0.08688387767271011, "end_nav": 867039.3989328432, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.03451165130083522, "mean_cash_weight": 0.7762111597006321, "nonzero_trade_event_count": 7, "order_count": 9, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 797729.5613119141, "start_session": "2002-12-31", "total_return": 0.08688387767271011, "traded_notional_by_category": { "entry": 816824.3172958328, "exit": 276955.73312593315, "resize": 23211.27056495013 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3680327457355033 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8690924486784746, "annualized_volatility": 0.11914468523635162, "cagr": 0.12549342275028819, "end_nav": 975847.1407642782, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.231144257367227e-16, "max_drawdown": -0.09136709179569269, "mean_cash_weight": 1.0517694607171366e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 867039.3989328432, "start_session": "2003-12-31", "total_return": 0.12549342275028819, "traded_notional_by_category": { "entry": 1184763.1215069504, "exit": 1177224.3839376168, "resize": 187212.38712158683 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8690924486784746 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.002626645230772, "annualized_volatility": 0.1414703965931823, "cagr": 0.20749184862419678, "end_nav": 1178327.4679760952, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.320522576616458e-16, "max_drawdown": -0.09763807826197313, "mean_cash_weight": 4.722056511408129e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 975847.1407642782, "start_session": "2004-12-31", "total_return": 0.20749184862419678, "traded_notional_by_category": { "entry": 387212.47258356656, "exit": 399442.0379624437, "resize": 349727.23494904494 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.002626645230772 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.6277268674298924, "annualized_volatility": 0.14444114486130494, "cagr": 0.14119247642655441, "end_nav": 1344698.4412210716, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9681089791437478e-16, "max_drawdown": -0.10005779975846851, "mean_cash_weight": 3.1754869826444e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1178327.4679760952, "start_session": "2005-12-30", "total_return": 0.14119247642655441, "traded_notional_by_category": { "entry": 2122316.5426007127, "exit": 2134017.865817191, "resize": 348158.8708487891 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.6277268674298924 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7925753391041557, "annualized_volatility": 0.13633083276508529, "cagr": 0.17526003500585263, "end_nav": 1580370.3371017922, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6819654304627484e-16, "max_drawdown": -0.07844954507730817, "mean_cash_weight": 2.709318380289555e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1344698.4412210716, "start_session": "2006-12-29", "total_return": 0.17526003500585263, "traded_notional_by_category": { "entry": 2009361.5463300627, "exit": 2014199.7747331022, "resize": 169093.16439074313 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.7925753391041557 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.102995808548561, "annualized_volatility": 0.38839670048855984, "cagr": -0.34536412369109415, "end_nav": 1034567.1205212327, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.46031911277622983, "mean_cash_weight": 0.08695652173913046, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1580370.3371017922, "start_session": "2007-12-31", "total_return": -0.34536412369109415, "traded_notional_by_category": { "entry": 544668.140895973, "exit": 1575943.0627114, "resize": 632487.1619779819 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.102995808548561 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0, "annualized_volatility": 0.033802183211291, "cagr": 0.030318105301756937, "end_nav": 1065933.235422931, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.016746362216439326, "mean_cash_weight": 0.9126984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1034567.1205212327, "start_session": "2008-12-31", "total_return": 0.030318105301756937, "traded_notional_by_category": { "entry": 1034567.1205212327, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.468645397098158, "annualized_volatility": 0.20063403523930973, "cagr": 0.16631941532492367, "end_nav": 1243218.627913877, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.341136789023976e-16, "max_drawdown": -0.18041342046469655, "mean_cash_weight": 5.403751481804038e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1065933.235422931, "start_session": "2009-12-31", "total_return": 0.16631941532492367, "traded_notional_by_category": { "entry": 747004.1468219056, "exit": 730666.2611801425, "resize": 160792.58720417914 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.468645397098158 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.251205961182919, "annualized_volatility": 0.20693868532377213, "cagr": 0.08262349769899058, "end_nav": 1345937.6993566614, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.16786802923713562, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1243218.627913877, "start_session": "2010-12-31", "total_return": 0.08262349769899058, "traded_notional_by_category": { "entry": 1338462.8854983668, "exit": 1329820.5134622455, "resize": 323967.08356438664 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.251205961182919 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7955255372784378, "annualized_volatility": 0.1042649276977672, "cagr": 0.13553777389656485, "end_nav": 1528363.0989309272, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.718832410220157e-16, "max_drawdown": -0.07771021350082319, "mean_cash_weight": 1.4861158282043462e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1345937.6993566614, "start_session": "2011-12-30", "total_return": 0.13553777389656485, "traded_notional_by_category": { "entry": 1932083.4571609106, "exit": 1933739.9327181752, "resize": 183191.69943885802 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.7955255372784378 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.454122779912072, "annualized_volatility": 0.11441406758781426, "cagr": 0.3615907923308064, "end_nav": 2081005.122842528, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4873534992008662e-16, "max_drawdown": -0.055075873525247565, "mean_cash_weight": 6.438702073283893e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1528363.0989309272, "start_session": "2012-12-31", "total_return": 0.3615907923308064, "traded_notional_by_category": { "entry": 1353748.2684099698, "exit": 1347788.1274628923, "resize": 218786.87868592533 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.454122779912072 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.476169381853803, "annualized_volatility": 0.12205951135862421, "cagr": 0.15100818421033346, "end_nav": 2395253.92777538, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.297866658901143e-16, "max_drawdown": -0.057934747719677326, "mean_cash_weight": 3.651695658231815e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2081005.122842528, "start_session": "2013-12-31", "total_return": 0.15100818421033346, "traded_notional_by_category": { "entry": 1515094.4385216807, "exit": 1521273.2509216531, "resize": 300219.68837293435 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.476169381853803 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5393399671468828, "annualized_volatility": 0.16208427658230085, "cagr": 0.04439467716457979, "end_nav": 2501590.45262616, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.008177699479985e-16, "max_drawdown": -0.11970622650410345, "mean_cash_weight": 4.5915322772830434e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2395253.92777538, "start_session": "2014-12-31", "total_return": 0.04439467716457979, "traded_notional_by_category": { "entry": 1672730.210674885, "exit": 1657475.255146559, "resize": 514516.7290280394 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5393399671468828 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5746506670833222, "annualized_volatility": 0.12592316724889846, "cagr": 0.06419834236776678, "end_nav": 2662188.412967791, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0251849205577986e-16, "max_drawdown": -0.08084397421208356, "mean_cash_weight": 4.5658108444000023e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2501590.45262616, "start_session": "2015-12-31", "total_return": 0.06419834236776678, "traded_notional_by_category": { "entry": 1715684.2466119947, "exit": 1797101.3653628048, "resize": 541725.836067174 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5746506670833222 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.817869957586952, "annualized_volatility": 0.07338402336611904, "cagr": 0.2677274964668428, "end_nav": 3374929.451894695, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5441149357066643e-16, "max_drawdown": -0.023578464232294705, "mean_cash_weight": 3.77177995835523e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2662188.412967791, "start_session": "2016-12-30", "total_return": 0.2677274964668428, "traded_notional_by_category": { "entry": 4300020.952002328, "exit": 4318912.611788889, "resize": 448328.5696628507 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.817869957586952 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2363894043787043, "annualized_volatility": 0.17713585236791776, "cagr": -0.05947014779565174, "end_nav": 3174221.8985906197, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4510479894036656e-16, "max_drawdown": -0.21265568588404682, "mean_cash_weight": 7.970234284139191e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3374929.451894695, "start_session": "2017-12-29", "total_return": -0.05947014779565174, "traded_notional_by_category": { "entry": 3487659.024118541, "exit": 3439575.3508664807, "resize": 868676.466830085 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2363894043787043 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.189500331937363, "annualized_volatility": 0.11804544331549452, "cagr": 0.2667157621984757, "end_nav": 4020836.9116603094, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5171980684382117e-16, "max_drawdown": -0.0652898824532715, "mean_cash_weight": 5.4398702618412046e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3174221.8985906197, "start_session": "2018-12-31", "total_return": 0.2667157621984757, "traded_notional_by_category": { "entry": 3623119.8599457825, "exit": 3654520.5911799436, "resize": 663099.8092187669 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.189500331937363 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.228832814570798, "annualized_volatility": 0.3315009184547994, "cagr": 0.18115420180717834, "end_nav": 4749228.412988973, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3839860040688338e-16, "max_drawdown": -0.30266992317089547, "mean_cash_weight": 1.9819163171578826e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 4020836.9116603094, "start_session": "2019-12-31", "total_return": 0.18115420180717834, "traded_notional_by_category": { "entry": 4410207.538490323, "exit": 4365183.325849861, "resize": 969484.3287259818 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.228832814570798 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8098306160871163, "annualized_volatility": 0.1619134246314075, "cagr": 0.15392015071145737, "end_nav": 5480230.366079371, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7885366267719524e-16, "max_drawdown": -0.08344055421957053, "mean_cash_weight": 1.4263040879583297e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4749228.412988973, "start_session": "2020-12-31", "total_return": 0.15392015071145737, "traded_notional_by_category": { "entry": 7091548.478035594, "exit": 7049759.9001549585, "resize": 767172.2490017491 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8098306160871163 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.763056160410729, "annualized_volatility": 0.20303036882556635, "cagr": 0.1352757753264211, "end_nav": 6221572.7778181555, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7282097358504082e-16, "max_drawdown": -0.1381109595439537, "mean_cash_weight": 2.6001707541654652e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 5480230.366079371, "start_session": "2021-12-31", "total_return": 0.1352757753264211, "traded_notional_by_category": { "entry": 4106061.421217202, "exit": 3899284.49653273, "resize": 2713166.4736617813 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.763056160410729 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4689646552072175, "annualized_volatility": 0.12092421332781071, "cagr": 0.03979153877920982, "end_nav": 6469138.732274383, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3325797517878779, "max_drawdown": -0.11085380555603741, "mean_cash_weight": 0.025995233334284884, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6221572.7778181555, "start_session": "2022-12-30", "total_return": 0.03979153877920982, "traded_notional_by_category": { "entry": 5945361.283303119, "exit": 7933942.35846759, "resize": 920185.2194022844 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.4689646552072175 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.479463836590322, "annualized_volatility": 0.1227323887175279, "cagr": 0.10181691949174243, "end_nav": 7127806.509759276, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3515391106881396, "max_drawdown": -0.08278626940748757, "mean_cash_weight": 0.1383714008355375, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 6469138.732274383, "start_session": "2023-12-29", "total_return": 0.10181691949174243, "traded_notional_by_category": { "entry": 9226318.586975086, "exit": 6952581.754705615, "resize": 1044705.1619751616 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.479463836590322 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.201575352030005, "annualized_volatility": 0.15530011689707582, "cagr": 0.12495895303553817, "end_nav": 8018489.748658689, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2603912319917966e-16, "max_drawdown": -0.13250867097669994, "mean_cash_weight": 4.891757298853193e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 7127806.509759276, "start_session": "2024-12-31", "total_return": 0.12495895303553817, "traded_notional_by_category": { "entry": 7912887.841185315, "exit": 8017198.645349322, "resize": 1440987.4874861627 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.201575352030005 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.1457606534365623, "annualized_volatility": 0.17257342306930176, "cagr": 0.08921103509346628, "end_nav": 8018489.748658689, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.46031911277622983, "mean_cash_weight": 0.08656042968932272, "nonzero_trade_event_count": 284, "order_count": 895, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 946873.0638932122, "start_session": "2000-12-29", "total_return": 7.46838932738191, "traded_notional_by_category": { "entry": 70271336.416615, "exit": 69849950.17182109, "resize": 14187866.142589752 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 53.64401633591406 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 9891012.667084113, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0852715493189037e-16, "max_drawdown": -0.07811493217876309, "mean_cash_weight": 2.1561100244607748e-17, "nonzero_trade_event_count": 10, "order_count": 31, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 8018489.748658689, "start_session": "2025-12-31", "total_return": 0.2335256360137712, "traded_notional_by_category": { "entry": 3117003.803195891, "exit": 2813022.356913164, "resize": 4437849.977724282 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.1218557934789466 } }, "monthly_risk": { "beta_intercept_per_month": 0.0017355687264091887, "beta_to_SPY_excess_returns": 0.7335410186323701, "monthly_return_volatility_annualized": 0.13956506020375428, "months": 300, "sharpe_monthly_annualized": 0.561635096380934, "tracking_error_monthly_annualized": 0.09453417799168655 }, "phase": [ 5, 11 ], "policy": "B", "run_id": "B12-05-11-0bps", "signal": "12-1" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.2644228829016244, "annualized_volatility": 0.15578095855228402, "cagr": -0.06523579469924412, "end_nav": 882052.2224147242, "end_session": "2001-12-31", "fee_by_category": { "entry": 1208.4846727781219, "exit": 1507.2745275127334, "resize": 234.70698579204077 }, "max_cash_weight": 0.33547538217911915, "max_drawdown": -0.1619873454959211, "mean_cash_weight": 0.026577056195358294, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 943609.3267295447, "start_session": "2000-12-29", "total_return": -0.06523579469924412, "traded_notional_by_category": { "entry": 1208484.672778122, "exit": 1507274.5275127334, "resize": 234706.98579204077 }, "transaction_cost": 2950.466186082896, "transaction_cost_over_anchor_nav": 0.0031267878586034286, "two_sided_turnover": 3.2644228829016244 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8584064541515237, "annualized_volatility": 0.21494778462499656, "cagr": -0.10332384437603082, "end_nav": 790915.1958544131, "end_session": "2002-12-31", "fee_by_category": { "entry": 573.6196182974575, "exit": 803.5173931535595, "resize": 161.76373745432733 }, "max_cash_weight": 0.6793675225538247, "max_drawdown": -0.2624998276398579, "mean_cash_weight": 0.1930186425858606, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 882052.2224147242, "start_session": "2001-12-31", "total_return": -0.10332384437603082, "traded_notional_by_category": { "entry": 573619.6182974575, "exit": 803517.3931535595, "resize": 161763.73745432732 }, "transaction_cost": 1538.9007489053447, "transaction_cost_over_anchor_nav": 0.0017446821285619786, "two_sided_turnover": 1.8584064541515237 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3670338201801568, "annualized_volatility": 0.04847070075141881, "cagr": 0.08539848127615324, "end_nav": 858458.1523986112, "end_session": "2003-12-31", "fee_by_category": { "entry": 808.7400585522296, "exit": 274.58196740894044, "resize": 23.012839447411565 }, "max_cash_weight": 1.0, "max_drawdown": -0.034513258767829735, "mean_cash_weight": 0.7762111597006321, "nonzero_trade_event_count": 7, "order_count": 9, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 790915.1958544131, "start_session": "2002-12-31", "total_return": 0.08539848127615324, "traded_notional_by_category": { "entry": 808740.0585522295, "exit": 274581.9674089404, "resize": 23012.839447411563 }, "transaction_cost": 1106.3348654085817, "transaction_cost_over_anchor_nav": 0.0013988034004245244, "two_sided_turnover": 1.3670338201801568 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8672970961049913, "annualized_volatility": 0.11915829184663841, "cagr": 0.12226842508482916, "end_nav": 963420.4786936217, "end_session": "2004-12-31", "fee_by_category": { "entry": 1170.347415344989, "exit": 1164.8176772940851, "resize": 185.5191194406524 }, "max_cash_weight": 1.3801111010456272e-16, "max_drawdown": -0.09138689664381738, "mean_cash_weight": 3.347557865730484e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 858458.1523986112, "start_session": "2003-12-31", "total_return": 0.12226842508482916, "traded_notional_by_category": { "entry": 1170347.415344989, "exit": 1164817.6772940853, "resize": 185519.11944065237 }, "transaction_cost": 2520.684212079727, "transaction_cost_over_anchor_nav": 0.0029362924739391233, "two_sided_turnover": 2.8672970961049913 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0020378634070284, "annualized_volatility": 0.1413971642416578, "cagr": 0.2062822103631281, "end_nav": 1162156.9845476449, "end_session": "2005-12-30", "fee_by_category": { "entry": 381.89865868940655, "exit": 394.2312949042379, "resize": 344.8095840571205 }, "max_cash_weight": 1.253174444869721e-16, "max_drawdown": -0.09764608190516855, "mean_cash_weight": 1.929498227719841e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 963420.4786936217, "start_session": "2004-12-31", "total_return": 0.2062822103631281, "traded_notional_by_category": { "entry": 381898.6586894065, "exit": 394231.2949042379, "resize": 344809.5840571205 }, "transaction_cost": 1120.9395376507648, "transaction_cost_over_anchor_nav": 0.0011634998035029687, "two_sided_turnover": 1.0020378634070284 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.624361390396915, "annualized_volatility": 0.14448082501120715, "cagr": 0.1370605519003587, "end_nav": 1321442.8622446016, "end_session": "2006-12-29", "fee_by_category": { "entry": 2087.3003213963552, "exit": 2102.5019722962907, "resize": 342.5812308751571 }, "max_cash_weight": 0.0, "max_drawdown": -0.10140420080698365, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1162156.9845476449, "start_session": "2005-12-30", "total_return": 0.1370605519003587, "traded_notional_by_category": { "entry": 2087300.3213963553, "exit": 2102501.9722962906, "resize": 342581.23087515705 }, "transaction_cost": 4532.383524567803, "transaction_cost_over_anchor_nav": 0.0038999752914895373, "two_sided_turnover": 3.624361390396915 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.789996577997603, "annualized_volatility": 0.13623488328916328, "cagr": 0.17198302434470936, "end_nav": 1548708.6021921574, "end_session": "2007-12-31", "fee_by_category": { "entry": 1970.0773742009983, "exit": 1978.1409638347168, "resize": 165.6163387012671 }, "max_cash_weight": 0.0, "max_drawdown": -0.07907699380886368, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1321442.8622446016, "start_session": "2006-12-29", "total_return": 0.17198302434470936, "traded_notional_by_category": { "entry": 1970077.374200998, "exit": 1978140.9638347167, "resize": 165616.3387012671 }, "transaction_cost": 4113.834676736982, "transaction_cost_over_anchor_nav": 0.003113138520230248, "two_sided_turnover": 2.789996577997603 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.10268032548747, "annualized_volatility": 0.38846460511055786, "cagr": -0.3467396470222365, "end_nav": 1011709.9281277475, "end_session": "2008-12-31", "fee_by_category": { "entry": 533.3077557393193, "exit": 1543.1609071278974, "resize": 619.3318375824668 }, "max_cash_weight": 1.0, "max_drawdown": -0.4608209574304135, "mean_cash_weight": 0.08695652173913043, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1548708.6021921574, "start_session": "2007-12-31", "total_return": -0.3467396470222365, "traded_notional_by_category": { "entry": 533307.7557393193, "exit": 1543160.9071278973, "resize": 619331.8375824669 }, "transaction_cost": 2695.8005004496836, "transaction_cost_over_anchor_nav": 0.0017406763910485464, "two_sided_turnover": 2.10268032548747 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.999000999000999, "annualized_volatility": 0.03363956846248984, "cagr": 0.029288816485271818, "end_nav": 1041341.7145490085, "end_session": "2009-12-31", "fee_by_category": { "entry": 1010.6992288988487, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.016746362216439326, "mean_cash_weight": 0.9126984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1011709.9281277475, "start_session": "2008-12-31", "total_return": 0.029288816485271818, "traded_notional_by_category": { "entry": 1010699.2288988486, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 1010.6992288988487, "transaction_cost_over_anchor_nav": 0.000999000999000999, "two_sided_turnover": 0.999000999000999 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4690780965884827, "annualized_volatility": 0.20060367372965388, "cagr": 0.1646067394081523, "end_nav": 1212753.5787906158, "end_session": "2010-12-31", "fee_by_category": { "entry": 728.9444369783257, "exit": 713.4781688036039, "resize": 157.9894624892324 }, "max_cash_weight": 1.2311870592723098e-16, "max_drawdown": -0.18099273137561556, "mean_cash_weight": 1.8800754587501827e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1041341.7145490085, "start_session": "2009-12-31", "total_return": 0.1646067394081523, "traded_notional_by_category": { "entry": 728944.4369783257, "exit": 713478.168803604, "resize": 157989.46248923242 }, "transaction_cost": 1600.4120682711623, "transaction_cost_over_anchor_nav": 0.001536875019900917, "two_sided_turnover": 1.4690780965884827 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2505217124277554, "annualized_volatility": 0.20707167241441388, "cagr": 0.08018855689599902, "end_nav": 1310002.5381442935, "end_session": "2011-12-30", "fee_by_category": { "entry": 1303.4781446641025, "exit": 1296.501769597137, "resize": 316.266783120664 }, "max_cash_weight": 0.0, "max_drawdown": -0.16908374814676752, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1212753.5787906158, "start_session": "2010-12-31", "total_return": 0.08018855689599902, "traded_notional_by_category": { "entry": 1303478.1446641025, "exit": 1296501.7695971369, "resize": 316266.783120664 }, "transaction_cost": 2916.2466973819032, "transaction_cost_over_anchor_nav": 0.0024046490139324494, "two_sided_turnover": 2.2505217124277554 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7937499633743, "annualized_volatility": 0.10454909950427349, "cagr": 0.1323677745082974, "end_nav": 1483404.6587186744, "end_session": "2012-12-31", "fee_by_category": { "entry": 1876.5015699118062, "exit": 1880.6171972430493, "resize": 178.1033930192953 }, "max_cash_weight": 0.0, "max_drawdown": -0.07773819862453168, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1310002.5381442935, "start_session": "2011-12-30", "total_return": 0.1323677745082974, "traded_notional_by_category": { "entry": 1876501.5699118064, "exit": 1880617.1972430493, "resize": 178103.3930192953 }, "transaction_cost": 3935.222160174151, "transaction_cost_over_anchor_nav": 0.003003980561555749, "two_sided_turnover": 2.7937499633743 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4536629122585036, "annualized_volatility": 0.1144466541794915, "cagr": 0.3596117259351834, "end_nav": 2016854.3683007886, "end_session": "2013-12-31", "fee_by_category": { "entry": 1312.0165244921802, "exit": 1307.9835125764766, "resize": 213.1897660103871 }, "max_cash_weight": 1.3802265209843848e-16, "max_drawdown": -0.05507587352524734, "mean_cash_weight": 1.1831953727731824e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1483404.6587186744, "start_session": "2012-12-31", "total_return": 0.3596117259351834, "traded_notional_by_category": { "entry": 1312016.5244921802, "exit": 1307983.5125764767, "resize": 213189.7660103871 }, "transaction_cost": 2833.189803079044, "transaction_cost_over_anchor_nav": 0.0019099237597961153, "two_sided_turnover": 1.4536629122585036 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4756998885524282, "annualized_volatility": 0.12208074189229308, "cagr": 0.14931037325015617, "end_nav": 2317991.646822987, "end_session": "2014-12-31", "fee_by_category": { "entry": 1466.7351947444758, "exit": 1473.7074157175566, "resize": 290.8049579348994 }, "max_cash_weight": 1.1855502174160735e-16, "max_drawdown": -0.05796219633753208, "mean_cash_weight": 1.905672651838478e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2016854.3683007886, "start_session": "2013-12-31", "total_return": 0.14931037325015617, "traded_notional_by_category": { "entry": 1466735.1947444757, "exit": 1473707.4157175566, "resize": 290804.9579348994 }, "transaction_cost": 3231.247568396932, "transaction_cost_over_anchor_nav": 0.001602122403671256, "two_sided_turnover": 1.4756998885524282 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5389222792533208, "annualized_volatility": 0.16202827591736102, "cagr": 0.042788200821869626, "end_nav": 2417174.3389106654, "end_session": "2015-12-31", "fee_by_category": { "entry": 1616.8738878764725, "exit": 1603.199004319746, "resize": 497.83091047571986 }, "max_cash_weight": 0.0, "max_drawdown": -0.11971327566349743, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2317991.646822987, "start_session": "2014-12-31", "total_return": 0.042788200821869626, "traded_notional_by_category": { "entry": 1616873.8878764724, "exit": 1603199.004319746, "resize": 497830.91047571984 }, "transaction_cost": 3717.903802671938, "transaction_cost_over_anchor_nav": 0.0016039332185548013, "two_sided_turnover": 1.5389222792533208 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5732490901532346, "annualized_volatility": 0.1259774020605011, "cagr": 0.06252488995756322, "end_nav": 2568307.8984593004, "end_session": "2016-12-30", "fee_by_category": { "entry": 1655.849263822287, "exit": 1735.6258072392957, "resize": 520.8710768664575 }, "max_cash_weight": 0.0, "max_drawdown": -0.08088932264554438, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2417174.3389106654, "start_session": "2015-12-31", "total_return": 0.06252488995756322, "traded_notional_by_category": { "entry": 1655849.2638222869, "exit": 1735625.8072392957, "resize": 520871.0768664576 }, "transaction_cost": 3912.34614792804, "transaction_cost_over_anchor_nav": 0.0016185618409680766, "two_sided_turnover": 1.5732490901532346 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8160605086914794, "annualized_volatility": 0.07345478651830929, "cagr": 0.2641602503035412, "end_nav": 3246752.755772871, "end_session": "2017-12-29", "fee_by_category": { "entry": 4139.498413006772, "exit": 4163.243828122237, "resize": 431.81108572976524 }, "max_cash_weight": 1.4614269951825463e-16, "max_drawdown": -0.023768410653163263, "mean_cash_weight": 1.2056984000283455e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2568307.8984593004, "start_session": "2016-12-30", "total_return": 0.2641602503035412, "traded_notional_by_category": { "entry": 4139498.413006772, "exit": 4163243.828122237, "resize": 431811.08572976524 }, "transaction_cost": 8734.553326858773, "transaction_cost_over_anchor_nav": 0.0034008980512416505, "two_sided_turnover": 2.8160605086914794 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.235716728364469, "annualized_volatility": 0.17702256085188692, "cagr": -0.061571612880241045, "end_nav": 3046844.951976568, "end_session": "2018-12-31", "fee_by_category": { "entry": 3349.421238775898, "exit": 3306.888737579283, "resize": 836.6106459672156 }, "max_cash_weight": 1.4751168260892914e-16, "max_drawdown": -0.2132184194289164, "mean_cash_weight": 1.1908320812189418e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3246752.755772871, "start_session": "2017-12-29", "total_return": -0.061571612880241045, "traded_notional_by_category": { "entry": 3349421.238775898, "exit": 3306888.7375792824, "resize": 836610.6459672156 }, "transaction_cost": 7492.920622322396, "transaction_cost_over_anchor_nav": 0.002307819900668337, "two_sided_turnover": 2.235716728364469 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1879267531653195, "annualized_volatility": 0.118059912836306, "cagr": 0.2639458753725421, "end_nav": 3851047.1099504344, "end_session": "2019-12-31", "fee_by_category": { "entry": 3471.7919592249054, "exit": 3505.7562343790387, "resize": 634.5461056801769 }, "max_cash_weight": 1.273940089008718e-16, "max_drawdown": -0.06528988245327139, "mean_cash_weight": 1.999168251962396e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3046844.951976568, "start_session": "2018-12-31", "total_return": 0.2639458753725421, "traded_notional_by_category": { "entry": 3471791.959224906, "exit": 3505756.234379038, "resize": 634546.1056801769 }, "transaction_cost": 7612.094299284122, "transaction_cost_over_anchor_nav": 0.0024983530239521892, "two_sided_turnover": 2.1879267531653195 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2281143743650014, "annualized_volatility": 0.33148098772904133, "cagr": 0.17852405537301252, "end_nav": 4538551.657451306, "end_session": "2020-12-31", "fee_by_category": { "entry": 4216.38411042575, "exit": 4178.110538921425, "resize": 929.926814101526 }, "max_cash_weight": 1.609731215601391e-16, "max_drawdown": -0.3026807071054324, "mean_cash_weight": 4.2575350568402976e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3851047.1099504344, "start_session": "2019-12-31", "total_return": 0.17852405537301252, "traded_notional_by_category": { "entry": 4216384.11042575, "exit": 4178110.538921425, "resize": 929926.814101526 }, "transaction_cost": 9324.4214634487, "transaction_cost_over_anchor_nav": 0.0024212691242742838, "two_sided_turnover": 2.2281143743650014 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8080325871292957, "annualized_volatility": 0.16194388600761014, "cagr": 0.15068237666303763, "end_nav": 5222431.4078040365, "end_session": "2021-12-31", "fee_by_category": { "entry": 6762.742021953782, "exit": 6731.830124538843, "resize": 732.6277467016873 }, "max_cash_weight": 0.0, "max_drawdown": -0.0846728416908561, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4538551.657451306, "start_session": "2020-12-31", "total_return": 0.15068237666303763, "traded_notional_by_category": { "entry": 6762742.021953781, "exit": 6731830.1245388435, "resize": 732627.7467016873 }, "transaction_cost": 14227.199893194313, "transaction_cost_over_anchor_nav": 0.0031347445103629863, "two_sided_turnover": 2.8080325871292957 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7625886513971094, "annualized_volatility": 0.20302529009153852, "cagr": 0.13327549258344495, "end_nav": 5918453.526162373, "end_session": "2022-12-30", "fee_by_category": { "entry": 3906.824962355919, "exit": 3715.0331026050494, "resize": 2585.9454755740862 }, "max_cash_weight": 0.0, "max_drawdown": -0.13811095954395392, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 5222431.4078040365, "start_session": "2021-12-31", "total_return": 0.13327549258344495, "traded_notional_by_category": { "entry": 3906824.962355919, "exit": 3715033.1026050495, "resize": 2585945.4755740864 }, "transaction_cost": 10207.803540535057, "transaction_cost_over_anchor_nav": 0.001954607489010048, "two_sided_turnover": 1.7625886513971094 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4685148725686674, "annualized_volatility": 0.12078177532701301, "cagr": 0.03722652091452283, "end_nav": 6138776.960135688, "end_session": "2023-12-29", "fee_by_category": { "entry": 5645.633998071135, "exit": 7541.409786916291, "resize": 879.1430248076783 }, "max_cash_weight": 0.3325797517878779, "max_drawdown": -0.1108747792176078, "mean_cash_weight": 0.02599523333428487, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5918453.526162373, "start_session": "2022-12-30", "total_return": 0.03722652091452283, "traded_notional_by_category": { "entry": 5645633.998071135, "exit": 7541409.78691629, "resize": 879143.0248076783 }, "transaction_cost": 14066.186809795106, "transaction_cost_over_anchor_nav": 0.0023766659225447806, "two_sided_turnover": 2.4685148725686674 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4780152804282953, "annualized_volatility": 0.12290678516721883, "cagr": 0.09908819221953968, "end_nav": 6747057.271554495, "end_session": "2024-12-31", "fee_by_category": { "entry": 8738.13592730054, "exit": 6593.050887609334, "resize": 993.557275455294 }, "max_cash_weight": 0.35153911068813953, "max_drawdown": -0.08339794912112053, "mean_cash_weight": 0.1383714008355375, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 6138776.960135688, "start_session": "2023-12-29", "total_return": 0.09908819221953968, "traded_notional_by_category": { "entry": 8738135.927300539, "exit": 6593050.887609333, "resize": 993557.275455294 }, "transaction_cost": 16324.744090365168, "transaction_cost_over_anchor_nav": 0.002659282817469285, "two_sided_turnover": 2.4780152804282953 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1995070088488684, "annualized_volatility": 0.15538354781530256, "cagr": 0.12248604412071584, "end_nav": 7573477.626203116, "end_session": "2025-12-31", "fee_by_category": { "entry": 7477.2291950708695, "exit": 7584.3850719085785, "resize": 1356.3097380008503 }, "max_cash_weight": 1.2800789577937019e-16, "max_drawdown": -0.13253609720631476, "mean_cash_weight": 1.1094601370586231e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6747057.271554495, "start_session": "2024-12-31", "total_return": 0.12248604412071584, "traded_notional_by_category": { "entry": 7477229.19507087, "exit": 7584385.071908578, "resize": 1356309.7380008502 }, "transaction_cost": 16417.924004980297, "transaction_cost_over_anchor_nav": 0.002433345878683741, "two_sided_turnover": 2.1995070088488684 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.144583924687794, "annualized_volatility": 0.1725876371971145, "cagr": 0.0868763152020573, "end_nav": 7573477.626203116, "end_session": "2025-12-31", "fee_by_category": { "entry": 67412.53595257294, "exit": 67099.0478916094, "resize": 13632.87593528538 }, "max_cash_weight": 1.0, "max_drawdown": -0.4608209574304135, "mean_cash_weight": 0.08656042968932269, "nonzero_trade_event_count": 284, "order_count": 895, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 943609.3267295447, "start_session": "2000-12-29", "total_return": 7.026073303505838, "traded_notional_by_category": { "entry": 67412535.95257294, "exit": 67099047.89160941, "resize": 13632875.935285378 }, "transaction_cost": 148144.45977946772, "transaction_cost_over_anchor_nav": 0.15699766373963425, "two_sided_turnover": 53.614598117194845 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 9331604.32631683, "end_session": "2026-10-02", "fee_by_category": { "entry": 2941.3705582568164, "exit": 2656.3888974668034, "resize": 4189.014662159393 }, "max_cash_weight": 1.2376818224982878e-16, "max_drawdown": -0.07816497016859059, "mean_cash_weight": 1.37895341157817e-17, "nonzero_trade_event_count": 10, "order_count": 31, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 7573477.626203116, "start_session": "2025-12-31", "total_return": 0.23214258850265224, "traded_notional_by_category": { "entry": 2941370.558256816, "exit": 2656388.8974668034, "resize": 4189014.6621593935 }, "transaction_cost": 9786.774117883013, "transaction_cost_over_anchor_nav": 0.0012922430884356503, "two_sided_turnover": 1.121585152494842 } }, "monthly_risk": { "beta_intercept_per_month": 0.0015559052017144514, "beta_to_SPY_excess_returns": 0.7334639662039416, "monthly_return_volatility_annualized": 0.1395484947080631, "months": 300, "sharpe_monthly_annualized": 0.5462355229293397, "tracking_error_monthly_annualized": 0.09453010433915235 }, "phase": [ 5, 11 ], "policy": "B", "run_id": "B12-05-11-10bps", "signal": "12-1" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.2607654968352606, "annualized_volatility": 0.15596582348328653, "cagr": -0.06980451616588512, "end_nav": 873208.4531453466, "end_session": "2001-12-31", "fee_by_category": { "entry": 2995.056034466539, "exit": 3743.1808124856734, "resize": 581.6464483734945 }, "max_cash_weight": 0.33547538217911915, "max_drawdown": -0.16375719529132138, "mean_cash_weight": 0.026577056195358308, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 938736.5003602501, "start_session": "2000-12-29", "total_return": -0.06980451616588512, "traded_notional_by_category": { "entry": 1198022.4137866157, "exit": 1497272.3249942693, "resize": 232658.5793493978 }, "transaction_cost": 7319.883295325707, "transaction_cost_over_anchor_nav": 0.007797591009315845, "two_sided_turnover": 3.2607654968352606 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8575810229062586, "annualized_volatility": 0.21492792029449193, "cagr": -0.1058225767897214, "end_nav": 780803.2845589393, "end_session": "2002-12-31", "fee_by_category": { "entry": 1417.3524170880826, "exit": 1987.0857417722007, "resize": 400.23461386695527 }, "max_cash_weight": 0.6793675225538247, "max_drawdown": -0.263024032777299, "mean_cash_weight": 0.1930186425858606, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 873208.4531453466, "start_session": "2001-12-31", "total_return": -0.1058225767897214, "traded_notional_by_category": { "entry": 566940.966835233, "exit": 794834.2967088802, "resize": 160093.8455467821 }, "transaction_cost": 3804.672772727238, "transaction_cost_over_anchor_nav": 0.004357118576924663, "two_sided_turnover": 1.8575810229062586 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3655391808290276, "annualized_volatility": 0.04826480149847822, "cagr": 0.083175983925448, "end_nav": 845747.3660043506, "end_session": "2003-12-31", "fee_by_category": { "entry": 1991.913561516138, "exit": 677.6490926355897, "resize": 56.79599324744966 }, "max_cash_weight": 1.0, "max_drawdown": -0.03451566796066108, "mean_cash_weight": 0.7762111597006321, "nonzero_trade_event_count": 7, "order_count": 9, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 780803.2845589393, "start_session": "2002-12-31", "total_return": 0.083175983925448, "traded_notional_by_category": { "entry": 796765.4246064553, "exit": 271059.63705423585, "resize": 22718.397298979864 }, "transaction_cost": 2726.3586473991772, "transaction_cost_over_anchor_nav": 0.003491735628314172, "two_sided_turnover": 1.3655391808290276 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8646119034853363, "annualized_volatility": 0.11924833566840663, "cagr": 0.11744644079079491, "end_nav": 945077.3839497513, "end_session": "2004-12-31", "fee_by_category": { "entry": 2872.636726126854, "exit": 2866.1427986095064, "resize": 457.5157808759797 }, "max_cash_weight": 1.4087859701591983e-16, "max_drawdown": -0.09141660037032362, "mean_cash_weight": 3.258697606605186e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 845747.3660043506, "start_session": "2003-12-31", "total_return": 0.11744644079079491, "traded_notional_by_category": { "entry": 1149054.6904507414, "exit": 1146457.1194438024, "resize": 183006.31235039188 }, "transaction_cost": 6196.29530561234, "transaction_cost_over_anchor_nav": 0.007326413956080196, "two_sided_turnover": 2.8646119034853363 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0016541694916583, "annualized_volatility": 0.14129390017572077, "cagr": 0.20447008834586278, "end_nav": 1138317.4401396338, "end_session": "2005-12-30", "fee_by_category": { "entry": 935.1617495146215, "exit": 966.3568043831191, "resize": 845.3080875048134 }, "max_cash_weight": 1.2775468955567562e-16, "max_drawdown": -0.09765809738285969, "mean_cash_weight": 2.854869240048237e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 945077.3839497513, "start_session": "2004-12-31", "total_return": 0.20447008834586278, "traded_notional_by_category": { "entry": 374064.6998058486, "exit": 386542.7217532476, "resize": 338123.2350019254 }, "transaction_cost": 2746.826641402554, "transaction_cost_over_anchor_nav": 0.002906456855334716, "two_sided_turnover": 1.0016541694916583 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.6193258179941763, "annualized_volatility": 0.1446150431119239, "cagr": 0.1308925896998996, "end_nav": 1287314.7577800709, "end_session": "2006-12-29", "fee_by_category": { "entry": 5089.663945830377, "exit": 5140.26172452801, "resize": 835.9553360904397 }, "max_cash_weight": 0.0, "max_drawdown": -0.10341855949055478, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1138317.4401396338, "start_session": "2005-12-30", "total_return": 0.1308925896998996, "traded_notional_by_category": { "entry": 2035865.5783321508, "exit": 2056104.6898112039, "resize": 334382.13443617587 }, "transaction_cost": 11065.881006448826, "transaction_cost_over_anchor_nav": 0.009721261061493892, "two_sided_turnover": 3.6193258179941763 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.786635693712555, "annualized_volatility": 0.13615317804014992, "cagr": 0.16708471092891442, "end_nav": 1502405.3719582795, "end_session": "2007-12-31", "fee_by_category": { "entry": 4781.485686714385, "exit": 4813.162422204516, "resize": 403.0740358479048 }, "max_cash_weight": 0.0, "max_drawdown": -0.08001736437995288, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1287314.7577800709, "start_session": "2006-12-29", "total_return": 0.16708471092891442, "traded_notional_by_category": { "entry": 1912594.2746857542, "exit": 1925264.968881806, "resize": 161229.6143391619 }, "transaction_cost": 9997.722144766805, "transaction_cost_over_anchor_nav": 0.007766338484309405, "two_sided_turnover": 2.786635693712555 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1023297995246497, "annualized_volatility": 0.38857316809070885, "cagr": -0.34879873854175236, "end_nav": 978368.2734408793, "end_session": "2008-12-31", "fee_by_category": { "entry": 1291.7780725494245, "exit": 3738.16615749454, "resize": 1500.7549549062876 }, "max_cash_weight": 1.0, "max_drawdown": -0.4615729589473905, "mean_cash_weight": 0.08695652173913043, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1502405.3719582795, "start_session": "2007-12-31", "total_return": -0.34879873854175236, "traded_notional_by_category": { "entry": 516711.22901976976, "exit": 1495266.462997816, "resize": 600301.981962515 }, "transaction_cost": 6530.699184950252, "transaction_cost_over_anchor_nav": 0.004346828962970191, "two_sided_turnover": 2.1023297995246497 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9975062344139651, "annualized_volatility": 0.03345121716553339, "cagr": 0.02774873346808704, "end_nav": 1005516.7538942227, "end_session": "2009-12-31", "fee_by_category": { "entry": 2439.8211307752604, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.016746362216439326, "mean_cash_weight": 0.9126984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 978368.2734408793, "start_session": "2008-12-31", "total_return": 0.02774873346808704, "traded_notional_by_category": { "entry": 975928.452310104, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 2439.8211307752604, "transaction_cost_over_anchor_nav": 0.002493765586034913, "two_sided_turnover": 0.9975062344139651 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4697277583909973, "annualized_volatility": 0.2005664732572002, "cagr": 0.1620386031518486, "end_nav": 1168449.2841410236, "end_session": "2010-12-31", "fee_by_category": { "entry": 1756.6762078523489, "exit": 1721.131455096874, "resize": 384.66654542871066 }, "max_cash_weight": 0.0, "max_drawdown": -0.1818622893948889, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1005516.7538942227, "start_session": "2009-12-31", "total_return": 0.1620386031518486, "traded_notional_by_category": { "entry": 702670.4831409395, "exit": 688452.5820387497, "resize": 153866.61817148427 }, "transaction_cost": 3862.4742083779333, "transaction_cost_over_anchor_nav": 0.0038412827965512487, "two_sided_turnover": 1.4697277583909973 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2494962763002815, "annualized_volatility": 0.2072904717444445, "cagr": 0.07654463613614171, "end_nav": 1257887.8094391336, "end_session": "2011-12-30", "fee_by_category": { "entry": 3131.7641043737553, "exit": 3120.2052893780856, "resize": 762.6434736295286 }, "max_cash_weight": 0.0, "max_drawdown": -0.17090546335480916, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1168449.2841410236, "start_session": "2010-12-31", "total_return": 0.07654463613614171, "traded_notional_by_category": { "entry": 1252705.6417495022, "exit": 1248082.115751234, "resize": 305057.38945181144 }, "transaction_cost": 7014.612867381369, "transaction_cost_over_anchor_nav": 0.006003352445491981, "two_sided_turnover": 2.2494962763002815 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7910922041659285, "annualized_volatility": 0.10503584094258867, "cagr": 0.12762932495738188, "end_nav": 1418431.18142997, "end_session": "2012-12-31", "fee_by_category": { "entry": 4490.271200476978, "exit": 4509.131918336285, "resize": 426.8476461423896 }, "max_cash_weight": 0.0, "max_drawdown": -0.07778019357877453, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1257887.8094391336, "start_session": "2011-12-30", "total_return": 0.12762932495738188, "traded_notional_by_category": { "entry": 1796108.4801907914, "exit": 1803652.7673345138, "resize": 170739.05845695583 }, "transaction_cost": 9426.250764955652, "transaction_cost_over_anchor_nav": 0.0074937134251731275, "two_sided_turnover": 2.7910922041659285 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4529737159924232, "annualized_volatility": 0.11452444047832665, "cagr": 0.35664632492438697, "end_nav": 1924309.4494451252, "end_session": "2013-12-31", "fee_by_category": { "entry": 3129.5340848476208, "exit": 3126.1675823234623, "resize": 512.6341897122445 }, "max_cash_weight": 1.4147649745898552e-16, "max_drawdown": -0.055075873525247454, "mean_cash_weight": 4.5338546851522924e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1418431.18142997, "start_session": "2012-12-31", "total_return": 0.35664632492438697, "traded_notional_by_category": { "entry": 1251813.6339390483, "exit": 1250467.0329293848, "resize": 205053.67588489782 }, "transaction_cost": 6768.335856883327, "transaction_cost_over_anchor_nav": 0.004771705490893066, "two_sided_turnover": 1.4529737159924232 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4749962629866906, "annualized_volatility": 0.12212636075156923, "cagr": 0.14676842037710403, "end_nav": 2206737.307656921, "end_session": "2014-12-31", "fee_by_category": { "entry": 3492.6748160709553, "exit": 3512.8188665004504, "resize": 693.0815347849581 }, "max_cash_weight": 1.2129911656313699e-16, "max_drawdown": -0.05800333498211019, "mean_cash_weight": 2.0306882580958824e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1924309.4494451252, "start_session": "2013-12-31", "total_return": 0.14676842037710403, "traded_notional_by_category": { "entry": 1397069.926428382, "exit": 1405127.5466001802, "resize": 277232.6139139832 }, "transaction_cost": 7698.575217356364, "transaction_cost_over_anchor_nav": 0.004000695012736257, "two_sided_turnover": 1.4749962629866906 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5382963881959462, "annualized_volatility": 0.16195480893491435, "cagr": 0.040382988114937346, "end_nav": 2295851.9541248195, "end_session": "2015-12-31", "fee_by_category": { "entry": 3841.4032940409124, "exit": 3812.733018466678, "resize": 1184.5242475845482 }, "max_cash_weight": 0.0, "max_drawdown": -0.11972384059847563, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2206737.307656921, "start_session": "2014-12-31", "total_return": 0.040382988114937346, "traded_notional_by_category": { "entry": 1536561.317616365, "exit": 1525093.207386671, "resize": 473809.69903381926 }, "transaction_cost": 8838.660560092138, "transaction_cost_over_anchor_nav": 0.004005307079108972, "two_sided_turnover": 1.5382963881959462 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5711520182478342, "annualized_volatility": 0.12607277265599395, "cagr": 0.06002326477927156, "end_nav": 2433656.4838612615, "end_session": "2016-12-30", "fee_by_category": { "entry": 3924.962110910273, "exit": 4118.320696991773, "resize": 1227.6829180274424 }, "max_cash_weight": 0.0, "max_drawdown": -0.08095728658986079, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2295851.9541248195, "start_session": "2015-12-31", "total_return": 0.06002326477927156, "traded_notional_by_category": { "entry": 1569984.844364109, "exit": 1647328.278796709, "resize": 491073.16721097694 }, "transaction_cost": 9270.965725929487, "transaction_cost_over_anchor_nav": 0.00403813743707337, "two_sided_turnover": 1.5711520182478342 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8133519805677456, "annualized_volatility": 0.07365147219544288, "cagr": 0.2588282470422345, "end_nav": 3063555.52548204, "end_session": "2017-12-29", "fee_by_category": { "entry": 9774.6967463404, "exit": 9850.488998534693, "resize": 1020.4471026859561 }, "max_cash_weight": 0.0, "max_drawdown": -0.025736392182184264, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2433656.4838612615, "start_session": "2016-12-30", "total_return": 0.2588282470422345, "traded_notional_by_category": { "entry": 3909878.69853616, "exit": 3940195.5994138774, "resize": 408178.8410743824 }, "transaction_cost": 20645.632847561046, "transaction_cost_over_anchor_nav": 0.00848338004335127, "two_sided_turnover": 2.8133519805677456 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2347086451916947, "annualized_volatility": 0.17687683353013842, "cagr": -0.06471659934790785, "end_nav": 2865292.6299593495, "end_session": "2018-12-31", "fee_by_category": { "entry": 7880.658938843724, "exit": 7793.4830517916635, "resize": 1976.7853921218104 }, "max_cash_weight": 0.0, "max_drawdown": -0.21406177342616428, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3063555.52548204, "start_session": "2017-12-29", "total_return": -0.06471659934790785, "traded_notional_by_category": { "entry": 3152263.5755374897, "exit": 3117393.2207166655, "resize": 790714.1568487241 }, "transaction_cost": 17650.927382757196, "transaction_cost_over_anchor_nav": 0.005761582330054188, "two_sided_turnover": 2.2347086451916947 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1855717576726597, "annualized_volatility": 0.11811754723850282, "cagr": 0.25980446252455147, "end_nav": 3609708.441661497, "end_session": "2019-12-31", "fee_by_category": { "entry": 8141.417193450172, "exit": 8234.709955959368, "resize": 1485.0010557552826 }, "max_cash_weight": 1.4984375480568362e-16, "max_drawdown": -0.06528988245327128, "mean_cash_weight": 4.7778309961955654e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2865292.6299593495, "start_session": "2018-12-31", "total_return": 0.25980446252455147, "traded_notional_by_category": { "entry": 3256566.8773800684, "exit": 3293883.982383747, "resize": 594000.422302113 }, "transaction_cost": 17861.128205164823, "transaction_cost_over_anchor_nav": 0.006233613983580526, "two_sided_turnover": 2.1855717576726597 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2270376416895634, "annualized_volatility": 0.33146387893114904, "cagr": 0.17458800408526187, "end_nav": 4239920.233820898, "end_session": "2020-12-31", "fee_by_category": { "entry": 9853.749543669393, "exit": 9781.061497238805, "resize": 2183.961671313196 }, "max_cash_weight": 1.7174691125417243e-16, "max_drawdown": -0.3026968695385436, "mean_cash_weight": 6.347661987585689e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3609708.441661497, "start_session": "2019-12-31", "total_return": 0.17458800408526187, "traded_notional_by_category": { "entry": 3941499.817467757, "exit": 3912424.598895522, "resize": 873584.6685252783 }, "transaction_cost": 21818.77271222139, "transaction_cost_over_anchor_nav": 0.006044469536763618, "two_sided_turnover": 2.2270376416895634 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.805343278935693, "annualized_volatility": 0.16203064174026252, "cagr": 0.14584271021530704, "end_nav": 4858281.691818057, "end_session": "2021-12-31", "fee_by_category": { "entry": 15744.705534172415, "exit": 15704.007039822576, "resize": 1709.325931216458 }, "max_cash_weight": 0.0, "max_drawdown": -0.08651970724698554, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4239920.233820898, "start_session": "2020-12-31", "total_return": 0.14584271021530704, "traded_notional_by_category": { "entry": 6297882.213668966, "exit": 6281602.81592903, "resize": 683730.3724865832 }, "transaction_cost": 33158.03850521145, "transaction_cost_over_anchor_nav": 0.007820439224473416, "two_sided_turnover": 2.805343278935693 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7618881218021385, "annualized_volatility": 0.2030342686025065, "cagr": 0.1302798334984978, "end_nav": 5491217.821716913, "end_session": "2022-12-30", "fee_by_category": { "entry": 9064.839274695587, "exit": 8637.109919108001, "resize": 6015.513082468852 }, "max_cash_weight": 0.0, "max_drawdown": -0.1381109595439538, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4858281.691818057, "start_session": "2021-12-31", "total_return": 0.1302798334984978, "traded_notional_by_category": { "entry": 3625935.7098782347, "exit": 3454843.9676432004, "resize": 2406205.232987541 }, "transaction_cost": 23717.46227627244, "transaction_cost_over_anchor_nav": 0.004881862308687362, "two_sided_turnover": 1.7618881218021385 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4678408100239393, "annualized_volatility": 0.12061194541679261, "cagr": 0.03338720064030576, "end_nav": 5674554.212890198, "end_session": "2023-12-29", "fee_by_category": { "entry": 13060.26462286402, "exit": 17471.74039828415, "resize": 2052.3560047448 }, "max_cash_weight": 0.3325797517878779, "max_drawdown": -0.11090623957653467, "mean_cash_weight": 0.025995233334284867, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5491217.821716913, "start_session": "2022-12-30", "total_return": 0.03338720064030576, "traded_notional_by_category": { "entry": 5224105.849145608, "exit": 6988696.159313658, "resize": 820942.4018979201 }, "transaction_cost": 32584.361025892966, "transaction_cost_over_anchor_nav": 0.005933904296607373, "two_sided_turnover": 2.4678408100239393 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4758490597105114, "annualized_volatility": 0.12321608120983518, "cagr": 0.09500702645573922, "end_nav": 6213676.735118784, "end_session": "2024-12-31", "fee_by_category": { "entry": 20134.528506254723, "exit": 15220.693814333987, "resize": 2303.6610942660996 }, "max_cash_weight": 0.3515391106881396, "max_drawdown": -0.08431623392890986, "mean_cash_weight": 0.13837140083553748, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 5674554.212890198, "start_session": "2023-12-29", "total_return": 0.09500702645573922, "traded_notional_by_category": { "entry": 8053811.402501889, "exit": 6088277.525733594, "resize": 921464.4377064398 }, "transaction_cost": 37658.883414854805, "transaction_cost_over_anchor_nav": 0.006636447904455591, "two_sided_turnover": 2.4758490597105114 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.196412141146053, "annualized_volatility": 0.15553525078214617, "cagr": 0.11879078194274317, "end_nav": 6951804.253222976, "end_session": "2025-12-31", "fee_by_category": { "entry": 17170.675631137372, "exit": 17446.33269957241, "resize": 3096.2085656939003 }, "max_cash_weight": 1.6231922271485786e-16, "max_drawdown": -0.13257722198464306, "mean_cash_weight": 3.739218728930842e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6213676.735118784, "start_session": "2024-12-31", "total_return": 0.11879078194274317, "traded_notional_by_category": { "entry": 6868270.25245495, "exit": 6978533.079828964, "resize": 1238483.4262775602 }, "transaction_cost": 37713.21689640368, "transaction_cost_over_anchor_nav": 0.006069388303265625, "two_sided_turnover": 2.196412141146053 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.1428674952085194, "annualized_volatility": 0.17263501918784968, "cagr": 0.08338334094945932, "end_nav": 6951804.253222976, "end_session": "2025-12-31", "fee_by_category": { "entry": 158407.69113458233, "exit": 157992.1417558524, "resize": 32116.625706289502 }, "max_cash_weight": 1.0, "max_drawdown": -0.4615729589473905, "mean_cash_weight": 0.08656042968932269, "nonzero_trade_event_count": 284, "order_count": 895, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 938736.5003602501, "start_session": "2000-12-29", "total_return": 6.405490518963679, "traded_notional_by_category": { "entry": 63363076.45383293, "exit": 63196856.70234096, "resize": 12846650.282515801 }, "transaction_cost": 348516.45859672426, "transaction_cost_over_anchor_nav": 0.37126122022844255, "two_sided_turnover": 53.571687380212985 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 8551212.652494809, "end_session": "2026-10-02", "fee_by_category": { "entry": 6740.721116833851, "exit": 6094.069355510292, "resize": 9604.155527394652 }, "max_cash_weight": 1.3316868826648745e-16, "max_drawdown": -0.07824008975298569, "mean_cash_weight": 2.76355560988851e-17, "nonzero_trade_event_count": 10, "order_count": 31, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 6951804.253222976, "start_session": "2025-12-31", "total_return": 0.23007097740565974, "traded_notional_by_category": { "entry": 2696288.4467335404, "exit": 2437627.7422041167, "resize": 3841662.2109578606 }, "transaction_cost": 22438.945999738793, "transaction_cost_over_anchor_nav": 0.0032277873746712174, "two_sided_turnover": 1.1211796580642384 } }, "monthly_risk": { "beta_intercept_per_month": 0.0012867672019733697, "beta_to_SPY_excess_returns": 0.7333493098755239, "monthly_return_volatility_annualized": 0.13955203733825766, "months": 300, "sharpe_monthly_annualized": 0.5230550800701168, "tracking_error_monthly_annualized": 0.09456566368279802 }, "phase": [ 5, 11 ], "policy": "B", "run_id": "B12-05-11-25bps", "signal": "12-1" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.26564412059525, "annualized_volatility": 0.1557339538868252, "cagr": -0.06370777343213785, "end_nav": 885020.5572955746, "end_session": "2001-12-31", "fee_by_category": { "entry": 605.9968847449215, "exit": 755.3124499032735, "resize": 117.69693747699192 }, "max_cash_weight": 0.3354753821791191, "max_drawdown": -0.16139619422189755, "mean_cash_weight": 0.02657705619535829, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 945239.672169198, "start_session": "2000-12-29", "total_return": -0.06370777343213785, "traded_notional_by_category": { "entry": 1211993.7694898432, "exit": 1510624.899806547, "resize": 235393.87495398382 }, "transaction_cost": 1479.006272125187, "transaction_cost_over_anchor_nav": 0.0015646891636817003, "two_sided_turnover": 3.26564412059525 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8586817995102956, "annualized_volatility": 0.21495888873816718, "cagr": -0.10248974483145645, "end_nav": 794315.0262077578, "end_session": "2002-12-31", "fee_by_category": { "entry": 287.9318446636695, "exit": 403.2166623251904, "resize": 81.16217495883018 }, "max_cash_weight": 0.6793675225538247, "max_drawdown": -0.26232497805556687, "mean_cash_weight": 0.19301864258586063, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 885020.5572955746, "start_session": "2001-12-31", "total_return": -0.10248974483145645, "traded_notional_by_category": { "entry": 575863.6893273391, "exit": 806433.3246503808, "resize": 162324.34991766035 }, "transaction_cost": 772.3106819476901, "transaction_cost_over_anchor_nav": 0.0008726471668722581, "two_sided_turnover": 1.8586817995102956 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3675330325277029, "annualized_volatility": 0.04855084033081034, "cagr": 0.08614080557710202, "end_nav": 862737.9624472909, "end_session": "2003-12-31", "fee_by_category": { "entry": 406.386000479656, "exit": 137.88314027827457, "resize": 11.55592004937341 }, "max_cash_weight": 1.0, "max_drawdown": -0.03451245516826584, "mean_cash_weight": 0.7762111597006321, "nonzero_trade_event_count": 7, "order_count": 9, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 794315.0262077578, "start_session": "2002-12-31", "total_return": 0.08614080557710202, "traded_notional_by_category": { "entry": 812772.000959312, "exit": 275766.28055654914, "resize": 23111.84009874682 }, "transaction_cost": 555.825060807304, "transaction_cost_over_anchor_nav": 0.0006997539294465325, "two_sided_turnover": 1.3675330325277029 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.868194248990957, "annualized_volatility": 0.11914682765253652, "cagr": 0.12387988768627944, "end_nav": 969613.8443379508, "end_session": "2004-12-31", "fee_by_category": { "entry": 588.7665137978279, "exit": 585.5021365896304, "resize": 93.18196876528833 }, "max_cash_weight": 1.3762851305918553e-16, "max_drawdown": -0.09137699445723346, "mean_cash_weight": 4.477769347252897e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 862737.9624472909, "start_session": "2003-12-31", "total_return": 0.12387988768627944, "traded_notional_by_category": { "entry": 1177533.027595656, "exit": 1171004.2731792608, "resize": 186363.93753057666 }, "transaction_cost": 1267.4506191527466, "transaction_cost_over_anchor_nav": 0.001469102641035321, "two_sided_turnover": 2.868194248990957 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0022694368465834, "annualized_volatility": 0.14143333611929673, "cagr": 0.20688681113906138, "end_nav": 1170214.1606293158, "end_session": "2005-12-30", "fee_by_category": { "entry": 192.27317146729405, "exit": 198.414043960392, "resize": 173.59363905019228 }, "max_cash_weight": 1.1714491613568542e-16, "max_drawdown": -0.09764207941648939, "mean_cash_weight": 1.8974963782251228e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 969613.8443379508, "start_session": "2004-12-31", "total_return": 0.20688681113906138, "traded_notional_by_category": { "entry": 384546.3429345881, "exit": 396828.087920784, "resize": 347187.2781003846 }, "transaction_cost": 564.2808544778784, "transaction_cost_over_anchor_nav": 0.0005819645189401844, "two_sided_turnover": 1.0022694368465834 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.626043284366423, "annualized_volatility": 0.14445598101191354, "cagr": 0.1391245131567136, "end_nav": 1333019.6360159616, "end_session": "2006-12-29", "fee_by_category": { "entry": 1052.3674285791458, "exit": 1059.100389350566, "resize": 172.67937690586564 }, "max_cash_weight": 0.0, "max_drawdown": -0.10073135051637128, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1170214.1606293158, "start_session": "2005-12-30", "total_return": 0.1391245131567136, "traded_notional_by_category": { "entry": 2104734.8571582916, "exit": 2118200.778701132, "resize": 345358.7538117313 }, "transaction_cost": 2284.1471948355775, "transaction_cost_over_anchor_nav": 0.0019519052765582777, "two_sided_turnover": 3.626043284366423 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7912275832912417, "annualized_volatility": 0.13627869965390332, "cagr": 0.173620316501103, "end_nav": 1564458.9271232379, "end_session": "2007-12-31", "fee_by_category": { "entry": 994.8108743974235, "exit": 998.0441896257304, "resize": 83.6311171616975 }, "max_cash_weight": 0.0, "max_drawdown": -0.07876337303541847, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1333019.6360159616, "start_session": "2006-12-29", "total_return": 0.173620316501103, "traded_notional_by_category": { "entry": 1989621.7487948467, "exit": 1996088.3792514608, "resize": 167262.234323395 }, "transaction_cost": 2076.4861811848514, "transaction_cost_over_anchor_nav": 0.0015577311279456557, "two_sided_turnover": 2.7912275832912417 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1028380363923875, "annualized_volatility": 0.3884302056234713, "cagr": -0.34605217856202186, "end_nav": 1023074.5071214379, "end_session": "2008-12-31", "fee_by_category": { "entry": 269.4789276287527, "exit": 779.7326669279778, "resize": 312.93736411000117 }, "max_cash_weight": 1.0, "max_drawdown": -0.46057009717955844, "mean_cash_weight": 0.08695652173913045, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1564458.9271232379, "start_session": "2007-12-31", "total_return": -0.34605217856202186, "traded_notional_by_category": { "entry": 538957.8552575053, "exit": 1559465.3338559554, "resize": 625874.7282200023 }, "transaction_cost": 1362.1489586667315, "transaction_cost_over_anchor_nav": 0.0008706837457033669, "two_sided_turnover": 2.1028380363923875 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9995002498750625, "annualized_volatility": 0.033717188585474483, "cagr": 0.029803203699907188, "end_nav": 1053565.4050573602, "end_session": "2009-12-31", "fee_by_category": { "entry": 511.2816127543418, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.016746362216439215, "mean_cash_weight": 0.9126984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1023074.5071214379, "start_session": "2008-12-31", "total_return": 0.029803203699907188, "traded_notional_by_category": { "entry": 1022563.2255086836, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 511.2816127543418, "transaction_cost_over_anchor_nav": 0.0004997501249375312, "two_sided_turnover": 0.9995002498750625 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4688617060295843, "annualized_volatility": 0.20061829926061875, "cagr": 0.16546301892016513, "end_nav": 1227891.5176079976, "end_session": "2010-12-31", "fee_by_category": { "entry": 368.95946534971677, "exit": 361.01043895135217, "resize": 79.69275221947706 }, "max_cash_weight": 0.0, "max_drawdown": -0.1807030365061031, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1053565.4050573602, "start_session": "2009-12-31", "total_return": 0.16546301892016513, "traded_notional_by_category": { "entry": 737918.9306994337, "exit": 722020.8779027043, "resize": 159385.5044389541 }, "transaction_cost": 809.6626565205461, "transaction_cost_over_anchor_nav": 0.0007684977625821577, "two_sided_turnover": 1.4688617060295843 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.250863774300347, "annualized_volatility": 0.2070038875039328, "cagr": 0.08140546055800901, "end_nav": 1327848.5921141494, "end_session": "2011-12-30", "fee_by_category": { "entry": 660.4273466377813, "exit": 656.52765452328, "resize": 160.04689511907216 }, "max_cash_weight": 0.0, "max_drawdown": -0.16847601298313375, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1227891.5176079976, "start_session": "2010-12-31", "total_return": 0.08140546055800901, "traded_notional_by_category": { "entry": 1320854.6932755625, "exit": 1313055.30904656, "resize": 320093.79023814434 }, "transaction_cost": 1477.0018962801335, "transaction_cost_over_anchor_nav": 0.001202876536811181, "two_sided_turnover": 2.250863774300347 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.794637376193157, "annualized_volatility": 0.10440294692239221, "cagr": 0.13395166845184114, "end_nav": 1505716.126479268, "end_session": "2012-12-31", "fee_by_category": { "entry": 952.0448709244774, "exit": 953.4968165328557, "resize": 90.31464944091786 }, "max_cash_weight": 0.0, "max_drawdown": -0.07772420491298737, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1327848.5921141494, "start_session": "2011-12-30", "total_return": 0.13395166845184114, "traded_notional_by_category": { "entry": 1904089.741848955, "exit": 1906993.6330657112, "resize": 180629.2988818357 }, "transaction_cost": 1995.856336898251, "transaction_cost_over_anchor_nav": 0.0015030752367033995, "two_sided_turnover": 2.794637376193157 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4538928057121485, "annualized_volatility": 0.11442842985895858, "cagr": 0.36060104572677676, "end_nav": 2048678.9362553637, "end_session": "2013-12-31", "fee_by_category": { "entry": 666.3596192150133, "exit": 663.8683460922513, "resize": 107.98535508684412 }, "max_cash_weight": 1.32956108713188e-16, "max_drawdown": -0.055075873525247565, "mean_cash_weight": 3.189149809279158e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1505716.126479268, "start_session": "2012-12-31", "total_return": 0.36060104572677676, "traded_notional_by_category": { "entry": 1332719.2384300265, "exit": 1327736.6921845025, "resize": 215970.71017368825 }, "transaction_cost": 1438.2133203941085, "transaction_cost_over_anchor_nav": 0.0009551689691715014, "two_sided_turnover": 1.4538928057121485 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4759345942179714, "annualized_volatility": 0.12206920682078143, "cagr": 0.1501589608001821, "end_nav": 2356306.4363366915, "end_session": "2014-12-31", "fee_by_category": { "entry": 745.3594494096058, "exit": 748.6508153587579, "resize": 147.7374272797327 }, "max_cash_weight": 1.1392460608285528e-16, "max_drawdown": -0.057948474315608456, "mean_cash_weight": 2.7733589664092387e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2048678.9362553637, "start_session": "2013-12-31", "total_return": 0.1501589608001821, "traded_notional_by_category": { "entry": 1490718.8988192114, "exit": 1497301.6307175155, "resize": 295474.8545594654 }, "transaction_cost": 1641.7476920480963, "transaction_cost_over_anchor_nav": 0.0008013689519593204, "two_sided_turnover": 1.4759345942179714 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5391310804580607, "annualized_volatility": 0.1620555735149624, "cagr": 0.04359113854414498, "end_nav": 2459020.5166555047, "end_session": "2015-12-31", "fee_by_category": { "entry": 822.2825606893523, "exit": 815.0557197238547, "resize": 253.05255319758498 }, "max_cash_weight": 0.0, "max_drawdown": -0.11970975167113229, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2356306.4363366915, "start_session": "2014-12-31", "total_return": 0.04359113854414498, "traded_notional_by_category": { "entry": 1644565.1213787044, "exit": 1630111.4394477094, "resize": 506105.10639517 }, "transaction_cost": 1890.390833610792, "transaction_cost_over_anchor_nav": 0.000802268671196158, "two_sided_turnover": 1.5391310804580607 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5739495250230522, "annualized_volatility": 0.12594934546385064, "cagr": 0.06336104447382329, "end_nav": 2614826.624973358, "end_session": "2016-12-30", "fee_by_category": { "entry": 842.7505832192522, "exit": 883.0481119368185, "resize": 265.5984351241653 }, "max_cash_weight": 0.0, "max_drawdown": -0.08086665234523971, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2459020.5166555047, "start_session": "2015-12-31", "total_return": 0.06336104447382329, "traded_notional_by_category": { "entry": 1685501.1664385044, "exit": 1766096.2238736367, "resize": 531196.8702483305 }, "transaction_cost": 1991.3971302802358, "transaction_cost_over_anchor_nav": 0.0008098334750735306, "two_sided_turnover": 1.5739495250230522 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.816964856094776, "annualized_volatility": 0.07341333709723608, "cagr": 0.26594261282754017, "end_nav": 3310220.4497097917, "end_session": "2017-12-29", "fee_by_category": { "entry": 2109.497932003417, "exit": 2120.1817565677406, "resize": 219.9957745990519 }, "max_cash_weight": 0.0, "max_drawdown": -0.023578464232294705, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2614826.624973358, "start_session": "2016-12-30", "total_return": 0.26594261282754017, "traded_notional_by_category": { "entry": 4218995.864006834, "exit": 4240363.513135482, "resize": 439991.54919810384 }, "transaction_cost": 4449.67546317021, "transaction_cost_over_anchor_nav": 0.0017017095591244204, "two_sided_turnover": 2.816964856094776 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2360530042776854, "annualized_volatility": 0.17707759240915968, "cagr": -0.06052136166885813, "end_nav": 3109881.4006692553, "end_session": "2018-12-31", "fee_by_category": { "entry": 1708.9206581409958, "exit": 1686.289599249233, "resize": 426.24646816734924 }, "max_cash_weight": 1.6091920447630165e-16, "max_drawdown": -0.21293710244620367, "mean_cash_weight": 8.135983003934036e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3310220.4497097917, "start_session": "2017-12-29", "total_return": -0.06052136166885813, "traded_notional_by_category": { "entry": 3417841.3162819915, "exit": 3372579.198498466, "resize": 852492.9363346985 }, "transaction_cost": 3821.4567255575785, "transaction_cost_over_anchor_nav": 0.0011544417610895392, "two_sided_turnover": 2.2360530042776854 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1887131836917404, "annualized_volatility": 0.11805027346284912, "cagr": 0.26532992233680264, "end_nav": 3935025.9911854956, "end_session": "2019-12-31", "fee_by_category": { "entry": 1773.3242632969486, "exit": 1789.682682931462, "resize": 324.33303024358514 }, "max_cash_weight": 1.3606735519540826e-16, "max_drawdown": -0.06528988245327139, "mean_cash_weight": 5.3690123596914546e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3109881.4006692553, "start_session": "2018-12-31", "total_return": 0.26532992233680264, "traded_notional_by_category": { "entry": 3546648.526593897, "exit": 3579365.3658629237, "resize": 648666.0604871702 }, "transaction_cost": 3887.3399764719957, "transaction_cost_over_anchor_nav": 0.001249996213886301, "two_sided_turnover": 2.1887131836917404 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2284735325858103, "annualized_volatility": 0.3314900995550344, "cagr": 0.17983851658348549, "end_nav": 4642695.228157755, "end_session": "2020-12-31", "fee_by_category": { "entry": 2156.1033247037353, "exit": 2135.3111144244813, "resize": 474.7501521177576 }, "max_cash_weight": 1.414216984720967e-16, "max_drawdown": -0.3026753160366753, "mean_cash_weight": 3.7383706404407894e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3935025.9911854956, "start_session": "2019-12-31", "total_return": 0.17983851658348549, "traded_notional_by_category": { "entry": 4312206.649407471, "exit": 4270622.228848962, "resize": 949500.3042355152 }, "transaction_cost": 4766.164591245974, "transaction_cost_over_anchor_nav": 0.001211215529941159, "two_sided_turnover": 2.2284735325858103 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8089305311003208, "annualized_volatility": 0.16192590902772008, "cagr": 0.15230012818935657, "end_nav": 5349778.306550295, "end_session": "2021-12-31", "fee_by_category": { "entry": 3462.597056526958, "exit": 3444.480613020998, "resize": 374.84816895006156 }, "max_cash_weight": 0.0, "max_drawdown": -0.0840568024003242, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4642695.228157755, "start_session": "2020-12-31", "total_return": 0.15230012818935657, "traded_notional_by_category": { "entry": 6925194.113053916, "exit": 6888961.226041996, "resize": 749696.3379001231 }, "transaction_cost": 7281.925838498018, "transaction_cost_over_anchor_nav": 0.001568469494687792, "two_sided_turnover": 2.8089305311003208 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7628223569496155, "annualized_volatility": 0.20302672155756685, "cagr": 0.13427531597998676, "end_nav": 6068121.479085214, "end_session": "2022-12-30", "fee_by_category": { "entry": 2002.602494124343, "exit": 1903.0220135350269, "resize": 1324.3961863857817 }, "max_cash_weight": 0.0, "max_drawdown": -0.1381109595439538, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 5349778.306550295, "start_session": "2021-12-31", "total_return": 0.13427531597998676, "traded_notional_by_category": { "entry": 4005204.988248686, "exit": 3806044.027070054, "resize": 2648792.372771563 }, "transaction_cost": 5230.020694045152, "transaction_cost_over_anchor_nav": 0.0009776144719196099, "two_sided_turnover": 1.7628223569496155 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.468739723102109, "annualized_volatility": 0.12085007633496946, "cagr": 0.03850848228798265, "end_nav": 6301795.627583895, "end_session": "2023-12-29", "fee_by_category": { "entry": 2896.780548486431, "exit": 3867.5937164349966, "resize": 449.7165826644304 }, "max_cash_weight": 0.33257975178787796, "max_drawdown": -0.11086429239689188, "mean_cash_weight": 0.025995233334284867, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6068121.479085214, "start_session": "2022-12-30", "total_return": 0.03850848228798265, "traded_notional_by_category": { "entry": 5793561.096972862, "exit": 7735187.432869993, "resize": 899433.1653288607 }, "transaction_cost": 7214.090847585859, "transaction_cost_over_anchor_nav": 0.0011888507625383601, "two_sided_turnover": 2.468739723102109 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.478739116785505, "annualized_volatility": 0.1228163865854701, "cagr": 0.10045175926767147, "end_nav": 6934822.084920017, "end_session": "2024-12-31", "fee_by_category": { "entry": 4489.456408001968, "exit": 3385.215942030453, "resize": 509.4061057396751 }, "max_cash_weight": 0.3515391106881396, "max_drawdown": -0.08309205828249766, "mean_cash_weight": 0.13837140083553748, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 6301795.627583895, "start_session": "2023-12-29", "total_return": 0.10045175926767147, "traded_notional_by_category": { "entry": 8978912.816003935, "exit": 6770431.884060906, "resize": 1018812.2114793502 }, "transaction_cost": 8384.078455772094, "transaction_cost_over_anchor_nav": 0.0013304269054797238, "two_sided_turnover": 2.478739116785505 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.200540669623024, "annualized_volatility": 0.15534005270067383, "cagr": 0.1237215559661522, "end_nav": 7792809.063614758, "end_session": "2025-12-31", "fee_by_category": { "entry": 3845.9879624961504, "exit": 3898.8959431217945, "resize": 699.0055083147641 }, "max_cash_weight": 1.2449406735817078e-16, "max_drawdown": -0.1325223850641032, "mean_cash_weight": 3.143869295641984e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6934822.084920017, "start_session": "2024-12-31", "total_return": 0.1237215559661522, "traded_notional_by_category": { "entry": 7691975.924992301, "exit": 7797791.886243589, "resize": 1398011.0166295283 }, "transaction_cost": 8443.88941393271, "transaction_cost_over_anchor_nav": 0.0012176072162390734, "two_sided_turnover": 2.200540669623024 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.1451671851416325, "annualized_volatility": 0.1725787876079659, "cagr": 0.0880430614988581, "end_nav": 7792809.063614758, "end_session": "2025-12-31", "fee_by_category": { "entry": 34412.74780173918, "exit": 34229.53696339639, "resize": 6953.564543128491 }, "max_cash_weight": 1.0, "max_drawdown": -0.46057009717955844, "mean_cash_weight": 0.08656042968932269, "nonzero_trade_event_count": 284, "order_count": 895, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 945239.672169198, "start_session": "2000-12-29", "total_return": 7.244267875184828, "traded_notional_by_category": { "entry": 68825495.60347836, "exit": 68459073.92679279, "resize": 13907129.086256983 }, "transaction_cost": 75595.84930826406, "transaction_cost_over_anchor_nav": 0.07997532428445554, "two_sided_turnover": 53.62917962854081 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 9607239.304525223, "end_session": "2026-10-02", "fee_by_category": { "entry": 1513.9572653214402, "exit": 1366.7922213573408, "resize": 2155.8190316850037 }, "max_cash_weight": 1.1878993925854501e-16, "max_drawdown": -0.0781399470031493, "mean_cash_weight": 3.607360879719236e-17, "nonzero_trade_event_count": 10, "order_count": 31, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 7792809.063614758, "start_session": "2025-12-31", "total_return": 0.23283391471532178, "traded_notional_by_category": { "entry": 3027914.5306428806, "exit": 2733584.442714682, "resize": 4311638.063370008 }, "transaction_cost": 5036.568518363785, "transaction_cost_over_anchor_nav": 0.0006463097552177843, "two_sided_turnover": 1.1217204418355093 } }, "monthly_risk": { "beta_intercept_per_month": 0.0016457126430212167, "beta_to_SPY_excess_returns": 0.733502437397905, "monthly_return_volatility_annualized": 0.1395548804464514, "months": 300, "sharpe_monthly_annualized": 0.5539411083681036, "tracking_error_monthly_annualized": 0.094529354624512 }, "phase": [ 5, 11 ], "policy": "B", "run_id": "B12-05-11-5bps", "signal": "12-1" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.875367051088547, "annualized_volatility": 0.16760392481642766, "cagr": -0.1362164479174761, "end_nav": 754922.7135088138, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5295412395820842e-16, "max_drawdown": -0.23266874025837758, "mean_cash_weight": 8.462359371875305e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 873972.0867441224, "start_session": "2000-12-29", "total_return": -0.1362164479174761, "traded_notional_by_category": { "entry": 1116352.534808217, "exit": 1078242.1544869135, "resize": 198335.78086760477 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.875367051088547 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5414058171071685, "annualized_volatility": 0.23503579384839057, "cagr": -0.0943724743767278, "end_nav": 683678.7890717934, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.34486364772278877, "max_drawdown": -0.235151825895492, "mean_cash_weight": 0.16389614550962897, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 754922.7135088138, "start_session": "2001-12-31", "total_return": -0.0943724743767278, "traded_notional_by_category": { "entry": 505235.31762445346, "exit": 508027.59728638985, "resize": 144616.8132054529 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5414058171071685 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.1145720589259192, "annualized_volatility": 0.08573910694851582, "cagr": 0.127114669464935, "end_nav": 770584.3923648414, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6794625829473039, "max_drawdown": -0.04158487728106253, "mean_cash_weight": 0.49481645698066257, "nonzero_trade_event_count": 12, "order_count": 20, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 683678.7890717934, "start_session": "2002-12-31", "total_return": 0.127114669464935, "traded_notional_by_category": { "entry": 237041.9762022263, "exit": 453707.2837052272, "resize": 88731.55479898173 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.1145720589259192 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 3.1910686250300095, "annualized_volatility": 0.12431150768840639, "cagr": 0.1177747477443396, "end_nav": 861339.7747913358, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5152284288645253e-16, "max_drawdown": -0.07804567672453588, "mean_cash_weight": 2.4269051393018463e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 770584.3923648414, "start_session": "2003-12-31", "total_return": 0.1177747477443396, "traded_notional_by_category": { "entry": 1301173.8369778167, "exit": 1043513.2698511556, "resize": 150180.54083791556 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.1910686250300095 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0065823904008024, "annualized_volatility": 0.1413247934223968, "cagr": 0.20055612250383792, "end_nav": 1034086.7401818151, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.1755162360125432e-16, "max_drawdown": -0.09763807826197346, "mean_cash_weight": 2.819928124487598e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 861339.7747913358, "start_session": "2004-12-31", "total_return": 0.20055612250383792, "traded_notional_by_category": { "entry": 288050.038315531, "exit": 297375.90127204504, "resize": 314814.2443188205 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.0065823904008024 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2614979428978392, "annualized_volatility": 0.12862671114242646, "cagr": 0.180559194733392, "end_nav": 1220800.609273522, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9509719127960478e-16, "max_drawdown": -0.07444541548164041, "mean_cash_weight": 2.3825359346072776e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1034086.7401818151, "start_session": "2005-12-30", "total_return": 0.180559194733392, "traded_notional_by_category": { "entry": 1086213.1541210348, "exit": 1089750.2879366972, "resize": 284363.44894716697 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2614979428978392 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.516718570500891, "annualized_volatility": 0.13276636648124893, "cagr": 0.11276589927413361, "end_nav": 1358465.287812661, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8149123724358482e-16, "max_drawdown": -0.07055920683784511, "mean_cash_weight": 1.418332323824222e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1220800.609273522, "start_session": "2006-12-29", "total_return": 0.11276589927413361, "traded_notional_by_category": { "entry": 2092471.092975839, "exit": 2099183.1697751163, "resize": 233286.48591392214 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.516718570500891 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4508333650929433, "annualized_volatility": 0.38804388420294783, "cagr": -0.33322109077393813, "end_nav": 905796.0028291942, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.854536030519348e-16, "max_drawdown": -0.4445241621437871, "mean_cash_weight": 4.804543920625414e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1358465.287812661, "start_session": "2007-12-31", "total_return": -0.33322109077393813, "traded_notional_by_category": { "entry": 1362921.3155071673, "exit": 1368108.3874628006, "resize": 543749.6640947348 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.4508333650929433 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9999999999999999, "annualized_volatility": 0.006298950411163463, "cagr": 0.006298950411163462, "end_nav": 911501.5669336453, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": 0.0, "mean_cash_weight": 1.0, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 905796.0028291942, "start_session": "2008-12-31", "total_return": 0.006298950411163462, "traded_notional_by_category": { "entry": 0.0, "exit": 911501.5669336452, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.9999999999999999 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.5147793745249705, "annualized_volatility": 0.1927680332528702, "cagr": 0.13054317408323146, "end_nav": 1030491.8746630024, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4209632072410208e-16, "max_drawdown": -0.18091710573295805, "mean_cash_weight": 8.425326873194523e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 911501.5669336453, "start_session": "2009-12-31", "total_return": 0.13054317408323146, "traded_notional_by_category": { "entry": 1462124.8600501432, "exit": 556642.3236996168, "resize": 159118.97298656998 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.5147793745249705 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6107238553674392, "annualized_volatility": 0.20930865663189518, "cagr": 0.07455664861107203, "end_nav": 1107321.895258817, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2223617878446591e-16, "max_drawdown": -0.16700448375219157, "mean_cash_weight": 1.8459704885633254e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1030491.8746630024, "start_session": "2010-12-31", "total_return": 0.07455664861107203, "traded_notional_by_category": { "entry": 742329.5750394838, "exit": 749368.8821697617, "resize": 285554.67526257265 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6107238553674392 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5019797025266053, "annualized_volatility": 0.08985107259703926, "cagr": 0.08718391022833294, "end_nav": 1203862.5479689292, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9171374613074097e-16, "max_drawdown": -0.08108506990801534, "mean_cash_weight": 1.736129444644968e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1107321.895258817, "start_session": "2011-12-30", "total_return": 0.08718391022833294, "traded_notional_by_category": { "entry": 774808.9291798994, "exit": 772329.3408371009, "resize": 202519.908324374 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5019797025266053 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.099906301287961, "annualized_volatility": 0.11648649909563337, "cagr": 0.3809917602512598, "end_nav": 1662524.2592201782, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6080985420180317e-16, "max_drawdown": -0.054744575789032024, "mean_cash_weight": 1.3654624625155695e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1203862.5479689292, "start_session": "2012-12-31", "total_return": 0.3809917602512598, "traded_notional_by_category": { "entry": 1294412.2379446516, "exit": 1299228.1105325175, "resize": 138465.07120969833 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.099906301287961 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1379241364729586, "annualized_volatility": 0.1272669293473201, "cagr": 0.10058352993075204, "end_nav": 1829746.8178080525, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4154353407597257e-16, "max_drawdown": -0.08862849134214912, "mean_cash_weight": 5.610472224918545e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1662524.2592201782, "start_session": "2013-12-31", "total_return": 0.10058352993075204, "traded_notional_by_category": { "entry": 1722574.1139160513, "exit": 1731373.796288475, "resize": 227541.85681827628 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.1379241364729586 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4667857280793406, "annualized_volatility": 0.15969972893200116, "cagr": 0.003985389995162736, "end_nav": 1837039.0724694256, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3998715767606587e-16, "max_drawdown": -0.12599485948033562, "mean_cash_weight": 4.27597275054095e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1829746.8178080525, "start_session": "2014-12-31", "total_return": 0.003985389995162736, "traded_notional_by_category": { "entry": 3051989.288314314, "exit": 3036140.1223470713, "resize": 259038.4180375483 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.4667857280793406 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.545103796859132, "annualized_volatility": 0.14109303826830435, "cagr": 0.014766181157259473, "end_nav": 1864165.1242064731, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4275925772047133e-16, "max_drawdown": -0.11219525047657752, "mean_cash_weight": 5.340566929875998e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1837039.0724694256, "start_session": "2015-12-31", "total_return": 0.014766181157259473, "traded_notional_by_category": { "entry": 1240924.9512081814, "exit": 1246759.2541336133, "resize": 382242.6298102628 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.545103796859132 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 3.5224016347256337, "annualized_volatility": 0.09197058199053078, "cagr": 0.14063332242664828, "end_nav": 2126328.859175515, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2866242882539076e-16, "max_drawdown": -0.06003716801117953, "mean_cash_weight": 4.9350716377553493e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1864165.1242064731, "start_session": "2016-12-30", "total_return": 0.14063332242664828, "traded_notional_by_category": { "entry": 3119558.679195729, "exit": 3126939.337007841, "resize": 355362.0048089024 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.5224016347256337 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4912670571010591, "annualized_volatility": 0.1934804613128075, "cagr": -0.07759321273279407, "end_nav": 1961340.1716656298, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.546379350839555e-16, "max_drawdown": -0.2463688028855363, "mean_cash_weight": 1.7490503271891864e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2126328.859175515, "start_session": "2017-12-29", "total_return": -0.07759321273279407, "traded_notional_by_category": { "entry": 1467725.26990276, "exit": 1471124.4046088078, "resize": 355117.97076933365 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4912670571010591 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.223513583243748, "annualized_volatility": 0.09852941665019442, "cagr": 0.26468438698906427, "end_nav": 2480476.292679973, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.999204339756644e-16, "max_drawdown": -0.03886892426692723, "mean_cash_weight": 1.5600556522855073e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1961340.1716656298, "start_session": "2018-12-31", "total_return": 0.26468438698906427, "traded_notional_by_category": { "entry": 2034608.4129402332, "exit": 2041334.147356017, "resize": 492043.99439664197 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.223513583243748 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.204146950933377, "annualized_volatility": 0.3351804775473559, "cagr": 0.20435948414756488, "end_nav": 2987385.148292316, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8881924593455717e-16, "max_drawdown": -0.30266992317089547, "mean_cash_weight": 3.0207667269469424e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2480476.292679973, "start_session": "2019-12-31", "total_return": 0.20435948414756488, "traded_notional_by_category": { "entry": 2465887.850769463, "exit": 2413714.768803507, "resize": 566593.7724736158 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.204146950933377 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2062266041208516, "annualized_volatility": 0.15951739117683905, "cagr": 0.21652664529251142, "end_nav": 3634233.632648723, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4483601904679975e-16, "max_drawdown": -0.06857114678751264, "mean_cash_weight": 7.993233024984213e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2987385.148292316, "start_session": "2020-12-31", "total_return": 0.21652664529251142, "traded_notional_by_category": { "entry": 3267034.2671392984, "exit": 3340274.5673467875, "resize": 611228.2951641676 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2062266041208516 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.1367640623442354, "annualized_volatility": 0.22464292581492223, "cagr": 0.026744857148624623, "end_nav": 3731430.6919986405, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4333607782214355e-16, "max_drawdown": -0.19348406052866984, "mean_cash_weight": 9.546833203109003e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3634233.632648723, "start_session": "2021-12-31", "total_return": 0.026744857148624623, "traded_notional_by_category": { "entry": 4694418.3656819295, "exit": 4769736.198191417, "resize": 1674075.2024587512 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.1367640623442354 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1321665296426477, "annualized_volatility": 0.13803250605214112, "cagr": 0.041096199809788514, "end_nav": 3884778.3132933937, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4352940461630456e-16, "max_drawdown": -0.14320391181351777, "mean_cash_weight": 8.572623927947522e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 3731430.6919986405, "start_session": "2022-12-30", "total_return": 0.041096199809788514, "traded_notional_by_category": { "entry": 3602534.632288759, "exit": 3602534.6322887586, "resize": 476806.55265930574 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.1321665296426477 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9109772428033325, "annualized_volatility": 0.14755576029411782, "cagr": 0.20581235028514167, "end_nav": 4684313.668289055, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.061902769073929e-16, "max_drawdown": -0.09094352546558471, "mean_cash_weight": 4.598964362774202e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3884778.3132933937, "start_session": "2023-12-29", "total_return": 0.20581235028514167, "traded_notional_by_category": { "entry": 1420945.841928842, "exit": 1430513.9632691168, "resize": 1033111.003477924 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.9109772428033325 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8702523308660189, "annualized_volatility": 0.15729708458484265, "cagr": 0.170556095089057, "end_nav": 5483251.915724733, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.13250867097669994, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4684313.668289055, "start_session": "2024-12-31", "total_return": 0.170556095089057, "traded_notional_by_category": { "entry": 1572104.6919107728, "exit": 1643846.9855779128, "resize": 962151.8628212851 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.8702523308660189 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.1013185884777372, "annualized_volatility": 0.17716079430881765, "cagr": 0.07622140495301499, "end_nav": 5483251.915724733, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.4445241621437871, "mean_cash_weight": 0.06648569680730931, "nonzero_trade_event_count": 289, "order_count": 911, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 873972.0867441224, "start_session": "2000-12-29", "total_return": 5.273943983899905, "traded_notional_by_category": { "entry": 41923441.2339428, "exit": 42081270.45316831, "resize": 10139050.72446383 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 52.53296471194343 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6428380.268137876, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.08155400602990404, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 10, "order_count": 33, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 5483251.915724733, "start_session": "2025-12-31", "total_return": 0.1723663925968324, "traded_notional_by_category": { "entry": 5866744.272628935, "exit": 5898097.326872167, "resize": 1891740.1017828595 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.3218388308593694 } }, "monthly_risk": { "beta_intercept_per_month": 0.0006231618568156858, "beta_to_SPY_excess_returns": 0.7506770475496491, "monthly_return_volatility_annualized": 0.13989194457245027, "months": 300, "sharpe_monthly_annualized": 0.47515796720349407, "tracking_error_monthly_annualized": 0.09062247763516092 }, "phase": [ 6, 12 ], "policy": "B", "run_id": "B12-06-12-0bps", "signal": "12-1" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.874483437159268, "annualized_volatility": 0.16757941942970117, "cagr": -0.13869734830229996, "end_nav": 751137.3544846945, "end_session": "2001-12-31", "fee_by_category": { "entry": 1111.725774456038, "exit": 1075.1861482458946, "resize": 198.28831422100959 }, "max_cash_weight": 1.5371228904692487e-16, "max_drawdown": -0.23479204172178125, "mean_cash_weight": 2.4896669508603098e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 872094.5570109874, "start_session": "2000-12-29", "total_return": -0.13869734830229996, "traded_notional_by_category": { "entry": 1111725.7744560381, "exit": 1075186.1482458946, "resize": 198288.31422100958 }, "transaction_cost": 2385.200236922942, "transaction_cost_over_anchor_nav": 0.0027350247949006422, "two_sided_turnover": 2.874483437159268 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5406023343753217, "annualized_volatility": 0.2350851657966529, "cagr": -0.09576713493329181, "end_nav": 679203.082104323, "end_session": "2002-12-31", "fee_by_category": { "entry": 502.08904361061855, "exit": 505.48022811140316, "resize": 143.4510338499876 }, "max_cash_weight": 0.3448636477227887, "max_drawdown": -0.23544846162644917, "mean_cash_weight": 0.16389614550962897, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 751137.3544846945, "start_session": "2001-12-31", "total_return": -0.09576713493329181, "traded_notional_by_category": { "entry": 502089.0436106185, "exit": 505480.2281114032, "resize": 143451.03384998758 }, "transaction_cost": 1151.0203055720092, "transaction_cost_over_anchor_nav": 0.0015323699436591697, "two_sided_turnover": 1.5406023343753217 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.1147990323035413, "annualized_volatility": 0.08557974939339996, "cagr": 0.1258585467934965, "end_nav": 764686.594995637, "end_session": "2003-12-31", "fee_by_category": { "entry": 235.2469953613021, "exit": 450.7370864673861, "resize": 88.30767783459719 }, "max_cash_weight": 0.6794625829473039, "max_drawdown": -0.04160104325842506, "mean_cash_weight": 0.49481645698066257, "nonzero_trade_event_count": 12, "order_count": 20, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 679203.082104323, "start_session": "2002-12-31", "total_return": 0.1258585467934965, "traded_notional_by_category": { "entry": 235246.9953613021, "exit": 450737.0864673861, "resize": 88307.67783459718 }, "transaction_cost": 774.2917596632855, "transaction_cost_over_anchor_nav": 0.0011400003622839233, "two_sided_turnover": 1.1147990323035413 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 3.1889429707565493, "annualized_volatility": 0.12455254287682797, "cagr": 0.11421334962894014, "end_nav": 852024.0124264375, "end_session": "2004-12-31", "fee_by_category": { "entry": 1288.3188195105113, "exit": 1034.6234512266808, "resize": 148.99381322871375 }, "max_cash_weight": 1.4044774782532777e-16, "max_drawdown": -0.07806201042321337, "mean_cash_weight": 1.2011855515976715e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 764686.594995637, "start_session": "2003-12-31", "total_return": 0.11421334962894014, "traded_notional_by_category": { "entry": 1288318.8195105111, "exit": 1034623.4512266808, "resize": 148993.81322871376 }, "transaction_cost": 2471.9360839659057, "transaction_cost_over_anchor_nav": 0.003232613334852574, "two_sided_turnover": 3.1889429707565493 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.006307697222829, "annualized_volatility": 0.14139395861753246, "cagr": 0.19934830391866254, "end_nav": 1021873.5542016212, "end_session": "2005-12-30", "fee_by_category": { "entry": 284.73628800497704, "exit": 294.1596522256464, "resize": 311.12025696644275 }, "max_cash_weight": 1.4124980394401675e-16, "max_drawdown": -0.09764608190516844, "mean_cash_weight": 6.236545367017323e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 852024.0124264375, "start_session": "2004-12-31", "total_return": 0.19934830391866254, "traded_notional_by_category": { "entry": 284736.28800497705, "exit": 294159.6522256464, "resize": 311120.25696644274 }, "transaction_cost": 890.0161971970663, "transaction_cost_over_anchor_nav": 0.0010445905094416679, "two_sided_turnover": 1.006307697222829 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2603415555126527, "annualized_volatility": 0.12841394755604613, "cagr": 0.1778924023481323, "end_nav": 1203657.095654572, "end_session": "2006-12-29", "fee_by_category": { "entry": 1071.5650050973409, "exit": 1076.2670189674889, "resize": 280.5920722801219 }, "max_cash_weight": 0.0, "max_drawdown": -0.07446796419308055, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1021873.5542016212, "start_session": "2005-12-30", "total_return": 0.1778924023481323, "traded_notional_by_category": { "entry": 1071565.0050973408, "exit": 1076267.0189674888, "resize": 280592.0722801219 }, "transaction_cost": 2428.4240963449515, "transaction_cost_over_anchor_nav": 0.0023764428449684787, "two_sided_turnover": 2.2603415555126527 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.5133837987739414, "annualized_volatility": 0.1325609048410139, "cagr": 0.1088599666727148, "end_nav": 1334687.1669729054, "end_session": "2007-12-31", "fee_by_category": { "entry": 2057.749810222058, "exit": 2067.9125865520878, "resize": 228.80632262599244 }, "max_cash_weight": 0.0, "max_drawdown": -0.07183679915400487, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1203657.095654572, "start_session": "2006-12-29", "total_return": 0.1088599666727148, "traded_notional_by_category": { "entry": 2057749.8102220576, "exit": 2067912.586552088, "resize": 228806.3226259924 }, "transaction_cost": 4354.468719400138, "transaction_cost_over_anchor_nav": 0.0036176987076473755, "two_sided_turnover": 3.5133837987739414 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4492638214353684, "annualized_volatility": 0.3880612745759873, "cagr": -0.3348529773272092, "end_nav": 887763.19531161, "end_session": "2008-12-31", "fee_by_category": { "entry": 1336.888812100155, "exit": 1343.491916863953, "resize": 532.6459848702997 }, "max_cash_weight": 1.5078396126962692e-16, "max_drawdown": -0.4450413758153461, "mean_cash_weight": 9.90645827829905e-18, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1334687.1669729054, "start_session": "2007-12-31", "total_return": -0.3348529773272092, "traded_notional_by_category": { "entry": 1336888.812100155, "exit": 1343491.916863953, "resize": 532645.9848702997 }, "transaction_cost": 3213.026713834408, "transaction_cost_over_anchor_nav": 0.0024073256964938163, "two_sided_turnover": 2.4492638214353684 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0, "annualized_volatility": 0.005292651460752307, "cagr": 0.005292651460752307, "end_nav": 892461.8164840781, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 893.3551716557339, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": 0.0, "mean_cash_weight": 1.0, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 887763.19531161, "start_session": "2008-12-31", "total_return": 0.005292651460752307, "traded_notional_by_category": { "entry": 0.0, "exit": 893355.1716557338, "resize": 0.0 }, "transaction_cost": 893.3551716557339, "transaction_cost_over_anchor_nav": 0.0010062989504111635, "two_sided_turnover": 1.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.5124301612278455, "annualized_volatility": 0.19271769603498046, "cagr": 0.1277047402408773, "end_nav": 1006433.4209330787, "end_session": "2010-12-31", "fee_by_category": { "entry": 1429.3845364624162, "exit": 544.4264055279324, "resize": 155.157176996671 }, "max_cash_weight": 1.4426232911958839e-16, "max_drawdown": -0.18205011258659842, "mean_cash_weight": 7.530500982723032e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 892461.8164840781, "start_session": "2009-12-31", "total_return": 0.1277047402408773, "traded_notional_by_category": { "entry": 1429384.5364624162, "exit": 544426.4055279323, "resize": 155157.176996671 }, "transaction_cost": 2128.9681189870194, "transaction_cost_over_anchor_nav": 0.0023855005106820735, "two_sided_turnover": 2.5124301612278455 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6093639019792751, "annualized_volatility": 0.20925983370468668, "cagr": 0.07282771107692687, "end_nav": 1079729.6633309561, "end_session": "2011-12-30", "fee_by_category": { "entry": 723.9626517235242, "exit": 731.8118081929327, "resize": 278.1052415604819 }, "max_cash_weight": 0.0, "max_drawdown": -0.16710560440849376, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1006433.4209330787, "start_session": "2010-12-31", "total_return": 0.07282771107692687, "traded_notional_by_category": { "entry": 723962.6517235242, "exit": 731811.8081929327, "resize": 278105.2415604819 }, "transaction_cost": 1733.879701476939, "transaction_cost_over_anchor_nav": 0.00172279622815927, "two_sided_turnover": 1.6093639019792751 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5015271678066129, "annualized_volatility": 0.08979065018291367, "cagr": 0.08555220748345871, "end_nav": 1172102.919514291, "end_session": "2012-12-31", "fee_by_category": { "entry": 754.7075277595013, "exit": 752.7926111750687, "resize": 197.22176295088627 }, "max_cash_weight": 0.0, "max_drawdown": -0.08111236557256563, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1079729.6633309561, "start_session": "2011-12-30", "total_return": 0.08555220748345871, "traded_notional_by_category": { "entry": 754707.5277595014, "exit": 752792.6111750687, "resize": 197221.76295088627 }, "transaction_cost": 1704.7219018854564, "transaction_cost_over_anchor_nav": 0.0015788414079746637, "two_sided_turnover": 1.5015271678066129 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0983457480234042, "annualized_volatility": 0.1162299887317982, "cagr": 0.37809544811850104, "end_nav": 1615269.6981090503, "end_session": "2013-12-31", "fee_by_category": { "entry": 1258.2417569631184, "exit": 1264.3096896118768, "resize": 134.06566163536044 }, "max_cash_weight": 0.0, "max_drawdown": -0.054744575789032024, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1172102.919514291, "start_session": "2012-12-31", "total_return": 0.37809544811850104, "traded_notional_by_category": { "entry": 1258241.7569631184, "exit": 1264309.6896118766, "resize": 134065.66163536045 }, "transaction_cost": 2656.6171082103556, "transaction_cost_over_anchor_nav": 0.0022665391101587174, "two_sided_turnover": 2.0983457480234042 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.136341900327448, "annualized_volatility": 0.12725367442377203, "cagr": 0.09823358023396822, "end_nav": 1773943.4235977433, "end_session": "2014-12-31", "fee_by_category": { "entry": 1670.8936809974716, "exit": 1681.3212963111725, "resize": 219.99009875586128 }, "max_cash_weight": 1.4441895540535063e-16, "max_drawdown": -0.08863079426574094, "mean_cash_weight": 2.1729229845300454e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1615269.6981090503, "start_session": "2013-12-31", "total_return": 0.09823358023396822, "traded_notional_by_category": { "entry": 1670893.6809974716, "exit": 1681321.2963111727, "resize": 219990.09875586128 }, "transaction_cost": 3572.2050760645056, "transaction_cost_over_anchor_nav": 0.002211522373165536, "two_sided_turnover": 2.136341900327448 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4643574796191565, "annualized_volatility": 0.15966652898095876, "cagr": 0.0005103526789553836, "end_nav": 1774848.7603762918, "end_session": "2015-12-31", "fee_by_category": { "entry": 2951.335112170067, "exit": 2941.1261721573646, "resize": 251.31109387880275 }, "max_cash_weight": 1.4079957887949338e-16, "max_drawdown": -0.1272378574930112, "mean_cash_weight": 2.314337676469854e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1773943.4235977433, "start_session": "2014-12-31", "total_return": 0.0005103526789553836, "traded_notional_by_category": { "entry": 2951335.1121700667, "exit": 2941126.172157365, "resize": 251311.09387880273 }, "transaction_cost": 6143.772378206234, "transaction_cost_over_anchor_nav": 0.0034633417822007083, "two_sided_turnover": 3.4643574796191565 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5437642656533659, "annualized_volatility": 0.14112067418898125, "cagr": 0.013199919444047303, "end_nav": 1798276.6210386262, "end_session": "2016-12-30", "fee_by_category": { "entry": 1197.1859608967634, "exit": 1204.4264620155805, "resize": 368.2206149556708 }, "max_cash_weight": 1.3544292223580967e-16, "max_drawdown": -0.11222640743967327, "mean_cash_weight": 2.1707252549337704e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1774848.7603762918, "start_session": "2015-12-31", "total_return": 0.013199919444047303, "traded_notional_by_category": { "entry": 1197185.9608967633, "exit": 1204426.4620155804, "resize": 368220.6149556708 }, "transaction_cost": 2769.8330378680143, "transaction_cost_over_anchor_nav": 0.0015606022888850386, "two_sided_turnover": 1.5437642656533659 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 3.519055797744068, "annualized_volatility": 0.09200662273956549, "cagr": 0.13662312960481948, "end_nav": 2043962.8009001033, "end_session": "2017-12-29", "fee_by_category": { "entry": 3001.552823104381, "exit": 3013.872068705261, "resize": 341.05404636027464 }, "max_cash_weight": 1.336519146998012e-16, "max_drawdown": -0.06004884599880733, "mean_cash_weight": 6.443852889193816e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1798276.6210386262, "start_session": "2016-12-30", "total_return": 0.13662312960481948, "traded_notional_by_category": { "entry": 3001552.823104381, "exit": 3013872.0687052608, "resize": 341054.04636027466 }, "transaction_cost": 6356.478938169917, "transaction_cost_over_anchor_nav": 0.0035347614843030217, "two_sided_turnover": 3.519055797744068 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4908001900900096, "annualized_volatility": 0.19343694201116785, "cagr": -0.07896773538053092, "end_nav": 1882555.687310975, "end_session": "2018-12-31", "fee_by_category": { "entry": 1409.381383774075, "exit": 1413.601862586286, "resize": 340.97602443869926 }, "max_cash_weight": 1.152437241118157e-16, "max_drawdown": -0.24639017085212622, "mean_cash_weight": 1.836753791131995e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2043962.8009001033, "start_session": "2017-12-29", "total_return": -0.07896773538053092, "traded_notional_by_category": { "entry": 1409381.383774075, "exit": 1413601.862586286, "resize": 340976.02443869924 }, "transaction_cost": 3163.95927079906, "transaction_cost_over_anchor_nav": 0.0015479534507211884, "two_sided_turnover": 1.4908001900900096 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2228013386892225, "annualized_volatility": 0.09871133287161157, "cagr": 0.2618749421722202, "end_nav": 2375549.849061521, "end_session": "2019-12-31", "fee_by_category": { "entry": 1949.7075615259462, "exit": 1958.2738702865036, "resize": 472.21198940434647 }, "max_cash_weight": 1.2739408814061788e-16, "max_drawdown": -0.03888381814744968, "mean_cash_weight": 1.9462935028856715e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1882555.687310975, "start_session": "2018-12-31", "total_return": 0.2618749421722202, "traded_notional_by_category": { "entry": 1949707.561525946, "exit": 1958273.8702865033, "resize": 472211.98940434644 }, "transaction_cost": 4380.193421216796, "transaction_cost_over_anchor_nav": 0.002326727145837276, "two_sided_turnover": 2.2228013386892225 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2034607773865305, "annualized_volatility": 0.3351734120244366, "cagr": 0.20170730528921177, "end_nav": 2854715.607695914, "end_session": "2020-12-31", "fee_by_category": { "entry": 2357.7260816823186, "exit": 2310.420497720398, "resize": 542.9286871476282 }, "max_cash_weight": 1.1744849575407408e-16, "max_drawdown": -0.3026807071054324, "mean_cash_weight": 8.846254764651963e-18, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2375549.849061521, "start_session": "2019-12-31", "total_return": 0.20170730528921177, "traded_notional_by_category": { "entry": 2357726.0816823184, "exit": 2310420.497720398, "resize": 542928.6871476283 }, "transaction_cost": 5211.075266550345, "transaction_cost_over_anchor_nav": 0.0021936290954319565, "two_sided_turnover": 2.2034607773865305 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.204604009438926, "annualized_volatility": 0.15955477241190374, "cagr": 0.21384620966753043, "end_nav": 3465185.720080426, "end_session": "2021-12-31", "fee_by_category": { "entry": 3116.673497488389, "exit": 3190.2306841821073, "resize": 581.8066686815378 }, "max_cash_weight": 1.5167736077779391e-16, "max_drawdown": -0.06858955892180385, "mean_cash_weight": 3.598824176258432e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2854715.607695914, "start_session": "2020-12-31", "total_return": 0.21384620966753043, "traded_notional_by_category": { "entry": 3116673.497488389, "exit": 3190230.6841821074, "resize": 581806.6686815377 }, "transaction_cost": 6888.710850352034, "transaction_cost_over_anchor_nav": 0.002413098815090734, "two_sided_turnover": 2.204604009438926 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.1339540712146943, "annualized_volatility": 0.22445856098568792, "cagr": 0.023530232263535122, "end_nav": 3546722.344910204, "end_session": "2022-12-30", "fee_by_category": { "entry": 4466.492472727996, "exit": 4544.275743847511, "resize": 1589.7237116839628 }, "max_cash_weight": 1.476351094256485e-16, "max_drawdown": -0.19471530343457832, "mean_cash_weight": 3.461587798456221e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3465185.720080426, "start_session": "2021-12-31", "total_return": 0.023530232263535122, "traded_notional_by_category": { "entry": 4466492.472727995, "exit": 4544275.74384751, "resize": 1589723.711683963 }, "transaction_cost": 10600.49192825947, "transaction_cost_over_anchor_nav": 0.00305914106330019, "two_sided_turnover": 3.1339540712146943 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1301660849312665, "annualized_volatility": 0.1380347087971312, "cagr": 0.03887877485408442, "end_nav": 3684614.564427918, "end_session": "2023-12-29", "fee_by_category": { "entry": 3417.054008136347, "exit": 3423.894957101584, "resize": 452.89762451149966 }, "max_cash_weight": 1.419581390891473e-16, "max_drawdown": -0.14499423389598265, "mean_cash_weight": 2.4248580726889527e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 3546722.344910204, "start_session": "2022-12-30", "total_return": 0.03887877485408442, "traded_notional_by_category": { "entry": 3417054.008136347, "exit": 3423894.957101584, "resize": 452897.62451149966 }, "transaction_cost": 7293.846589749431, "transaction_cost_over_anchor_nav": 0.0020565034080597296, "two_sided_turnover": 2.1301660849312665 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9107430290012176, "annualized_volatility": 0.1475730074582771, "cagr": 0.20471437127899628, "end_nav": 4438908.118390212, "end_session": "2024-12-31", "fee_by_category": { "entry": 1346.6459899655863, "exit": 1356.6560234397143, "resize": 979.4553366296925 }, "max_cash_weight": 1.3086514601671752e-16, "max_drawdown": -0.09097889523758651, "mean_cash_weight": 2.036093501775126e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3684614.564427918, "start_session": "2023-12-29", "total_return": 0.20471437127899628, "traded_notional_by_category": { "entry": 1346645.9899655862, "exit": 1356656.0234397142, "resize": 979455.3366296925 }, "transaction_cost": 3682.7573500349927, "transaction_cost_over_anchor_nav": 0.0009994959542279252, "two_sided_turnover": 0.9107430290012176 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8695509158357921, "annualized_volatility": 0.15730229155176847, "cagr": 0.16953839395456294, "end_nav": 5191473.471693959, "end_session": "2025-12-31", "fee_by_category": { "entry": 1488.7065732456545, "exit": 1557.7278223424908, "resize": 908.9959897430819 }, "max_cash_weight": 0.0, "max_drawdown": -0.13253609720631465, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4438908.118390212, "start_session": "2024-12-31", "total_return": 0.16953839395456294, "traded_notional_by_category": { "entry": 1488706.5732456543, "exit": 1557727.8223424908, "resize": 908995.9897430819 }, "transaction_cost": 3955.430385331227, "transaction_cost_over_anchor_nav": 0.000891081833603188, "two_sided_turnover": 0.8695509158357921 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.0999756594603323, "annualized_volatility": 0.17713873007170752, "cagr": 0.0739624142940043, "end_nav": 5191473.471693959, "end_session": "2025-12-31", "fee_by_category": { "entry": 40427.972166986554, "exit": 40630.38123552006, "resize": 9746.327205211623 }, "max_cash_weight": 1.0, "max_drawdown": -0.4450413758153461, "mean_cash_weight": 0.0664856968073093, "nonzero_trade_event_count": 289, "order_count": 911, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 872094.5570109874, "start_session": "2000-12-29", "total_return": 4.952879111511932, "traded_notional_by_category": { "entry": 40427972.166986555, "exit": 40630381.23552006, "resize": 9746327.205211623 }, "transaction_cost": 90804.68060771824, "transaction_cost_over_anchor_nav": 0.10412251730929471, "two_sided_turnover": 52.49939148650831 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6072191.3763595335, "end_session": "2026-10-02", "fee_by_category": { "entry": 5545.131225326158, "exit": 5581.131742729409, "resize": 1790.735180208058 }, "max_cash_weight": 0.0, "max_drawdown": -0.08157386885822038, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 10, "order_count": 33, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 5191473.471693959, "start_session": "2025-12-31", "total_return": 0.16964700088859352, "traded_notional_by_category": { "entry": 5545131.225326157, "exit": 5581131.742729409, "resize": 1790735.180208058 }, "transaction_cost": 12916.998148263623, "transaction_cost_over_anchor_nav": 0.0024881179146329824, "two_sided_turnover": 2.321130268699407 } }, "monthly_risk": { "beta_intercept_per_month": 0.0004480556758022485, "beta_to_SPY_excess_returns": 0.7504715629993588, "monthly_return_volatility_annualized": 0.13985609102277963, "months": 300, "sharpe_monthly_annualized": 0.46015605843773283, "tracking_error_monthly_annualized": 0.09061888223821904 }, "phase": [ 6, 12 ], "policy": "B", "run_id": "B12-06-12-10bps", "signal": "12-1" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.873159213047181, "annualized_volatility": 0.16758300943920817, "cagr": -0.14240823691952786, "end_nav": 745493.6022492428, "end_session": "2001-12-31", "fee_by_category": { "entry": 2762.0543314538445, "exit": 2676.5507578800166, "resize": 495.53636658177953 }, "max_cash_weight": 1.544010598804585e-16, "max_drawdown": -0.237968499298154, "mean_cash_weight": 3.6759235628793053e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 869287.2697044426, "start_session": "2000-12-29", "total_return": -0.14240823691952786, "traded_notional_by_category": { "entry": 1104821.7325815377, "exit": 1070620.3031520066, "resize": 198214.5466327118 }, "transaction_cost": 5934.14145591564, "transaction_cost_over_anchor_nav": 0.006826444677986883, "two_sided_turnover": 2.873159213047181 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.539399004232865, "annualized_volatility": 0.2351681812469179, "cagr": -0.09785433889831341, "end_nav": 672543.818648221, "end_session": "2002-12-31", "fee_by_category": { "entry": 1243.514668804618, "exit": 1254.2056185551396, "resize": 354.29617606924177 }, "max_cash_weight": 0.34486364772278877, "max_drawdown": -0.23589304158178748, "mean_cash_weight": 0.16389614550962897, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 745493.6022492428, "start_session": "2001-12-31", "total_return": -0.09785433889831341, "traded_notional_by_category": { "entry": 497405.86752184713, "exit": 501682.2474220558, "resize": 141718.4704276967 }, "transaction_cost": 2852.016463428999, "transaction_cost_over_anchor_nav": 0.0038256753040188758, "two_sided_turnover": 1.539399004232865 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.1151397815724882, "annualized_volatility": 0.0853526612814929, "cagr": 0.12397484218990518, "end_nav": 755922.3324309303, "end_session": "2003-12-31", "fee_by_category": { "entry": 581.4483339824228, "exit": 1115.7945588230857, "resize": 219.1875942588191 }, "max_cash_weight": 0.6794625829473039, "max_drawdown": -0.04162529222446931, "mean_cash_weight": 0.4948164569806625, "nonzero_trade_event_count": 12, "order_count": 20, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 672543.818648221, "start_session": "2002-12-31", "total_return": 0.12397484218990518, "traded_notional_by_category": { "entry": 232579.33359296914, "exit": 446317.8235292343, "resize": 87675.03770352763 }, "transaction_cost": 1916.4304870643277, "transaction_cost_over_anchor_nav": 0.0028495250925304107, "two_sided_turnover": 1.1151397815724882 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 3.185761381021009, "annualized_volatility": 0.12497956444296719, "cagr": 0.10889180991434877, "end_nav": 838236.0833640104, "end_session": "2004-12-31", "fee_by_category": { "entry": 3173.1801127052936, "exit": 2553.5741065813354, "resize": 368.07567666099806 }, "max_cash_weight": 1.4275793659246094e-16, "max_drawdown": -0.07808653140538158, "mean_cash_weight": 1.2209435428186827e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 755922.3324309303, "start_session": "2003-12-31", "total_return": 0.10889180991434877, "traded_notional_by_category": { "entry": 1269272.0450821174, "exit": 1021429.642632534, "resize": 147230.27066439923 }, "transaction_cost": 6094.829895947627, "transaction_cost_over_anchor_nav": 0.00806277263478589, "two_sided_turnover": 3.185761381021009 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0058960764648954, "annualized_volatility": 0.14150388266002947, "cagr": 0.19753897339192594, "end_nav": 1003820.3787318058, "end_session": "2005-12-30", "fee_by_category": { "entry": 699.5900955028682, "exit": 723.4984905623014, "resize": 764.1487306727843 }, "max_cash_weight": 1.3525182392486618e-16, "max_drawdown": -0.09765809738285958, "mean_cash_weight": 5.110279162250322e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 838236.0833640104, "start_session": "2004-12-31", "total_return": 0.19753897339192594, "traded_notional_by_category": { "entry": 279836.0382011473, "exit": 289399.3962249206, "resize": 305659.4922691137 }, "transaction_cost": 2187.2373167379537, "transaction_cost_over_anchor_nav": 0.002609333289447681, "two_sided_turnover": 1.0058960764648954 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.258612399535203, "annualized_volatility": 0.12812824114216562, "cagr": 0.17390358360788727, "end_nav": 1178388.3398918936, "end_session": "2006-12-29", "fee_by_category": { "entry": 2624.8981936191726, "exit": 2640.874693374271, "resize": 687.5786576291777 }, "max_cash_weight": 1.129475119172552e-16, "max_drawdown": -0.07450175909782031, "mean_cash_weight": 1.0144080276524709e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1003820.3787318058, "start_session": "2005-12-30", "total_return": 0.17390358360788727, "traded_notional_by_category": { "entry": 1049959.277447669, "exit": 1056349.8773497082, "resize": 275031.46305167105 }, "transaction_cost": 5953.351544622621, "transaction_cost_over_anchor_nav": 0.005930694047219775, "two_sided_turnover": 2.258612399535203 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.508394208219028, "annualized_volatility": 0.132336216745368, "cagr": 0.10302853558933744, "end_nav": 1299795.9649065058, "end_session": "2007-12-31", "fee_by_category": { "entry": 5016.854713850169, "exit": 5054.6885193068865, "resize": 555.6116463664131 }, "max_cash_weight": 0.0, "max_drawdown": -0.07374833179230389, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1178388.3398918936, "start_session": "2006-12-29", "total_return": 0.10302853558933744, "traded_notional_by_category": { "entry": 2006741.8855400677, "exit": 2021875.4077227544, "resize": 222244.65854656522 }, "transaction_cost": 10627.154879523468, "transaction_cost_over_anchor_nav": 0.009018380884945292, "two_sided_turnover": 3.508394208219028 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.446914977663922, "annualized_volatility": 0.38809825937262704, "cagr": -0.33729229099944114, "end_nav": 861384.8060713613, "end_session": "2008-12-31", "fee_by_category": { "entry": 3246.9244456743654, "exit": 3268.487450239944, "resize": 1291.0287481060975 }, "max_cash_weight": 1.553925471782583e-16, "max_drawdown": -0.4458162825407299, "mean_cash_weight": 1.020924090611565e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1299795.9649065058, "start_session": "2007-12-31", "total_return": -0.33729229099944114, "traded_notional_by_category": { "entry": 1298769.778269746, "exit": 1307394.9800959774, "resize": 516411.499242439 }, "transaction_cost": 7806.440644020407, "transaction_cost_over_anchor_nav": 0.006005896967515146, "two_sided_turnover": 2.446914977663922 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0, "annualized_volatility": 0.003783203035135907, "cagr": 0.003783203035135907, "end_nav": 864643.5996841104, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 2167.0265656243364, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": 0.0, "mean_cash_weight": 1.0, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 861384.8060713613, "start_session": "2008-12-31", "total_return": 0.003783203035135907, "traded_notional_by_category": { "entry": 0.0, "exit": 866810.6262497345, "resize": 0.0 }, "transaction_cost": 2167.0265656243364, "transaction_cost_over_anchor_nav": 0.002515747376027909, "two_sided_turnover": 1.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.508915184732298, "annualized_volatility": 0.19266968336161067, "cagr": 0.12346440220249866, "end_nav": 971396.3048373256, "end_session": "2010-12-31", "fee_by_category": { "entry": 3454.1138197891496, "exit": 1316.5083238875, "resize": 373.4945052104301 }, "max_cash_weight": 1.4617110755087316e-16, "max_drawdown": -0.18374533234832768, "mean_cash_weight": 3.1606125961581136e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 864643.5996841104, "start_session": "2009-12-31", "total_return": 0.12346440220249866, "traded_notional_by_category": { "entry": 1381645.5279156598, "exit": 526603.329555, "resize": 149397.80208417203 }, "transaction_cost": 5144.1166488870795, "transaction_cost_over_anchor_nav": 0.005949406958851526, "two_sided_turnover": 2.508915184732298 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6073291119827258, "annualized_volatility": 0.20920336970218958, "cagr": 0.07024132356123758, "end_nav": 1039628.4669915948, "end_session": "2011-12-30", "fee_by_category": { "entry": 1743.1578165780707, "exit": 1765.6140763366634, "resize": 668.2333445501453 }, "max_cash_weight": 1.1974742296637663e-16, "max_drawdown": -0.1672573504679261, "mean_cash_weight": 2.8230654068725004e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 971396.3048373256, "start_session": "2010-12-31", "total_return": 0.07024132356123758, "traded_notional_by_category": { "entry": 697263.1266312283, "exit": 706245.6305346653, "resize": 267293.3378200581 }, "transaction_cost": 4177.005237464879, "transaction_cost_over_anchor_nav": 0.004300001159840092, "two_sided_turnover": 1.6073291119827258 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5008512387295936, "annualized_volatility": 0.08971918414997725, "cagr": 0.08310923624086541, "end_nav": 1126031.194857528, "end_session": "2012-12-31", "fee_by_category": { "entry": 1813.8274386998214, "exit": 1811.030320682627, "resize": 473.84402733977913 }, "max_cash_weight": 0.0, "max_drawdown": -0.08115334321742884, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1039628.4669915948, "start_session": "2011-12-30", "total_return": 0.08310923624086541, "traded_notional_by_category": { "entry": 725530.9754799285, "exit": 724412.1282730508, "resize": 189537.61093591165 }, "transaction_cost": 4098.701786722228, "transaction_cost_over_anchor_nav": 0.00394246783043828, "two_sided_turnover": 1.5008512387295936 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0960102478964497, "annualized_volatility": 0.11588259784272957, "cagr": 0.3737645976866586, "end_nav": 1546901.7913860793, "end_session": "2013-12-31", "fee_by_category": { "entry": 3014.696162775327, "exit": 3034.2236864733263, "resize": 319.3076202530477 }, "max_cash_weight": 0.0, "max_drawdown": -0.05474457578903191, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1126031.194857528, "start_session": "2012-12-31", "total_return": 0.3737645976866586, "traded_notional_by_category": { "entry": 1205878.4651101306, "exit": 1213689.4745893306, "resize": 127723.04810121906 }, "transaction_cost": 6368.2274695017, "transaction_cost_over_anchor_nav": 0.0056554627425818745, "two_sided_turnover": 2.0960102478964497 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.133973889380932, "annualized_volatility": 0.12726713423867966, "cagr": 0.09471992893372705, "end_nav": 1693424.2191336236, "end_session": "2014-12-31", "fee_by_category": { "entry": 3990.6913226620127, "exit": 4022.376838699982, "resize": 522.8181894411683 }, "max_cash_weight": 1.4400599432301528e-16, "max_drawdown": -0.08863424577487067, "mean_cash_weight": 1.2036369044756715e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1546901.7913860793, "start_session": "2013-12-31", "total_return": 0.09471992893372705, "traded_notional_by_category": { "entry": 1596276.529064805, "exit": 1608950.7354799928, "resize": 209127.27577646734 }, "transaction_cost": 8535.886350803163, "transaction_cost_over_anchor_nav": 0.005518053181097362, "two_sided_turnover": 2.133973889380932 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.460723191285516, "annualized_volatility": 0.15968426677379197, "cagr": -0.004681394706676167, "end_nav": 1685496.6319580143, "end_session": "2015-12-31", "fee_by_category": { "entry": 7016.406771940277, "exit": 7010.437482224515, "resize": 600.3689739038429 }, "max_cash_weight": 1.4126899607102024e-16, "max_drawdown": -0.12910052728543764, "mean_cash_weight": 2.338632647003781e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1693424.2191336236, "start_session": "2014-12-31", "total_return": -0.004681394706676167, "traded_notional_by_category": { "entry": 2806562.7087761103, "exit": 2804174.9928898057, "resize": 240147.58956153714 }, "transaction_cost": 14627.213228068635, "transaction_cost_over_anchor_nav": 0.008637654441692167, "two_sided_turnover": 3.460723191285516 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.541760060443089, "annualized_volatility": 0.14118563502975656, "cagr": 0.010856726206684986, "end_nav": 1703795.6074134721, "end_session": "2016-12-30", "fee_by_category": { "entry": 2836.1459482736154, "exit": 2859.0313372825217, "resize": 870.366323383073 }, "max_cash_weight": 1.5056978339914143e-16, "max_drawdown": -0.11227313923146776, "mean_cash_weight": 6.87745511242758e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1685496.6319580143, "start_session": "2015-12-31", "total_return": 0.010856726206684986, "traded_notional_by_category": { "entry": 1134458.379309446, "exit": 1143612.5349130086, "resize": 348146.5293532292 }, "transaction_cost": 6565.54360893921, "transaction_cost_over_anchor_nav": 0.0038953169555207734, "two_sided_turnover": 1.541760060443089 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 3.5140496035097724, "annualized_volatility": 0.09217786940176054, "cagr": 0.13063614451393235, "end_nav": 1926372.8966057415, "end_session": "2017-12-29", "fee_by_category": { "entry": 7082.209113833621, "exit": 7129.786577065141, "resize": 801.6637105495428 }, "max_cash_weight": 1.3478130239055046e-16, "max_drawdown": -0.06006637758990896, "mean_cash_weight": 2.0300784295647553e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1703795.6074134721, "start_session": "2016-12-30", "total_return": 0.13063614451393235, "traded_notional_by_category": { "entry": 2832883.645533448, "exit": 2851914.630826056, "resize": 320665.4842198171 }, "transaction_cost": 15013.659401448303, "transaction_cost_over_anchor_nav": 0.0088118899568244, "two_sided_turnover": 3.5140496035097724 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.490100510254292, "annualized_volatility": 0.1933806792665872, "cagr": -0.0810256540229628, "end_nav": 1770287.272766152, "end_session": "2018-12-31", "fee_by_category": { "entry": 3315.490890736736, "exit": 3328.79725229811, "resize": 802.037005604347 }, "max_cash_weight": 1.224075378791886e-16, "max_drawdown": -0.24642219556127742, "mean_cash_weight": 1.9632746498187002e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1926372.8966057415, "start_session": "2017-12-29", "total_return": -0.0810256540229628, "traded_notional_by_category": { "entry": 1326196.3562946944, "exit": 1331518.9009192442, "resize": 320814.80224173877 }, "transaction_cost": 7446.325148639194, "transaction_cost_over_anchor_nav": 0.0038654640343827396, "two_sided_turnover": 1.490100510254292 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2217338972833796, "annualized_volatility": 0.09902499529412982, "cagr": 0.2576705024111896, "end_nav": 2226438.083751941, "end_session": "2019-12-31", "fee_by_category": { "entry": 4572.412349851698, "exit": 4599.98174461504, "resize": 1109.894858231054 }, "max_cash_weight": 1.2589000021721513e-16, "max_drawdown": -0.03890614036638451, "mean_cash_weight": 3.857972202166347e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1770287.272766152, "start_session": "2018-12-31", "total_return": 0.2576705024111896, "traded_notional_by_category": { "entry": 1828964.9399406794, "exit": 1839992.697846016, "resize": 443957.94329242164 }, "transaction_cost": 10282.288952697792, "transaction_cost_over_anchor_nav": 0.005808260111722581, "two_sided_turnover": 2.2217338972833796 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2024389530495974, "annualized_volatility": 0.3351752675003017, "cagr": 0.1977380277185159, "end_nav": 2666689.559270442, "end_session": "2020-12-31", "fee_by_category": { "entry": 5510.819763178811, "exit": 5409.307662145108, "resize": 1273.222607692366 }, "max_cash_weight": 1.2545250337187576e-16, "max_drawdown": -0.3026968695385437, "mean_cash_weight": 1.8231572646746293e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2226438.083751941, "start_session": "2019-12-31", "total_return": 0.1977380277185159, "traded_notional_by_category": { "entry": 2204327.9052715246, "exit": 2163723.064858043, "resize": 509289.0430769464 }, "transaction_cost": 12193.350033016286, "transaction_cost_over_anchor_nav": 0.005476617617170983, "two_sided_turnover": 2.2024389530495974 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.202177691074365, "annualized_volatility": 0.15963827511681394, "cagr": 0.20983863082887555, "end_nav": 3226264.045233409, "end_session": "2021-12-31", "fee_by_category": { "entry": 7260.069190409493, "exit": 7444.3064130406365, "resize": 1350.7847676354631 }, "max_cash_weight": 0.0, "max_drawdown": -0.06861715412723712, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2666689.559270442, "start_session": "2020-12-31", "total_return": 0.20983863082887555, "traded_notional_by_category": { "entry": 2904027.6761637973, "exit": 2977722.565216255, "resize": 540313.9070541853 }, "transaction_cost": 16055.160371085594, "transaction_cost_over_anchor_nav": 0.006020633453666048, "two_sided_turnover": 2.202177691074365 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.129749389822831, "annualized_volatility": 0.22421399021314134, "cagr": 0.018730827702810426, "end_nav": 3286694.6411884483, "end_session": "2022-12-30", "fee_by_category": { "entry": 10363.069095387724, "exit": 10564.866055013841, "resize": 3677.7476222713926 }, "max_cash_weight": 1.5680609992429358e-16, "max_drawdown": -0.19655722367547002, "mean_cash_weight": 2.4759889803219047e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3226264.045233409, "start_session": "2021-12-31", "total_return": 0.018730827702810426, "traded_notional_by_category": { "entry": 4145227.6381550897, "exit": 4225946.422005536, "resize": 1471099.048908557 }, "transaction_cost": 24605.682772672957, "transaction_cost_over_anchor_nav": 0.007626679784323983, "two_sided_turnover": 3.129749389822831 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1271729467529936, "annualized_volatility": 0.13809254830279258, "cagr": 0.035561485737302556, "end_nav": 3403574.38579394, "end_session": "2023-12-29", "fee_by_category": { "entry": 7891.540790542124, "exit": 7931.097385983437, "resize": 1048.1713774879606 }, "max_cash_weight": 1.5758188056018994e-16, "max_drawdown": -0.14767272627202754, "mean_cash_weight": 4.762126707566677e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 3286694.6411884483, "start_session": "2022-12-30", "total_return": 0.035561485737302556, "traded_notional_by_category": { "entry": 3156616.3162168497, "exit": 3172438.9543933747, "resize": 419268.5509951842 }, "transaction_cost": 16870.809554013522, "transaction_cost_over_anchor_nav": 0.005133062665022371, "two_sided_turnover": 2.1271729467529936 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9103920875305974, "annualized_volatility": 0.1476050412811502, "cagr": 0.20306923312341585, "end_nav": 4094735.626195617, "end_session": "2024-12-31", "fee_by_category": { "entry": 3106.073850959237, "exit": 3132.4250818038167, "resize": 2260.40257333513 }, "max_cash_weight": 1.3622513530281302e-16, "max_drawdown": -0.09103199414467822, "mean_cash_weight": 2.1981574502513102e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3403574.38579394, "start_session": "2023-12-29", "total_return": 0.20306923312341585, "traded_notional_by_category": { "entry": 1242429.5403836947, "exit": 1252970.0327215267, "resize": 904161.029334052 }, "transaction_cost": 8498.901506098184, "transaction_cost_over_anchor_nav": 0.0024970517881352764, "two_sided_turnover": 0.9103920875305974 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8685014703967737, "annualized_volatility": 0.15731593127281232, "cagr": 0.16801550057752435, "end_nav": 4782714.6821634965, "end_session": "2025-12-31", "fee_by_category": { "entry": 3429.617970828129, "exit": 3592.371952708438, "resize": 2086.803364726991 }, "max_cash_weight": 1.233395274364277e-16, "max_drawdown": -0.13257722198464328, "mean_cash_weight": 1.855591380871666e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4094735.626195617, "start_session": "2024-12-31", "total_return": 0.16801550057752435, "traded_notional_by_category": { "entry": 1371847.1883312515, "exit": 1436948.7810833752, "resize": 834721.3458907963 }, "transaction_cost": 9108.793288263558, "transaction_cost_over_anchor_nav": 0.0022245131602614495, "two_sided_turnover": 0.8685014703967737 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.097966260635272, "annualized_volatility": 0.17713171215358103, "cagr": 0.07058325463294257, "end_nav": 4782714.6821634965, "end_session": "2025-12-31", "fee_by_category": { "entry": 95748.8071920386, "exit": 96406.86295120802, "resize": 22974.624467961043 }, "max_cash_weight": 1.0, "max_drawdown": -0.4458162825407299, "mean_cash_weight": 0.0664856968073093, "nonzero_trade_event_count": 289, "order_count": 911, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 869287.2697044426, "start_session": "2000-12-29", "total_return": 4.50188050469164, "traded_notional_by_category": { "entry": 38299522.87681544, "exit": 38562745.18048321, "resize": 9189849.787184417 }, "transaction_cost": 215130.29461120768, "transaction_cost_over_anchor_nav": 0.24747894293258418, "two_sided_turnover": 52.449156515881796 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 5574626.29569755, "end_session": "2026-10-02", "fee_by_category": { "entry": 12738.810519967945, "exit": 12843.490837644124, "resize": 4123.168995292328 }, "max_cash_weight": 0.0, "max_drawdown": -0.081603687949938, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 10, "order_count": 33, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 4782714.6821634965, "start_session": "2025-12-31", "total_return": 0.165577849853219, "traded_notional_by_category": { "entry": 5095524.207987178, "exit": 5137396.335057649, "resize": 1649267.5981169313 }, "transaction_cost": 29705.470352904398, "transaction_cost_over_anchor_nav": 0.006211006160097116, "two_sided_turnover": 2.3200683918596603 } }, "monthly_risk": { "beta_intercept_per_month": 0.00018581412936946682, "beta_to_SPY_excess_returns": 0.7501639100233104, "monthly_return_volatility_annualized": 0.1398309300484662, "months": 300, "sharpe_monthly_annualized": 0.43758560414591463, "tracking_error_monthly_annualized": 0.09065752177576461 }, "phase": [ 6, 12 ], "policy": "B", "run_id": "B12-06-12-25bps", "signal": "12-1" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8749251642894156, "annualized_volatility": 0.16758897911112952, "cagr": -0.13745759647847122, "end_nav": 753027.7407243974, "end_session": "2001-12-31", "fee_by_category": { "entry": 557.0183704443443, "exit": 538.3564686990957, "resize": 99.15610975734475 }, "max_cash_weight": 1.5332917234391514e-16, "max_drawdown": -0.23373095799196153, "mean_cash_weight": 3.8338715845422184e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 873032.7200726451, "start_session": "2000-12-29", "total_return": -0.13745759647847122, "traded_notional_by_category": { "entry": 1114036.7408886887, "exit": 1076712.9373981913, "resize": 198312.2195146895 }, "transaction_cost": 1194.5309489007848, "transaction_cost_over_anchor_nav": 0.0013682545011616378, "two_sided_turnover": 2.8749251642894156 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5410039493209446, "annualized_volatility": 0.235059880866222, "cagr": -0.09507012427567396, "end_nav": 681437.2998306989, "end_session": "2002-12-31", "fee_by_category": { "entry": 251.8298774142471, "exit": 253.37618471705164, "resize": 72.01642236368743 }, "max_cash_weight": 0.34486364772278877, "max_drawdown": -0.23530016868698433, "mean_cash_weight": 0.16389614550962897, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 753027.7407243974, "start_session": "2001-12-31", "total_return": -0.09507012427567396, "traded_notional_by_category": { "entry": 503659.7548284943, "exit": 506752.36943410325, "resize": 144032.84472737485 }, "transaction_cost": 577.2224844949861, "transaction_cost_over_anchor_nav": 0.0007665354850535916, "two_sided_turnover": 1.5410039493209446 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.1146855263471849, "annualized_volatility": 0.08565863541216158, "cagr": 0.1264865761678986, "end_nav": 767629.9707593818, "end_session": "2003-12-31", "fee_by_category": { "entry": 118.07141183674871, "exit": 226.10988615089568, "resize": 44.259702124330246 }, "max_cash_weight": 0.6794625829473039, "max_drawdown": -0.041592960269743906, "mean_cash_weight": 0.49481645698066257, "nonzero_trade_event_count": 12, "order_count": 20, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 681437.2998306989, "start_session": "2002-12-31", "total_return": 0.1264865761678986, "traded_notional_by_category": { "entry": 236142.82367349742, "exit": 452219.77230179135, "resize": 88519.40424866049 }, "transaction_cost": 388.4410001119747, "transaction_cost_over_anchor_nav": 0.0005700319019937443, "two_sided_turnover": 1.1146855263471849 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 3.1900053375888673, "annualized_volatility": 0.12442762934130416, "cagr": 0.11599267502646504, "end_nav": 856669.4244982495, "end_session": "2004-12-31", "fee_by_category": { "entry": 647.3652538513791, "exit": 519.5294559613214, "resize": 74.7930343060737 }, "max_cash_weight": 0.0, "max_drawdown": -0.07805384221250622, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 767629.9707593818, "start_session": "2003-12-31", "total_return": 0.11599267502646504, "traded_notional_by_category": { "entry": 1294730.507702758, "exit": 1039058.9119226427, "resize": 149586.06861214738 }, "transaction_cost": 1241.6877441187742, "transaction_cost_over_anchor_nav": 0.0016175602717679565, "two_sided_turnover": 3.1900053375888673 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0064450158626392, "annualized_volatility": 0.14135896330240066, "cagr": 0.19995205323332121, "end_nav": 1027962.2348688821, "end_session": "2005-12-30", "fee_by_category": { "entry": 143.19421792441204, "exit": 147.88173590618547, "resize": 156.48093064831605 }, "max_cash_weight": 1.4043494716274253e-16, "max_drawdown": -0.09764207941648928, "mean_cash_weight": 4.192845136014231e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 856669.4244982495, "start_session": "2004-12-31", "total_return": 0.19995205323332121, "traded_notional_by_category": { "entry": 286388.4358488241, "exit": 295763.47181237093, "resize": 312961.8612966321 }, "transaction_cost": 447.5568844789136, "transaction_cost_over_anchor_nav": 0.0005224382611075997, "two_sided_turnover": 1.0064450158626392 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2609193868702544, "annualized_volatility": 0.12851810051275978, "cagr": 0.17922503898270614, "end_nav": 1212198.8064860073, "end_session": "2006-12-29", "fee_by_category": { "entry": 539.4322134785273, "exit": 541.4939844384334, "resize": 141.2356346498 }, "max_cash_weight": 0.0, "max_drawdown": -0.0744566917161067, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1027962.2348688821, "start_session": "2005-12-30", "total_return": 0.17922503898270614, "traded_notional_by_category": { "entry": 1078864.4269570543, "exit": 1082987.9688768666, "resize": 282471.2692996 }, "transaction_cost": 1222.1618325667605, "transaction_cost_over_anchor_nav": 0.0011889170546451533, "two_sided_turnover": 2.2609193868702544 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.515050345170203, "annualized_volatility": 0.1326580618143024, "cagr": 0.1108110963592106, "end_nav": 1346523.8852380484, "end_session": "2007-12-31", "fee_by_category": { "entry": 1037.519025697729, "exit": 1041.7446920034708, "resize": 115.51784909282767 }, "max_cash_weight": 0.0, "max_drawdown": -0.07119832736893539, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1212198.8064860073, "start_session": "2006-12-29", "total_return": 0.1108110963592106, "traded_notional_by_category": { "entry": 2075038.051395458, "exit": 2083489.3840069417, "resize": 231035.69818565535 }, "transaction_cost": 2194.7815667940276, "transaction_cost_over_anchor_nav": 0.0018105788877621392, "two_sided_turnover": 3.515050345170203 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4500482278027955, "annualized_volatility": 0.38805185022068234, "cagr": -0.3340376030875788, "end_nav": 896734.2741129567, "end_session": "2008-12-31", "fee_by_category": { "entry": 674.9211395972881, "exit": 677.872147432919, "resize": 269.08468575797906 }, "max_cash_weight": 1.393673259444705e-16, "max_drawdown": -0.4447828299522547, "mean_cash_weight": 1.1555522700073065e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1346523.8852380484, "start_session": "2007-12-31", "total_return": -0.3340376030875788, "traded_notional_by_category": { "entry": 1349842.279194576, "exit": 1355744.2948658378, "resize": 538169.3715159581 }, "transaction_cost": 1621.877972788186, "transaction_cost_over_anchor_nav": 0.0012044925385794093, "two_sided_turnover": 2.4500482278027955 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9999999999999999, "annualized_volatility": 0.005795800935957774, "cagr": 0.005795800935957773, "end_nav": 901931.567458166, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 451.19137941879234, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": 0.0, "mean_cash_weight": 1.0, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 896734.2741129567, "start_session": "2008-12-31", "total_return": 0.005795800935957773, "traded_notional_by_category": { "entry": 0.0, "exit": 902382.7588375846, "resize": 0.0 }, "transaction_cost": 451.19137941879234, "transaction_cost_over_anchor_nav": 0.0005031494752055816, "two_sided_turnover": 0.9999999999999999 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.513604177143594, "annualized_volatility": 0.1927410252704552, "cagr": 0.12912279976501528, "end_nav": 1018391.4966448132, "end_session": "2010-12-31", "fee_by_category": { "entry": 722.8309363235521, "exit": 275.25024035950986, "resize": 78.5628243939433 }, "max_cash_weight": 1.437785176259167e-16, "max_drawdown": -0.18148389576842672, "mean_cash_weight": 6.347664912315946e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 901931.567458166, "start_session": "2009-12-31", "total_return": 0.12912279976501528, "traded_notional_by_category": { "entry": 1445661.8726471043, "exit": 550500.4807190197, "resize": 157125.6487878866 }, "transaction_cost": 1076.6440010770052, "transaction_cost_over_anchor_nav": 0.0011937091902783886, "two_sided_turnover": 2.513604177143594 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6100435353298266, "annualized_volatility": 0.20928312318978015, "cagr": 0.07369171096193661, "end_nav": 1093438.5084616567, "end_session": "2011-12-30", "fee_by_category": { "entry": 366.5442152480118, "exit": 370.269115516798, "resize": 140.902690711865 }, "max_cash_weight": 0.0, "max_drawdown": -0.16705503974697966, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1018391.4966448132, "start_session": "2010-12-31", "total_return": 0.07369171096193661, "traded_notional_by_category": { "entry": 733088.4304960236, "exit": 740538.231033596, "resize": 281805.38142373 }, "transaction_cost": 877.7160214766749, "transaction_cost_over_anchor_nav": 0.0008618650336028856, "two_sided_turnover": 1.6100435353298266 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5017532433085028, "annualized_volatility": 0.08981958336326637, "cagr": 0.08636775266698549, "end_nav": 1187876.3351170307, "end_session": "2012-12-31", "fee_by_category": { "entry": 382.346019915653, "exit": 381.24913552028477, "resize": 99.92648783241012 }, "max_cash_weight": 0.0, "max_drawdown": -0.0810987154652727, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1093438.5084616567, "start_session": "2011-12-30", "total_return": 0.08636775266698549, "traded_notional_by_category": { "entry": 764692.039831306, "exit": 762498.2710405695, "resize": 199852.97566482023 }, "transaction_cost": 863.5216432683479, "transaction_cost_over_anchor_nav": 0.0007897304115283304, "two_sided_turnover": 1.5017532433085028 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.09912566865725, "annualized_volatility": 0.11635575403729709, "cagr": 0.3795426943823268, "end_nav": 1638726.1199403522, "end_session": "2013-12-31", "fee_by_category": { "entry": 638.0992099392223, "exit": 640.8247913172546, "resize": 68.12395318417921 }, "max_cash_weight": 0.0, "max_drawdown": -0.05474457578903191, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1187876.3351170307, "start_session": "2012-12-31", "total_return": 0.3795426943823268, "traded_notional_by_category": { "entry": 1276198.4198784446, "exit": 1281649.5826345093, "resize": 136247.9063683584 }, "transaction_cost": 1347.0479544406562, "transaction_cost_over_anchor_nav": 0.001133996792947259, "two_sided_turnover": 2.09912566865725 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1371326615007495, "annualized_volatility": 0.12725807150991247, "cagr": 0.09940780189406317, "end_nav": 1801628.2814300095, "end_session": "2014-12-31", "fee_by_category": { "entry": 848.2681716026095, "exit": 853.0817119310157, "resize": 111.86714745731555 }, "max_cash_weight": 1.437501618887572e-16, "max_drawdown": -0.0886296429958231, "mean_cash_weight": 3.550432757179007e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1638726.1199403522, "start_session": "2013-12-31", "total_return": 0.09940780189406317, "traded_notional_by_category": { "entry": 1696536.3432052191, "exit": 1706163.4238620312, "resize": 223734.29491463111 }, "transaction_cost": 1813.2170309909407, "transaction_cost_over_anchor_nav": 0.001106479605668908, "two_sided_turnover": 2.1371326615007495 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4655710638722526, "annualized_volatility": 0.1596786130237651, "cagr": 0.0022464809098736715, "end_nav": 1805675.6049709306, "end_session": "2015-12-31", "fee_by_category": { "entry": 1500.6194494235474, "exit": 1494.1269184040398, "resize": 127.5728431429487 }, "max_cash_weight": 1.38396732928914e-16, "max_drawdown": -0.12661648038488094, "mean_cash_weight": 3.285347781600204e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1801628.2814300095, "start_session": "2014-12-31", "total_return": 0.0022464809098736715, "traded_notional_by_category": { "entry": 3001238.8988470947, "exit": 2988253.8368080794, "resize": 255145.6862858974 }, "transaction_cost": 3122.319210970536, "transaction_cost_over_anchor_nav": 0.0017330540617913992, "two_sided_turnover": 3.4655710638722526 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5444336911491612, "annualized_volatility": 0.14110528206433595, "cagr": 0.013982636170068785, "end_nav": 1830923.7099964079, "end_session": "2016-12-30", "fee_by_category": { "entry": 609.4293720155251, "exit": 612.7048357536828, "resize": 187.5830436086083 }, "max_cash_weight": 1.452414462752619e-16, "max_drawdown": -0.1122108292033791, "mean_cash_weight": 6.615649412465157e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1805675.6049709306, "start_session": "2015-12-31", "total_return": 0.013982636170068785, "traded_notional_by_category": { "entry": 1218858.7440310502, "exit": 1225409.6715073655, "resize": 375166.0872172166 }, "transaction_cost": 1409.7172513778162, "transaction_cost_over_anchor_nav": 0.0007807145688278328, "two_sided_turnover": 1.5444336911491612 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 3.5207278771546067, "annualized_volatility": 0.09198074722905157, "cagr": 0.13862633345937359, "end_nav": 2084737.9507570434, "end_session": "2017-12-29", "fee_by_category": { "entry": 1529.992647809146, "exit": 1534.9417269338903, "resize": 174.06724465807633 }, "max_cash_weight": 1.3092654860329755e-16, "max_drawdown": -0.06004300603166568, "mean_cash_weight": 2.0902401513239245e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1830923.7099964079, "start_session": "2016-12-30", "total_return": 0.13862633345937359, "traded_notional_by_category": { "entry": 3059985.2956182924, "exit": 3069883.4538677805, "resize": 348134.48931615264 }, "transaction_cost": 3239.0016194011127, "transaction_cost_over_anchor_nav": 0.0017690532935462765, "two_sided_turnover": 3.5207278771546067 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.491033582190901, "annualized_volatility": 0.19345810003816208, "cagr": -0.07828073203578434, "end_nav": 1921543.1378690011, "end_session": "2018-12-31", "fee_by_category": { "entry": 719.1283484810044, "exit": 721.0377657590557, "resize": 173.9874799044442 }, "max_cash_weight": 1.1031081861395728e-16, "max_drawdown": -0.2463794886861157, "mean_cash_weight": 8.84983689559182e-18, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2084737.9507570434, "start_session": "2017-12-29", "total_return": -0.07828073203578434, "traded_notional_by_category": { "entry": 1438256.6969620087, "exit": 1442075.5315181112, "resize": 347974.9598088884 }, "transaction_cost": 1614.1535941445043, "transaction_cost_over_anchor_nav": 0.0007742716985405033, "two_sided_turnover": 1.491033582190901 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2231573992318943, "annualized_volatility": 0.0986176412189986, "cagr": 0.26327901526211495, "end_nav": 2427445.122990826, "end_session": "2019-12-31", "fee_by_category": { "entry": 995.8523711795149, "exit": 999.6857966476828, "resize": 241.0128105129463 }, "max_cash_weight": 1.1250390995719125e-16, "max_drawdown": -0.03887637244813835, "mean_cash_weight": 8.535947679367649e-18, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1921543.1378690011, "start_session": "2018-12-31", "total_return": 0.26327901526211495, "traded_notional_by_category": { "entry": 1991704.7423590296, "exit": 1999371.593295365, "resize": 482025.62102589256 }, "transaction_cost": 2236.5509783401435, "transaction_cost_over_anchor_nav": 0.0011639348262670217, "two_sided_turnover": 2.2231573992318943 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.203803802962238, "annualized_volatility": 0.3351761134197195, "cagr": 0.2030327932968088, "end_nav": 2920296.086886369, "end_session": "2020-12-31", "fee_by_category": { "entry": 1205.5997494161782, "exit": 1180.750909622904, "resize": 277.31748380229914 }, "max_cash_weight": 0.0, "max_drawdown": -0.3026753160366753, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2427445.122990826, "start_session": "2019-12-31", "total_return": 0.2030327932968088, "traded_notional_by_category": { "entry": 2411199.498832356, "exit": 2361501.819245808, "resize": 554634.9676045983 }, "transaction_cost": 2663.6681428413813, "transaction_cost_over_anchor_nav": 0.0010973134336233759, "two_sided_turnover": 2.203803802962238 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2054142470421136, "annualized_volatility": 0.1595342456320201, "cagr": 0.2151855539251879, "end_nav": 3548701.6179685714, "end_session": "2021-12-31", "fee_by_category": { "entry": 1595.4834340826794, "exit": 1632.1947553694158, "resize": 298.16689282928337 }, "max_cash_weight": 1.4821727254170734e-16, "max_drawdown": -0.06858035438874699, "mean_cash_weight": 4.7396142098306125e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2920296.086886369, "start_session": "2020-12-31", "total_return": 0.2151855539251879, "traded_notional_by_category": { "entry": 3190966.868165359, "exit": 3264389.5107388315, "resize": 596333.7856585667 }, "transaction_cost": 3525.845082281379, "transaction_cost_over_anchor_nav": 0.0012073587668436211, "two_sided_turnover": 2.2054142470421136 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.1353583784039283, "annualized_volatility": 0.22454860650056097, "cagr": 0.025136037975463044, "end_nav": 3637901.9166014167, "end_session": "2022-12-30", "fee_by_category": { "entry": 2289.5171254967527, "exit": 2327.8192952913523, "resize": 815.6771433376688 }, "max_cash_weight": 1.310692606067998e-16, "max_drawdown": -0.19410001226542017, "mean_cash_weight": 3.075596125121986e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3548701.6179685714, "start_session": "2021-12-31", "total_return": 0.025136037975463044, "traded_notional_by_category": { "entry": 4579034.250993505, "exit": 4655638.590582704, "resize": 1631354.2866753375 }, "transaction_cost": 5433.013564125774, "transaction_cost_over_anchor_nav": 0.001530986301191438, "two_sided_turnover": 3.1353583784039283 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1311658043648922, "annualized_volatility": 0.1380299562994844, "cagr": 0.03998689625184637, "end_nav": 3783370.32311495, "end_session": "2023-12-29", "fee_by_category": { "entry": 1754.2832195935994, "exit": 1756.0383803935931, "resize": 232.34897626223776 }, "max_cash_weight": 1.4737437027736539e-16, "max_drawdown": -0.14409953984045842, "mean_cash_weight": 5.67185116099415e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 3637901.9166014167, "start_session": "2022-12-30", "total_return": 0.03998689625184637, "traded_notional_by_category": { "entry": 3508566.439187199, "exit": 3512076.760787186, "resize": 464697.9525244755 }, "transaction_cost": 3742.6705762494303, "transaction_cost_over_anchor_nav": 0.0010287991985627502, "two_sided_turnover": 2.1311658043648922 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9108601106071098, "annualized_volatility": 0.14756397235677438, "cagr": 0.20526323865656493, "end_nav": 4559957.168674659, "end_session": "2024-12-31", "fee_by_category": { "entry": 691.648099940913, "exit": 696.5473233047562, "resize": 502.96237907592615 }, "max_cash_weight": 1.221798915636042e-16, "max_drawdown": -0.09096120740361313, "mean_cash_weight": 2.725244138973157e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3783370.32311495, "start_session": "2023-12-29", "total_return": 0.20526323865656493, "traded_notional_by_category": { "entry": 1383296.1998818258, "exit": 1393094.6466095124, "resize": 1005924.7581518523 }, "transaction_cost": 1891.1578023215955, "transaction_cost_over_anchor_nav": 0.0004998606112564086, "two_sided_turnover": 0.9108601106071098 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8699014445297201, "annualized_volatility": 0.15729929786751395, "cagr": 0.17004700013726182, "end_nav": 5335364.205962187, "end_session": "2025-12-31", "fee_by_category": { "entry": 764.9181066841318, "exit": 800.1035345726643, "resize": 467.59801695537834 }, "max_cash_weight": 0.0, "max_drawdown": -0.13252238506410352, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4559957.168674659, "start_session": "2024-12-31", "total_return": 0.17004700013726182, "traded_notional_by_category": { "entry": 1529836.2133682636, "exit": 1600207.0691453286, "resize": 935196.0339107567 }, "transaction_cost": 2032.6196582121745, "transaction_cost_over_anchor_nav": 0.0004457541119411327, "two_sided_turnover": 0.8699014445297201 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.100646785628042, "annualized_volatility": 0.17714801850176914, "cagr": 0.07509128659877584, "end_nav": 5335364.205962187, "end_session": "2025-12-31", "fee_by_category": { "entry": 20583.911987396717, "exit": 20674.182171426066, "resize": 4970.22178636989 }, "max_cash_weight": 1.0, "max_drawdown": -0.4447828299522547, "mean_cash_weight": 0.0664856968073093, "nonzero_trade_event_count": 289, "order_count": 911, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 873032.7200726451, "start_session": "2000-12-29", "total_return": 5.111299248346878, "traded_notional_by_category": { "entry": 41167823.974793434, "exit": 41348364.34285213, "resize": 9940443.572739778 }, "transaction_cost": 46228.31594519267, "transaction_cost_over_anchor_nav": 0.052951412796242055, "two_sided_turnover": 52.516169640701044 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6247743.675753338, "end_session": "2026-10-02", "fee_by_category": { "entry": 2851.8334482592636, "exit": 2868.7106977836747, "resize": 920.271751421021 }, "max_cash_weight": 0.0, "max_drawdown": -0.08156393578855081, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 10, "order_count": 33, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 5335364.205962187, "start_session": "2025-12-31", "total_return": 0.171006033434715, "traded_notional_by_category": { "entry": 5703666.8965185275, "exit": 5737421.39556735, "resize": 1840543.502842042 }, "transaction_cost": 6640.81589746396, "transaction_cost_over_anchor_nav": 0.0012446790211702796, "two_sided_turnover": 2.321484485313387 } }, "monthly_risk": { "beta_intercept_per_month": 0.0005355808630157438, "beta_to_SPY_excess_returns": 0.7505742668922106, "monthly_return_volatility_annualized": 0.13987210449304177, "months": 300, "sharpe_monthly_annualized": 0.4676619390232681, "tracking_error_monthly_annualized": 0.09061773448746782 }, "phase": [ 6, 12 ], "policy": "B", "run_id": "B12-06-12-5bps", "signal": "12-1" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4031976784680222, "annualized_volatility": 0.17020004353213253, "cagr": -0.046168590104639806, "end_nav": 830714.6534286108, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5775397490623725e-16, "max_drawdown": -0.19227389182723242, "mean_cash_weight": 9.189288379072423e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 870923.9859481499, "start_session": "2000-12-29", "total_return": -0.046168590104639806, "traded_notional_by_category": { "entry": 890096.2782766453, "exit": 924709.4604316836, "resize": 310845.93405724777 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.4031976784680222 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4787005439977483, "annualized_volatility": 0.13707105651513257, "cagr": -0.08635377513770393, "end_nav": 758979.3070428409, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6947334971483603, "max_drawdown": -0.17609587287934325, "mean_cash_weight": 0.4481961216014683, "nonzero_trade_event_count": 12, "order_count": 23, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 830714.6534286108, "start_session": "2001-12-31", "total_return": -0.08635377513770393, "traded_notional_by_category": { "entry": 276005.5327135355, "exit": 785431.8125313299, "resize": 136758.690440386 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4787005439977483 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.11893363320021, "annualized_volatility": 0.09602104835970636, "cagr": 0.16696364975051226, "end_nav": 885701.2622318283, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.682445098097693, "max_drawdown": -0.04872631656814008, "mean_cash_weight": 0.38546743614857965, "nonzero_trade_event_count": 12, "order_count": 24, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 758979.3070428409, "start_session": "2002-12-31", "total_return": 0.16696364975051226, "traded_notional_by_category": { "entry": 1015962.475141451, "exit": 491730.00021179183, "resize": 108482.67707855874 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.11893363320021 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.845572358864976, "annualized_volatility": 0.12457624620678825, "cagr": 0.21981762361905477, "end_nav": 1080394.008932026, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3171336977234377e-16, "max_drawdown": -0.06752311021886703, "mean_cash_weight": 9.049354825973254e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 885701.2622318283, "start_session": "2003-12-31", "total_return": 0.21981762361905477, "traded_notional_by_category": { "entry": 1231289.7248580088, "exit": 1225913.7082842367, "resize": 179025.21337666718 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.845572358864976 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 2.923712093761137, "annualized_volatility": 0.12764688763106394, "cagr": 0.09288711816212691, "end_nav": 1180748.6949013493, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.10133613355512516, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1080394.008932026, "start_session": "2004-12-31", "total_return": 0.09288711816212691, "traded_notional_by_category": { "entry": 1503303.3776192642, "exit": 1521614.6614611987, "resize": 273021.03693105583 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.923712093761137 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.213769211567043, "annualized_volatility": 0.11485379267323947, "cagr": 0.20438066099292285, "end_nav": 1422070.893631818, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9790700751300168e-16, "max_drawdown": -0.08229331128633932, "mean_cash_weight": 3.087352815196018e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1180748.6949013493, "start_session": "2005-12-30", "total_return": 0.20438066099292285, "traded_notional_by_category": { "entry": 1274998.4334633898, "exit": 1267151.7787724365, "resize": 278854.7302158887 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.213769211567043 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.5157261822340673, "annualized_volatility": 0.1731595507260911, "cagr": 0.02557414151196391, "end_nav": 1458439.1359056032, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6409959245593938e-16, "max_drawdown": -0.14599882784567286, "mean_cash_weight": 5.0526304981029594e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1422070.893631818, "start_session": "2006-12-29", "total_return": 0.02557414151196391, "traded_notional_by_category": { "entry": 2363368.5554960333, "exit": 2369190.537697615, "resize": 262261.75195497414 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.5157261822340673 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 3.0345787664341293, "annualized_volatility": 0.4355424443674804, "cagr": -0.36056317769374224, "end_nav": 932579.6865905633, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4473210856660424e-16, "max_drawdown": -0.47909624278113705, "mean_cash_weight": 9.453529471879736e-18, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1458439.1359056032, "start_session": "2007-12-31", "total_return": -0.36056317769374224, "traded_notional_by_category": { "entry": 1838659.7717804378, "exit": 1886693.7314000775, "resize": 428956.22353556164 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.0345787664341293 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7104736539775043, "annualized_volatility": 0.12566420751347906, "cagr": 0.058964126093411284, "end_nav": 987568.4328228433, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.11347573410470646, "mean_cash_weight": 0.6377374563554695, "nonzero_trade_event_count": 7, "order_count": 16, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 932579.6865905633, "start_session": "2008-12-31", "total_return": 0.058964126093411284, "traded_notional_by_category": { "entry": 593718.8253446787, "exit": 890578.2380170182, "resize": 40953.29953733686 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.7104736539775043 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8442775712421222, "annualized_volatility": 0.19037342535107682, "cagr": 0.1899379486823911, "end_nav": 1175145.155136698, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.34810694198768666, "max_drawdown": -0.18057158562547382, "mean_cash_weight": 0.025400162458900966, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 987568.4328228433, "start_session": "2009-12-31", "total_return": 0.1899379486823911, "traded_notional_by_category": { "entry": 1003641.8961604306, "exit": 691818.101298825, "resize": 177747.9467950982 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.8442775712421222 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.826724947309936, "annualized_volatility": 0.20754945895920318, "cagr": 0.08569559191222198, "end_nav": 1275849.9147889172, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.14740859603394607, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1175145.155136698, "start_session": "2010-12-31", "total_return": 0.08569559191222198, "traded_notional_by_category": { "entry": 1625998.4341696708, "exit": 1635171.3486522818, "resize": 186676.49957247294 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.826724947309936 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8252666111739217, "annualized_volatility": 0.08631870769000943, "cagr": 0.1315356557583902, "end_nav": 1443669.6699799637, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7689241686627144e-16, "max_drawdown": -0.0695610521075064, "mean_cash_weight": 7.233987409375646e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1275849.9147889172, "start_session": "2011-12-30", "total_return": 0.1315356557583902, "traded_notional_by_category": { "entry": 437422.8363931653, "exit": 448945.5323889773, "resize": 210253.4307677148 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.8252666111739217 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.420349985882659, "annualized_volatility": 0.12100736526053216, "cagr": 0.3925591975547884, "end_nav": 2010395.4771614845, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3897621302455307e-16, "max_drawdown": -0.0547445757890318, "mean_cash_weight": 5.2875638109356874e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1443669.6699799637, "start_session": "2012-12-31", "total_return": 0.3925591975547884, "traded_notional_by_category": { "entry": 1025005.383324953, "exit": 1019791.7125648602, "resize": 157430.22813093662 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.420349985882659 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.849015722192416, "annualized_volatility": 0.13876833385687265, "cagr": 0.0005272881285305342, "end_nav": 2011455.534830243, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.1862041696066156e-16, "max_drawdown": -0.12171296792416286, "mean_cash_weight": 3.678023817367478e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2010395.4771614845, "start_session": "2013-12-31", "total_return": 0.0005272881285305342, "traded_notional_by_category": { "entry": 2727197.7376825144, "exit": 2721244.09945077, "resize": 377665.1795642036 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.849015722192416 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.831883221883427, "annualized_volatility": 0.15626874548594527, "cagr": -0.013795522298610252, "end_nav": 1983706.4551468294, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2179760052372046e-16, "max_drawdown": -0.10813738854458843, "mean_cash_weight": 3.89163631933563e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2011455.534830243, "start_session": "2014-12-31", "total_return": -0.013795522298610252, "traded_notional_by_category": { "entry": 2628389.356817479, "exit": 2639692.616738215, "resize": 310095.53227935184 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.831883221883427 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.247927285103175, "annualized_volatility": 0.12430018071634237, "cagr": 0.0669006258294067, "end_nav": 2116417.658457986, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.295893324753089e-16, "max_drawdown": -0.0942809978637058, "mean_cash_weight": 7.586276128651288e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1983706.4551468294, "start_session": "2015-12-31", "total_return": 0.0669006258294067, "traded_notional_by_category": { "entry": 2041671.4376812032, "exit": 2048689.683551943, "resize": 498002.50762687065 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.247927285103175 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1643856496088723, "annualized_volatility": 0.09072251699459358, "cagr": 0.223101007131717, "end_nav": 2588592.569571313, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.1838644007058294e-16, "max_drawdown": -0.05444608127490003, "mean_cash_weight": 4.857612363511585e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2116417.658457986, "start_session": "2016-12-30", "total_return": 0.223101007131717, "traded_notional_by_category": { "entry": 2200764.7519106017, "exit": 2203816.9162524818, "resize": 375642.0663715545 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.1643856496088723 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5117572094789493, "annualized_volatility": 0.19549140110729563, "cagr": -0.08469340849275697, "end_nav": 2369355.8416552944, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.825367702276027e-16, "max_drawdown": -0.24636880288553642, "mean_cash_weight": 1.5571805975117943e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2588592.569571313, "start_session": "2017-12-29", "total_return": -0.08469340849275697, "traded_notional_by_category": { "entry": 1850794.5347808548, "exit": 1880682.761116249, "resize": 457280.832501782 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5117572094789493 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1198421311246842, "annualized_volatility": 0.09817703868215066, "cagr": 0.25286192523413553, "end_nav": 2968475.7213409976, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6727962252097128, "max_drawdown": -0.04253066824998897, "mean_cash_weight": 0.3293259791867862, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2369355.8416552944, "start_session": "2018-12-31", "total_return": 0.25286192523413553, "traded_notional_by_category": { "entry": 2653290.444018485, "exit": 2592945.4632648444, "resize": 322842.1891716792 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.1198421311246842 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5783383876485555, "annualized_volatility": 0.33366737865037105, "cagr": 0.2117573684034293, "end_nav": 3597072.328261639, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4793598353105338e-16, "max_drawdown": -0.3026699231708956, "mean_cash_weight": 4.678617319507835e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2968475.7213409976, "start_session": "2019-12-31", "total_return": 0.2117573684034293, "traded_notional_by_category": { "entry": 2103682.705196071, "exit": 2104691.8592460966, "resize": 736173.164756255 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5783383876485555 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2024961350035928, "annualized_volatility": 0.15414367736181342, "cagr": 0.2563270481824875, "end_nav": 4519099.260263853, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3072318362186328e-16, "max_drawdown": -0.06857114678751253, "mean_cash_weight": 6.818041288149665e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3597072.328261639, "start_session": "2020-12-31", "total_return": 0.2563270481824875, "traded_notional_by_category": { "entry": 4055802.6431297725, "exit": 4078093.9627847965, "resize": 803758.1145790524 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2024961350035928 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.6446132139093286, "annualized_volatility": 0.2040559792034545, "cagr": -0.023310669470540613, "end_nav": 4413756.031103278, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.3580230588217806e-16, "max_drawdown": -0.18371395979415517, "mean_cash_weight": 3.8352257475010375e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4519099.260263853, "start_session": "2021-12-31", "total_return": -0.023310669470540613, "traded_notional_by_category": { "entry": 7165215.068310281, "exit": 7207861.157948988, "resize": 1277901.8269858914 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.6446132139093286 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.799831248694079, "annualized_volatility": 0.14122377406836478, "cagr": 0.05089443907335034, "end_nav": 4638391.668512896, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.2431858863673015e-16, "max_drawdown": -0.1351402063906485, "mean_cash_weight": 4.252668823790689e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4413756.031103278, "start_session": "2022-12-30", "total_return": 0.05089443907335034, "traded_notional_by_category": { "entry": 5854974.412860457, "exit": 5841864.16443596, "resize": 578572.1941065113 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.799831248694079 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5990876524346045, "annualized_volatility": 0.1436069480518637, "cagr": 0.1440547785432449, "end_nav": 5306574.153117353, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.0954577009790748, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4638391.668512896, "start_session": "2023-12-29", "total_return": 0.1440547785432449, "traded_notional_by_category": { "entry": 3426071.557577782, "exit": 3505186.3498197645, "resize": 1269286.3950092967 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5990876524346045 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.214941178410023, "annualized_volatility": 0.1639935997638695, "cagr": 0.10998582884158803, "end_nav": 5890222.109657314, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6045391164778112e-16, "max_drawdown": -0.15284911114115296, "mean_cash_weight": 1.455737081104849e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5306574.153117353, "start_session": "2024-12-31", "total_return": 0.10998582884158803, "traded_notional_by_category": { "entry": 5520107.154521152, "exit": 5462009.938613629, "resize": 1246032.1348763339 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.214941178410023 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.2770160909442074, "annualized_volatility": 0.17872508151359842, "cagr": 0.07945876433460786, "end_nav": 5890222.109657314, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.48112281998150896, "mean_cash_weight": 0.07319612585482803, "nonzero_trade_event_count": 295, "order_count": 912, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 870923.9859481499, "start_session": "2000-12-29", "total_return": 5.763187378798389, "traded_notional_by_category": { "entry": 57307433.32922832, "exit": 57445519.59693607, "resize": 11004519.800222682 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 56.92540227360519 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7067975.589095415, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.496134642209034e-16, "max_drawdown": -0.09881666477460127, "mean_cash_weight": 3.129164465554054e-17, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 5890222.109657314, "start_session": "2025-12-31", "total_return": 0.19995060585357471, "traded_notional_by_category": { "entry": 3998910.616574504, "exit": 3907679.3118451517, "resize": 2773334.31436761 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.7425598312904196 } }, "monthly_risk": { "beta_intercept_per_month": 0.0008735021598540388, "beta_to_SPY_excess_returns": 0.742035832593803, "monthly_return_volatility_annualized": 0.13497519856416787, "months": 300, "sharpe_monthly_annualized": 0.5092908877815434, "tracking_error_monthly_annualized": 0.08531045659880718 }, "phase": [ 1, 7 ], "policy": "B", "run_id": "BMIX-01-07-0bps", "signal": "mixed" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4011872670432632, "annualized_volatility": 0.17014724531387945, "cagr": -0.048457323355533544, "end_nav": 825234.7209796754, "end_session": "2001-12-31", "fee_by_category": { "entry": 884.8097236180497, "exit": 920.2923463439524, "resize": 308.3863140604646 }, "max_cash_weight": 1.4909601023524264e-16, "max_drawdown": -0.19293152961397675, "mean_cash_weight": 4.5961923983105153e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 867259.8100274333, "start_session": "2000-12-29", "total_return": -0.048457323355533544, "traded_notional_by_category": { "entry": 884809.7236180498, "exit": 920292.3463439522, "resize": 308386.31406046456 }, "transaction_cost": 2113.4883840224666, "transaction_cost_over_anchor_nav": 0.002436972588359205, "two_sided_turnover": 2.4011872670432632 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.478599195907069, "annualized_volatility": 0.13708961870908676, "cagr": -0.0877042007017449, "end_nav": 752858.1693848255, "end_session": "2002-12-31", "fee_by_category": { "entry": 273.9060097742191, "exit": 779.9815341564403, "resize": 135.91629170650594 }, "max_cash_weight": 0.6947334971483603, "max_drawdown": -0.17643659207338924, "mean_cash_weight": 0.4481961216014684, "nonzero_trade_event_count": 12, "order_count": 23, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 825234.7209796754, "start_session": "2001-12-31", "total_return": -0.0877042007017449, "traded_notional_by_category": { "entry": 273906.0097742191, "exit": 779981.5341564402, "resize": 135916.29170650593 }, "transaction_cost": 1189.8038356371653, "transaction_cost_over_anchor_nav": 0.0014417762672718042, "two_sided_turnover": 1.478599195907069 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1173964225282194, "annualized_volatility": 0.09615285787053733, "cagr": 0.16449405970745445, "end_nav": 876698.8660508578, "end_session": "2003-12-31", "fee_by_category": { "entry": 1006.0662855852192, "exit": 487.58724326507706, "resize": 107.44263313066747 }, "max_cash_weight": 0.6824450980976932, "max_drawdown": -0.049346826418140255, "mean_cash_weight": 0.38546743614857965, "nonzero_trade_event_count": 12, "order_count": 24, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 752858.1693848255, "start_session": "2002-12-31", "total_return": 0.16449405970745445, "traded_notional_by_category": { "entry": 1006066.2855852193, "exit": 487587.2432650771, "resize": 107442.63313066747 }, "transaction_cost": 1601.0961619809639, "transaction_cost_over_anchor_nav": 0.0021266902945202143, "two_sided_turnover": 2.1173964225282194 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8433534177408233, "annualized_volatility": 0.12450107588315516, "cagr": 0.21635146026954732, "end_nav": 1066373.9459376172, "end_session": "2004-12-31", "fee_by_category": { "entry": 1216.0818039567523, "exit": 1212.7829823390325, "resize": 176.81340330823645 }, "max_cash_weight": 1.3306763766193871e-16, "max_drawdown": -0.06754678507338585, "mean_cash_weight": 3.2530016531272644e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 876698.8660508578, "start_session": "2003-12-31", "total_return": 0.21635146026954732, "traded_notional_by_category": { "entry": 1216081.8039567522, "exit": 1212782.9823390325, "resize": 176813.40330823645 }, "transaction_cost": 2605.678189604021, "transaction_cost_over_anchor_nav": 0.002972147325046117, "two_sided_turnover": 2.8433534177408233 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 2.9210190384934807, "annualized_volatility": 0.12762793146303295, "cagr": 0.08969744544937952, "end_nav": 1162024.9647819963, "end_session": "2005-12-30", "fee_by_category": { "entry": 1480.637751643394, "exit": 1500.70272712375, "resize": 268.0031091481054 }, "max_cash_weight": 0.0, "max_drawdown": -0.10135882249848516, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1066373.9459376172, "start_session": "2004-12-31", "total_return": 0.08969744544937952, "traded_notional_by_category": { "entry": 1480637.7516433941, "exit": 1500702.72712375, "resize": 268003.10914810543 }, "transaction_cost": 3249.34358791525, "transaction_cost_over_anchor_nav": 0.003047095815022225, "two_sided_turnover": 2.9210190384934807 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.212205347399413, "annualized_volatility": 0.11494678604830764, "cagr": 0.20171789431651543, "end_nav": 1396426.1938210437, "end_session": "2006-12-29", "fee_by_category": { "entry": 1252.6610496745402, "exit": 1246.3492376095462, "resize": 273.63862966678835 }, "max_cash_weight": 0.0, "max_drawdown": -0.08230462849396647, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1162024.9647819963, "start_session": "2005-12-30", "total_return": 0.20171789431651543, "traded_notional_by_category": { "entry": 1252661.04967454, "exit": 1246349.2376095462, "resize": 273638.6296667883 }, "transaction_cost": 2772.6489169508745, "transaction_cost_over_anchor_nav": 0.002386049354345018, "two_sided_turnover": 2.212205347399413 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.512386031065274, "annualized_volatility": 0.17299078735625417, "cagr": 0.021975285015769952, "end_nav": 1427113.057433748, "end_session": "2007-12-31", "fee_by_category": { "entry": 2314.7610653386937, "exit": 2324.4856260731635, "resize": 256.3352847115258 }, "max_cash_weight": 0.0, "max_drawdown": -0.14772111624790596, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1396426.1938210437, "start_session": "2006-12-29", "total_return": 0.021975285015769952, "traded_notional_by_category": { "entry": 2314761.0653386936, "exit": 2324485.6260731635, "resize": 256335.28471152578 }, "transaction_cost": 4895.581976123383, "transaction_cost_over_anchor_nav": 0.0035057935734702835, "two_sided_turnover": 3.512386031065274 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 3.032351549036507, "annualized_volatility": 0.43543662842490855, "cagr": -0.36250068937344193, "end_nav": 909783.5903001738, "end_session": "2008-12-31", "fee_by_category": { "entry": 1795.1436279364002, "exit": 1845.0588334422482, "resize": 418.80460081240426 }, "max_cash_weight": 1.4835128437444277e-16, "max_drawdown": -0.4795470104701428, "mean_cash_weight": 2.1065601554519195e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1427113.057433748, "start_session": "2007-12-31", "total_return": -0.36250068937344193, "traded_notional_by_category": { "entry": 1795143.6279364, "exit": 1845058.8334422484, "resize": 418804.60081240424 }, "transaction_cost": 4059.0070621910527, "transaction_cost_over_anchor_nav": 0.002844208481625141, "two_sided_turnover": 3.032351549036507 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.710044201642007, "annualized_volatility": 0.12576785865981996, "cagr": 0.05715403420363363, "end_nav": 961781.3927380947, "end_session": "2009-12-31", "fee_by_category": { "entry": 578.236925144795, "exit": 868.8024270694065, "resize": 39.90982453113172 }, "max_cash_weight": 1.0, "max_drawdown": -0.11495229017715003, "mean_cash_weight": 0.6377374563554695, "nonzero_trade_event_count": 7, "order_count": 16, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 909783.5903001738, "start_session": "2008-12-31", "total_return": 0.05715403420363363, "traded_notional_by_category": { "entry": 578236.925144795, "exit": 868802.4270694065, "resize": 39909.824531131715 }, "transaction_cost": 1486.9491767453333, "transaction_cost_over_anchor_nav": 0.0016343987653753235, "two_sided_turnover": 1.710044201642007 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.842840659601944, "annualized_volatility": 0.19021052042573394, "cagr": 0.18774595451032483, "end_nav": 1142351.9583479778, "end_session": "2010-12-31", "fee_by_category": { "entry": 976.1372469850932, "exit": 673.4630626623157, "resize": 172.5235668882475 }, "max_cash_weight": 0.34810694198768666, "max_drawdown": -0.18061364671020086, "mean_cash_weight": 0.02540016245890094, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 961781.3927380947, "start_session": "2009-12-31", "total_return": 0.18774595451032483, "traded_notional_by_category": { "entry": 976137.2469850932, "exit": 673463.0626623157, "resize": 172523.5668882475 }, "transaction_cost": 1822.1238765356566, "transaction_cost_over_anchor_nav": 0.0018945301814877636, "two_sided_turnover": 1.842840659601944 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.824046382864751, "annualized_volatility": 0.20747642541112868, "cagr": 0.08263191677739079, "end_nav": 1236746.6903006774, "end_session": "2011-12-30", "fee_by_category": { "entry": 1577.3526058104144, "exit": 1588.3800459490762, "resize": 180.07000175798865 }, "max_cash_weight": 0.0, "max_drawdown": -0.14857866097053907, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1142351.9583479778, "start_session": "2010-12-31", "total_return": 0.08263191677739079, "traded_notional_by_category": { "entry": 1577352.6058104143, "exit": 1588380.0459490763, "resize": 180070.00175798865 }, "transaction_cost": 3345.802653517479, "transaction_cost_over_anchor_nav": 0.002928871989991631, "two_sided_turnover": 2.824046382864751 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8250433635193472, "annualized_volatility": 0.08627258967314973, "cagr": 0.13060220584699134, "end_nav": 1398268.5361279116, "end_session": "2012-12-31", "fee_by_category": { "entry": 423.7223117235685, "exit": 435.1835541644982, "resize": 203.6820679153885 }, "max_cash_weight": 0.0, "max_drawdown": -0.06957156241736484, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1236746.6903006774, "start_session": "2011-12-30", "total_return": 0.13060220584699134, "traded_notional_by_category": { "entry": 423722.3117235685, "exit": 435183.55416449823, "resize": 203682.0679153885 }, "transaction_cost": 1062.5879338034554, "transaction_cost_over_anchor_nav": 0.0008591799291940045, "two_sided_turnover": 0.8250433635193472 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4198997454170348, "annualized_volatility": 0.12093333735243753, "cagr": 0.3905820693144031, "end_nav": 1944407.1544259726, "end_session": "2013-12-31", "fee_by_category": { "entry": 991.4391676862242, "exit": 987.7127423417368, "resize": 152.94411665880938 }, "max_cash_weight": 0.0, "max_drawdown": -0.0547445757890318, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1398268.5361279116, "start_session": "2012-12-31", "total_return": 0.3905820693144031, "traded_notional_by_category": { "entry": 991439.1676862242, "exit": 987712.7423417368, "resize": 152944.11665880936 }, "transaction_cost": 2132.0960266867705, "transaction_cost_over_anchor_nav": 0.0015248115591522753, "two_sided_turnover": 1.4198997454170348 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8468118972217704, "annualized_volatility": 0.13897049172135084, "cagr": -0.002319207397152079, "end_nav": 1939897.6709703524, "end_session": "2014-12-31", "fee_by_category": { "entry": 2631.755144665189, "exit": 2630.439840320452, "resize": 364.64106049737006 }, "max_cash_weight": 1.264562906649091e-16, "max_drawdown": -0.12349928362212181, "mean_cash_weight": 1.863021419864337e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1944407.1544259726, "start_session": "2013-12-31", "total_return": -0.002319207397152079, "traded_notional_by_category": { "entry": 2631755.144665189, "exit": 2630439.8403204517, "resize": 364641.0604973701 }, "transaction_cost": 5626.836045483011, "transaction_cost_over_anchor_nav": 0.0028938568924079915, "two_sided_turnover": 2.8468118972217704 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.829691809855805, "annualized_volatility": 0.15612906359930287, "cagr": -0.016584428345888025, "end_nav": 1907725.5770477895, "end_session": "2015-12-31", "fee_by_category": { "entry": 2529.3033274981344, "exit": 2544.3914636931922, "resize": 298.4683464685369 }, "max_cash_weight": 1.3416867859597687e-16, "max_drawdown": -0.10813738854458843, "mean_cash_weight": 4.050948172274494e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1939897.6709703524, "start_session": "2014-12-31", "total_return": -0.016584428345888025, "traded_notional_by_category": { "entry": 2529303.327498134, "exit": 2544391.463693192, "resize": 298468.3464685369 }, "transaction_cost": 5372.163137659863, "transaction_cost_over_anchor_nav": 0.0027693023287010104, "two_sided_turnover": 2.829691809855805 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2463222430246943, "annualized_volatility": 0.12427880158554076, "cagr": 0.06450548060593508, "end_nav": 2030784.332259492, "end_session": "2016-12-30", "fee_by_category": { "entry": 1960.1428492406, "exit": 1969.123532257449, "resize": 477.37554706933 }, "max_cash_weight": 1.348447372828304e-16, "max_drawdown": -0.09491319205390658, "mean_cash_weight": 4.0527037561450236e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1907725.5770477895, "start_session": "2015-12-31", "total_return": 0.06450548060593508, "traded_notional_by_category": { "entry": 1960142.8492406001, "exit": 1969123.5322574489, "resize": 477375.54706933 }, "transaction_cost": 4406.641928567378, "transaction_cost_over_anchor_nav": 0.002309892985440112, "two_sided_turnover": 2.2463222430246943 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1637346274985476, "annualized_volatility": 0.09078758707149445, "cagr": 0.22045603778164402, "end_nav": 2478482.9997384613, "end_session": "2017-12-29", "fee_by_category": { "entry": 2108.315296441542, "exit": 2113.5647516819163, "resize": 360.83340365232004 }, "max_cash_weight": 1.148574330630765e-16, "max_drawdown": -0.05446200040186555, "mean_cash_weight": 1.7485956856599443e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2030784.332259492, "start_session": "2016-12-30", "total_return": 0.22045603778164402, "traded_notional_by_category": { "entry": 2108315.2964415425, "exit": 2113564.751681916, "resize": 360833.40365232003 }, "transaction_cost": 4582.713451775779, "transaction_cost_over_anchor_nav": 0.002256622418726738, "two_sided_turnover": 2.1637346274985476 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.510836506669237, "annualized_volatility": 0.19550391216805715, "cagr": -0.08607566646332121, "end_nav": 2265145.9237179616, "end_session": "2018-12-31", "fee_by_category": { "entry": 1770.179318644548, "exit": 1799.979690792999, "resize": 436.1480051348916 }, "max_cash_weight": 0.0, "max_drawdown": -0.24639017085212633, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2478482.9997384613, "start_session": "2017-12-29", "total_return": -0.08607566646332121, "traded_notional_by_category": { "entry": 1770179.318644548, "exit": 1799979.6907929992, "resize": 436148.0051348916 }, "transaction_cost": 4006.3070145724387, "transaction_cost_over_anchor_nav": 0.0016164351399606933, "two_sided_turnover": 1.510836506669237 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.118737592923586, "annualized_volatility": 0.09819868485676776, "cagr": 0.25020885865298137, "end_nav": 2831905.499973886, "end_session": "2019-12-31", "fee_by_category": { "entry": 2531.9809572869613, "exit": 2478.8525961166565, "resize": 307.5828685358043 }, "max_cash_weight": 0.6727962252097128, "max_drawdown": -0.04316912805102224, "mean_cash_weight": 0.3293259791867862, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2265145.9237179616, "start_session": "2018-12-31", "total_return": 0.25020885865298137, "traded_notional_by_category": { "entry": 2531980.9572869614, "exit": 2478852.5961166564, "resize": 307582.86853580433 }, "transaction_cost": 5318.4164219394215, "transaction_cost_over_anchor_nav": 0.0023479354536284744, "two_sided_turnover": 2.118737592923586 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5772168007141119, "annualized_volatility": 0.33364255098112244, "cagr": 0.20984659108645576, "end_nav": 3426171.2154223914, "end_session": "2020-12-31", "fee_by_category": { "entry": 2003.8905071920076, "exit": 2007.5276016282357, "resize": 701.2094017852812 }, "max_cash_weight": 1.5505811520794784e-16, "max_drawdown": -0.30268070710543227, "mean_cash_weight": 1.2798107457929804e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2831905.499973886, "start_session": "2019-12-31", "total_return": 0.20984659108645576, "traded_notional_by_category": { "entry": 2003890.5071920075, "exit": 2007527.6016282358, "resize": 701209.4017852813 }, "transaction_cost": 4712.627510605525, "transaction_cost_over_anchor_nav": 0.0016641189159203869, "two_sided_turnover": 1.5772168007141119 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.200919588207192, "annualized_volatility": 0.1541171943914676, "cagr": 0.2535636033978246, "end_nav": 4294923.534662797, "end_session": "2021-12-31", "fee_by_category": { "entry": 3856.528211006398, "exit": 3882.146549042127, "resize": 762.8355800698882 }, "max_cash_weight": 1.3330249111800936e-16, "max_drawdown": -0.06858955892180396, "mean_cash_weight": 4.002244661830215e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3426171.2154223914, "start_session": "2020-12-31", "total_return": 0.2535636033978246, "traded_notional_by_category": { "entry": 3856528.211006398, "exit": 3882146.549042127, "resize": 762835.5800698882 }, "transaction_cost": 8501.510340118411, "transaction_cost_over_anchor_nav": 0.0024813442777903653, "two_sided_turnover": 2.200919588207192 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.641259413844204, "annualized_volatility": 0.20403200871779464, "cagr": -0.0268634230031084, "end_nav": 4179547.186985145, "end_session": "2022-12-30", "fee_by_category": { "entry": 6792.100863960732, "exit": 6844.422030334377, "resize": 1209.4891699059579 }, "max_cash_weight": 1.3046350822051672e-16, "max_drawdown": -0.1854338785634294, "mean_cash_weight": 3.0451149888666954e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4294923.534662797, "start_session": "2021-12-31", "total_return": -0.0268634230031084, "traded_notional_by_category": { "entry": 6792100.863960732, "exit": 6844422.030334378, "resize": 1209489.1699059578 }, "transaction_cost": 14846.012064201066, "transaction_cost_over_anchor_nav": 0.0034566417642559162, "two_sided_turnover": 3.641259413844204 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7976083915850016, "annualized_volatility": 0.14128543892873074, "cagr": 0.047956216861420264, "end_nav": 4379982.458266743, "end_session": "2023-12-29", "fee_by_category": { "entry": 5531.840449281459, "exit": 5528.67226339615, "resize": 547.3145369176746 }, "max_cash_weight": 1.2729816328853136e-16, "max_drawdown": -0.13752342455267175, "mean_cash_weight": 1.9460547646496474e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4179547.186985145, "start_session": "2022-12-30", "total_return": 0.047956216861420264, "traded_notional_by_category": { "entry": 5531840.44928146, "exit": 5528672.2633961495, "resize": 547314.5369176746 }, "transaction_cost": 11607.827249595282, "transaction_cost_over_anchor_nav": 0.0027772930248858895, "two_sided_turnover": 2.7976083915850016 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5977217633606322, "annualized_volatility": 0.14378409256711414, "cagr": 0.14222729192734307, "end_nav": 5002935.50199529, "end_session": "2024-12-31", "fee_by_category": { "entry": 3230.34392283265, "exit": 3309.4489598020273, "resize": 1195.5642048793095 }, "max_cash_weight": 0.0, "max_drawdown": -0.0966903749398037, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4379982.458266743, "start_session": "2023-12-29", "total_return": 0.14222729192734307, "traded_notional_by_category": { "entry": 3230343.92283265, "exit": 3309448.9598020273, "resize": 1195564.2048793095 }, "transaction_cost": 7735.357087513988, "transaction_cost_over_anchor_nav": 0.0017660703350339537, "two_sided_turnover": 1.5977217633606322 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.214263007744089, "annualized_volatility": 0.1640779382785677, "cagr": 0.10752950196644373, "end_nav": 5540898.664895084, "end_session": "2025-12-31", "fee_by_category": { "entry": 5195.773714888551, "exit": 5146.803329133253, "resize": 1175.3071736858574 }, "max_cash_weight": 0.0, "max_drawdown": -0.1529050822467969, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5002935.50199529, "start_session": "2024-12-31", "total_return": 0.10752950196644373, "traded_notional_by_category": { "entry": 5195773.71488855, "exit": 5146803.329133254, "resize": 1175307.1736858573 }, "transaction_cost": 11517.88421770766, "transaction_cost_over_anchor_nav": 0.0023022252062042483, "two_sided_turnover": 2.214263007744089 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.2754198505963203, "annualized_volatility": 0.17870984432061196, "cagr": 0.07700380951405972, "end_nav": 5540898.664895084, "end_session": "2025-12-31", "fee_by_category": { "entry": 54913.11013781614, "exit": 55126.15497073908, "resize": 10531.239142898487 }, "max_cash_weight": 1.0, "max_drawdown": -0.4837529947114708, "mean_cash_weight": 0.073196125854828, "nonzero_trade_event_count": 295, "order_count": 912, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 867259.8100274333, "start_session": "2000-12-29", "total_return": 5.388972025257129, "traded_notional_by_category": { "entry": 54913110.13781614, "exit": 55126154.97073908, "resize": 10531239.142898485 }, "transaction_cost": 120570.5042514537, "transaction_cost_over_anchor_nav": 0.13902466464765592, "two_sided_turnover": 56.88549626490801 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6637225.906572545, "end_session": "2026-10-02", "fee_by_category": { "entry": 3756.6203794606313, "exit": 3675.816148815929, "resize": 2607.7047735723218 }, "max_cash_weight": 1.4401460314243714e-16, "max_drawdown": -0.09881666477460116, "mean_cash_weight": 1.7062037578170165e-17, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 5540898.664895084, "start_session": "2025-12-31", "total_return": 0.19786090812729573, "traded_notional_by_category": { "entry": 3756620.3794606314, "exit": 3675816.148815929, "resize": 2607704.7735723215 }, "transaction_cost": 10040.141301848882, "transaction_cost_over_anchor_nav": 0.0018120059414656324, "two_sided_turnover": 1.742104789462016 } }, "monthly_risk": { "beta_intercept_per_month": 0.0006783822752696594, "beta_to_SPY_excess_returns": 0.742634538620801, "monthly_return_volatility_annualized": 0.1349512572776798, "months": 300, "sharpe_monthly_annualized": 0.4924062519132072, "tracking_error_monthly_annualized": 0.08511501155998231 }, "phase": [ 1, 7 ], "policy": "B", "run_id": "BMIX-01-07-10bps", "signal": "mixed" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3981795490799422, "annualized_volatility": 0.1700954390697449, "cagr": -0.051877296643121795, "end_nav": 817089.0669240089, "end_session": "2001-12-31", "fee_by_category": { "entry": 2192.362678621712, "exit": 2284.279916628308, "resize": 761.8354240902265 }, "max_cash_weight": 1.6034241492686596e-16, "max_drawdown": -0.19391568886224853, "mean_cash_weight": 7.61921093370648e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 861796.7527104479, "start_session": "2000-12-29", "total_return": -0.051877296643121795, "traded_notional_by_category": { "entry": 876945.0714486847, "exit": 913711.9666513233, "resize": 304734.16963609064 }, "transaction_cost": 5238.478019340247, "transaction_cost_over_anchor_nav": 0.006078553908290607, "two_sided_turnover": 2.3981795490799422 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4784473460968943, "annualized_volatility": 0.13713253530961056, "cagr": -0.08972765242892378, "end_nav": 743773.5831235778, "end_session": "2002-12-31", "fee_by_category": { "entry": 676.9707120886992, "exit": 1929.7075316011933, "resize": 336.6599799773141 }, "max_cash_weight": 0.6947334971483602, "max_drawdown": -0.17694720722294366, "mean_cash_weight": 0.4481961216014684, "nonzero_trade_event_count": 12, "order_count": 23, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 817089.0669240089, "start_session": "2001-12-31", "total_return": -0.08972765242892378, "traded_notional_by_category": { "entry": 270788.2848354797, "exit": 771883.0126404773, "resize": 134663.99199092563 }, "transaction_cost": 2943.338223667207, "transaction_cost_over_anchor_nav": 0.0036022244609729233, "two_sided_turnover": 1.4784473460968943 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1150959071896285, "annualized_volatility": 0.096391609081328, "cagr": 0.16080137485088275, "end_nav": 863373.3978676164, "end_session": "2003-12-31", "fee_by_category": { "entry": 2478.526456542934, "exit": 1203.603992213526, "resize": 264.7554142274533 }, "max_cash_weight": 0.682445098097693, "max_drawdown": -0.05027681620165392, "mean_cash_weight": 0.38546743614857965, "nonzero_trade_event_count": 12, "order_count": 24, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 743773.5831235778, "start_session": "2002-12-31", "total_return": 0.16080137485088275, "traded_notional_by_category": { "entry": 991410.5826171734, "exit": 481441.59688541037, "resize": 105902.16569098132 }, "transaction_cost": 3946.885862983913, "transaction_cost_over_anchor_nav": 0.0053065690319471035, "two_sided_turnover": 2.1150959071896285 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8400328318773873, "annualized_volatility": 0.12445585291215583, "cagr": 0.21117059870304566, "end_nav": 1045692.4751996038, "end_session": "2004-12-31", "fee_by_category": { "entry": 2984.077720301849, "exit": 2983.4035957866854, "resize": 433.871008974032 }, "max_cash_weight": 1.3537186732653198e-16, "max_drawdown": -0.06758232697341404, "mean_cash_weight": 3.222354172446665e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 863373.3978676164, "start_session": "2003-12-31", "total_return": 0.21117059870304566, "traded_notional_by_category": { "entry": 1193631.0881207394, "exit": 1193361.4383146742, "resize": 173548.4035896128 }, "transaction_cost": 6401.352325062567, "transaction_cost_over_anchor_nav": 0.007414349736594624, "two_sided_turnover": 2.8400328318773873 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 2.916989637363588, "annualized_volatility": 0.12765276455066904, "cagr": 0.08493391523361327, "end_nav": 1134507.2312486342, "end_session": "2005-12-30", "fee_by_category": { "entry": 3618.237068052169, "exit": 3674.7167609904664, "resize": 651.6126209280234 }, "max_cash_weight": 0.0, "max_drawdown": -0.10139288429835758, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1045692.4751996038, "start_session": "2004-12-31", "total_return": 0.08493391523361327, "traded_notional_by_category": { "entry": 1447294.8272208676, "exit": 1469886.7043961864, "resize": 260645.04837120936 }, "transaction_cost": 7944.566449970659, "transaction_cost_over_anchor_nav": 0.007597421458401701, "two_sided_turnover": 2.916989637363588 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.209864932722175, "annualized_volatility": 0.11512262468961336, "cagr": 0.19773666209489216, "end_nav": 1358840.904278257, "end_session": "2006-12-29", "fee_by_category": { "entry": 3049.7563667516715, "exit": 3039.4945378705147, "resize": 665.0003320317089 }, "max_cash_weight": 0.0, "max_drawdown": -0.08232159017067597, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1134507.2312486342, "start_session": "2005-12-30", "total_return": 0.19773666209489216, "traded_notional_by_category": { "entry": 1219902.5467006685, "exit": 1215797.8151482057, "resize": 266000.1328126836 }, "transaction_cost": 6754.251236653895, "transaction_cost_over_anchor_nav": 0.005953466889074116, "two_sided_turnover": 2.209864932722175 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.5073883633108607, "annualized_volatility": 0.17280179070489907, "cagr": 0.016602336326708933, "end_nav": 1381400.8379855738, "end_session": "2007-12-31", "fee_by_category": { "entry": 5609.386348077287, "exit": 5647.594938950659, "resize": 619.2357836451185 }, "max_cash_weight": 0.0, "max_drawdown": -0.1502980661057871, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1358840.904278257, "start_session": "2006-12-29", "total_return": 0.016602336326708933, "traded_notional_by_category": { "entry": 2243754.539230915, "exit": 2259037.9755802634, "resize": 247694.3134580474 }, "transaction_cost": 11876.217070673065, "transaction_cost_over_anchor_nav": 0.008739961413643985, "two_sided_turnover": 3.5073883633108607 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 3.029018627503521, "annualized_volatility": 0.435298622078522, "cagr": -0.3653960767520862, "end_nav": 876642.391363601, "end_session": "2008-12-31", "fee_by_category": { "entry": 4329.54522832463, "exit": 4460.878754758875, "resize": 1010.0801350167118 }, "max_cash_weight": 0.0, "max_drawdown": -0.48022247116646033, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1381400.8379855738, "start_session": "2007-12-31", "total_return": -0.3653960767520862, "traded_notional_by_category": { "entry": 1731818.091329852, "exit": 1784351.5019035502, "resize": 404032.0540066847 }, "transaction_cost": 9800.504118100216, "transaction_cost_over_anchor_nav": 0.007094612836916901, "two_sided_turnover": 3.029018627503521 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7094011776840448, "annualized_volatility": 0.12594422931918828, "cagr": 0.05444353247001854, "end_nav": 924369.8998623999, "end_session": "2009-12-31", "fee_by_category": { "entry": 1389.437541544537, "exit": 2092.8620613239764, "resize": 95.98698567511457 }, "max_cash_weight": 1.0, "max_drawdown": -0.11716343903771476, "mean_cash_weight": 0.6377374563554695, "nonzero_trade_event_count": 7, "order_count": 16, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 876642.391363601, "start_session": "2008-12-31", "total_return": 0.05444353247001854, "traded_notional_by_category": { "entry": 555775.0166178148, "exit": 837144.8245295906, "resize": 38394.79427004582 }, "transaction_cost": 3578.286588543628, "transaction_cost_over_anchor_nav": 0.004081808755537899, "two_sided_turnover": 1.7094011776840448 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8406905367367778, "annualized_volatility": 0.18998604218596327, "cagr": 0.18446761911829457, "end_nav": 1094886.214474633, "end_session": "2010-12-31", "fee_by_category": { "entry": 2340.753232050307, "exit": 1617.120283969706, "resize": 412.4373981089691 }, "max_cash_weight": 0.3481069419876867, "max_drawdown": -0.18067673842225873, "mean_cash_weight": 0.025400162458900928, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 924369.8998623999, "start_session": "2009-12-31", "total_return": 0.18446761911829457, "traded_notional_by_category": { "entry": 936301.2928201228, "exit": 646848.1135878824, "resize": 164974.95924358763 }, "transaction_cost": 4370.310914128982, "transaction_cost_over_anchor_nav": 0.004727881029855623, "two_sided_turnover": 1.8406905367367778 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8200386181930224, "annualized_volatility": 0.20739977669137302, "cagr": 0.07805616228384227, "end_nav": 1180348.8305140068, "end_session": "2011-12-30", "fee_by_category": { "entry": 3767.8162299483747, "exit": 3801.7921096325654, "resize": 426.46917210468104 }, "max_cash_weight": 0.0, "max_drawdown": -0.15032932653673503, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1094886.214474633, "start_session": "2010-12-31", "total_return": 0.07805616228384227, "traded_notional_by_category": { "entry": 1507126.4919793499, "exit": 1520716.8438530262, "resize": 170587.66884187242 }, "transaction_cost": 7996.077511685621, "transaction_cost_over_anchor_nav": 0.007303112785580586, "two_sided_turnover": 2.8200386181930224 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8247088355732417, "annualized_volatility": 0.08621396252378252, "cagr": 0.12920341222945986, "end_nav": 1332853.9270374689, "end_session": "2012-12-31", "fee_by_category": { "entry": 1009.9480122567522, "exit": 1038.3376046772896, "resize": 485.52925951164406 }, "max_cash_weight": 0.0, "max_drawdown": -0.06958731475520441, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1180348.8305140068, "start_session": "2011-12-30", "total_return": 0.12920341222945986, "traded_notional_by_category": { "entry": 403979.2049027009, "exit": 415335.0418709158, "resize": 194211.70380465762 }, "transaction_cost": 2533.814876445686, "transaction_cost_over_anchor_nav": 0.0021466661472797706, "two_sided_turnover": 0.8247088355732417 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4192249758749031, "annualized_volatility": 0.12085028873958392, "cagr": 0.38761934870892345, "end_nav": 1849493.8981598637, "end_session": "2013-12-31", "fee_by_category": { "entry": 2357.8875027281783, "exit": 2353.733397219913, "resize": 366.13293241254286 }, "max_cash_weight": 1.462720016778471e-16, "max_drawdown": -0.0547445757890318, "mean_cash_weight": 2.2684330670460204e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1332853.9270374689, "start_session": "2012-12-31", "total_return": 0.38761934870892345, "traded_notional_by_category": { "entry": 943155.0010912713, "exit": 941493.3588879652, "resize": 146453.17296501715 }, "transaction_cost": 5077.753832360634, "transaction_cost_over_anchor_nav": 0.0038096851645603395, "two_sided_turnover": 1.4192249758749031 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.843513987045375, "annualized_volatility": 0.1393317543530666, "cagr": -0.006573908291563901, "end_nav": 1837335.4948875536, "end_session": "2014-12-31", "fee_by_category": { "entry": 6237.154362628054, "exit": 6249.810994513424, "resize": 864.8717746621551 }, "max_cash_weight": 1.2369232177074259e-16, "max_drawdown": -0.1261719957685017, "mean_cash_weight": 1.0081031490975078e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1849493.8981598637, "start_session": "2013-12-31", "total_return": -0.006573908291563901, "traded_notional_by_category": { "entry": 2494861.7450512215, "exit": 2499924.3978053695, "resize": 345948.70986486203 }, "transaction_cost": 13351.837131803633, "transaction_cost_over_anchor_nav": 0.007219184202277129, "two_sided_turnover": 2.843513987045375 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8264125119735013, "annualized_volatility": 0.1559742135301544, "cagr": -0.020753165770862836, "end_nav": 1799204.9667854619, "end_session": "2015-12-31", "fee_by_category": { "entry": 5969.182965568744, "exit": 6019.737281252187, "resize": 704.6116432173548 }, "max_cash_weight": 1.4225075675473518e-16, "max_drawdown": -0.11038561959032755, "mean_cash_weight": 2.2406347325620172e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1837335.4948875536, "start_session": "2014-12-31", "total_return": -0.020753165770862836, "traded_notional_by_category": { "entry": 2387673.1862274976, "exit": 2407894.912500875, "resize": 281844.6572869419 }, "transaction_cost": 12693.531890038286, "transaction_cost_over_anchor_nav": 0.006908663075066288, "two_sided_turnover": 2.8264125119735013 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.243920140281333, "annualized_volatility": 0.124281538338282, "cagr": 0.060924616680052335, "end_nav": 1908820.8397157122, "end_session": "2016-12-30", "fee_by_category": { "entry": 4609.866811132717, "exit": 4638.9023961773455, "resize": 1120.0817087364496 }, "max_cash_weight": 1.4312784985953645e-16, "max_drawdown": -0.09586069317641333, "mean_cash_weight": 3.247645463722691e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1799204.9667854619, "start_session": "2015-12-31", "total_return": 0.060924616680052335, "traded_notional_by_category": { "entry": 1843946.7244530867, "exit": 1855560.958470938, "resize": 448032.68349457986 }, "transaction_cost": 10368.850916046513, "transaction_cost_over_anchor_nav": 0.0057630181705044725, "two_sided_turnover": 2.243920140281333 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1627589952116337, "annualized_volatility": 0.09093075495717955, "cagr": 0.21649716996133606, "end_nav": 2322075.149477385, "end_session": "2017-12-29", "fee_by_category": { "entry": 4942.259708470045, "exit": 4962.7621225569, "resize": 849.2829188099439 }, "max_cash_weight": 1.221991272626219e-16, "max_drawdown": -0.05448589900781875, "mean_cash_weight": 4.7345787815279116e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1908820.8397157122, "start_session": "2016-12-30", "total_return": 0.21649716996133606, "traded_notional_by_category": { "entry": 1976903.8833880178, "exit": 1985104.84902276, "resize": 339713.1675239776 }, "transaction_cost": 10754.304749836889, "transaction_cost_over_anchor_nav": 0.005634004263825288, "two_sided_turnover": 2.1627589952116337 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5094583609187986, "annualized_volatility": 0.19553145139528794, "cagr": -0.0881435797533574, "end_nav": 2117399.1333461357, "end_session": "2018-12-31", "fee_by_category": { "entry": 4139.551650410906, "exit": 4213.497946533445, "resize": 1015.6747624175836 }, "max_cash_weight": 0.0, "max_drawdown": -0.24642219556127742, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2322075.149477385, "start_session": "2017-12-29", "total_return": -0.0881435797533574, "traded_notional_by_category": { "entry": 1655820.6601643628, "exit": 1685399.1786133782, "resize": 406269.9049670334 }, "transaction_cost": 9368.724359361935, "transaction_cost_over_anchor_nav": 0.0040346344352681675, "two_sided_turnover": 1.5094583609187986 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1170838844715703, "annualized_volatility": 0.09827331254418897, "cagr": 0.2462397433442698, "end_nav": 2638786.9524986674, "end_session": "2019-12-31", "fee_by_category": { "entry": 5900.9432404500185, "exit": 5792.74463183242, "resize": 715.1018024888425 }, "max_cash_weight": 0.6727962252097129, "max_drawdown": -0.04412442949895212, "mean_cash_weight": 0.3293259791867862, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2117399.1333461357, "start_session": "2018-12-31", "total_return": 0.2462397433442698, "traded_notional_by_category": { "entry": 2360377.2961800075, "exit": 2317097.852732968, "resize": 286040.720995537 }, "transaction_cost": 12408.789674771282, "transaction_cost_over_anchor_nav": 0.005860392346133445, "two_sided_turnover": 2.1170838844715703 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5765010121693026, "annualized_volatility": 0.3336154392955674, "cagr": 0.20698419163948678, "end_nav": 3184974.1367704286, "end_session": "2020-12-31", "fee_by_category": { "entry": 4657.594463691115, "exit": 4675.4004421347045, "resize": 1636.4271098042911 }, "max_cash_weight": 0.0, "max_drawdown": -0.3026968695385437, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2638786.9524986674, "start_session": "2019-12-31", "total_return": 0.20698419163948678, "traded_notional_by_category": { "entry": 1863037.7854764462, "exit": 1870160.1768538817, "resize": 654570.8439217164 }, "transaction_cost": 10969.42201563011, "transaction_cost_over_anchor_nav": 0.004156994184484338, "two_sided_turnover": 1.5765010121693026 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.198560131249157, "annualized_volatility": 0.15410445643302162, "cagr": 0.24943193910049266, "end_nav": 3979408.4116899944, "end_session": "2021-12-31", "fee_by_category": { "entry": 8939.72043539061, "exit": 9014.488571376485, "resize": 1763.3356939823962 }, "max_cash_weight": 1.288990998946973e-16, "max_drawdown": -0.0686171541272369, "mean_cash_weight": 2.0847000970753495e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3184974.1367704286, "start_session": "2020-12-31", "total_return": 0.24943193910049266, "traded_notional_by_category": { "entry": 3575888.174156244, "exit": 3605795.4285505936, "resize": 705334.2775929584 }, "transaction_cost": 19717.54470074949, "transaction_cost_over_anchor_nav": 0.006190802139681777, "two_sided_turnover": 2.198560131249157 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.6362413671730884, "annualized_volatility": 0.20404972021710915, "cagr": -0.0321667709159994, "end_nav": 3851403.6929299613, "end_session": "2022-12-30", "fee_by_category": { "entry": 15671.657622126964, "exit": 15833.647861831781, "resize": 2784.242288517509 }, "max_cash_weight": 1.3593573848236962e-16, "max_drawdown": -0.188006953129928, "mean_cash_weight": 4.089257620675862e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3979408.4116899944, "start_session": "2021-12-31", "total_return": -0.0321667709159994, "traded_notional_by_category": { "entry": 6268663.048850785, "exit": 6333459.144732713, "resize": 1113696.9154070036 }, "transaction_cost": 34289.54777247625, "transaction_cost_over_anchor_nav": 0.008616745059830138, "two_sided_turnover": 3.6362413671730884 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7942819126796596, "annualized_volatility": 0.1414367081092761, "cagr": 0.04356423424288458, "end_nav": 4019187.1455726726, "end_session": "2023-12-29", "fee_by_category": { "entry": 12700.93504528161, "exit": 12725.45885745976, "resize": 1258.9422422647726 }, "max_cash_weight": 1.324985981326983e-16, "max_drawdown": -0.14108599925481258, "mean_cash_weight": 1.1857634888301863e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 3851403.6929299613, "start_session": "2022-12-30", "total_return": 0.04356423424288458, "traded_notional_by_category": { "entry": 5080374.018112644, "exit": 5090183.5429839045, "resize": 503576.89690590906 }, "transaction_cost": 26685.336145006142, "transaction_cost_over_anchor_nav": 0.00692872995733803, "two_sided_turnover": 2.7942819126796596 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5956781252528254, "annualized_volatility": 0.14407204356218498, "cagr": 0.1394933829931857, "end_nav": 4579837.15739133, "end_session": "2024-12-31", "fee_by_category": { "entry": 7393.948273703689, "exit": 7590.510629740341, "resize": 2732.377788076173 }, "max_cash_weight": 1.150207043527712e-16, "max_drawdown": -0.0985347748810439, "mean_cash_weight": 1.8479886907666344e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4019187.1455726726, "start_session": "2023-12-29", "total_return": 0.1394933829931857, "traded_notional_by_category": { "entry": 2957579.3094814755, "exit": 3036204.2518961364, "resize": 1092951.1152304693 }, "transaction_cost": 17716.836691520202, "transaction_cost_over_anchor_nav": 0.0044080646284500955, "two_sided_turnover": 1.5956781252528254 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.213246673648987, "annualized_volatility": 0.16422977061848384, "cagr": 0.10385334817479519, "end_nav": 5055468.580281756, "end_session": "2025-12-31", "fee_by_category": { "entry": 11861.861574736842, "exit": 11769.675624150983, "resize": 2691.745138422871 }, "max_cash_weight": 0.0, "max_drawdown": -0.1529890348536438, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4579837.15739133, "start_session": "2024-12-31", "total_return": 0.10385334817479519, "traded_notional_by_category": { "entry": 4744744.629894737, "exit": 4707870.249660393, "resize": 1076698.0553691485 }, "transaction_cost": 26323.2823373107, "transaction_cost_over_anchor_nav": 0.005747645916804695, "two_sided_turnover": 2.213246673648987 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.2730695376512484, "annualized_volatility": 0.1787167122622716, "cagr": 0.07333245724494408, "end_nav": 5055468.580281756, "end_session": "2025-12-31", "fee_by_category": { "entry": 128829.38125088041, "exit": 129614.16284518345, "resize": 24666.301318103884 }, "max_cash_weight": 1.0, "max_drawdown": -0.4876733844686746, "mean_cash_weight": 0.073196125854828, "nonzero_trade_event_count": 295, "order_count": 912, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 861796.7527104479, "start_session": "2000-12-29", "total_return": 4.866195903363221, "traded_notional_by_category": { "entry": 51531752.50035217, "exit": 51845665.138073385, "resize": 9866520.527241552 }, "transaction_cost": 283109.84541416774, "transaction_cost_over_anchor_nav": 0.3285111536145331, "two_sided_turnover": 56.826738441281215 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6039925.97247874, "end_session": "2026-10-02", "fee_by_category": { "entry": 8551.226284736174, "exit": 8384.061873819146, "resize": 5944.177264705062 }, "max_cash_weight": 0.0, "max_drawdown": -0.09881666477460127, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 5055468.580281756, "start_session": "2025-12-31", "total_return": 0.19473118595509442, "traded_notional_by_category": { "entry": 3420490.5138944695, "exit": 3353624.7495276583, "resize": 2377670.9058820247 }, "transaction_cost": 22879.465423260383, "transaction_cost_over_anchor_nav": 0.004525686404718046, "two_sided_turnover": 1.7414229521229083 } }, "monthly_risk": { "beta_intercept_per_month": 0.000386209113819363, "beta_to_SPY_excess_returns": 0.7435306779888378, "monthly_return_volatility_annualized": 0.13494944021641056, "months": 300, "sharpe_monthly_annualized": 0.46699509284610147, "tracking_error_monthly_annualized": 0.08487573186924152 }, "phase": [ 1, 7 ], "policy": "B", "run_id": "BMIX-01-07-25bps", "signal": "mixed" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.402191945113074, "annualized_volatility": 0.17017181209730242, "cagr": -0.04731383418559609, "end_nav": 827969.7110723332, "end_session": "2001-12-31", "fee_by_category": { "entry": 443.72431711283184, "exit": 461.2489356009959, "resize": 154.80681202075235 }, "max_cash_weight": 1.3864823995345143e-16, "max_drawdown": -0.1926028641956693, "mean_cash_weight": 2.300596287502719e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 869089.6758897965, "start_session": "2000-12-29", "total_return": -0.04731383418559609, "traded_notional_by_category": { "entry": 887448.6342256637, "exit": 922497.8712019917, "resize": 309613.6240415047 }, "transaction_cost": 1059.78006473458, "transaction_cost_over_anchor_nav": 0.0012194139386704252, "two_sided_turnover": 2.402191945113074 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4786498584583962, "annualized_volatility": 0.1370793322651206, "cagr": -0.08702913379576038, "end_nav": 755912.224308582, "end_session": "2002-12-31", "fee_by_category": { "entry": 137.47682756396375, "exit": 391.3507593091018, "resize": 68.16836684134478 }, "max_cash_weight": 0.6947334971483602, "max_drawdown": -0.17626626340800355, "mean_cash_weight": 0.4481961216014683, "nonzero_trade_event_count": 12, "order_count": 23, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 827969.7110723332, "start_session": "2001-12-31", "total_return": -0.08702913379576038, "traded_notional_by_category": { "entry": 274953.6551279275, "exit": 782701.5186182036, "resize": 136336.73368268955 }, "transaction_cost": 596.9959537144103, "transaction_cost_over_anchor_nav": 0.0007210359820303325, "two_sided_turnover": 1.4786498584583962 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.118164673812049, "annualized_volatility": 0.09608419951216034, "cagr": 0.165728073030452, "end_nav": 881188.1006234061, "end_session": "2003-12-31", "fee_by_category": { "entry": 505.50085882700466, "exit": 244.82701354614616, "resize": 53.98066959453347 }, "max_cash_weight": 0.6824450980976929, "max_drawdown": -0.04903662319367741, "mean_cash_weight": 0.38546743614857965, "nonzero_trade_event_count": 12, "order_count": 24, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 755912.224308582, "start_session": "2002-12-31", "total_return": 0.165728073030452, "traded_notional_by_category": { "entry": 1011001.7176540093, "exit": 489654.0270922923, "resize": 107961.33918906693 }, "transaction_cost": 804.3085419676843, "transaction_cost_over_anchor_nav": 0.0010640237267010326, "two_sided_turnover": 2.118164673812049 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.84446236557311, "annualized_volatility": 0.12453414626272112, "cagr": 0.2180833136403324, "end_nav": 1073360.5215477892, "end_session": "2004-12-31", "fee_by_category": { "entry": 611.8307369642406, "exit": 609.6649489795147, "resize": 88.957881368696 }, "max_cash_weight": 1.3205929396066742e-16, "max_drawdown": -0.06753494567289309, "mean_cash_weight": 1.998565901503465e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 881188.1006234061, "start_session": "2003-12-31", "total_return": 0.2180833136403324, "traded_notional_by_category": { "entry": 1223661.473928481, "exit": 1219329.8979590295, "resize": 177915.76273739198 }, "transaction_cost": 1310.4535673124512, "transaction_cost_over_anchor_nav": 0.0014871439666347703, "two_sided_turnover": 2.84446236557311 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 2.922364885998308, "annualized_volatility": 0.12763384446462295, "cagr": 0.0912908791760092, "end_nav": 1171348.5472327066, "end_session": "2005-12-30", "fee_by_category": { "entry": 745.9631972045031, "exit": 755.5607707897433, "resize": 135.2503406548088 }, "max_cash_weight": 0.0, "max_drawdown": -0.10134747613574457, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1073360.5215477892, "start_session": "2004-12-31", "total_return": 0.0912908791760092, "traded_notional_by_category": { "entry": 1491926.394409006, "exit": 1511121.5415794866, "resize": 270500.6813096176 }, "transaction_cost": 1636.7743086490552, "transaction_cost_over_anchor_nav": 0.0015249063812118053, "two_sided_turnover": 2.922364885998308 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2129869200304095, "annualized_volatility": 0.11489785338810397, "cagr": 0.20304841458846967, "end_nav": 1409189.0126788148, "end_session": "2006-12-29", "fee_by_category": { "entry": 631.8896429857335, "exit": 628.3532554949462, "resize": 138.117070243911 }, "max_cash_weight": 0.0, "max_drawdown": -0.08229897083309667, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1171348.5472327066, "start_session": "2005-12-30", "total_return": 0.20304841458846967, "traded_notional_by_category": { "entry": 1263779.285971467, "exit": 1256706.5109898923, "resize": 276234.140487822 }, "transaction_cost": 1398.3599687245908, "transaction_cost_over_anchor_nav": 0.0011938034772213577, "two_sided_turnover": 2.2129869200304095 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.514055267718956, "annualized_volatility": 0.17307088289982708, "cagr": 0.02377301918014285, "end_nav": 1442689.6901056748, "end_session": "2007-12-31", "fee_by_category": { "entry": 1169.4679944134036, "exit": 1173.3646686255192, "resize": 129.64084171880032 }, "max_cash_weight": 0.0, "max_drawdown": -0.1468604050919855, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1409189.0126788148, "start_session": "2006-12-29", "total_return": 0.02377301918014285, "traded_notional_by_category": { "entry": 2338935.9888268076, "exit": 2346729.3372510383, "resize": 259281.68343760062 }, "transaction_cost": 2472.473504757723, "transaction_cost_over_anchor_nav": 0.0017545364621156423, "two_sided_turnover": 3.514055267718956 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 3.033464629755695, "annualized_volatility": 0.43548815079403697, "cagr": -0.36153266054600564, "end_nav": 921110.2480994777, "end_session": "2008-12-31", "fee_by_category": { "entry": 908.3848220751136, "exit": 932.8790735122125, "resize": 211.9247926432568 }, "max_cash_weight": 0.0, "max_drawdown": -0.479321672717517, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1442689.6901056748, "start_session": "2007-12-31", "total_return": -0.36153266054600564, "traded_notional_by_category": { "entry": 1816769.6441502268, "exit": 1865758.1470244247, "resize": 423849.5852865136 }, "transaction_cost": 2053.188688230583, "transaction_cost_over_anchor_nav": 0.001423167228761571, "two_sided_turnover": 3.033464629755695 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7102588507452503, "annualized_volatility": 0.12571463656025694, "cagr": 0.0580587706642981, "end_nav": 974588.7767504201, "end_session": "2009-12-31", "fee_by_category": { "entry": 292.9631142987678, "exit": 439.8110585345682, "resize": 20.21407865925733 }, "max_cash_weight": 1.0, "max_drawdown": -0.11421425815160335, "mean_cash_weight": 0.6377374563554695, "nonzero_trade_event_count": 7, "order_count": 16, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 921110.2480994777, "start_session": "2008-12-31", "total_return": 0.0580587706642981, "traded_notional_by_category": { "entry": 585926.2285975355, "exit": 879622.1170691364, "resize": 40428.157318514655 }, "transaction_cost": 752.9882514925933, "transaction_cost_over_anchor_nav": 0.0008174789641589922, "two_sided_turnover": 1.7102588507452503 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.84355876510898, "annualized_volatility": 0.19029064473935278, "cagr": 0.18884130651259845, "end_nav": 1158631.3946644845, "end_session": "2010-12-31", "fee_by_category": { "entry": 494.89651700137176, "exit": 341.2891415146046, "resize": 87.55808542500462 }, "max_cash_weight": 0.3481069419876866, "max_drawdown": -0.18059261616446232, "mean_cash_weight": 0.025400162458900952, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 974588.7767504201, "start_session": "2009-12-31", "total_return": 0.18884130651259845, "traded_notional_by_category": { "entry": 989793.0340027435, "exit": 682578.2830292091, "resize": 175116.17085000925 }, "transaction_cost": 923.743743940981, "transaction_cost_over_anchor_nav": 0.000947829244474811, "two_sided_turnover": 1.84355876510898 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8253849916187606, "annualized_volatility": 0.20751074136012726, "cagr": 0.08416243336847273, "end_nav": 1256144.6322165548, "end_session": "2011-12-30", "fee_by_category": { "entry": 800.744436717357, "exit": 805.8020506434043, "resize": 91.67204440697608 }, "max_cash_weight": 0.0, "max_drawdown": -0.14799392455125127, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1158631.3946644845, "start_session": "2010-12-31", "total_return": 0.08416243336847273, "traded_notional_by_category": { "entry": 1601488.873434714, "exit": 1611604.1012868087, "resize": 183344.08881395217 }, "transaction_cost": 1698.2185317677374, "transaction_cost_over_anchor_nav": 0.0014657107856632058, "two_sided_turnover": 2.8253849916187606 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8251549644318636, "annualized_volatility": 0.0862949451290387, "cagr": 0.13106883864911345, "end_nav": 1420786.0503364964, "end_session": "2012-12-31", "fee_by_category": { "entry": 215.25877855245238, "exit": 221.00522559094748, "resize": 103.47070533521936 }, "max_cash_weight": 0.0, "max_drawdown": -0.06956630813814879, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1256144.6322165548, "start_session": "2011-12-30", "total_return": 0.13106883864911345, "traded_notional_by_category": { "entry": 430517.5571049048, "exit": 442010.4511818949, "resize": 206941.41067043872 }, "transaction_cost": 539.7347094786193, "transaction_cost_over_anchor_nav": 0.0004296756087125252, "two_sided_turnover": 0.8251549644318636 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4201248262144395, "annualized_volatility": 0.12096848465405895, "cagr": 0.39157043517198376, "end_nav": 1977123.8623530422, "end_session": "2013-12-31", "fee_by_category": { "entry": 504.04073677054794, "exit": 501.8114281707752, "resize": 77.58549223555954 }, "max_cash_weight": 1.4288474518149397e-16, "max_drawdown": -0.0547445757890318, "mean_cash_weight": 3.386349410948268e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1420786.0503364964, "start_session": "2012-12-31", "total_return": 0.39157043517198376, "traded_notional_by_category": { "entry": 1008081.4735410959, "exit": 1003622.8563415504, "resize": 155170.98447111907 }, "transaction_cost": 1083.4376571768828, "transaction_cost_over_anchor_nav": 0.0007625621443286858, "two_sided_turnover": 1.4201248262144395 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.847913286881025, "annualized_volatility": 0.1388655176118712, "cagr": -0.0008969646881459292, "end_nav": 1975350.4520644208, "end_session": "2014-12-31", "fee_by_category": { "entry": 1339.5241314857221, "exit": 1337.7268997102685, "resize": 185.5477590192012 }, "max_cash_weight": 1.2486264858997406e-16, "max_drawdown": -0.12260657743076986, "mean_cash_weight": 4.789740654410623e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1977123.8623530422, "start_session": "2013-12-31", "total_return": -0.0008969646881459292, "traded_notional_by_category": { "entry": 2679048.262971444, "exit": 2675453.799420537, "resize": 371095.5180384024 }, "transaction_cost": 2862.798790215192, "transaction_cost_over_anchor_nav": 0.0014479612758343213, "two_sided_turnover": 2.847913286881025 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8307869935189323, "annualized_volatility": 0.15619525196148124, "cagr": -0.015190952249710454, "end_nav": 1945342.9976706663, "end_session": "2015-12-31", "fee_by_category": { "entry": 1289.1837827544837, "exit": 1295.8004608901074, "resize": 152.1130257743752 }, "max_cash_weight": 1.2803344649126638e-16, "max_drawdown": -0.10813738854458854, "mean_cash_weight": 4.081882938398244e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1975350.4520644208, "start_session": "2014-12-31", "total_return": -0.015190952249710454, "traded_notional_by_category": { "entry": 2578367.5655089673, "exit": 2591600.9217802146, "resize": 304226.0515487504 }, "transaction_cost": 2737.0972694189663, "transaction_cost_over_anchor_nav": 0.001385626163984447, "two_sided_turnover": 2.8307869935189323 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.247124399346876, "annualized_volatility": 0.1242871631915792, "cagr": 0.06570226120569478, "end_nav": 2073156.4314382938, "end_session": "2016-12-30", "fee_by_category": { "entry": 1000.2447192910845, "exit": 1004.2552271661293, "resize": 243.78973403170863 }, "max_cash_weight": 1.2250770145256687e-16, "max_drawdown": -0.09459714767141258, "mean_cash_weight": 6.008442438987921e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1945342.9976706663, "start_session": "2015-12-31", "total_return": 0.06570226120569478, "traded_notional_by_category": { "entry": 2000489.438582169, "exit": 2008510.4543322586, "resize": 487579.46806341724 }, "transaction_cost": 2248.2896804889224, "transaction_cost_over_anchor_nav": 0.001155729186668367, "two_sided_turnover": 2.247124399346876 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.164060078459011, "annualized_volatility": 0.09075200527862133, "cagr": 0.22177794939055362, "end_nav": 2532936.8135685166, "end_session": "2017-12-29", "fee_by_category": { "entry": 1077.0208733212207, "exit": 1079.1082565476927, "resize": 184.08144797493728 }, "max_cash_weight": 0.0, "max_drawdown": -0.05445403951156791, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2073156.4314382938, "start_session": "2016-12-30", "total_return": 0.22177794939055362, "traded_notional_by_category": { "entry": 2154041.7466424415, "exit": 2158216.513095385, "resize": 368162.89594987454 }, "transaction_cost": 2340.2105778438504, "transaction_cost_over_anchor_nav": 0.0011288152415108795, "two_sided_turnover": 2.164060078459011 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.511296663821628, "annualized_volatility": 0.19549707013329148, "cagr": -0.0853849031334808, "end_nav": 2316662.2490987414, "end_session": "2018-12-31", "fee_by_category": { "entry": 905.0180491220871, "exit": 919.943392380233, "resize": 223.29456408118364 }, "max_cash_weight": 0.0, "max_drawdown": -0.24637948868611548, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2532936.8135685166, "start_session": "2017-12-29", "total_return": -0.0853849031334808, "traded_notional_by_category": { "entry": 1810036.098244174, "exit": 1839886.784760466, "resize": 446589.12816236727 }, "transaction_cost": 2048.256005583504, "transaction_cost_over_anchor_nav": 0.0008086486779343806, "two_sided_turnover": 1.511296663821628 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.119289655077456, "annualized_volatility": 0.09818504408883826, "cagr": 0.2515346915676042, "end_nav": 2899383.173392106, "end_session": "2019-12-31", "fee_by_category": { "entry": 1295.961541810735, "exit": 1267.627147980022, "resize": 157.55989636772213 }, "max_cash_weight": 0.6727962252097128, "max_drawdown": -0.04285005768568806, "mean_cash_weight": 0.3293259791867862, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2316662.2490987414, "start_session": "2018-12-31", "total_return": 0.2515346915676042, "traded_notional_by_category": { "entry": 2591923.08362147, "exit": 2535254.295960044, "resize": 315119.79273544427 }, "transaction_cost": 2721.1485861584792, "transaction_cost_over_anchor_nav": 0.0011745987518107556, "two_sided_turnover": 2.119289655077456 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5776528879541742, "annualized_volatility": 0.3336542868899463, "cagr": 0.2108016088836051, "end_nav": 3510577.811113214, "end_session": "2020-12-31", "fee_by_category": { "entry": 1026.5889889366388, "exit": 1027.766616040812, "resize": 359.04701145983887 }, "max_cash_weight": 1.5157763084262195e-16, "max_drawdown": -0.3026753160366753, "mean_cash_weight": 2.3937252129005698e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2899383.173392106, "start_session": "2019-12-31", "total_return": 0.2108016088836051, "traded_notional_by_category": { "entry": 2053177.9778732774, "exit": 2055533.232081624, "resize": 718094.0229196778 }, "transaction_cost": 2413.4026164372895, "transaction_cost_over_anchor_nav": 0.0008323848460546013, "two_sided_turnover": 1.5776528879541742 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2017075033761935, "annualized_volatility": 0.1541286310426898, "cagr": 0.2549444236161382, "end_nav": 4405580.047727076, "end_session": "2021-12-31", "fee_by_category": { "entry": 1977.4526701489726, "exit": 1989.4547322919725, "resize": 391.51439523074197 }, "max_cash_weight": 1.3394468594936763e-16, "max_drawdown": -0.06858035438874721, "mean_cash_weight": 2.955786016648495e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3510577.811113214, "start_session": "2020-12-31", "total_return": 0.2549444236161382, "traded_notional_by_category": { "entry": 3954905.3402979453, "exit": 3978909.4645839445, "resize": 783028.7904614839 }, "transaction_cost": 4358.421797671687, "transaction_cost_over_anchor_nav": 0.0012415112360918215, "two_sided_turnover": 2.2017075033761935 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.642935468644681, "annualized_volatility": 0.20404040219082398, "cagr": -0.025088770259946047, "end_nav": 4295049.46204785, "end_session": "2022-12-30", "fee_by_category": { "entry": 3488.077080317955, "exit": 3511.8906045924605, "resize": 621.6116471328669 }, "max_cash_weight": 1.210658954047917e-16, "max_drawdown": -0.18457437366792884, "mean_cash_weight": 2.0017981756865568e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4405580.047727076, "start_session": "2021-12-31", "total_return": -0.025088770259946047, "traded_notional_by_category": { "entry": 6976154.160635909, "exit": 7023781.20918492, "resize": 1243223.2942657338 }, "transaction_cost": 7621.579332043281, "transaction_cost_over_anchor_nav": 0.0017299831689530647, "two_sided_turnover": 3.642935468644681 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7987192986805, "annualized_volatility": 0.1412506694309157, "cagr": 0.04942430231703843, "end_nav": 4507329.285126736, "end_session": "2023-12-29", "fee_by_category": { "entry": 2845.552987519868, "exit": 2841.5515653575376, "resize": 281.36273963159 }, "max_cash_weight": 1.2370336925127947e-16, "max_drawdown": -0.13633263410056695, "mean_cash_weight": 2.894763659744993e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4295049.46204785, "start_session": "2022-12-30", "total_return": 0.04942430231703843, "traded_notional_by_category": { "entry": 5691105.975039735, "exit": 5683103.130715075, "resize": 562725.4792631799 }, "transaction_cost": 5968.467292508995, "transaction_cost_over_anchor_nav": 0.001389615496922187, "two_sided_turnover": 2.7987192986805 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.598404360851231, "annualized_volatility": 0.14369402812370727, "cagr": 0.14314054617176675, "end_nav": 5152510.860775776, "end_session": "2024-12-31", "fee_by_category": { "entry": 1663.3817996979114, "exit": 1702.9535251553223, "resize": 615.9361512526594 }, "max_cash_weight": 0.0, "max_drawdown": -0.09607434597392239, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4507329.285126736, "start_session": "2023-12-29", "total_return": 0.14314054617176675, "traded_notional_by_category": { "entry": 3326763.5993958227, "exit": 3405907.0503106443, "resize": 1231872.3025053188 }, "transaction_cost": 3982.2714761058933, "transaction_cost_over_anchor_nav": 0.0008835102172913289, "two_sided_turnover": 1.598404360851231 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2146020315791675, "annualized_volatility": 0.16403407657870006, "cagr": 0.10875710896165658, "end_nav": 5712883.045887287, "end_session": "2025-12-31", "fee_by_category": { "entry": 2677.7390850707134, "exit": 2651.028332714979, "resize": 605.0756158171478 }, "max_cash_weight": 0.0, "max_drawdown": -0.15287709696719176, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5152510.860775776, "start_session": "2024-12-31", "total_return": 0.10875710896165658, "traded_notional_by_category": { "entry": 5355478.170141427, "exit": 5302056.665429959, "resize": 1210151.2316342955 }, "transaction_cost": 5933.8430336028405, "transaction_cost_over_anchor_nav": 0.0011516410530592117, "two_sided_turnover": 2.2146020315791675 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.2762126229108066, "annualized_volatility": 0.17871547479935052, "cagr": 0.07823054246435679, "end_nav": 5712883.045887287, "end_session": "2025-12-31", "fee_by_category": { "entry": 28047.887689964686, "exit": 28136.075091140017, "resize": 5382.2811689220935 }, "max_cash_weight": 1.0, "max_drawdown": -0.4824395714411126, "mean_cash_weight": 0.073196125854828, "nonzero_trade_event_count": 295, "order_count": 912, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 869089.6758897965, "start_session": "2000-12-29", "total_return": 5.573410321596893, "traded_notional_by_category": { "entry": 56095775.379929364, "exit": 56272150.182280034, "resize": 10764562.337844187 }, "transaction_cost": 61566.243950026794, "transaction_cost_over_anchor_nav": 0.07083992096326962, "two_sided_turnover": 56.90531557277017 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6849206.533605767, "end_session": "2026-10-02", "fee_by_category": { "entry": 1937.9338609731608, "exit": 1894.9848740676696, "resize": 1344.6203510879739 }, "max_cash_weight": 0.0, "max_drawdown": -0.09881666477460127, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 5712883.045887287, "start_session": "2025-12-31", "total_return": 0.19890543506514136, "traded_notional_by_category": { "entry": 3875867.7219463214, "exit": 3789969.748135339, "resize": 2689240.702175948 }, "transaction_cost": 5177.539086128804, "transaction_cost_over_anchor_nav": 0.0009062918047755454, "two_sided_turnover": 1.7423322619907369 } }, "monthly_risk": { "beta_intercept_per_month": 0.0007759081006285711, "beta_to_SPY_excess_returns": 0.7423353021055122, "monthly_return_volatility_annualized": 0.13496094556690738, "months": 300, "sharpe_monthly_annualized": 0.5008547477906613, "tracking_error_monthly_annualized": 0.08520914420208858 }, "phase": [ 1, 7 ], "policy": "B", "run_id": "BMIX-01-07-5bps", "signal": "mixed" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3149475751026283, "annualized_volatility": 0.17882496940542758, "cagr": -0.08471800223871162, "end_nav": 1033979.4250487013, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3203477463483567e-16, "max_drawdown": -0.21951450156634056, "mean_cash_weight": 2.577112496517305e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 1129683.996383342, "start_session": "2000-12-29", "total_return": -0.08471800223871162, "traded_notional_by_category": { "entry": 1032001.0805321527, "exit": 1036516.9463073728, "resize": 317842.47118438466 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.3149475751026283 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.1336851561679346, "annualized_volatility": 0.13481931119974103, "cagr": -0.07124049304270652, "end_nav": 960318.2210122177, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.172198747979596, "mean_cash_weight": 0.5044185293952087, "nonzero_trade_event_count": 9, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1033979.4250487013, "start_session": "2001-12-31", "total_return": -0.07124049304270652, "traded_notional_by_category": { "entry": 0.0, "exit": 988102.7086481955, "resize": 144271.20771451225 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.1336851561679346 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0297283662044385, "annualized_volatility": 0.08541052658390692, "cagr": 0.11660646189210278, "end_nav": 1072297.5310549708, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.05601590420816949, "mean_cash_weight": 0.6626984126984127, "nonzero_trade_event_count": 4, "order_count": 12, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 960318.2210122177, "start_session": "2002-12-31", "total_return": 0.11660646189210278, "traded_notional_by_category": { "entry": 960318.2210122176, "exit": 0.0, "resize": 28796.72629121557 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.0297283662044385 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.223180627501953, "annualized_volatility": 0.11975857662305574, "cagr": 0.21877483567805922, "end_nav": 1306889.2472095108, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0869587535990603e-16, "max_drawdown": -0.05595665852605192, "mean_cash_weight": 1.7141749751486812e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1072297.5310549708, "start_session": "2003-12-31", "total_return": 0.21877483567805922, "traded_notional_by_category": { "entry": 1090500.2697652224, "exit": 1090500.2697652224, "resize": 254625.53455994168 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.223180627501953 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.985911553847531, "annualized_volatility": 0.14121583375693372, "cagr": 0.16999091710298586, "end_nav": 1529048.5488946864, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5695933238737935e-16, "max_drawdown": -0.1030594795338714, "mean_cash_weight": 2.5239246157485063e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1306889.2472095108, "start_session": "2004-12-31", "total_return": 0.16999091710298586, "traded_notional_by_category": { "entry": 512349.4479677108, "exit": 487390.2760951721, "resize": 483853.5487288355 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.985911553847531 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.920629512707273, "annualized_volatility": 0.11408906443029108, "cagr": 0.16214085944373813, "end_nav": 1776969.7947436713, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5331225872427757e-16, "max_drawdown": -0.08229331128633954, "mean_cash_weight": 5.87934788616871e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1529048.5488946864, "start_session": "2005-12-30", "total_return": 0.16214085944373813, "traded_notional_by_category": { "entry": 2169275.63598983, "exit": 2191681.960570342, "resize": 390417.97067049984 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.920629512707273 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8551623427396757, "annualized_volatility": 0.16485843115815782, "cagr": 0.034066297692207925, "end_nav": 1837504.5767614706, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.330101215095736e-16, "max_drawdown": -0.10819361799687721, "mean_cash_weight": 4.404982427736724e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1776969.7947436713, "start_session": "2006-12-29", "total_return": 0.034066297692207925, "traded_notional_by_category": { "entry": 2362375.4978125403, "exit": 2395449.3331784373, "resize": 309790.19636785565 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8551623427396757 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7586277909800767, "annualized_volatility": 0.3985953869283396, "cagr": -0.3643846977411127, "end_nav": 1167946.026960331, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.2138243263737388e-16, "max_drawdown": -0.4600482601441358, "mean_cash_weight": 9.656808044425584e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1837504.5767614706, "start_session": "2007-12-31", "total_return": -0.3643846977411127, "traded_notional_by_category": { "entry": 1115328.2497550673, "exit": 1094861.6635235879, "resize": 694564.0806733299 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.7586277909800767 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0665800174197906, "annualized_volatility": 0.1740159444404356, "cagr": -0.036304055011741276, "end_nav": 1125544.8501468184, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.21363919003765452, "mean_cash_weight": 0.5079365079365079, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1167946.026960331, "start_session": "2008-12-31", "total_return": -0.036304055011741276, "traded_notional_by_category": { "entry": 981714.3778455372, "exit": 981714.3778455373, "resize": 71749.08316074742 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0665800174197906 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5207599510483847, "annualized_volatility": 0.1729961773063837, "cagr": 0.1574876090241346, "end_nav": 1302804.2174458688, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0938149183256536e-16, "max_drawdown": -0.14300455691042857, "mean_cash_weight": 1.6747531370160022e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1125544.8501468184, "start_session": "2009-12-31", "total_return": 0.1574876090241346, "traded_notional_by_category": { "entry": 732135.8307480863, "exit": 723976.0128783233, "resize": 222215.5193039066 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5207599510483847 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.914561081597474, "annualized_volatility": 0.24251180787480772, "cagr": -0.018953776608622852, "end_nav": 1278111.1573436281, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0893521155954475e-16, "max_drawdown": -0.21909660822228794, "mean_cash_weight": 4.680984240380416e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1302804.2174458688, "start_session": "2010-12-31", "total_return": -0.018953776608622852, "traded_notional_by_category": { "entry": 1723559.9658001268, "exit": 1743683.9531933523, "resize": 293581.60937330266 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.914561081597474 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4925669368870451, "annualized_volatility": 0.08937432631573129, "cagr": 0.1629296768239441, "end_nav": 1486353.3951547025, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5512245748203559e-16, "max_drawdown": -0.0695610521075064, "mean_cash_weight": 1.2856654639395123e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1278111.1573436281, "start_session": "2011-12-30", "total_return": 0.1629296768239441, "traded_notional_by_category": { "entry": 914604.9301377721, "exit": 919382.2547573638, "resize": 222973.95203940728 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4925669368870451 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4294804637314502, "annualized_volatility": 0.11820703015022288, "cagr": 0.41028693421966445, "end_nav": 2096184.7728197149, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.347735310794848e-16, "max_drawdown": -0.05474457578903169, "mean_cash_weight": 5.268892318522968e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1486353.3951547025, "start_session": "2012-12-31", "total_return": 0.41028693421966445, "traded_notional_by_category": { "entry": 1070561.7262228227, "exit": 1074881.1415504334, "resize": 168741.32041601982 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4294804637314502 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2060949258918443, "annualized_volatility": 0.13210516860607824, "cagr": 0.047970351175059545, "end_nav": 2196739.492499689, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.152226142820616e-16, "max_drawdown": -0.0992234785446271, "mean_cash_weight": 4.446096666723927e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2096184.7728197149, "start_session": "2013-12-31", "total_return": 0.047970351175059545, "traded_notional_by_category": { "entry": 2215864.932288576, "exit": 2200582.138043762, "resize": 462909.23559332686 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2060949258918443 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.151802014032306, "annualized_volatility": 0.14999665433429704, "cagr": 0.055896762682567935, "end_nav": 2319530.118587369, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.1021756991290654e-16, "max_drawdown": -0.10159809982883306, "mean_cash_weight": 1.810788329521286e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2196739.492499689, "start_session": "2014-12-31", "total_return": 0.055896762682567935, "traded_notional_by_category": { "entry": 2230628.2182943667, "exit": 2259261.3059107778, "resize": 309137.602754937 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.151802014032306 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4827241014605168, "annualized_volatility": 0.11494650844585033, "cagr": 0.017357611564352338, "end_nav": 2359791.6213976247, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3413707935827406, "max_drawdown": -0.08820380766398506, "mean_cash_weight": 0.16991254785189353, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2319530.118587369, "start_session": "2015-12-31", "total_return": 0.017357611564352338, "traded_notional_by_category": { "entry": 1530314.2063524672, "exit": 1495982.801190529, "resize": 342264.04986093147 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4827241014605168 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5199308936979963, "annualized_volatility": 0.08441968619373683, "cagr": 0.25861778521151635, "end_nav": 2970075.7040841714, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.046516995119561866, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2359791.6213976247, "start_session": "2016-12-30", "total_return": 0.25861778521151635, "traded_notional_by_category": { "entry": 1681095.6264904486, "exit": 1684348.8757408375, "resize": 485914.5320555165 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5199308936979963 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4746033480915974, "annualized_volatility": 0.1973243126315543, "cagr": -0.07729406954105944, "end_nav": 2740506.4660704783, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.582912785747083e-16, "max_drawdown": -0.24636880288553642, "mean_cash_weight": 3.56001853407e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2970075.7040841714, "start_session": "2017-12-29", "total_return": -0.07729406954105944, "traded_notional_by_category": { "entry": 2141390.1869247574, "exit": 2098061.8848228166, "resize": 481403.8481848998 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4746033480915974 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.80525567549821, "annualized_volatility": 0.09824149537677307, "cagr": 0.28403830035246536, "end_nav": 3518915.264798078, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.34321609050786195, "max_drawdown": -0.029359537170837058, "mean_cash_weight": 0.1687207262211344, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2740506.4660704783, "start_session": "2018-12-31", "total_return": 0.28403830035246536, "traded_notional_by_category": { "entry": 4232659.363727583, "exit": 4172055.1013692943, "resize": 463813.6849988877 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.80525567549821 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5454495114427387, "annualized_volatility": 0.33377170721633276, "cagr": 0.17628003228834488, "end_nav": 4139229.761296633, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.394181681451411e-16, "max_drawdown": -0.30266992317089547, "mean_cash_weight": 8.229366825693099e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3518915.264798078, "start_session": "2019-12-31", "total_return": 0.17628003228834488, "traded_notional_by_category": { "entry": 2602282.569692475, "exit": 2514730.9455383956, "resize": 823594.98587124 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5454495114427387 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4673743120538716, "annualized_volatility": 0.1381946625866053, "cagr": 0.23173025988170748, "end_nav": 5098414.549592, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0003920017443318e-16, "max_drawdown": -0.07583079752756328, "mean_cash_weight": 5.077231208469118e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4139229.761296633, "start_session": "2020-12-31", "total_return": 0.23173025988170748, "traded_notional_by_category": { "entry": 3296213.850897412, "exit": 3300329.7397825187, "resize": 607213.2117820233 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4673743120538716 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.383346434433045, "annualized_volatility": 0.1974578501986563, "cagr": 0.07057677270216267, "end_nav": 5458244.194399954, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7762593230385011e-16, "max_drawdown": -0.1381109595439538, "mean_cash_weight": 1.43856994237172e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 5098414.549592, "start_session": "2021-12-31", "total_return": 0.07057677270216267, "traded_notional_by_category": { "entry": 4817562.816287931, "exit": 4817562.816287932, "resize": 1998845.709482683 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.383346434433045 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8309678200607715, "annualized_volatility": 0.1552884569555414, "cagr": 0.08021787913701717, "end_nav": 5896092.967486654, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8422693853959854e-16, "max_drawdown": -0.13034720125160293, "mean_cash_weight": 1.3648242840030607e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5458244.194399954, "start_session": "2022-12-30", "total_return": 0.08021787913701717, "traded_notional_by_category": { "entry": 7133644.482179442, "exit": 7181818.789352739, "resize": 817912.8956260548 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8309678200607715 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.254508950176998, "annualized_volatility": 0.12175442056516476, "cagr": 0.1412979303045374, "end_nav": 6729198.700675657, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5679613137859363e-16, "max_drawdown": -0.07918810082173044, "mean_cash_weight": 4.986165130827814e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 5896092.967486654, "start_session": "2023-12-29", "total_return": 0.1412979303045374, "traded_notional_by_category": { "entry": 6429921.7143667815, "exit": 6400250.831186382, "resize": 1701858.1021479894 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.254508950176998 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.232510921547136, "annualized_volatility": 0.16777303392748796, "cagr": 0.20572647359971263, "end_nav": 8113573.019517428, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.50037205826166e-16, "max_drawdown": -0.13767266295663116, "mean_cash_weight": 9.498774057900886e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6729198.700675657, "start_session": "2024-12-31", "total_return": 0.20572647359971263, "traded_notional_by_category": { "entry": 7482442.531695783, "exit": 7576317.015125473, "resize": 1655446.0623523057 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.232510921547136 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9600156113729077, "annualized_volatility": 0.1763525753341931, "cagr": 0.08205716944373753, "end_nav": 8113573.019517428, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.496829664224285, "mean_cash_weight": 0.08071402170733193, "nonzero_trade_event_count": 284, "order_count": 894, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 1129683.996383342, "start_session": "2000-12-29", "total_return": 6.182161600494342, "traded_notional_by_category": { "entry": 60458745.73278711, "exit": 60429443.1426648, "resize": 13753737.141194755 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 49.00039028432269 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 9689776.706503129, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.967302637616246e-16, "max_drawdown": -0.09382120695006102, "mean_cash_weight": 4.4389065056973606e-17, "nonzero_trade_event_count": 10, "order_count": 33, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 8113573.019517428, "start_session": "2025-12-31", "total_return": 0.1942675173063826, "traded_notional_by_category": { "entry": 9279578.624760866, "exit": 9316825.352803195, "resize": 3573511.1900014644 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.396317334643326 } }, "monthly_risk": { "beta_intercept_per_month": 0.000963458922110064, "beta_to_SPY_excess_returns": 0.7724326947714429, "monthly_return_volatility_annualized": 0.1427730156942363, "months": 300, "sharpe_monthly_annualized": 0.5058871958031348, "tracking_error_monthly_annualized": 0.08976414105168931 }, "phase": [ 2, 8 ], "policy": "B", "run_id": "BMIX-02-08-0bps", "signal": "mixed" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3142769538930863, "annualized_volatility": 0.1787878078216806, "cagr": -0.08683480949782252, "end_nav": 1028137.5884567467, "end_session": "2001-12-31", "fee_by_category": { "entry": 1026.8185306316632, "exit": 1032.4682440613951, "resize": 316.85340189187065 }, "max_cash_weight": 1.3276587318955115e-16, "max_drawdown": -0.22120743305264046, "mean_cash_weight": 1.6989583068092272e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 1125905.3664664356, "start_session": "2000-12-29", "total_return": -0.08683480949782252, "traded_notional_by_category": { "entry": 1026818.5306316632, "exit": 1032468.2440613952, "resize": 316853.40189187066 }, "transaction_cost": 2376.140176584929, "transaction_cost_over_anchor_nav": 0.0021104261933152127, "two_sided_turnover": 2.3142769538930863 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.13368229839403, "annualized_volatility": 0.1348445067911593, "cagr": -0.0722930748058862, "end_nav": 953810.3608636996, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 982.2063884180711, "resize": 143.41849020238425 }, "max_cash_weight": 1.0, "max_drawdown": -0.17224397245300793, "mean_cash_weight": 0.5044185293952087, "nonzero_trade_event_count": 9, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1028137.5884567467, "start_session": "2001-12-31", "total_return": -0.0722930748058862, "traded_notional_by_category": { "entry": 0.0, "exit": 982206.3884180712, "resize": 143418.49020238424 }, "transaction_cost": 1125.6248786204553, "transaction_cost_over_anchor_nav": 0.0010948193036206747, "two_sided_turnover": 1.13368229839403 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0287235970939035, "annualized_volatility": 0.08532942373665839, "cagr": 0.11545781593282745, "end_nav": 1063935.2219431244, "end_session": "2003-12-31", "fee_by_category": { "entry": 952.8575033603391, "exit": 0.0, "resize": 28.56733616667951 }, "max_cash_weight": 1.0, "max_drawdown": -0.056015904208169376, "mean_cash_weight": 0.6626984126984127, "nonzero_trade_event_count": 4, "order_count": 12, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 953810.3608636996, "start_session": "2002-12-31", "total_return": 0.11545781593282745, "traded_notional_by_category": { "entry": 952857.5033603391, "exit": 0.0, "resize": 28567.33616667951 }, "transaction_cost": 981.4248395270187, "transaction_cost_over_anchor_nav": 0.0010289517495263036, "two_sided_turnover": 1.0287235970939035 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2211578115758184, "annualized_volatility": 0.11966292828411834, "cagr": 0.21606831476510058, "end_nav": 1293817.9123676086, "end_session": "2004-12-31", "fee_by_category": { "entry": 1079.769666142285, "exit": 1081.9313671756029, "resize": 252.2088216626489 }, "max_cash_weight": 0.0, "max_drawdown": -0.05772417306069799, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1063935.2219431244, "start_session": "2003-12-31", "total_return": 0.21606831476510058, "traded_notional_by_category": { "entry": 1079769.6661422849, "exit": 1081931.3671756028, "resize": 252208.82166264887 }, "transaction_cost": 2413.9098549805367, "transaction_cost_over_anchor_nav": 0.00226885040103464, "two_sided_turnover": 2.2211578115758184 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9856705689293968, "annualized_volatility": 0.14117179141008085, "cagr": 0.16883798735160305, "end_nav": 1512263.5246912085, "end_session": "2005-12-30", "fee_by_category": { "entry": 506.76521951463803, "exit": 482.40356425962983, "resize": 478.83660211518367 }, "max_cash_weight": 0.0, "max_drawdown": -0.10308039600740015, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1293817.9123676086, "start_session": "2004-12-31", "total_return": 0.16883798735160305, "traded_notional_by_category": { "entry": 506765.219514638, "exit": 482403.5642596298, "resize": 478836.60211518366 }, "transaction_cost": 1468.0053858894514, "transaction_cost_over_anchor_nav": 0.00113463059357641, "two_sided_turnover": 0.9856705689293968 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.9187806827550205, "annualized_volatility": 0.11402420570340722, "cagr": 0.1587516446934556, "end_nav": 1752337.84644586, "end_session": "2006-12-29", "fee_by_category": { "entry": 2140.7996297201203, "exit": 2165.8716579855736, "resize": 385.6226598936055 }, "max_cash_weight": 1.5128003493785628e-16, "max_drawdown": -0.08230462849396636, "mean_cash_weight": 7.183696802563796e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1512263.5246912085, "start_session": "2005-12-30", "total_return": 0.1587516446934556, "traded_notional_by_category": { "entry": 2140799.62972012, "exit": 2165871.6579855736, "resize": 385622.6598936055 }, "transaction_cost": 4692.2939475993, "transaction_cost_over_anchor_nav": 0.0031028282247020584, "two_sided_turnover": 2.9187806827550205 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8524725630862973, "annualized_volatility": 0.16475491182826696, "cagr": 0.031118537308391758, "end_nav": 1806868.0370973924, "end_session": "2007-12-31", "fee_by_category": { "entry": 2324.3476068718073, "exit": 2360.858769646589, "resize": 304.2591901949034 }, "max_cash_weight": 1.3893472363115646e-16, "max_drawdown": -0.10822066093052496, "mean_cash_weight": 5.549680500457178e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1752337.84644586, "start_session": "2006-12-29", "total_return": 0.031118537308391758, "traded_notional_by_category": { "entry": 2324347.606871807, "exit": 2360858.7696465887, "resize": 304259.1901949034 }, "transaction_cost": 4989.465566713299, "transaction_cost_over_anchor_nav": 0.002847319412083161, "two_sided_turnover": 2.8524725630862973 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7581602809938153, "annualized_volatility": 0.3985566679626674, "cagr": -0.3655018000731469, "end_nav": 1146454.5170436618, "end_session": "2008-12-31", "fee_by_category": { "entry": 1095.2179043762014, "exit": 1076.5552773502473, "resize": 682.7902109132596 }, "max_cash_weight": 1.436345829300021e-16, "max_drawdown": -0.46019727660727194, "mean_cash_weight": 3.4696876361304394e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1806868.0370973924, "start_session": "2007-12-31", "total_return": -0.3655018000731469, "traded_notional_by_category": { "entry": 1095217.9043762013, "exit": 1076555.2773502471, "resize": 682790.2109132595 }, "transaction_cost": 2854.563392639708, "transaction_cost_over_anchor_nav": 0.0015798405495209076, "two_sided_turnover": 1.7581602809938153 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 2.065573023888978, "annualized_volatility": 0.17421554905309833, "cagr": -0.0382935468418345, "end_nav": 1102552.7072932175, "end_session": "2009-12-31", "fee_by_category": { "entry": 961.698701436978, "exit": 963.6240241625775, "resize": 70.33592695700476 }, "max_cash_weight": 1.0, "max_drawdown": -0.2152255838670405, "mean_cash_weight": 0.5079365079365079, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1146454.5170436618, "start_session": "2008-12-31", "total_return": -0.0382935468418345, "traded_notional_by_category": { "entry": 961698.701436978, "exit": 963624.0241625775, "resize": 70335.92695700476 }, "transaction_cost": 1995.6586525565604, "transaction_cost_over_anchor_nav": 0.001740722046002072, "two_sided_turnover": 2.065573023888978 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5203199126124904, "annualized_volatility": 0.17282482773082333, "cagr": 0.15572867298909254, "end_nav": 1274251.7773005217, "end_session": "2010-12-31", "fee_by_category": { "entry": 716.398710267435, "exit": 708.8912316380136, "resize": 217.5144880841584 }, "max_cash_weight": 0.0, "max_drawdown": -0.14306102058567804, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1102552.7072932175, "start_session": "2009-12-31", "total_return": 0.15572867298909254, "traded_notional_by_category": { "entry": 716398.710267435, "exit": 708891.2316380136, "resize": 217514.4880841584 }, "transaction_cost": 1642.804429989607, "transaction_cost_over_anchor_nav": 0.0014900008127708606, "two_sided_turnover": 1.5203199126124904 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.9119015645540696, "annualized_volatility": 0.24267595244026766, "cagr": -0.021808113478607782, "end_nav": 1246462.7499408342, "end_session": "2011-12-30", "fee_by_category": { "entry": 1682.3254532380938, "exit": 1704.2587101446265, "resize": 285.55499237611036 }, "max_cash_weight": 0.0, "max_drawdown": -0.2202435864317417, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1274251.7773005217, "start_session": "2010-12-31", "total_return": -0.021808113478607782, "traded_notional_by_category": { "entry": 1682325.4532380938, "exit": 1704258.7101446267, "resize": 285554.99237611034 }, "transaction_cost": 3672.139155758831, "transaction_cost_over_anchor_nav": 0.0028818003013016693, "two_sided_turnover": 2.9119015645540696 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4912372752420207, "annualized_volatility": 0.08933005324342182, "cagr": 0.16119572190263787, "end_nav": 1447387.2127422942, "end_session": "2012-12-31", "fee_by_category": { "entry": 890.7340490132748, "exit": 896.5871804288372, "resize": 216.62492293866154 }, "max_cash_weight": 0.0, "max_drawdown": -0.06957156241736517, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1246462.7499408342, "start_session": "2011-12-30", "total_return": 0.16119572190263787, "traded_notional_by_category": { "entry": 890734.0490132747, "exit": 896587.1804288372, "resize": 216624.92293866153 }, "transaction_cost": 2003.9461523807734, "transaction_cost_over_anchor_nav": 0.001607706409578541, "two_sided_turnover": 1.4912372752420207 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4281404205815484, "annualized_volatility": 0.11814637545462964, "cagr": 0.4082730228449911, "end_nav": 2038316.365315777, "end_session": "2013-12-31", "fee_by_category": { "entry": 1041.0860734848075, "exit": 1046.6863756489688, "resize": 163.42435808291532 }, "max_cash_weight": 1.370654783066466e-16, "max_drawdown": -0.054744575789032024, "mean_cash_weight": 1.059017800240301e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1447387.2127422942, "start_session": "2012-12-31", "total_return": 0.4082730228449911, "traded_notional_by_category": { "entry": 1041086.0734848075, "exit": 1046686.3756489689, "resize": 163424.3580829153 }, "transaction_cost": 2251.196807216692, "transaction_cost_over_anchor_nav": 0.0015553521458514608, "two_sided_turnover": 1.4281404205815484 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2059077366394413, "annualized_volatility": 0.13220115053207507, "cagr": 0.04566000723331265, "end_nav": 2131385.905299875, "end_session": "2014-12-31", "fee_by_category": { "entry": 2151.1536476474384, "exit": 2138.708281110593, "resize": 451.46397579354186 }, "max_cash_weight": 1.1821193751350628e-16, "max_drawdown": -0.10045438937332551, "mean_cash_weight": 2.847430297009295e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2038316.365315777, "start_session": "2013-12-31", "total_return": 0.04566000723331265, "traded_notional_by_category": { "entry": 2151153.647647438, "exit": 2138708.281110593, "resize": 451463.9757935419 }, "transaction_cost": 4741.325904551572, "transaction_cost_over_anchor_nav": 0.002326099120445929, "two_sided_turnover": 2.2059077366394413 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1497901244178843, "annualized_volatility": 0.15011402848688435, "cagr": 0.05362805189830544, "end_nav": 2245687.9792446136, "end_session": "2015-12-31", "fee_by_category": { "entry": 2160.7999653649745, "exit": 2190.990117265747, "resize": 297.63238475409804 }, "max_cash_weight": 0.0, "max_drawdown": -0.1022158269119503, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2131385.905299875, "start_session": "2014-12-31", "total_return": 0.05362805189830544, "traded_notional_by_category": { "entry": 2160799.9653649745, "exit": 2190990.117265747, "resize": 297632.384754098 }, "transaction_cost": 4649.422467384819, "transaction_cost_over_anchor_nav": 0.0021814080949975456, "two_sided_turnover": 2.1497901244178843 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4819481680431428, "annualized_volatility": 0.11491876858869958, "cagr": 0.01585048475097195, "end_nav": 2281283.222315071, "end_session": "2016-12-30", "fee_by_category": { "entry": 1479.7383819146044, "exit": 1448.2759186969474, "resize": 330.40583724295976 }, "max_cash_weight": 0.3413707935827406, "max_drawdown": -0.08825564115257212, "mean_cash_weight": 0.1699125478518935, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2245687.9792446136, "start_session": "2015-12-31", "total_return": 0.01585048475097195, "traded_notional_by_category": { "entry": 1479738.3819146045, "exit": 1448275.9186969474, "resize": 330405.83724295977 }, "transaction_cost": 3258.4201378545113, "transaction_cost_over_anchor_nav": 0.001450967439809048, "two_sided_turnover": 1.4819481680431428 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.518584297935511, "annualized_volatility": 0.08435054655535165, "cagr": 0.25670679622185744, "end_nav": 2866904.129590248, "end_session": "2017-12-29", "fee_by_category": { "entry": 1622.961460531339, "exit": 1628.2752707937807, "resize": 468.0429384711434 }, "max_cash_weight": 0.0, "max_drawdown": -0.046537620107959254, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2281283.222315071, "start_session": "2016-12-30", "total_return": 0.25670679622185744, "traded_notional_by_category": { "entry": 1622961.460531339, "exit": 1628275.2707937807, "resize": 468042.93847114337 }, "transaction_cost": 3719.2796697962635, "transaction_cost_over_anchor_nav": 0.0016303454272643524, "two_sided_turnover": 1.518584297935511 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.474579831780907, "annualized_volatility": 0.1973886263879267, "cagr": -0.07865408661158246, "end_nav": 2641410.4038743535, "end_session": "2018-12-31", "fee_by_category": { "entry": 2064.776193634727, "exit": 2024.3654885242508, "resize": 465.6858053229685 }, "max_cash_weight": 0.0, "max_drawdown": -0.24639017085212633, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2866904.129590248, "start_session": "2017-12-29", "total_return": -0.07865408661158246, "traded_notional_by_category": { "entry": 2064776.193634727, "exit": 2024365.4885242507, "resize": 465685.8053229685 }, "transaction_cost": 4554.827487481946, "transaction_cost_over_anchor_nav": 0.0015887617030754858, "two_sided_turnover": 1.474579831780907 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8037951735884925, "annualized_volatility": 0.0980476020087973, "cagr": 0.2804407370182562, "end_nav": 3382169.484304567, "end_session": "2019-12-31", "fee_by_category": { "entry": 4070.4866717332525, "exit": 4019.3164133689907, "resize": 447.260989302694 }, "max_cash_weight": 0.3432160905078619, "max_drawdown": -0.029366851681682182, "mean_cash_weight": 0.1687207262211344, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2641410.4038743535, "start_session": "2018-12-31", "total_return": 0.2804407370182562, "traded_notional_by_category": { "entry": 4070486.6717332527, "exit": 4019316.4133689906, "resize": 447260.989302694 }, "transaction_cost": 8537.064074404938, "transaction_cost_over_anchor_nav": 0.003232009710374045, "two_sided_turnover": 2.8037951735884925 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5449547926226421, "annualized_volatility": 0.33375325225602903, "cagr": 0.1744630885780576, "end_nav": 3972233.218630798, "end_session": "2020-12-31", "fee_by_category": { "entry": 2497.400592514225, "exit": 2416.5986928104116, "resize": 792.8022714675919 }, "max_cash_weight": 1.8328918093569138e-16, "max_drawdown": -0.3026807071054324, "mean_cash_weight": 3.5747199484126427e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3382169.484304567, "start_session": "2019-12-31", "total_return": 0.1744630885780576, "traded_notional_by_category": { "entry": 2497400.592514225, "exit": 2416598.6928104116, "resize": 792802.2714675919 }, "transaction_cost": 5706.801556792228, "transaction_cost_over_anchor_nav": 0.001687319805608632, "two_sided_turnover": 1.5449547926226421 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4660249424844458, "annualized_volatility": 0.1382233981747196, "cagr": 0.22992473973732763, "end_nav": 4885547.907600451, "end_session": "2021-12-31", "fee_by_category": { "entry": 3158.708325124866, "exit": 3166.8760651419107, "resize": 580.2740511439536 }, "max_cash_weight": 0.0, "max_drawdown": -0.07584378454113627, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3972233.218630798, "start_session": "2020-12-31", "total_return": 0.22992473973732763, "traded_notional_by_category": { "entry": 3158708.325124866, "exit": 3166876.0651419107, "resize": 580274.0511439536 }, "transaction_cost": 6905.858441410731, "transaction_cost_over_anchor_nav": 0.0017385329766189139, "two_sided_turnover": 1.4660249424844458 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3813235803603248, "annualized_volatility": 0.1975511041333105, "cagr": 0.06802827112126852, "end_nav": 5217903.285234641, "end_session": "2022-12-30", "fee_by_category": { "entry": 4607.004306895107, "exit": 4616.227538740742, "resize": 1911.5141689693182 }, "max_cash_weight": 0.0, "max_drawdown": -0.1381109595439538, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4885547.907600451, "start_session": "2021-12-31", "total_return": 0.06802827112126852, "traded_notional_by_category": { "entry": 4607004.306895107, "exit": 4616227.538740742, "resize": 1911514.168969318 }, "transaction_cost": 11134.746014605165, "transaction_cost_over_anchor_nav": 0.002279119195061588, "two_sided_turnover": 2.3813235803603248 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8282603734766916, "annualized_volatility": 0.15520644502063652, "cagr": 0.07716511777649138, "end_nav": 5620543.406786114, "end_session": "2023-12-29", "fee_by_category": { "entry": 6805.140639776348, "exit": 6860.300245124126, "resize": 776.1647646385543 }, "max_cash_weight": 0.0, "max_drawdown": -0.1315336201247883, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5217903.285234641, "start_session": "2022-12-30", "total_return": 0.07716511777649138, "traded_notional_by_category": { "entry": 6805140.639776347, "exit": 6860300.245124126, "resize": 776164.7646385543 }, "transaction_cost": 14441.605649539028, "transaction_cost_over_anchor_nav": 0.002767702822397102, "two_sided_turnover": 2.8282603734766916 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.253346354713805, "annualized_volatility": 0.1217296215008169, "cagr": 0.13872780292933484, "end_nav": 6400269.04487851, "end_session": "2024-12-31", "fee_by_category": { "entry": 6119.26646808292, "exit": 6097.82493731451, "resize": 1619.8460090657131 }, "max_cash_weight": 1.5687794694828074e-16, "max_drawdown": -0.07922102773445572, "mean_cash_weight": 3.7125927618456874e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 5620543.406786114, "start_session": "2023-12-29", "total_return": 0.13872780292933484, "traded_notional_by_category": { "entry": 6119266.468082921, "exit": 6097824.93731451, "resize": 1619846.009065713 }, "transaction_cost": 13836.937414463144, "transaction_cost_over_anchor_nav": 0.0024618504676534917, "two_sided_turnover": 2.253346354713805 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.231350358451497, "annualized_volatility": 0.16786813183531918, "cagr": 0.2030376898490942, "end_nav": 7699764.886163311, "end_session": "2025-12-31", "fee_by_category": { "entry": 7104.7214153997975, "exit": 7202.0188515317805, "resize": 1572.1979074619926 }, "max_cash_weight": 1.458708183407161e-16, "max_drawdown": -0.1382764696414207, "mean_cash_weight": 3.370868148890718e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6400269.04487851, "start_session": "2024-12-31", "total_return": 0.2030376898490942, "traded_notional_by_category": { "entry": 7104721.415399797, "exit": 7202018.851531781, "resize": 1572197.9074619927 }, "transaction_cost": 15878.938174393572, "transaction_cost_over_anchor_nav": 0.0024809797936697496, "two_sided_turnover": 2.231350358451497 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9587985075246104, "annualized_volatility": 0.17635206215745813, "cagr": 0.0799384971998014, "end_nav": 7699764.886163311, "end_session": "2025-12-31", "fee_by_category": { "entry": 58260.97711667724, "exit": 58312.120611343926, "resize": 13259.302505113916 }, "max_cash_weight": 1.0, "max_drawdown": -0.49875891385644655, "mean_cash_weight": 0.08071402170733191, "nonzero_trade_event_count": 284, "order_count": 894, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 1125905.3664664356, "start_session": "2000-12-29", "total_return": 5.838731846823335, "traded_notional_by_category": { "entry": 58260977.11667724, "exit": 58312120.61134392, "resize": 13259302.505113915 }, "transaction_cost": 129832.40023313508, "transaction_cost_over_anchor_nav": 0.1153137768945926, "two_sided_turnover": 48.96996268811526 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 9173566.304111505, "end_session": "2026-10-02", "fee_by_category": { "entry": 8789.93575760302, "exit": 8835.441636248988, "resize": 3391.631381721509 }, "max_cash_weight": 1.195624979182955e-16, "max_drawdown": -0.09400542390483257, "mean_cash_weight": 1.1562922354586309e-17, "nonzero_trade_event_count": 10, "order_count": 33, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 7699764.886163311, "start_session": "2025-12-31", "total_return": 0.19140862607333053, "traded_notional_by_category": { "entry": 8789935.75760302, "exit": 8835441.636248987, "resize": 3391631.381721509 }, "transaction_cost": 21017.00877557352, "transaction_cost_over_anchor_nav": 0.002729565004425221, "two_sided_turnover": 2.395556511402171 } }, "monthly_risk": { "beta_intercept_per_month": 0.0007983180937258015, "beta_to_SPY_excess_returns": 0.7726343500739749, "monthly_return_volatility_annualized": 0.1428101263092157, "months": 300, "sharpe_monthly_annualized": 0.49200635334756937, "tracking_error_monthly_annualized": 0.08977497365185907 }, "phase": [ 2, 8 ], "policy": "B", "run_id": "BMIX-02-08-10bps", "signal": "mixed" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3132719856629427, "annualized_volatility": 0.1787564286116609, "cagr": -0.09000244760827925, "end_nav": 1019435.3004681373, "end_session": "2001-12-31", "fee_by_category": { "entry": 2547.7340544328417, "exit": 2566.0637994953854, "resize": 788.4371427788329 }, "max_cash_weight": 1.261733145918278e-16, "max_drawdown": -0.22374126085158985, "mean_cash_weight": 4.0370609540829783e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 1120261.585087547, "start_session": "2000-12-29", "total_return": -0.09000244760827925, "traded_notional_by_category": { "entry": 1019093.6217731365, "exit": 1026425.5197981542, "resize": 315374.8571115332 }, "transaction_cost": 5902.2349967070595, "transaction_cost_over_anchor_nav": 0.005268622146180088, "two_sided_turnover": 2.3132719856629427 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.1336780775770012, "annualized_volatility": 0.1348899500795067, "cagr": -0.07387067630912258, "end_nav": 944128.9253691623, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 2433.566092490156, "resize": 355.3718541233541 }, "max_cash_weight": 1.0, "max_drawdown": -0.1723118057454116, "mean_cash_weight": 0.5044185293952087, "nonzero_trade_event_count": 9, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1019435.3004681373, "start_session": "2001-12-31", "total_return": -0.07387067630912258, "traded_notional_by_category": { "entry": 0.0, "exit": 973426.4369960623, "resize": 142148.74164934165 }, "transaction_cost": 2788.9379466135097, "transaction_cost_over_anchor_nav": 0.0027357674835595696, "two_sided_turnover": 1.1336780775770012 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.027220192717985, "annualized_volatility": 0.08523010313963537, "cagr": 0.11373916886040725, "end_nav": 1051513.3646377204, "end_session": "2003-12-31", "fee_by_category": { "entry": 2354.4362228657415, "exit": 0.0, "resize": 70.5666707491703 }, "max_cash_weight": 1.0, "max_drawdown": -0.05601590420816949, "mean_cash_weight": 0.6626984126984127, "nonzero_trade_event_count": 4, "order_count": 12, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 944128.9253691623, "start_session": "2002-12-31", "total_return": 0.11373916886040725, "traded_notional_by_category": { "entry": 941774.4891462966, "exit": 0.0, "resize": 28226.66829966812 }, "transaction_cost": 2425.002893614912, "transaction_cost_over_anchor_nav": 0.0025685082073581373, "two_sided_turnover": 1.027220192717985 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.218131154465357, "annualized_volatility": 0.11958295854362085, "cagr": 0.2120198879637314, "end_nav": 1274455.1104005761, "end_session": "2004-12-31", "fee_by_category": { "entry": 2659.6774187145706, "exit": 2673.009135099105, "resize": 621.567415889673 }, "max_cash_weight": 0.0, "max_drawdown": -0.060628343579760546, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1051513.3646377204, "start_session": "2003-12-31", "total_return": 0.2120198879637314, "traded_notional_by_category": { "entry": 1063870.9674858283, "exit": 1069203.654039642, "resize": 248626.9663558692 }, "transaction_cost": 5954.253969703348, "transaction_cost_over_anchor_nav": 0.005662556625473588, "two_sided_turnover": 2.218131154465357 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9853095019975245, "annualized_volatility": 0.1411120152276386, "cagr": 0.16711075703262424, "end_nav": 1487430.268703713, "end_session": "2005-12-30", "fee_by_category": { "entry": 1246.2564518610536, "exit": 1187.54701171827, "resize": 1178.5216906038677 }, "max_cash_weight": 0.0, "max_drawdown": -0.10311179688509164, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1274455.1104005761, "start_session": "2004-12-31", "total_return": 0.16711075703262424, "traded_notional_by_category": { "entry": 498502.5807444214, "exit": 475018.804687308, "resize": 471408.67624154704 }, "transaction_cost": 3612.3251541831914, "transaction_cost_over_anchor_nav": 0.0028344075242067927, "two_sided_turnover": 0.9853095019975245 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.916013215500561, "annualized_volatility": 0.11398759008083992, "cagr": 0.1536863997469562, "end_nav": 1716028.0715754344, "end_session": "2006-12-29", "fee_by_category": { "entry": 5246.969679558864, "exit": 5319.3204020630565, "resize": 946.3471374261469 }, "max_cash_weight": 1.5233093590810424e-16, "max_drawdown": -0.08232159017067608, "mean_cash_weight": 2.3812622043891346e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1487430.268703713, "start_session": "2005-12-30", "total_return": 0.1536863997469562, "traded_notional_by_category": { "entry": 2098787.8718235455, "exit": 2127728.1608252227, "resize": 378538.8549704588 }, "transaction_cost": 11512.637219048067, "transaction_cost_over_anchor_nav": 0.007739950881247875, "two_sided_turnover": 2.916013215500561 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8484480610173493, "annualized_volatility": 0.1646518535210183, "cagr": 0.02671433772884102, "end_nav": 1761870.6250316724, "end_session": "2007-12-31", "fee_by_category": { "entry": 5671.142429349681, "exit": 5774.7746652292635, "resize": 740.3580902201834 }, "max_cash_weight": 1.4078991969680154e-16, "max_drawdown": -0.10826125879886395, "mean_cash_weight": 1.1250822618562586e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1716028.0715754344, "start_session": "2006-12-29", "total_return": 0.02671433772884102, "traded_notional_by_category": { "entry": 2268456.9717398724, "exit": 2309909.8660917054, "resize": 296143.23608807335 }, "transaction_cost": 12186.275184799128, "transaction_cost_over_anchor_nav": 0.007101442794937072, "two_sided_turnover": 2.8484480610173493 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7574597480947247, "annualized_volatility": 0.3985072494846728, "cagr": -0.36717480027685623, "end_nav": 1114956.1301720082, "end_session": "2008-12-31", "fee_by_category": { "entry": 2664.3244456083758, "exit": 2624.1733057426823, "resize": 1663.7612187517163 }, "max_cash_weight": 1.5131173361330504e-16, "max_drawdown": -0.4604206769975878, "mean_cash_weight": 3.5686392803982906e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1761870.6250316724, "start_session": "2007-12-31", "total_return": -0.36717480027685623, "traded_notional_by_category": { "entry": 1065729.7782433503, "exit": 1049669.322297073, "resize": 665504.4875006865 }, "transaction_cost": 6952.258970102775, "transaction_cost_over_anchor_nav": 0.003945953165532683, "two_sided_turnover": 1.7574597480947247 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0640662982342635, "annualized_volatility": 0.17453475311869385, "cagr": -0.04127006796300636, "end_nav": 1068941.8149040388, "end_session": "2009-12-31", "fee_by_category": { "entry": 2331.093661938053, "exit": 2342.7783419477682, "resize": 170.6708456132788 }, "max_cash_weight": 1.0, "max_drawdown": -0.21759916435410465, "mean_cash_weight": 0.5079365079365079, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1114956.1301720082, "start_session": "2008-12-31", "total_return": -0.04127006796300636, "traded_notional_by_category": { "entry": 932437.4647752213, "exit": 937111.3367791073, "resize": 68268.33824531152 }, "transaction_cost": 4844.5428494991, "transaction_cost_over_anchor_nav": 0.004345052436055682, "two_sided_turnover": 2.0640662982342635 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.519660487967345, "annualized_volatility": 0.17257783295826673, "cagr": 0.15309522987725876, "end_nav": 1232591.7077821868, "end_session": "2010-12-31", "fee_by_category": { "entry": 1733.5624723713174, "exit": 1717.1283180795804, "resize": 526.6220900565519 }, "max_cash_weight": 1.1733998842497375e-16, "max_drawdown": -0.14314569395071253, "mean_cash_weight": 1.8342933151096426e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1068941.8149040388, "start_session": "2009-12-31", "total_return": 0.15309522987725876, "traded_notional_by_category": { "entry": 693424.988948527, "exit": 686851.3272318321, "resize": 210648.83602262073 }, "transaction_cost": 3977.3128805074493, "transaction_cost_over_anchor_nav": 0.0037207945512586216, "two_sided_turnover": 1.519660487967345 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.9079224631964853, "annualized_volatility": 0.24294848670685726, "cagr": -0.02607100201561896, "end_nav": 1200456.8068841621, "end_session": "2011-12-30", "fee_by_category": { "entry": 4055.802356010049, "exit": 4116.970652463505, "resize": 684.7946995685398 }, "max_cash_weight": 0.0, "max_drawdown": -0.22195970420936229, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1232591.7077821868, "start_session": "2010-12-31", "total_return": -0.02607100201561896, "traded_notional_by_category": { "entry": 1622320.9424040196, "exit": 1646788.260985402, "resize": 273917.8798274159 }, "transaction_cost": 8857.567708042094, "transaction_cost_over_anchor_nav": 0.007186132806279862, "two_sided_turnover": 2.9079224631964853 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4892478548078905, "annualized_volatility": 0.089301898591495, "cagr": 0.1586015055415151, "end_nav": 1390851.06379355, "end_session": "2012-12-31", "fee_by_category": { "entry": 2140.2365425180697, "exit": 2158.630783734483, "resize": 518.5918678938806 }, "max_cash_weight": 0.0, "max_drawdown": -0.0695873147552043, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1200456.8068841621, "start_session": "2011-12-30", "total_return": 0.1586015055415151, "traded_notional_by_category": { "entry": 856094.6170072278, "exit": 863452.3134937932, "resize": 207436.74715755222 }, "transaction_cost": 4817.459194146433, "transaction_cost_over_anchor_nav": 0.004013021681846561, "two_sided_turnover": 1.4892478548078905 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4261353963244325, "annualized_volatility": 0.11808423619257714, "cagr": 0.40525988471821317, "end_nav": 1954507.2055667283, "end_session": "2013-12-31", "fee_by_category": { "entry": 2495.983213791501, "exit": 2514.448128651101, "resize": 389.391744241351 }, "max_cash_weight": 1.4451894207102767e-16, "max_drawdown": -0.05474457578903191, "mean_cash_weight": 5.529994844991506e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1390851.06379355, "start_session": "2012-12-31", "total_return": 0.40525988471821317, "traded_notional_by_category": { "entry": 998393.2855166004, "exit": 1005779.2514604403, "resize": 155756.6976965404 }, "transaction_cost": 5399.823086683953, "transaction_cost_over_anchor_nav": 0.0038823877173131114, "two_sided_turnover": 1.4261353963244325 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.205627871694711, "annualized_volatility": 0.13237610068094824, "cagr": 0.04220040504589995, "end_nav": 2036988.2013067743, "end_session": "2014-12-31", "fee_by_category": { "entry": 5144.052924866872, "exit": 5122.886735278897, "resize": 1087.0447459335587 }, "max_cash_weight": 1.2321675258551578e-16, "max_drawdown": -0.10229914246869976, "mean_cash_weight": 3.8410257637212865e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1954507.2055667283, "start_session": "2013-12-31", "total_return": 0.04220040504589995, "traded_notional_by_category": { "entry": 2057621.1699467488, "exit": 2049154.6941115586, "resize": 434817.8983734235 }, "transaction_cost": 11353.984406079328, "transaction_cost_over_anchor_nav": 0.0058091289577963615, "two_sided_turnover": 2.205627871694711 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1467799146545405, "annualized_volatility": 0.15031710610535468, "cagr": 0.0502375814250251, "end_nav": 2139321.5619317386, "end_session": "2015-12-31", "fee_by_category": { "entry": 5150.362742242475, "exit": 5231.100663564462, "resize": 702.8869992268444 }, "max_cash_weight": 1.1642077869997536e-16, "max_drawdown": -0.10314010683681374, "mean_cash_weight": 2.8192299945943745e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2036988.2013067743, "start_session": "2014-12-31", "total_return": 0.0502375814250251, "traded_notional_by_category": { "entry": 2060145.0968969902, "exit": 2092440.2654257845, "resize": 281154.79969073774 }, "transaction_cost": 11084.350405033781, "transaction_cost_over_anchor_nav": 0.005441538835582316, "two_sided_turnover": 2.1467799146545405 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4811778921261831, "annualized_volatility": 0.11489562182242577, "cagr": 0.013593791734667127, "end_nav": 2168403.0536981216, "end_session": "2016-12-30", "fee_by_category": { "entry": 3517.4983894822776, "exit": 3448.902689355385, "resize": 785.4856377668178 }, "max_cash_weight": 0.34137079358274053, "max_drawdown": -0.08833338019328152, "mean_cash_weight": 0.16991254785189353, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2139321.5619317386, "start_session": "2015-12-31", "total_return": 0.013593791734667127, "traded_notional_by_category": { "entry": 1406999.355792911, "exit": 1379561.075742154, "resize": 314194.2551067271 }, "transaction_cost": 7751.88671660448, "transaction_cost_over_anchor_nav": 0.003623525726354469, "two_sided_turnover": 1.4811778921261831 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5165694731390167, "annualized_volatility": 0.08428710175661853, "cagr": 0.2538478799356423, "end_nav": 2718847.5717253624, "end_session": "2017-12-29", "fee_by_category": { "entry": 3848.7979046834307, "exit": 3869.1359359536023, "resize": 1106.1456318393475 }, "max_cash_weight": 0.0, "max_drawdown": -0.04656853183078624, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2168403.0536981216, "start_session": "2016-12-30", "total_return": 0.2538478799356423, "traded_notional_by_category": { "entry": 1539519.1618733723, "exit": 1547654.374381441, "resize": 442458.252735739 }, "transaction_cost": 8824.07947247638, "transaction_cost_over_anchor_nav": 0.004069390816171042, "two_sided_turnover": 1.5165694731390167 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4745451716990645, "annualized_volatility": 0.19749340199451593, "cagr": -0.08069183381251133, "end_nav": 2499458.7753061494, "end_session": "2018-12-31", "fee_by_category": { "entry": 4887.443039374566, "exit": 4796.652022708751, "resize": 1107.6596032788034 }, "max_cash_weight": 0.0, "max_drawdown": -0.24642219556127742, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2718847.5717253624, "start_session": "2017-12-29", "total_return": -0.08069183381251133, "traded_notional_by_category": { "entry": 1954977.2157498263, "exit": 1918660.8090835004, "resize": 443063.84131152136 }, "transaction_cost": 10791.754665362121, "transaction_cost_over_anchor_nav": 0.003969238576517089, "two_sided_turnover": 1.4745451716990645 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8016076457853796, "annualized_volatility": 0.09782988623150905, "cagr": 0.2750612022546097, "end_nav": 3186962.911027693, "end_session": "2019-12-31", "fee_by_category": { "entry": 9597.055707255458, "exit": 9501.633951706519, "resize": 1058.8272510774245 }, "max_cash_weight": 0.34321609050786195, "max_drawdown": -0.029377823447950036, "mean_cash_weight": 0.1687207262211344, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2499458.7753061494, "start_session": "2018-12-31", "total_return": 0.2750612022546097, "traded_notional_by_category": { "entry": 3838822.282902183, "exit": 3800653.5806826074, "resize": 423530.9004309698 }, "transaction_cost": 20157.5169100394, "transaction_cost_over_anchor_nav": 0.008064752701340466, "two_sided_turnover": 2.8016076457853796 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.544219876197583, "annualized_volatility": 0.33373565520400816, "cagr": 0.17174116618419277, "end_nav": 3734295.6379533587, "end_session": "2020-12-31", "fee_by_category": { "entry": 5869.890825550437, "exit": 5691.358649409414, "resize": 1871.9488672826162 }, "max_cash_weight": 1.462512848054233e-16, "max_drawdown": -0.3026968695385437, "mean_cash_weight": 3.3855388189849446e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3186962.911027693, "start_session": "2019-12-31", "total_return": 0.17174116618419277, "traded_notional_by_category": { "entry": 2347956.3302201745, "exit": 2276543.459763766, "resize": 748779.5469130465 }, "transaction_cost": 13433.198342242466, "transaction_cost_over_anchor_nav": 0.004215046963916718, "two_sided_turnover": 1.544219876197583 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4645600231462177, "annualized_volatility": 0.13829037424292062, "cagr": 0.22722182040058048, "end_nav": 4582809.0907230675, "end_session": "2021-12-31", "fee_by_category": { "entry": 7407.847532525651, "exit": 7441.883124341187, "resize": 1361.393225569282 }, "max_cash_weight": 1.2592286838527604e-16, "max_drawdown": -0.07586324884124573, "mean_cash_weight": 2.7886644990505876e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3734295.6379533587, "start_session": "2020-12-31", "total_return": 0.22722182040058048, "traded_notional_by_category": { "entry": 2963139.0130102606, "exit": 2976753.249736475, "resize": 544557.2902277128 }, "transaction_cost": 16211.12388243612, "transaction_cost_over_anchor_nav": 0.0043411463510481165, "two_sided_turnover": 1.4645600231462177 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3782969327657297, "annualized_volatility": 0.19772780031932044, "cagr": 0.06421694031928782, "end_nav": 4877103.068596721, "end_session": "2022-12-30", "fee_by_category": { "entry": 10770.770837913757, "exit": 10824.759664168963, "resize": 4469.06487071054 }, "max_cash_weight": 0.0, "max_drawdown": -0.1381109595439538, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4582809.0907230675, "start_session": "2021-12-31", "total_return": 0.06421694031928782, "traded_notional_by_category": { "entry": 4308308.3351655025, "exit": 4329903.865667585, "resize": 1787625.9482842162 }, "transaction_cost": 26064.595372793257, "transaction_cost_over_anchor_nav": 0.005687471342752537, "two_sided_turnover": 2.3782969327657297 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.824209297169911, "annualized_volatility": 0.15512758739811397, "cagr": 0.07260578218724345, "end_nav": 5231208.951699991, "end_session": "2023-12-29", "fee_by_category": { "entry": 15851.428458068385, "exit": 16012.098861673458, "resize": 1793.6662582403276 }, "max_cash_weight": 0.0, "max_drawdown": -0.1333087618019132, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4877103.068596721, "start_session": "2022-12-30", "total_return": 0.07260578218724345, "traded_notional_by_category": { "entry": 6340571.383227354, "exit": 6404839.544669383, "resize": 717466.503296131 }, "transaction_cost": 33657.193577982165, "transaction_cost_over_anchor_nav": 0.00690106259896334, "two_sided_turnover": 2.824209297169911 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.251607860596889, "annualized_volatility": 0.12172752500231297, "cagr": 0.1348836045692392, "end_nav": 5936813.271360157, "end_session": "2024-12-31", "fee_by_category": { "entry": 14203.103850654428, "exit": 14177.032299422459, "resize": 3760.4768044669845 }, "max_cash_weight": 0.0, "max_drawdown": -0.07927037697917327, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 5231208.951699991, "start_session": "2023-12-29", "total_return": 0.1348836045692392, "traded_notional_by_category": { "entry": 5681241.540261771, "exit": 5670812.9197689835, "resize": 1504190.7217867938 }, "transaction_cost": 32140.61295454387, "transaction_cost_over_anchor_nav": 0.006144012455113097, "two_sided_turnover": 2.251607860596889 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2296149660507103, "annualized_volatility": 0.16803595714256714, "cagr": 0.19901578692306932, "end_nav": 7118332.836375221, "end_session": "2025-12-31", "fee_by_category": { "entry": 16434.085390894477, "exit": 16687.48518043743, "resize": 3637.855521138984 }, "max_cash_weight": 1.589525570253525e-16, "max_drawdown": -0.13918279130998146, "mean_cash_weight": 4.769929421919828e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5936813.271360157, "start_session": "2024-12-31", "total_return": 0.19901578692306932, "traded_notional_by_category": { "entry": 6573634.15635779, "exit": 6674994.072174972, "resize": 1455142.2084555936 }, "transaction_cost": 36759.42609247089, "transaction_cost_over_anchor_nav": 0.006191777374875915, "two_sided_turnover": 2.2296149660507103 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.957015254503592, "annualized_volatility": 0.1763750977192587, "cagr": 0.0767685291257727, "end_nav": 7118332.836375221, "end_session": "2025-12-31", "fee_by_category": { "entry": 137829.55655253233, "exit": 138233.34041473488, "resize": 31397.45788444808 }, "max_cash_weight": 1.0, "max_drawdown": -0.5016397697357589, "mean_cash_weight": 0.08071402170733191, "nonzero_trade_event_count": 284, "order_count": 894, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 1120261.585087547, "start_session": "2000-12-29", "total_return": 5.35417025017325, "traded_notional_by_category": { "entry": 55131822.62101293, "exit": 55293336.16589395, "resize": 12558983.153779231 }, "transaction_cost": 307460.35485171527, "transaction_cost_over_anchor_nav": 0.27445407299910907, "two_sided_turnover": 48.925381362589796 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 8450396.0152966, "end_session": "2026-10-02", "fee_by_category": { "entry": 20258.845230525214, "exit": 20399.13654794267, "resize": 7840.081629430151 }, "max_cash_weight": 1.2933969315692942e-16, "max_drawdown": -0.09498472092830068, "mean_cash_weight": 2.4646252727305435e-17, "nonzero_trade_event_count": 10, "order_count": 33, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 7118332.836375221, "start_session": "2025-12-31", "total_return": 0.18713134234387518, "traded_notional_by_category": { "entry": 8103538.092210085, "exit": 8159654.619177069, "resize": 3136032.6517720604 }, "transaction_cost": 48498.06340789804, "transaction_cost_over_anchor_nav": 0.006813121066785365, "two_sided_turnover": 2.394416273897152 } }, "monthly_risk": { "beta_intercept_per_month": 0.0005509812528024967, "beta_to_SPY_excess_returns": 0.772936786687861, "monthly_return_volatility_annualized": 0.14289142059110513, "months": 300, "sharpe_monthly_annualized": 0.4711463712278783, "tracking_error_monthly_annualized": 0.08983202588621508 }, "phase": [ 2, 8 ], "policy": "B", "run_id": "BMIX-02-08-25bps", "signal": "mixed" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.314612200221699, "annualized_volatility": 0.17880476280383856, "cagr": -0.08577691135490206, "end_nav": 1031054.4604848014, "end_session": "2001-12-31", "fee_by_category": { "entry": 514.7032665307543, "exit": 517.2452836634698, "resize": 158.67379936826657 }, "max_cash_weight": 1.3239980819482114e-16, "max_drawdown": -0.2203613390404684, "mean_cash_weight": 1.6711867000951958e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 1127793.0663650713, "start_session": "2000-12-29", "total_return": -0.08577691135490206, "traded_notional_by_category": { "entry": 1029406.5330615086, "exit": 1034490.5673269394, "resize": 317347.59873653314 }, "transaction_cost": 1190.6223495624906, "transaction_cost_over_anchor_nav": 0.0010557099392355027, "two_sided_turnover": 2.314612200221699 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.133683722888156, "annualized_volatility": 0.13483139879605874, "cagr": -0.07176686869354465, "end_nav": 957058.9104032952, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 492.57511479439984, "resize": 71.9221123126664 }, "max_cash_weight": 1.0, "max_drawdown": -0.17222136044415326, "mean_cash_weight": 0.5044185293952087, "nonzero_trade_event_count": 9, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1031054.4604848014, "start_session": "2001-12-31", "total_return": -0.07176686869354465, "traded_notional_by_category": { "entry": 0.0, "exit": 985150.2295887996, "resize": 143844.2246253328 }, "transaction_cost": 564.4972271070662, "transaction_cost_over_anchor_nav": 0.0005474950632982469, "two_sided_turnover": 1.133683722888156 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0292257311981865, "annualized_volatility": 0.08536848292279715, "cagr": 0.11603185021018336, "end_nav": 1068108.2265375317, "end_session": "2003-12-31", "fee_by_category": { "entry": 478.2903100466243, "exit": 0.0, "resize": 14.340901085645658 }, "max_cash_weight": 1.0, "max_drawdown": -0.056015904208169376, "mean_cash_weight": 0.6626984126984127, "nonzero_trade_event_count": 4, "order_count": 12, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 957058.9104032952, "start_session": "2002-12-31", "total_return": 0.11603185021018336, "traded_notional_by_category": { "entry": 956580.6200932486, "exit": 0.0, "resize": 28681.802171291318 }, "transaction_cost": 492.63121113227, "transaction_cost_over_anchor_nav": 0.0005147344701327529, "two_sided_turnover": 1.0292257311981865 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.222168714089584, "annualized_volatility": 0.11970650760340937, "cagr": 0.21742081668993096, "end_nav": 1300337.1894645556, "end_session": "2004-12-31", "fee_by_category": { "entry": 542.5608665906086, "exit": 543.1036988733406, "resize": 126.70713916727645 }, "max_cash_weight": 0.0, "max_drawdown": -0.05675411917851214, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1068108.2265375317, "start_session": "2003-12-31", "total_return": 0.21742081668993096, "traded_notional_by_category": { "entry": 1085121.7331812172, "exit": 1086207.3977466812, "resize": 253414.2783345529 }, "transaction_cost": 1212.3717046312256, "transaction_cost_over_anchor_nav": 0.0011350644761545844, "two_sided_turnover": 2.222168714089584 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9857910340120721, "annualized_volatility": 0.14119339312775714, "cagr": 0.16941430780754696, "end_nav": 1520632.9143341044, "end_session": "2005-12-30", "fee_by_category": { "entry": 254.77484880230801, "exit": 242.44526113830744, "resize": 240.6692649483302 }, "max_cash_weight": 1.6397644540439244e-16, "max_drawdown": -0.10306993602730574, "mean_cash_weight": 1.3158679709279852e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1300337.1894645556, "start_session": "2004-12-31", "total_return": 0.16941430780754696, "traded_notional_by_category": { "entry": 509549.697604616, "exit": 484890.52227661485, "resize": 481338.5298966604 }, "transaction_cost": 737.8893748889457, "transaction_cost_over_anchor_nav": 0.0005674600256513381, "two_sided_turnover": 0.9857910340120721 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.9197047118422756, "annualized_volatility": 0.11405258274177729, "cagr": 0.160445010746036, "end_nav": 1764610.878615216, "end_session": "2006-12-29", "fee_by_category": { "entry": 1077.4951981649372, "exit": 1089.369185380137, "resize": 194.00648922709397 }, "max_cash_weight": 1.4898419186128328e-16, "max_drawdown": -0.08229897083309645, "mean_cash_weight": 2.267263275706447e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1520632.9143341044, "start_session": "2005-12-30", "total_return": 0.160445010746036, "traded_notional_by_category": { "entry": 2154990.396329874, "exit": 2178738.3707602737, "resize": 388012.9784541879 }, "transaction_cost": 2360.870872772168, "transaction_cost_over_anchor_nav": 0.0015525580503470882, "two_sided_turnover": 2.9197047118422756 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.85381677373964, "annualized_volatility": 0.16480318000860358, "cagr": 0.032591251601840954, "end_nav": 1822121.7557395098, "end_session": "2007-12-31", "fee_by_category": { "entry": 1171.6419795045424, "exit": 1189.045486970333, "resize": 153.50625807069363 }, "max_cash_weight": 1.3502296670048196e-16, "max_drawdown": -0.10820713723398179, "mean_cash_weight": 7.351206642338906e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1764610.878615216, "start_session": "2006-12-29", "total_return": 0.032591251601840954, "traded_notional_by_category": { "entry": 2343283.959009085, "exit": 2378090.973940666, "resize": 307012.5161413873 }, "transaction_cost": 2514.193724545569, "transaction_cost_over_anchor_nav": 0.0014247864812658247, "two_sided_turnover": 2.85381677373964 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7583939871556518, "annualized_volatility": 0.3985754494593435, "cagr": -0.36494342596492313, "end_nav": 1157150.3996747122, "end_session": "2008-12-31", "fee_by_category": { "entry": 552.6136832207767, "exit": 542.8348967523126, "resize": 344.3259250434619 }, "max_cash_weight": 1.4203866916886535e-16, "max_drawdown": -0.4601227766734661, "mean_cash_weight": 2.1650214317377266e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1822121.7557395098, "start_session": "2007-12-31", "total_return": -0.36494342596492313, "traded_notional_by_category": { "entry": 1105227.3664415535, "exit": 1085669.793504625, "resize": 688651.8500869238 }, "transaction_cost": 1439.7745050165513, "transaction_cost_over_anchor_nav": 0.000790163720114421, "two_sided_turnover": 1.7583939871556518 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0660762691798356, "annualized_volatility": 0.17411442113402908, "cagr": -0.03729931640512407, "end_nav": 1113989.4807889294, "end_session": "2009-12-31", "fee_by_category": { "entry": 485.8275094371586, "exit": 486.31357998186803, "resize": 35.51949101190214 }, "max_cash_weight": 1.0, "max_drawdown": -0.21443278844050495, "mean_cash_weight": 0.5079365079365079, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1157150.3996747122, "start_session": "2008-12-31", "total_return": -0.03729931640512407, "traded_notional_by_category": { "entry": 971655.0188743172, "exit": 972627.1599637361, "resize": 71038.98202380427 }, "transaction_cost": 1007.6605804309288, "transaction_cost_over_anchor_nav": 0.000870812109397528, "two_sided_turnover": 2.0660762691798356 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5205398896054394, "annualized_volatility": 0.17290983427639559, "cagr": 0.1566078099079098, "end_nav": 1288448.933635733, "end_session": "2010-12-31", "fee_by_category": { "entry": 362.1122627548964, "exit": 358.1969588743276, "resize": 109.92621634558871 }, "max_cash_weight": 0.0, "max_drawdown": -0.14303279022782733, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1113989.4807889294, "start_session": "2009-12-31", "total_return": 0.1566078099079098, "traded_notional_by_category": { "entry": 724224.5255097928, "exit": 716393.9177486552, "resize": 219852.4326911774 }, "transaction_cost": 830.2354379748127, "transaction_cost_over_anchor_nav": 0.0007452812188018495, "two_sided_turnover": 1.5205398896054394 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.9132306434534114, "annualized_volatility": 0.24259211603655612, "cagr": -0.020382189719259425, "end_nav": 1262187.523026792, "end_session": "2011-12-30", "fee_by_category": { "entry": 851.4087734207728, "exit": 861.9292298576579, "resize": 144.77048092378078 }, "max_cash_weight": 0.0, "max_drawdown": -0.2196703878772508, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1288448.933635733, "start_session": "2010-12-31", "total_return": -0.020382189719259425, "traded_notional_by_category": { "entry": 1702817.5468415455, "exit": 1723858.4597153158, "resize": 289540.9618475615 }, "transaction_cost": 1858.1084842022117, "transaction_cost_over_anchor_nav": 0.0014421281555637743, "two_sided_turnover": 2.9132306434534114 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4919017672620158, "annualized_volatility": 0.08934963121686892, "cagr": 0.16206225072395242, "end_nav": 1466740.4738442046, "end_session": "2012-12-31", "fee_by_category": { "entry": 451.2951535978004, "exit": 453.95650389254746, "resize": 109.88832542673586 }, "max_cash_weight": 0.0, "max_drawdown": -0.06956630813814879, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1262187.523026792, "start_session": "2011-12-30", "total_return": 0.16206225072395242, "traded_notional_by_category": { "entry": 902590.3071956007, "exit": 907913.0077850949, "resize": 219776.6508534717 }, "transaction_cost": 1015.1399829170837, "transaction_cost_over_anchor_nav": 0.0008042703357443469, "two_sided_turnover": 1.4919017672620158 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.428810105458484, "annualized_volatility": 0.11817477399929548, "cagr": 0.40927946223117084, "end_nav": 2067047.2262118533, "end_session": "2013-12-31", "fee_by_category": { "entry": 527.860302828, "exit": 530.344882996471, "resize": 83.03094557233682 }, "max_cash_weight": 1.2810428312051197e-16, "max_drawdown": -0.0547445757890318, "mean_cash_weight": 1.9160231053510804e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1466740.4738442046, "start_session": "2012-12-31", "total_return": 0.40927946223117084, "traded_notional_by_category": { "entry": 1055720.605656, "exit": 1060689.765992942, "resize": 166061.89114467363 }, "transaction_cost": 1141.2361313968079, "transaction_cost_over_anchor_nav": 0.0007780763889372488, "two_sided_turnover": 1.428810105458484 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.206001269993026, "annualized_volatility": 0.13215108950301843, "cagr": 0.046814784728073766, "end_nav": 2163815.597129723, "end_session": "2014-12-31", "fee_by_category": { "entry": 1091.634475302953, "exit": 1084.7119397520003, "resize": 228.57562590406994 }, "max_cash_weight": 1.1882391534871373e-16, "max_drawdown": -0.09983904157046664, "mean_cash_weight": 1.7908579295880673e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2067047.2262118533, "start_session": "2013-12-31", "total_return": 0.046814784728073766, "traded_notional_by_category": { "entry": 2183268.950605906, "exit": 2169423.879504001, "resize": 457151.25180813984 }, "transaction_cost": 2404.922040959023, "transaction_cost_over_anchor_nav": 0.0011634577142034493, "two_sided_turnover": 2.206001269993026 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1507955599060913, "annualized_volatility": 0.1500535300035273, "cagr": 0.054761565349860764, "end_nav": 2282309.5263569904, "end_session": "2015-12-31", "fee_by_category": { "entry": 1097.7178717238403, "exit": 1112.4316320624534, "resize": 151.66585221315898 }, "max_cash_weight": 0.0, "max_drawdown": -0.10190711772498517, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2163815.597129723, "start_session": "2014-12-31", "total_return": 0.054761565349860764, "traded_notional_by_category": { "entry": 2195435.74344768, "exit": 2224863.264124907, "resize": 303331.70442631794 }, "transaction_cost": 2361.815355999453, "transaction_cost_over_anchor_nav": 0.001091504913418858, "two_sided_turnover": 2.1507955599060913 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.48233600803394, "annualized_volatility": 0.1149314038884226, "cagr": 0.01660371482618217, "end_nav": 2320204.342877701, "end_session": "2016-12-30", "fee_by_category": { "entry": 752.4065785646521, "exit": 735.9677550378889, "resize": 168.14135451343697 }, "max_cash_weight": 0.34137079358274053, "max_drawdown": -0.08822972515730254, "mean_cash_weight": 0.1699125478518935, "nonzero_trade_event_count": 12, "order_count": 32, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2282309.5263569904, "start_session": "2015-12-31", "total_return": 0.01660371482618217, "traded_notional_by_category": { "entry": 1504813.157129304, "exit": 1471935.5100757778, "resize": 336282.7090268739 }, "transaction_cost": 1656.5156881159778, "transaction_cost_over_anchor_nav": 0.0007258067623983057, "two_sided_turnover": 1.48233600803394 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.519257257227648, "annualized_volatility": 0.08438242506833976, "cagr": 0.25766178520814065, "end_nav": 2918032.33591125, "end_session": "2017-12-29", "fee_by_category": { "entry": 825.8859402379176, "exit": 828.037007807018, "resize": 238.44757278810377 }, "max_cash_weight": 0.0, "max_drawdown": -0.046527309332223266, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2320204.342877701, "start_session": "2016-12-30", "total_return": 0.25766178520814065, "traded_notional_by_category": { "entry": 1651771.8804758352, "exit": 1656074.015614036, "resize": 476895.14557620755 }, "transaction_cost": 1892.3705208330393, "transaction_cost_over_anchor_nav": 0.0008156051110937805, "two_sided_turnover": 1.519257257227648 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4745915489760266, "annualized_volatility": 0.19735591547471062, "cagr": -0.07797423009179405, "end_nav": 2690501.011135611, "end_session": "2018-12-31", "fee_by_category": { "entry": 1051.366593429589, "exit": 1030.4415477176133, "resize": 236.73985531756912 }, "max_cash_weight": 1.6074642926674632e-16, "max_drawdown": -0.24637948868611548, "mean_cash_weight": 2.4497534217398922e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2918032.33591125, "start_session": "2017-12-29", "total_return": -0.07797423009179405, "traded_notional_by_category": { "entry": 2102733.1868591784, "exit": 2060883.0954352263, "resize": 473479.7106351382 }, "transaction_cost": 2318.547996464771, "transaction_cost_over_anchor_nav": 0.0007945587058550293, "two_sided_turnover": 1.4745915489760266 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.804525209273566, "annualized_volatility": 0.09813967974125842, "cagr": 0.28223839607050616, "end_nav": 3449863.701144601, "end_session": "2019-12-31", "fee_by_category": { "entry": 2075.389708991139, "exit": 2047.48580793992, "resize": 227.7311319670686 }, "max_cash_weight": 0.34321609050786195, "max_drawdown": -0.029363194426259676, "mean_cash_weight": 0.1687207262211344, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2690501.011135611, "start_session": "2018-12-31", "total_return": 0.28223839607050616, "traded_notional_by_category": { "entry": 4150779.4179822775, "exit": 4094971.61587984, "resize": 455462.2639341372 }, "transaction_cost": 4350.606648898127, "transaction_cost_over_anchor_nav": 0.0016170247217494318, "two_sided_turnover": 2.804525209273566 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5452021091241492, "annualized_volatility": 0.3337618065164507, "cagr": 0.1753713260648322, "end_nav": 4054870.8731572595, "end_session": "2020-12-31", "fee_by_category": { "entry": 1274.6508135295394, "exit": 1232.5878395354086, "resize": 404.02604095547787 }, "max_cash_weight": 1.4621577782507682e-16, "max_drawdown": -0.3026753160366753, "mean_cash_weight": 5.588451198331828e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3449863.701144601, "start_session": "2019-12-31", "total_return": 0.1753713260648322, "traded_notional_by_category": { "entry": 2549301.627059079, "exit": 2465175.6790708173, "resize": 808052.0819109557 }, "transaction_cost": 2911.264694020426, "transaction_cost_over_anchor_nav": 0.0008438781778696132, "two_sided_turnover": 1.5452021091241492 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4666992903431832, "annualized_volatility": 0.1382074356591252, "cagr": 0.23082702774976505, "end_nav": 4990844.664717244, "end_session": "2021-12-31", "fee_by_category": { "entry": 1613.3637692084083, "exit": 1616.4567750995172, "resize": 296.79565323300193 }, "max_cash_weight": 1.1596503492212222e-16, "max_drawdown": -0.07583729211642076, "mean_cash_weight": 8.475844281110295e-18, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4054870.8731572595, "start_session": "2020-12-31", "total_return": 0.23082702774976505, "traded_notional_by_category": { "entry": 3226727.5384168164, "exit": 3232913.5501990346, "resize": 593591.3064660039 }, "transaction_cost": 3526.6161975409273, "transaction_cost_over_anchor_nav": 0.0008697234284047583, "two_sided_turnover": 1.4666992903431832 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.382334497498334, "annualized_volatility": 0.19750201037735282, "cagr": 0.06930175887432188, "end_nav": 5336718.978250674, "end_session": "2022-12-30", "fee_by_category": { "entry": 2355.552822831424, "exit": 2357.90955401985, "resize": 977.3457141010884 }, "max_cash_weight": 0.0, "max_drawdown": -0.1381109595439538, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4990844.664717244, "start_session": "2021-12-31", "total_return": 0.06930175887432188, "traded_notional_by_category": { "entry": 4711105.645662848, "exit": 4715819.1080396995, "resize": 1954691.428202177 }, "transaction_cost": 5690.808090952362, "transaction_cost_over_anchor_nav": 0.0011402494914705536, "two_sided_turnover": 2.382334497498334 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.829613422525679, "annualized_volatility": 0.15524449788278075, "cagr": 0.07869017423442037, "end_nav": 5756666.324489357, "end_session": "2023-12-29", "fee_by_category": { "entry": 3483.726303653568, "exit": 3509.6077073959154, "resize": 398.384025625897 }, "max_cash_weight": 0.0, "max_drawdown": -0.13094071039712396, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5336718.978250674, "start_session": "2022-12-30", "total_return": 0.07869017423442037, "traded_notional_by_category": { "entry": 6967452.607307134, "exit": 7019215.414791831, "resize": 796768.051251794 }, "transaction_cost": 7391.71803667538, "transaction_cost_over_anchor_nav": 0.0013850678791219235, "two_sided_turnover": 2.829613422525679 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2539272918479734, "annualized_volatility": 0.12173967457548425, "cagr": 0.1400121322436474, "end_nav": 6562669.451196312, "end_session": "2024-12-31", "fee_by_category": { "entry": 3136.333474248884, "exit": 3123.6018916227786, "resize": 830.1722859126787 }, "max_cash_weight": 1.4400658799217766e-16, "max_drawdown": -0.07920456702154521, "mean_cash_weight": 2.2433071357691584e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 5756666.324489357, "start_session": "2023-12-29", "total_return": 0.1400121322436474, "traded_notional_by_category": { "entry": 6272666.9484977685, "exit": 6247203.783245558, "resize": 1660344.5718253574 }, "transaction_cost": 7090.107651784341, "transaction_cost_over_anchor_nav": 0.0012316342918161523, "two_sided_turnover": 2.2539272918479734 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.231930275849377, "annualized_volatility": 0.16781889726202343, "cagr": 0.20438132866850278, "end_nav": 7903956.553244009, "end_session": "2025-12-31", "fee_by_category": { "entry": 3645.5659166198593, "exit": 3693.396768082741, "resize": 806.6411880992592 }, "max_cash_weight": 1.539003836776522e-16, "max_drawdown": -0.13797452555650602, "mean_cash_weight": 6.601304650038591e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6562669.451196312, "start_session": "2024-12-31", "total_return": 0.20438132866850278, "traded_notional_by_category": { "entry": 7291131.833239718, "exit": 7386793.536165482, "resize": 1613282.3761985186 }, "transaction_cost": 8145.603872801859, "transaction_cost_over_anchor_nav": 0.0012412028265901757, "two_sided_turnover": 2.231930275849377 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9594067716282177, "annualized_volatility": 0.17635072688207706, "cagr": 0.08099728940692441, "end_nav": 7903956.553244009, "end_session": "2025-12-31", "fee_by_category": { "entry": 29674.17842324095, "exit": 29679.996309248276, "resize": 6751.95364913459 }, "max_cash_weight": 1.0, "max_drawdown": -0.49779515914862105, "mean_cash_weight": 0.08071402170733191, "nonzero_trade_event_count": 284, "order_count": 894, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 1127793.0663650713, "start_session": "2000-12-29", "total_return": 6.0083393744553, "traded_notional_by_category": { "entry": 59348356.846481904, "exit": 59359992.61849655, "resize": 13503907.298269179 }, "transaction_cost": 66106.12838162381, "transaction_cost_over_anchor_nav": 0.058615476857547005, "two_sided_turnover": 48.98516929070544 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 9428134.461213892, "end_session": "2026-10-02", "fee_by_category": { "entry": 4515.7170687933, "exit": 4536.467850155274, "resize": 1740.691128886812 }, "max_cash_weight": 1.1711948428414624e-16, "max_drawdown": -0.09382120695006102, "mean_cash_weight": 2.4339910503253807e-17, "nonzero_trade_event_count": 10, "order_count": 33, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 7903956.553244009, "start_session": "2025-12-31", "total_return": 0.19283733377106138, "traded_notional_by_category": { "entry": 9031434.137586601, "exit": 9072935.700310549, "resize": 3481382.257773624 }, "transaction_cost": 10792.876047835387, "transaction_cost_over_anchor_nav": 0.0013655029573012623, "two_sided_turnover": 2.3959368564900774 } }, "monthly_risk": { "beta_intercept_per_month": 0.0008808629677516848, "beta_to_SPY_excess_returns": 0.7725335264485184, "monthly_return_volatility_annualized": 0.14278985663004823, "months": 300, "sharpe_monthly_annualized": 0.4989496611914307, "tracking_error_monthly_annualized": 0.0897668279070297 }, "phase": [ 2, 8 ], "policy": "B", "run_id": "BMIX-02-08-5bps", "signal": "mixed" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.1071946699551547, "annualized_volatility": 0.1925232450139216, "cagr": -0.038005754254043844, "end_nav": 849938.7995734208, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5063223003261446e-16, "max_drawdown": -0.24322238743877944, "mean_cash_weight": 3.464192433509553e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 883517.5504759443, "start_session": "2000-12-29", "total_return": -0.038005754254043844, "traded_notional_by_category": { "entry": 1022663.2456796326, "exit": 1009647.589321516, "resize": 389579.0219898856 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.1071946699551547 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5331368318032752, "annualized_volatility": 0.2111788877602662, "cagr": -0.13754002236510599, "end_nav": 733038.1980711211, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6793675225538247, "max_drawdown": -0.2566216328513121, "mean_cash_weight": 0.16834106848533822, "nonzero_trade_event_count": 12, "order_count": 33, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 849938.7995734208, "start_session": "2001-12-31", "total_return": -0.13754002236510599, "traded_notional_by_category": { "entry": 297923.36483578035, "exit": 770545.2094268367, "resize": 176798.8910268827 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5331368318032752 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3699810737764921, "annualized_volatility": 0.07481839347882997, "cagr": 0.16280742684457783, "end_nav": 852382.2608778663, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.03531324260942814, "mean_cash_weight": 0.6655610339842597, "nonzero_trade_event_count": 7, "order_count": 13, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 733038.1980711211, "start_session": "2002-12-31", "total_return": 0.16280742684457783, "traded_notional_by_category": { "entry": 736822.6166790833, "exit": 251534.43051426188, "resize": 21998.606589703704 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3699810737764921 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.890618930391474, "annualized_volatility": 0.1337765434367831, "cagr": 0.171611714630153, "end_nav": 998661.0421874432, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4273951304554782e-16, "max_drawdown": -0.0867450473310909, "mean_cash_weight": 6.758040181180213e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 852382.2608778663, "start_session": "2003-12-31", "total_return": 0.171611714630153, "traded_notional_by_category": { "entry": 1179487.0916383031, "exit": 1164696.9897558456, "resize": 209807.79665733385 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.890618930391474 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6422681378894464, "annualized_volatility": 0.1476699718061208, "cagr": 0.15425603471312654, "end_nav": 1152710.5345777567, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.208921476827818e-16, "max_drawdown": -0.09989733401830048, "mean_cash_weight": 9.407314611385114e-18, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 998661.0421874432, "start_session": "2004-12-31", "total_return": 0.15425603471312654, "traded_notional_by_category": { "entry": 760230.5343212157, "exit": 745773.8681809279, "resize": 347805.80578595144 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6422681378894464 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.546371163919592, "annualized_volatility": 0.11496700779092582, "cagr": 0.12479540807594924, "end_nav": 1296563.5161338334, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0067360031605678e-16, "max_drawdown": -0.09957537489893087, "mean_cash_weight": 4.7507378316009625e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1152710.5345777567, "start_session": "2005-12-30", "total_return": 0.12479540807594924, "traded_notional_by_category": { "entry": 2004953.187117187, "exit": 2005136.0570804588, "resize": 254038.70676942304 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.546371163919592 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.84779895435647, "annualized_volatility": 0.16690139089309827, "cagr": 0.10176517055375545, "end_nav": 1428508.52348697, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.08905434602291407, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1296563.5161338334, "start_session": "2006-12-29", "total_return": 0.10176517055375545, "traded_notional_by_category": { "entry": 1868228.5422868934, "exit": 1858094.3295069197, "resize": 256752.64204790734 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.84779895435647 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.399634738470371, "annualized_volatility": 0.2278150407837285, "cagr": -0.21286381066053772, "end_nav": 1124430.7556164754, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.7124741803443221, "max_drawdown": -0.2594803665506311, "mean_cash_weight": 0.17167089676205685, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1428508.52348697, "start_session": "2007-12-31", "total_return": -0.21286381066053772, "traded_notional_by_category": { "entry": 877709.2263583575, "exit": 1646047.269529874, "resize": 543482.8778286285 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.399634738470371 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.404177056900162, "annualized_volatility": 0.08468584283481201, "cagr": 0.05470049955643175, "end_nav": 1185937.6796653126, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.0706444888687372, "mean_cash_weight": 0.6657888390168902, "nonzero_trade_event_count": 7, "order_count": 13, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1124430.7556164754, "start_session": "2008-12-31", "total_return": 0.05470049955643175, "traded_notional_by_category": { "entry": 1081441.1806266778, "exit": 371921.9617646395, "resize": 65905.81814376649 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.404177056900162 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2286978822169483, "annualized_volatility": 0.17343267863388356, "cagr": 0.1408690252072975, "end_nav": 1352999.5645563696, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.1527367904810195, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1185937.6796653126, "start_session": "2009-12-31", "total_return": 0.1408690252072975, "traded_notional_by_category": { "entry": 1259373.8689221882, "exit": 1260169.5075830363, "resize": 277299.4047524942 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2286978822169483 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4801203449070752, "annualized_volatility": 0.2301236015718583, "cagr": -0.09192580785619153, "end_nav": 1228623.98655545, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9826248485424928e-16, "max_drawdown": -0.2348824721435021, "mean_cash_weight": 4.215286827507487e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1352999.5645563696, "start_session": "2010-12-31", "total_return": -0.09192580785619153, "traded_notional_by_category": { "entry": 2053027.6509810681, "exit": 2056886.889925288, "resize": 193111.65353819635 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.4801203449070752 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1457848206467056, "annualized_volatility": 0.11256915565736206, "cagr": 0.06515258360922194, "end_nav": 1308672.0135637994, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9297629266394717e-16, "max_drawdown": -0.07697575613491969, "mean_cash_weight": 2.963830564413904e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1228623.98655545, "start_session": "2011-12-30", "total_return": 0.06515258360922194, "traded_notional_by_category": { "entry": 1301702.7928640104, "exit": 1306173.9740727507, "resize": 180364.4092967314 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.1457848206467056 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.132859699342379, "annualized_volatility": 0.11085124445356721, "cagr": 0.2876819379709117, "end_nav": 1685153.3145941284, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5800844503905807e-16, "max_drawdown": -0.07009664224555456, "mean_cash_weight": 1.3392364134328539e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1308672.0135637994, "start_session": "2012-12-31", "total_return": 0.2876819379709117, "traded_notional_by_category": { "entry": 1497210.240378801, "exit": 1484399.0139235898, "resize": 207933.8266521106 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.132859699342379 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4662356064606648, "annualized_volatility": 0.12641006529482973, "cagr": 0.1271158114985682, "end_nav": 1899362.9456782632, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4618851128763087e-16, "max_drawdown": -0.08223975726983401, "mean_cash_weight": 9.755234581373682e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1685153.3145941284, "start_session": "2013-12-31", "total_return": 0.1271158114985682, "traded_notional_by_category": { "entry": 1182388.6664135365, "exit": 1165232.947687339, "resize": 251237.94382116827 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4662356064606648 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4576510106203113, "annualized_volatility": 0.15162687953844486, "cagr": 0.06670812637927837, "end_nav": 2026065.8890986873, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.263381968021159e-16, "max_drawdown": -0.10813738854458865, "mean_cash_weight": 7.754295191181837e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1899362.9456782632, "start_session": "2014-12-31", "total_return": 0.06670812637927837, "traded_notional_by_category": { "entry": 1300697.8390781754, "exit": 1280314.290730517, "resize": 263217.03795966157 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4576510106203113 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.891898391526912, "annualized_volatility": 0.11684884414456283, "cagr": 0.09111755741535976, "end_nav": 2210676.064075939, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.1354813755437734e-16, "max_drawdown": -0.08820380766398495, "mean_cash_weight": 1.7424194495252987e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2026065.8890986873, "start_session": "2015-12-31", "total_return": 0.09111755741535976, "traded_notional_by_category": { "entry": 2757640.686012257, "exit": 2746197.680432302, "resize": 478028.1989833263 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.891898391526912 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8524029375955097, "annualized_volatility": 0.08677680187497329, "cagr": 0.28213311735086166, "end_nav": 2834380.9934866168, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8699106529668564e-16, "max_drawdown": -0.0327726880586503, "mean_cash_weight": 3.139635876349363e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2210676.064075939, "start_session": "2016-12-30", "total_return": 0.28213311735086166, "traded_notional_by_category": { "entry": 790138.105159946, "exit": 788449.903441362, "resize": 465816.5132653917 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.8524029375955097 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4970699812180148, "annualized_volatility": 0.19447990705697402, "cagr": -0.040385100287868125, "end_nav": 2719914.2328106323, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.649876278277131e-16, "max_drawdown": -0.20811346724739077, "mean_cash_weight": 3.834360074616031e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2834380.9934866168, "start_session": "2017-12-29", "total_return": -0.040385100287868125, "traded_notional_by_category": { "entry": 2000771.7616373515, "exit": 1990714.3412762983, "resize": 497380.2437549132 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4970699812180148 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1916235978146608, "annualized_volatility": 0.11223224966677647, "cagr": 0.30406784442483614, "end_nav": 3546952.690601793, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6012858171786432e-16, "max_drawdown": -0.03886892426692745, "mean_cash_weight": 8.443550298871313e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2719914.2328106323, "start_session": "2018-12-31", "total_return": 0.30406784442483614, "traded_notional_by_category": { "entry": 3196329.0438365345, "exit": 3205134.7921426697, "resize": 599062.424672531 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.1916235978146608 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5983746870997262, "annualized_volatility": 0.33212451709111124, "cagr": 0.18897393789466443, "end_nav": 4217234.30807089, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3202524098758203e-16, "max_drawdown": -0.30266992317089536, "mean_cash_weight": 2.104786469710168e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3546952.690601793, "start_session": "2019-12-31", "total_return": 0.18897393789466443, "traded_notional_by_category": { "entry": 2585375.7053519813, "exit": 2630498.889060512, "resize": 906404.1400810729 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5983746870997262 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.851872280068269, "annualized_volatility": 0.1503215702885292, "cagr": 0.22966065075907727, "end_nav": 5185767.083665957, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0095931610081375e-16, "max_drawdown": -0.07583079752756328, "mean_cash_weight": 3.228866701282959e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4217234.30807089, "start_session": "2020-12-31", "total_return": 0.22966065075907727, "traded_notional_by_category": { "entry": 6057151.169870136, "exit": 6011200.995374136, "resize": 923232.2893295784 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.851872280068269 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.412340639900705, "annualized_volatility": 0.20804070345593828, "cagr": 0.01534486545726077, "end_nav": 5265341.981857503, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.12282748328939241, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 5185767.083665957, "start_session": "2021-12-31", "total_return": 0.01534486545726077, "traded_notional_by_category": { "entry": 4885022.6290139, "exit": 4890760.720182385, "resize": 2066100.215073199 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.412340639900705 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.226279723217499, "annualized_volatility": 0.1403742075076354, "cagr": 0.08742437097898348, "end_nav": 5725661.192610629, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.907797023461201e-16, "max_drawdown": -0.09796425274074083, "mean_cash_weight": 4.363183656003993e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5265341.981857503, "start_session": "2022-12-30", "total_return": 0.08742437097898348, "traded_notional_by_category": { "entry": 5242159.482895089, "exit": 5210786.282913126, "resize": 1228096.114579747 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.226279723217499 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.271981389383565, "annualized_volatility": 0.12908269816620396, "cagr": 0.19346556793813763, "end_nav": 6833379.487060399, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5473377844965007e-16, "max_drawdown": -0.09094352546558471, "mean_cash_weight": 1.0823582001156704e-16, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 5725661.192610629, "start_session": "2023-12-29", "total_return": 0.19346556793813763, "traded_notional_by_category": { "entry": 6722356.673166628, "exit": 6880427.4216231145, "resize": 1606201.1800481104 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.271981389383565 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5474770154907747, "annualized_volatility": 0.14335177499362273, "cagr": 0.1313308983432393, "end_nav": 7730813.353816305, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4287167060080752e-16, "max_drawdown": -0.10112922211983089, "mean_cash_weight": 6.412463859375155e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6833379.487060399, "start_session": "2024-12-31", "total_return": 0.1313308983432393, "traded_notional_by_category": { "entry": 5032417.924069096, "exit": 5047325.189299504, "resize": 1562765.685661499 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5474770154907747 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.1597540625988865, "annualized_volatility": 0.164691382289314, "cagr": 0.0906374349395005, "end_nav": 7730813.353816305, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.30266992317089536, "mean_cash_weight": 0.0670200181541905, "nonzero_trade_event_count": 290, "order_count": 913, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 883517.5504759443, "start_session": "2000-12-29", "total_return": 7.7500393734700275, "traded_notional_by_category": { "entry": 57693223.22919383, "exit": 57778070.54474921, "resize": 13972421.448309215 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 53.99385156497216 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7683286.198141786, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2959315351971277e-16, "max_drawdown": -0.099805257089291, "mean_cash_weight": 5.510561383802304e-17, "nonzero_trade_event_count": 10, "order_count": 34, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 7730813.353816305, "start_session": "2025-12-31", "total_return": -0.006147756193215725, "traded_notional_by_category": { "entry": 10061761.45117258, "exit": 10149076.157027524, "resize": 2203831.565012712 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.9624170996556893 } }, "monthly_risk": { "beta_intercept_per_month": 0.0018948736691186026, "beta_to_SPY_excess_returns": 0.7135104425028613, "monthly_return_volatility_annualized": 0.1327895300193433, "months": 300, "sharpe_monthly_annualized": 0.5931786083499965, "tracking_error_monthly_annualized": 0.0892917989500865 }, "phase": [ 3, 9 ], "policy": "B", "run_id": "BMIX-03-09-0bps", "signal": "mixed" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.1063562215663, "annualized_volatility": 0.19254880431476437, "cagr": -0.04099113547467603, "end_nav": 844889.2747565609, "end_session": "2001-12-31", "fee_by_category": { "entry": 1017.3753955825206, "exit": 1005.76776927862, "resize": 388.9002122140783 }, "max_cash_weight": 1.4091009576594665e-16, "max_drawdown": -0.24445341793144681, "mean_cash_weight": 1.0095131018556187e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 881002.570476501, "start_session": "2000-12-29", "total_return": -0.04099113547467603, "traded_notional_by_category": { "entry": 1017375.3955825205, "exit": 1005767.76927862, "resize": 388900.2122140783 }, "transaction_cost": 2412.043377075219, "transaction_cost_over_anchor_nav": 0.0027378392049079215, "two_sided_turnover": 3.1063562215663 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5331031159935922, "annualized_volatility": 0.21116493073371082, "cagr": -0.13886164124800637, "end_nav": 727566.563391027, "end_session": "2002-12-31", "fee_by_category": { "entry": 295.93635928351836, "exit": 765.5524131859537, "resize": 175.77938844655324 }, "max_cash_weight": 0.6793675225538246, "max_drawdown": -0.2566530193210165, "mean_cash_weight": 0.16834106848533822, "nonzero_trade_event_count": 12, "order_count": 33, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 844889.2747565609, "start_session": "2001-12-31", "total_return": -0.13886164124800637, "traded_notional_by_category": { "entry": 295936.35928351834, "exit": 765552.4131859536, "resize": 175779.38844655323 }, "transaction_cost": 1237.2681609160252, "transaction_cost_over_anchor_nav": 0.001464414566361398, "two_sided_turnover": 1.5331031159935922 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3689766793667706, "annualized_volatility": 0.07462590256577749, "cagr": 0.16121601207957315, "end_nav": 844861.9432633684, "end_session": "2003-12-31", "fee_by_category": { "entry": 730.3322383558133, "exit": 249.65330814146805, "resize": 21.81490608359303 }, "max_cash_weight": 1.0, "max_drawdown": -0.03531324260942803, "mean_cash_weight": 0.6655610339842597, "nonzero_trade_event_count": 7, "order_count": 13, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 727566.563391027, "start_session": "2002-12-31", "total_return": 0.16121601207957315, "traded_notional_by_category": { "entry": 730332.2383558133, "exit": 249653.30814146803, "resize": 21814.90608359303 }, "transaction_cost": 1001.8004525808743, "transaction_cost_over_anchor_nav": 0.0013769193129377795, "two_sided_turnover": 1.3689766793667706 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.888819340359736, "annualized_volatility": 0.13363765375769904, "cagr": 0.16822993935437913, "end_nav": 986993.0167413878, "end_session": "2004-12-31", "fee_by_category": { "entry": 1166.5475820773543, "exit": 1153.4709736554873, "resize": 207.7341143198798 }, "max_cash_weight": 1.4708772774141858e-16, "max_drawdown": -0.08805055800541084, "mean_cash_weight": 2.2844029267746188e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 844861.9432633684, "start_session": "2003-12-31", "total_return": 0.16822993935437913, "traded_notional_by_category": { "entry": 1166547.5820773542, "exit": 1153470.9736554874, "resize": 207734.1143198798 }, "transaction_cost": 2527.752670052721, "transaction_cost_over_anchor_nav": 0.002991912099021776, "two_sided_turnover": 2.888819340359736 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.64226036767648, "annualized_volatility": 0.14760972929935984, "cagr": 0.15236147867887406, "end_nav": 1137372.7322178283, "end_session": "2005-12-30", "fee_by_category": { "entry": 750.4341656834515, "exit": 736.6603959548936, "resize": 344.0393727698871 }, "max_cash_weight": 1.174933958491276e-16, "max_drawdown": -0.1004976025517994, "mean_cash_weight": 1.8949753586390448e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 986993.0167413878, "start_session": "2004-12-31", "total_return": 0.15236147867887406, "traded_notional_by_category": { "entry": 750434.1656834516, "exit": 736660.3959548937, "resize": 344039.3727698871 }, "transaction_cost": 1831.1339344082323, "transaction_cost_over_anchor_nav": 0.0018552653396209657, "two_sided_turnover": 1.64226036767648 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.5435962765288034, "annualized_volatility": 0.11491169900500779, "cagr": 0.12081340073567248, "end_nav": 1274782.5999010873, "end_session": "2006-12-29", "fee_by_category": { "entry": 1972.9950068563396, "exit": 1976.5927334963128, "resize": 250.4577660531089 }, "max_cash_weight": 0.0, "max_drawdown": -0.10149211286638649, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1137372.7322178283, "start_session": "2005-12-30", "total_return": 0.12081340073567248, "traded_notional_by_category": { "entry": 1972995.0068563395, "exit": 1976592.733496313, "resize": 250457.7660531089 }, "transaction_cost": 4200.045506405761, "transaction_cost_over_anchor_nav": 0.0036927608579254857, "two_sided_turnover": 3.5435962765288034 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.846003805481628, "annualized_volatility": 0.16672238213292906, "cagr": 0.09863155798993217, "end_nav": 1400516.3938277878, "end_session": "2007-12-31", "fee_by_category": { "entry": 1832.6192002749533, "exit": 1825.7414834962897, "resize": 252.7206781527386 }, "max_cash_weight": 0.0, "max_drawdown": -0.08906259210412526, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1274782.5999010873, "start_session": "2006-12-29", "total_return": 0.09863155798993217, "traded_notional_by_category": { "entry": 1832619.2002749532, "exit": 1825741.4834962897, "resize": 252720.6781527386 }, "transaction_cost": 3911.0813619239816, "transaction_cost_over_anchor_nav": 0.0030680379244488036, "two_sided_turnover": 2.846003805481628 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3984325270543327, "annualized_volatility": 0.2276793886897394, "cagr": -0.21475035252790764, "end_nav": 1099755.0045321565, "end_session": "2008-12-31", "fee_by_category": { "entry": 859.2226623696166, "exit": 1612.4293261423807, "resize": 531.8486504178082 }, "max_cash_weight": 0.712474180344322, "max_drawdown": -0.2601166471198805, "mean_cash_weight": 0.17167089676205685, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1400516.3938277878, "start_session": "2007-12-31", "total_return": -0.21475035252790764, "traded_notional_by_category": { "entry": 859222.6623696166, "exit": 1612429.3261423807, "resize": 531848.6504178082 }, "transaction_cost": 3003.5006389298055, "transaction_cost_over_anchor_nav": 0.0021445665699927007, "two_sided_turnover": 2.3984325270543327 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4031614295707189, "annualized_volatility": 0.08493161984541503, "cagr": 0.0532210336070118, "end_nav": 1158285.102587842, "end_session": "2009-12-31", "fee_by_category": { "entry": 1056.2433589116335, "exit": 363.74444939361655, "resize": 64.41512578147423 }, "max_cash_weight": 1.0, "max_drawdown": -0.07067964409207161, "mean_cash_weight": 0.6657888390168902, "nonzero_trade_event_count": 7, "order_count": 13, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1099755.0045321565, "start_session": "2008-12-31", "total_return": 0.0532210336070118, "traded_notional_by_category": { "entry": 1056243.3589116335, "exit": 363744.4493936165, "resize": 64415.12578147423 }, "transaction_cost": 1484.4029340867244, "transaction_cost_over_anchor_nav": 0.0013497578351263787, "two_sided_turnover": 1.4031614295707189 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2280288086807105, "annualized_volatility": 0.17337563658948105, "cagr": 0.13832868097250284, "end_nav": 1318509.1530189181, "end_session": "2010-12-31", "fee_by_category": { "entry": 1227.9629839734555, "exit": 1230.0999835971306, "resize": 271.0682894953876 }, "max_cash_weight": 0.0, "max_drawdown": -0.15279699372375322, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1158285.102587842, "start_session": "2009-12-31", "total_return": 0.13832868097250284, "traded_notional_by_category": { "entry": 1227962.9839734554, "exit": 1230099.9835971307, "resize": 271068.2894953876 }, "transaction_cost": 2729.131257065974, "transaction_cost_over_anchor_nav": 0.002356182645333645, "two_sided_turnover": 2.2280288086807105 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 3.476797544976418, "annualized_volatility": 0.2303419920627915, "cagr": -0.09508013578247976, "end_nav": 1193145.123719437, "end_session": "2011-12-30", "fee_by_category": { "entry": 1995.6814083114655, "exit": 2002.8331612545417, "resize": 187.35723564081638 }, "max_cash_weight": 0.0, "max_drawdown": -0.23648031666785407, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1318509.1530189181, "start_session": "2010-12-31", "total_return": -0.09508013578247976, "traded_notional_by_category": { "entry": 1995681.4083114653, "exit": 2002833.1612545415, "resize": 187357.2356408164 }, "transaction_cost": 4185.871805206823, "transaction_cost_over_anchor_nav": 0.0031747006045598257, "two_sided_turnover": 3.476797544976418 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.144667125709714, "annualized_volatility": 0.11247514344284447, "cagr": 0.06286944628090696, "end_nav": 1268157.4969804422, "end_session": "2012-12-31", "fee_by_category": { "entry": 1262.05493187867, "exit": 1267.7873106153038, "resize": 174.92026028037367 }, "max_cash_weight": 0.0, "max_drawdown": -0.07719280878879309, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1193145.123719437, "start_session": "2011-12-30", "total_return": 0.06286944628090696, "traded_notional_by_category": { "entry": 1262054.9318786701, "exit": 1267787.3106153037, "resize": 174920.26028037368 }, "transaction_cost": 2704.7625027743475, "transaction_cost_over_anchor_nav": 0.002266918289321493, "two_sided_turnover": 2.144667125709714 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1326491454336503, "annualized_volatility": 0.11074850164919203, "cagr": 0.2849372601666802, "end_nav": 1629502.8196298843, "end_session": "2013-12-31", "fee_by_category": { "entry": 1448.4477013543287, "exit": 1437.6546240262348, "resize": 202.67143475792773 }, "max_cash_weight": 0.0, "max_drawdown": -0.07013709107412225, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1268157.4969804422, "start_session": "2012-12-31", "total_return": 0.2849372601666802, "traded_notional_by_category": { "entry": 1448447.7013543288, "exit": 1437654.6240262347, "resize": 202671.43475792772 }, "transaction_cost": 3088.7737601384915, "transaction_cost_over_anchor_nav": 0.0024356389229989524, "two_sided_turnover": 2.1326491454336503 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4658099548808439, "annualized_volatility": 0.12646827739612668, "cagr": 0.12546438076028932, "end_nav": 1833947.381841893, "end_session": "2014-12-31", "fee_by_category": { "entry": 1142.10165551535, "exit": 1126.280485863561, "resize": 242.81503359884448 }, "max_cash_weight": 1.4200465262995728e-16, "max_drawdown": -0.08285339087783439, "mean_cash_weight": 6.862118557206349e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1629502.8196298843, "start_session": "2013-12-31", "total_return": 0.12546438076028932, "traded_notional_by_category": { "entry": 1142101.6555153502, "exit": 1126280.485863561, "resize": 242815.0335988445 }, "transaction_cost": 2511.197174977756, "transaction_cost_over_anchor_nav": 0.001541081822459279, "two_sided_turnover": 1.4658099548808439 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.457223235908164, "annualized_volatility": 0.15165470817039406, "cagr": 0.06515387858453647, "end_nav": 1953436.1668888484, "end_session": "2015-12-31", "fee_by_category": { "entry": 1254.182010199073, "exit": 1236.1751068295698, "resize": 254.7828630039672 }, "max_cash_weight": 1.2984105658143647e-16, "max_drawdown": -0.10813738854458854, "mean_cash_weight": 1.9355853602209833e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1833947.381841893, "start_session": "2014-12-31", "total_return": 0.06515387858453647, "traded_notional_by_category": { "entry": 1254182.010199073, "exit": 1236175.1068295697, "resize": 254782.8630039672 }, "transaction_cost": 2745.13998003261, "transaction_cost_over_anchor_nav": 0.0014968477324990516, "two_sided_turnover": 1.457223235908164 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.891022269619914, "annualized_volatility": 0.11679663093247158, "cagr": 0.08796572958473248, "end_nav": 2125271.6045064293, "end_session": "2016-12-30", "fee_by_category": { "entry": 2653.1094235769315, "exit": 2645.632520173169, "resize": 462.066802655755 }, "max_cash_weight": 1.2292095379108075e-16, "max_drawdown": -0.08825564115257256, "mean_cash_weight": 3.908207823310697e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1953436.1668888484, "start_session": "2015-12-31", "total_return": 0.08796572958473248, "traded_notional_by_category": { "entry": 2653109.4235769315, "exit": 2645632.5201731687, "resize": 462066.80265575496 }, "transaction_cost": 5760.808746405855, "transaction_cost_over_anchor_nav": 0.0029490642407736523, "two_sided_turnover": 2.891022269619914 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8521844693278345, "annualized_volatility": 0.08679781484766172, "cagr": 0.28104067346363637, "end_nav": 2722559.367530059, "end_session": "2017-12-29", "fee_by_category": { "entry": 759.071841933122, "exit": 757.9628842048292, "resize": 447.5690609853215 }, "max_cash_weight": 0.0, "max_drawdown": -0.0334271528689547, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2125271.6045064293, "start_session": "2016-12-30", "total_return": 0.28104067346363637, "traded_notional_by_category": { "entry": 759071.8419331219, "exit": 757962.8842048291, "resize": 447569.0609853215 }, "transaction_cost": 1964.6037871232727, "transaction_cost_over_anchor_nav": 0.0009244012779155021, "two_sided_turnover": 0.8521844693278345 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4966126533931154, "annualized_volatility": 0.19454803320949648, "cagr": -0.04182062882093185, "end_nav": 2608700.2227776335, "end_session": "2018-12-31", "fee_by_category": { "entry": 1919.7241025103722, "exit": 1911.3626903968336, "resize": 477.5006701789472 }, "max_cash_weight": 0.0, "max_drawdown": -0.20867051385144153, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2722559.367530059, "start_session": "2017-12-29", "total_return": -0.04182062882093185, "traded_notional_by_category": { "entry": 1919724.1025103722, "exit": 1911362.6903968337, "resize": 477500.67017894716 }, "transaction_cost": 4308.587463086153, "transaction_cost_over_anchor_nav": 0.0015825504172549813, "two_sided_turnover": 1.4966126533931154 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.190037101537179, "annualized_volatility": 0.11226470314107315, "cagr": 0.301213536664821, "end_nav": 3394476.0429787906, "end_session": "2019-12-31", "fee_by_category": { "entry": 3060.559422322373, "exit": 3072.431227535867, "resize": 572.4562721707565 }, "max_cash_weight": 1.486410907851612e-16, "max_drawdown": -0.0388838181474499, "mean_cash_weight": 1.3318238642946937e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2608700.2227776335, "start_session": "2018-12-31", "total_return": 0.301213536664821, "traded_notional_by_category": { "entry": 3060559.422322373, "exit": 3072431.227535867, "resize": 572456.2721707565 }, "transaction_cost": 6705.446922028996, "transaction_cost_over_anchor_nav": 0.0025704168165743935, "two_sided_turnover": 2.190037101537179 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.596978903579326, "annualized_volatility": 0.3321123887510429, "cagr": 0.18707559153148612, "end_nav": 4029499.6566585065, "end_session": "2020-12-31", "fee_by_category": { "entry": 2470.3501489660257, "exit": 2516.8767588773167, "resize": 865.4042097380842 }, "max_cash_weight": 1.4860909138767694e-16, "max_drawdown": -0.30268070710543227, "mean_cash_weight": 5.4987355729208214e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3394476.0429787906, "start_session": "2019-12-31", "total_return": 0.18707559153148612, "traded_notional_by_category": { "entry": 2470350.1489660256, "exit": 2516876.7588773165, "resize": 865404.2097380842 }, "transaction_cost": 5852.631117581427, "transaction_cost_over_anchor_nav": 0.0017241633299157138, "two_sided_turnover": 1.596978903579326 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.850964887806165, "annualized_volatility": 0.150112150243637, "cagr": 0.2261577405775117, "end_nav": 4940802.194666253, "end_session": "2021-12-31", "fee_by_category": { "entry": 5775.3332330602225, "exit": 5739.177393066711, "resize": 884.5203551185064 }, "max_cash_weight": 1.1873414505017284e-16, "max_drawdown": -0.07584378454113605, "mean_cash_weight": 1.932635668202942e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4029499.6566585065, "start_session": "2020-12-31", "total_return": 0.2261577405775117, "traded_notional_by_category": { "entry": 5775333.233060222, "exit": 5739177.393066712, "resize": 884520.3551185064 }, "transaction_cost": 12399.03098124544, "transaction_cost_over_anchor_nav": 0.0030770646575826815, "two_sided_turnover": 2.850964887806165 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4111531056535935, "annualized_volatility": 0.20786609031396255, "cagr": 0.012898512732832934, "end_nav": 5004531.194684565, "end_session": "2022-12-30", "fee_by_category": { "entry": 4646.397334810745, "exit": 4657.035145642729, "resize": 1965.478657412916 }, "max_cash_weight": 0.0, "max_drawdown": -0.12286452054881447, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4940802.194666253, "start_session": "2021-12-31", "total_return": 0.012898512732832934, "traded_notional_by_category": { "entry": 4646397.334810745, "exit": 4657035.145642729, "resize": 1965478.657412916 }, "transaction_cost": 11268.91113786639, "transaction_cost_over_anchor_nav": 0.002280785729497838, "two_sided_turnover": 2.4111531056535935 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2247050803516664, "annualized_volatility": 0.14026074452537618, "cagr": 0.08500663481877191, "end_nav": 5429949.550390268, "end_session": "2023-12-29", "fee_by_category": { "entry": 4974.300875079033, "exit": 4950.096770494925, "resize": 1163.442312381513 }, "max_cash_weight": 0.0, "max_drawdown": -0.09921207400633525, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5004531.194684565, "start_session": "2022-12-30", "total_return": 0.08500663481877191, "traded_notional_by_category": { "entry": 4974300.875079033, "exit": 4950096.770494926, "resize": 1163442.312381513 }, "transaction_cost": 11087.839957955472, "transaction_cost_over_anchor_nav": 0.002215560164702767, "two_sided_turnover": 2.2247050803516664 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2699033542397524, "annualized_volatility": 0.12914434276903383, "cagr": 0.19075821129467707, "end_nav": 6465757.014043051, "end_session": "2024-12-31", "fee_by_category": { "entry": 6363.9940527117005, "exit": 6521.130730432804, "resize": 1515.879204588402 }, "max_cash_weight": 1.5229812907539496e-16, "max_drawdown": -0.09097889523758629, "mean_cash_weight": 2.4577281716979426e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 5429949.550390268, "start_session": "2023-12-29", "total_return": 0.19075821129467707, "traded_notional_by_category": { "entry": 6363994.0527117, "exit": 6521130.730432805, "resize": 1515879.204588402 }, "transaction_cost": 14401.003987732905, "transaction_cost_over_anchor_nav": 0.002652143238917912, "two_sided_turnover": 2.2699033542397524 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 1.54611279961867, "annualized_volatility": 0.1433378505414524, "cagr": 0.12958207298575886, "end_nav": 7303603.21134496, "end_session": "2025-12-31", "fee_by_category": { "entry": 4754.648647884254, "exit": 4775.112389196437, "resize": 1474.5079559155656 }, "max_cash_weight": 1.4336455020157582e-16, "max_drawdown": -0.10115767358948435, "mean_cash_weight": 5.699480469584011e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6465757.014043051, "start_session": "2024-12-31", "total_return": 0.12958207298575886, "traded_notional_by_category": { "entry": 4754648.647884254, "exit": 4775112.389196437, "resize": 1474507.9559155656 }, "transaction_cost": 11004.268992996258, "transaction_cost_over_anchor_nav": 0.0017019304884325164, "two_sided_turnover": 1.54611279961867 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.158622408172603, "annualized_volatility": 0.16466140968659615, "cagr": 0.0882843899436263, "end_nav": 7303603.21134496, "end_session": "2025-12-31", "fee_by_category": { "entry": 55389.62574348232, "exit": 55537.26203495299, "resize": 13400.150832162206 }, "max_cash_weight": 1.0, "max_drawdown": -0.30268070710543227, "mean_cash_weight": 0.06702001815419047, "nonzero_trade_event_count": 290, "order_count": 913, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 881002.570476501, "start_session": "2000-12-29", "total_return": 7.2901043153537195, "traded_notional_by_category": { "entry": 55389625.74348232, "exit": 55537262.03495298, "resize": 13400150.832162205 }, "transaction_cost": 124327.03861059752, "transaction_cost_over_anchor_nav": 0.14111994990361235, "two_sided_turnover": 53.96556020431508 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7237231.463077674, "end_session": "2026-10-02", "fee_by_category": { "entry": 9484.73132863951, "exit": 9580.001057824084, "resize": 2079.3941458596305 }, "max_cash_weight": 1.3718623068507687e-16, "max_drawdown": -0.09985272178058568, "mean_cash_weight": 5.837531992033663e-17, "nonzero_trade_event_count": 10, "order_count": 34, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 7303603.21134496, "start_session": "2025-12-31", "total_return": -0.009087534788881801, "traded_notional_by_category": { "entry": 9484731.32863951, "exit": 9580001.057824085, "resize": 2079394.1458596303 }, "transaction_cost": 21144.126532323226, "transaction_cost_over_anchor_nav": 0.0028950267313918782, "two_sided_turnover": 2.960529586983168 } }, "monthly_risk": { "beta_intercept_per_month": 0.0017177399375859943, "beta_to_SPY_excess_returns": 0.7127811937263956, "monthly_return_volatility_annualized": 0.13272192722764486, "months": 300, "sharpe_monthly_annualized": 0.5770505192477313, "tracking_error_monthly_annualized": 0.0893788032402279 }, "phase": [ 3, 9 ], "policy": "B", "run_id": "BMIX-03-09-10bps", "signal": "mixed" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.1050998424256235, "annualized_volatility": 0.1926222287915593, "cagr": -0.04545527415982775, "end_nav": 837369.6622393489, "end_session": "2001-12-31", "fee_by_category": { "entry": 2523.737228161894, "exit": 2499.9442405107684, "resize": 969.70374044127 }, "max_cash_weight": 1.5289995121422497e-16, "max_drawdown": -0.2462975050688443, "mean_cash_weight": 3.4261410422424303e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 877245.0777540171, "start_session": "2000-12-29", "total_return": -0.04545527415982775, "traded_notional_by_category": { "entry": 1009494.8912647576, "exit": 999977.6962043073, "resize": 387881.496176508 }, "transaction_cost": 5993.385209113932, "transaction_cost_over_anchor_nav": 0.006832053392033396, "two_sided_turnover": 3.1050998424256235 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.533053181037356, "annualized_volatility": 0.2111519792057214, "cagr": -0.14084163364183822, "end_nav": 719433.1510474447, "end_session": "2002-12-31", "fee_by_category": { "entry": 732.4503870701798, "exit": 1895.3067990745144, "resize": 435.6519030322246 }, "max_cash_weight": 0.6793675225538247, "max_drawdown": -0.25670005858942946, "mean_cash_weight": 0.16834106848533825, "nonzero_trade_event_count": 12, "order_count": 33, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 837369.6622393489, "start_session": "2001-12-31", "total_return": -0.14084163364183822, "traded_notional_by_category": { "entry": 292980.1548280719, "exit": 758122.7196298058, "resize": 174260.76121288983 }, "transaction_cost": 3063.4090891769183, "transaction_cost_over_anchor_nav": 0.003658371239512725, "two_sided_turnover": 1.533053181037356 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3674738365740855, "annualized_volatility": 0.07436560511253455, "cagr": 0.15883491008290052, "end_nav": 833704.2509047233, "end_session": "2003-12-31", "fee_by_category": { "entry": 1801.7561612970842, "exit": 617.1428382080405, "resize": 53.85547853750693 }, "max_cash_weight": 1.0, "max_drawdown": -0.03531324260942814, "mean_cash_weight": 0.6655610339842597, "nonzero_trade_event_count": 7, "order_count": 13, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 719433.1510474447, "start_session": "2002-12-31", "total_return": 0.15883491008290052, "traded_notional_by_category": { "entry": 720702.4645188337, "exit": 246857.13528321622, "resize": 21542.191415002773 }, "transaction_cost": 2472.7544780426315, "transaction_cost_over_anchor_nav": 0.003437087204617236, "two_sided_turnover": 1.3674738365740855 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8861255979044924, "annualized_volatility": 0.13347973523358705, "cagr": 0.1631756280267882, "end_nav": 969744.4656347046, "end_session": "2004-12-31", "fee_by_category": { "entry": 2868.51019930048, "exit": 2842.0866360087903, "resize": 511.65261634751323 }, "max_cash_weight": 1.459701668983382e-16, "max_drawdown": -0.09000378372649975, "mean_cash_weight": 8.109933144300824e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 833704.2509047233, "start_session": "2003-12-31", "total_return": 0.1631756280267882, "traded_notional_by_category": { "entry": 1147404.0797201921, "exit": 1136834.654403516, "resize": 204661.0465390053 }, "transaction_cost": 6222.249451656784, "transaction_cost_over_anchor_nav": 0.007463377384611501, "two_sided_turnover": 2.8861255979044924 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6422493966245644, "annualized_volatility": 0.1475309654072137, "cagr": 0.14952354749163277, "end_nav": 1114744.0982967834, "end_session": "2005-12-30", "fee_by_category": { "entry": 1839.9354049335248, "exit": 1807.9940257758549, "resize": 846.1608049717338 }, "max_cash_weight": 1.197320662820852e-16, "max_drawdown": -0.10139875631351614, "mean_cash_weight": 1.9382739349767945e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 969744.4656347046, "start_session": "2004-12-31", "total_return": 0.14952354749163277, "traded_notional_by_category": { "entry": 735974.1619734099, "exit": 723197.6103103419, "resize": 338464.3219886935 }, "transaction_cost": 4494.090235681114, "transaction_cost_over_anchor_nav": 0.0046343035664964585, "two_sided_turnover": 1.6422493966245644 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.5398929285572516, "annualized_volatility": 0.11492342481779763, "cagr": 0.11486505340597297, "end_nav": 1242789.2386816365, "end_session": "2006-12-29", "fee_by_category": { "entry": 4815.011030790564, "exit": 4836.338041416668, "resize": 614.2678881402617 }, "max_cash_weight": 0.0, "max_drawdown": -0.10435957203122759, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1114744.0982967834, "start_session": "2005-12-30", "total_return": 0.11486505340597297, "traded_notional_by_category": { "entry": 1926004.4123162257, "exit": 1934535.216566667, "resize": 245707.15525610466 }, "transaction_cost": 10265.616960347494, "transaction_cost_over_anchor_nav": 0.009208944883433177, "two_sided_turnover": 3.5398929285572516 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8433189095379374, "annualized_volatility": 0.16650518292152308, "cagr": 0.09394607594023019, "end_nav": 1359544.4108765225, "end_session": "2007-12-31", "fee_by_category": { "entry": 4451.161797850963, "exit": 4445.636970626803, "resize": 616.9773224045316 }, "max_cash_weight": 0.0, "max_drawdown": -0.08907497154214006, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1242789.2386816365, "start_session": "2006-12-29", "total_return": 0.09394607594023019, "traded_notional_by_category": { "entry": 1780464.7191403853, "exit": 1778254.788250721, "resize": 246790.92896181263 }, "transaction_cost": 9513.776090882298, "transaction_cost_over_anchor_nav": 0.007655180616927943, "two_sided_turnover": 2.8433189095379374 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3966347382268784, "annualized_volatility": 0.22749596084456472, "cagr": -0.21757157270124272, "end_nav": 1063746.195244933, "end_session": "2008-12-31", "fee_by_category": { "entry": 2080.5408829145927, "exit": 3908.195840857177, "resize": 1287.1493344280493 }, "max_cash_weight": 0.712474180344322, "max_drawdown": -0.2610712828383479, "mean_cash_weight": 0.17167089676205685, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1359544.4108765225, "start_session": "2007-12-31", "total_return": -0.21757157270124272, "traded_notional_by_category": { "entry": 832216.353165837, "exit": 1563278.3363428707, "resize": 514859.73377121973 }, "transaction_cost": 7275.886058199819, "transaction_cost_over_anchor_nav": 0.005351708998979242, "two_sided_turnover": 2.3966347382268784 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4016417505737075, "annualized_volatility": 0.0853216022046743, "cagr": 0.05100752143383236, "end_nav": 1118005.2520990465, "end_session": "2009-12-31", "fee_by_category": { "entry": 2548.8459723106575, "exit": 879.5295867274599, "resize": 155.60442517182338 }, "max_cash_weight": 1.0, "max_drawdown": -0.07141086431636468, "mean_cash_weight": 0.6657888390168902, "nonzero_trade_event_count": 7, "order_count": 13, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1063746.195244933, "start_session": "2008-12-31", "total_return": 0.05100752143383236, "traded_notional_by_category": { "entry": 1019538.3889242631, "exit": 351811.83469098393, "resize": 62241.770068729355 }, "transaction_cost": 3583.979984209941, "transaction_cost_over_anchor_nav": 0.003369205925464872, "two_sided_turnover": 1.4016417505737075 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2270261260253834, "annualized_volatility": 0.17331458191792048, "cagr": 0.13452680716375953, "end_nav": 1268406.9290562454, "end_session": "2010-12-31", "fee_by_category": { "entry": 2955.7555419564906, "exit": 2965.826006296341, "resize": 654.9539908550619 }, "max_cash_weight": 0.0, "max_drawdown": -0.15288727440044025, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1118005.2520990465, "start_session": "2009-12-31", "total_return": 0.13452680716375953, "traded_notional_by_category": { "entry": 1182302.2167825962, "exit": 1186330.4025185364, "resize": 261981.59634202474 }, "transaction_cost": 6576.535539107894, "transaction_cost_over_anchor_nav": 0.005882383402725969, "two_sided_turnover": 2.2270261260253834 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4718258808645244, "annualized_volatility": 0.23071339317628548, "cagr": -0.09978966026874858, "end_nav": 1141833.032523196, "end_session": "2011-12-30", "fee_by_category": { "entry": 4781.615496994345, "exit": 4810.988739385955, "resize": 447.60259519695785 }, "max_cash_weight": 1.1438102884868902e-16, "max_drawdown": -0.23887089678428275, "mean_cash_weight": 9.092611609015551e-18, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1268406.9290562454, "start_session": "2010-12-31", "total_return": -0.09978966026874858, "traded_notional_by_category": { "entry": 1912646.1987977377, "exit": 1924395.495754382, "resize": 179041.03807878314 }, "transaction_cost": 10040.206831577258, "transaction_cost_over_anchor_nav": 0.007915603897755152, "two_sided_turnover": 3.4718258808645244 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1429937149385667, "annualized_volatility": 0.11237196269931735, "cagr": 0.05945390802405659, "end_nav": 1209719.4686176598, "end_session": "2012-12-31", "fee_by_category": { "entry": 3012.07270453818, "exit": 3030.766715023441, "resize": 417.66011626252384 }, "max_cash_weight": 0.0, "max_drawdown": -0.07815738336118239, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1141833.032523196, "start_session": "2011-12-30", "total_return": 0.05945390802405659, "traded_notional_by_category": { "entry": 1204829.0818152719, "exit": 1212306.6860093763, "resize": 167064.04650500952 }, "transaction_cost": 6460.499535824145, "transaction_cost_over_anchor_nav": 0.005658007214546845, "two_sided_turnover": 2.1429937149385667 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1323342029556565, "annualized_volatility": 0.11063247796489709, "cagr": 0.28082686558306214, "end_nav": 1549441.1952243648, "end_session": "2013-12-31", "fee_by_category": { "entry": 3445.640052702255, "exit": 3425.6890172116255, "resize": 487.52848043591456 }, "max_cash_weight": 0.0, "max_drawdown": -0.07019781492017918, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1209719.4686176598, "start_session": "2012-12-31", "total_return": 0.28082686558306214, "traded_notional_by_category": { "entry": 1378256.021080902, "exit": 1370275.6068846502, "resize": 195011.3921743658 }, "transaction_cost": 7358.857550349796, "transaction_cost_over_anchor_nav": 0.006083110788287738, "two_sided_turnover": 2.1323342029556565 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4658171190904576, "annualized_volatility": 0.12656844192304076, "cagr": 0.12298986457010663, "end_nav": 1740006.7579843535, "end_session": "2014-12-31", "fee_by_category": { "entry": 2710.549589641949, "exit": 2675.6755098671756, "resize": 579.3017460982753 }, "max_cash_weight": 1.4396324249658545e-16, "max_drawdown": -0.0837730748864941, "mean_cash_weight": 3.495563678496253e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1549441.1952243648, "start_session": "2013-12-31", "total_return": 0.12298986457010663, "traded_notional_by_category": { "entry": 1084219.8358567795, "exit": 1070270.2039468703, "resize": 231720.69843931013 }, "transaction_cost": 5965.5268456074, "transaction_cost_over_anchor_nav": 0.0038501150375981645, "two_sided_turnover": 1.4658171190904576 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4565821805711143, "annualized_volatility": 0.15171822564992699, "cagr": 0.06282490630688042, "end_nav": 1849322.5195280593, "end_session": "2015-12-31", "fee_by_category": { "entry": 2968.7373063039804, "exit": 2931.978635208423, "resize": 606.5739517456913 }, "max_cash_weight": 1.3685184505307245e-16, "max_drawdown": -0.10813738854458843, "mean_cash_weight": 6.420751607070272e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1740006.7579843535, "start_session": "2014-12-31", "total_return": 0.06282490630688042, "traded_notional_by_category": { "entry": 1187494.9225215921, "exit": 1172791.454083369, "resize": 242629.58069827652 }, "transaction_cost": 6507.289893258096, "transaction_cost_over_anchor_nav": 0.003739807252700688, "two_sided_turnover": 1.4565821805711143 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.889709290440237, "annualized_volatility": 0.11677551676714698, "cagr": 0.08325136586608406, "end_nav": 2003281.1452056782, "end_session": "2016-12-30", "fee_by_category": { "entry": 6259.15456315078, "exit": 6254.04672226002, "resize": 1097.7556988275253 }, "max_cash_weight": 1.2646410993527903e-16, "max_drawdown": -0.0883333801932813, "mean_cash_weight": 5.0372964714827345e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1849322.5195280593, "start_session": "2015-12-31", "total_return": 0.08325136586608406, "traded_notional_by_category": { "entry": 2503661.825260312, "exit": 2501618.688904008, "resize": 439102.2795310101 }, "transaction_cost": 13610.956984238324, "transaction_cost_over_anchor_nav": 0.0073599693079559715, "two_sided_turnover": 2.889709290440237 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8518571217758597, "annualized_volatility": 0.08683920248540586, "cagr": 0.2794036940300293, "end_nav": 2563005.2973568523, "end_session": "2017-12-29", "fee_by_category": { "entry": 1786.842019213043, "exit": 1786.0440324616939, "resize": 1053.8081575956592 }, "max_cash_weight": 1.1543098157873696e-16, "max_drawdown": -0.034408032684565604, "mean_cash_weight": 9.026608672861422e-18, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2003281.1452056782, "start_session": "2016-12-30", "total_return": 0.2794036940300293, "traded_notional_by_category": { "entry": 714736.8076852171, "exit": 714417.6129846775, "resize": 421523.26303826366 }, "transaction_cost": 4626.694209270396, "transaction_cost_over_anchor_nav": 0.002309558106880385, "two_sided_turnover": 0.8518571217758597 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4959295184322945, "annualized_volatility": 0.19465831258951324, "cagr": -0.04396987468692759, "end_nav": 2450310.27561014, "end_session": "2018-12-31", "fee_by_category": { "entry": 4510.603513571504, "exit": 4495.503234731145, "resize": 1122.894017537699 }, "max_cash_weight": 0.0, "max_drawdown": -0.209506707208177, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2563005.2973568523, "start_session": "2017-12-29", "total_return": -0.04396987468692759, "traded_notional_by_category": { "entry": 1804241.4054286017, "exit": 1798201.293892458, "resize": 449157.6070150796 }, "transaction_cost": 10129.000765840348, "transaction_cost_over_anchor_nav": 0.00395200149460716, "two_sided_turnover": 1.4959295184322945 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1883237663209925, "annualized_volatility": 0.11235106708584656, "cagr": 0.2969438328203322, "end_nav": 3177914.8004488596, "end_session": "2019-12-31", "fee_by_category": { "entry": 7169.004478319577, "exit": 7208.917732563902, "resize": 1341.8027527027357 }, "max_cash_weight": 0.0, "max_drawdown": -0.0389061403663844, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2450310.27561014, "start_session": "2018-12-31", "total_return": 0.2969438328203322, "traded_notional_by_category": { "entry": 2867601.7913278313, "exit": 2883567.093025561, "resize": 536721.1010810942 }, "transaction_cost": 15719.724963586215, "transaction_cost_over_anchor_nav": 0.0064154018044396115, "two_sided_turnover": 2.1883237663209925 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5948969170763836, "annualized_volatility": 0.3321046435314214, "cagr": 0.18423583062396487, "end_nav": 3763400.5733617465, "end_session": "2020-12-31", "fee_by_category": { "entry": 5768.262876038725, "exit": 5888.860081458634, "resize": 2018.4168317405295 }, "max_cash_weight": 1.4735966171328093e-16, "max_drawdown": -0.3026968695385436, "mean_cash_weight": 2.224603187630261e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3177914.8004488596, "start_session": "2019-12-31", "total_return": 0.18423583062396487, "traded_notional_by_category": { "entry": 2307305.15041549, "exit": 2355544.0325834537, "resize": 807366.7326962118 }, "transaction_cost": 13675.539789237888, "transaction_cost_over_anchor_nav": 0.004303305987720724, "two_sided_turnover": 1.5948969170763836 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8496049863706685, "annualized_volatility": 0.1498431345608352, "cagr": 0.22091806980622386, "end_nav": 4594803.76393646, "end_session": "2021-12-31", "fee_by_category": { "entry": 13442.299682309927, "exit": 13384.943622090163, "resize": 2073.60462736726 }, "max_cash_weight": 1.156870944431508e-16, "max_drawdown": -0.07586324884124562, "mean_cash_weight": 1.838479431308265e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3763400.5733617465, "start_session": "2020-12-31", "total_return": 0.22091806980622386, "traded_notional_by_category": { "entry": 5376919.872923971, "exit": 5353977.448836064, "resize": 829441.8509469039 }, "transaction_cost": 28900.84793176735, "transaction_cost_over_anchor_nav": 0.0076794503716491125, "two_sided_turnover": 2.8496049863706685 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4093750895313826, "annualized_volatility": 0.20762539511017383, "cagr": 0.009240222104274443, "end_nav": 4637260.771240789, "end_session": "2022-12-30", "fee_by_category": { "entry": 10775.154315909907, "exit": 10817.881367123908, "resize": 4559.115916777933 }, "max_cash_weight": 1.128992806354678e-16, "max_drawdown": -0.12400960557955898, "mean_cash_weight": 9.106122453344984e-18, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4594803.76393646, "start_session": "2021-12-31", "total_return": 0.009240222104274443, "traded_notional_by_category": { "entry": 4310061.7263639625, "exit": 4327152.546849563, "resize": 1823646.3667111734 }, "transaction_cost": 26152.151599811747, "transaction_cost_over_anchor_nav": 0.005691679763360922, "two_sided_turnover": 2.4093750895313826 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.222348480279509, "annualized_volatility": 0.14012180873615315, "cagr": 0.08139190282777142, "end_nav": 5014696.249320656, "end_session": "2023-12-29", "fee_by_category": { "entry": 11494.723476738602, "exit": 11458.106499826854, "resize": 2681.906394305656 }, "max_cash_weight": 0.0, "max_drawdown": -0.10107904714386051, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4637260.771240789, "start_session": "2022-12-30", "total_return": 0.08139190282777142, "traded_notional_by_category": { "entry": 4597889.390695441, "exit": 4583242.599930741, "resize": 1072762.5577222623 }, "transaction_cost": 25634.736370871113, "transaction_cost_over_anchor_nav": 0.005527991121364529, "two_sided_turnover": 2.222348480279509 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.266794048735449, "annualized_volatility": 0.12926972573110246, "cagr": 0.18671277940406394, "end_nav": 5951004.12389845, "end_session": "2024-12-31", "fee_by_category": { "entry": 14654.713669314915, "exit": 15042.444017643174, "resize": 3474.46099236167 }, "max_cash_weight": 0.0, "max_drawdown": -0.09103199414467822, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 5014696.249320656, "start_session": "2023-12-29", "total_return": 0.18671277940406394, "traded_notional_by_category": { "entry": 5861885.467725966, "exit": 6016977.60705727, "resize": 1389784.396944668 }, "transaction_cost": 33171.618679319756, "transaction_cost_over_anchor_nav": 0.006614880947936485, "two_sided_turnover": 2.266794048735449 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 1.544071560658353, "annualized_volatility": 0.1433406372222865, "cagr": 0.1269658788710002, "end_nav": 6706578.592654163, "end_session": "2025-12-31", "fee_by_category": { "entry": 10916.084836793852, "exit": 10985.05470992831, "resize": 3378.3970587541776 }, "max_cash_weight": 1.4228307273114742e-16, "max_drawdown": -0.10120036248388953, "mean_cash_weight": 1.2229685077021108e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5951004.12389845, "start_session": "2024-12-31", "total_return": 0.1269658788710002, "traded_notional_by_category": { "entry": 4366433.934717541, "exit": 4394021.883971324, "resize": 1351358.823501671 }, "transaction_cost": 25279.53660547634, "transaction_cost_over_anchor_nav": 0.00424794472985778, "two_sided_turnover": 1.544071560658353 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.1569992074211495, "annualized_volatility": 0.1646438529154555, "cagr": 0.08476384832326755, "end_nav": 6706578.592654163, "end_session": "2025-12-31", "fee_by_category": { "entry": 130313.16318812798, "exit": 130894.90162228684, "resize": 31486.806842040183 }, "max_cash_weight": 1.0, "max_drawdown": -0.3026968695385436, "mean_cash_weight": 0.06702001815419047, "nonzero_trade_event_count": 290, "order_count": 913, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 877245.0777540171, "start_session": "2000-12-29", "total_return": 6.645045566770012, "traded_notional_by_category": { "entry": 52125265.27525119, "exit": 52357960.64891473, "resize": 12594722.736816073 }, "transaction_cost": 292694.871652455, "transaction_cost_over_anchor_nav": 0.33365233852532117, "two_sided_turnover": 53.92498018552873 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6616169.534015043, "end_session": "2026-10-02", "fee_by_category": { "entry": 21701.42917608933, "exit": 21963.97435391514, "resize": 4764.410574946175 }, "max_cash_weight": 1.4941950777641283e-16, "max_drawdown": -0.09992385953606531, "mean_cash_weight": 4.774120747071445e-17, "nonzero_trade_event_count": 10, "order_count": 34, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 6706578.592654163, "start_session": "2025-12-31", "total_return": -0.013480652972313933, "traded_notional_by_category": { "entry": 8680571.67043573, "exit": 8785589.741566055, "resize": 1905764.2299784701 }, "transaction_cost": 48429.814104950645, "transaction_cost_over_anchor_nav": 0.007221240075825951, "two_sided_turnover": 2.9577040635112124 } }, "monthly_risk": { "beta_intercept_per_month": 0.0014523664140162042, "beta_to_SPY_excess_returns": 0.7116898513711014, "monthly_return_volatility_annualized": 0.13265019530989455, "months": 300, "sharpe_monthly_annualized": 0.552735977791602, "tracking_error_monthly_annualized": 0.08955254847239993 }, "phase": [ 3, 9 ], "policy": "B", "run_id": "BMIX-03-09-25bps", "signal": "mixed" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.106775359484698, "annualized_volatility": 0.19253368169407797, "cagr": -0.039499375073722365, "end_nav": 847410.3779984937, "end_session": "2001-12-31", "fee_by_category": { "entry": 510.00794514959665, "exit": 503.8528481233691, "resize": 194.6198258101355 }, "max_cash_weight": 1.4517311362257163e-16, "max_drawdown": -0.24383806672606156, "mean_cash_weight": 4.473414026982789e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 882259.0595019509, "start_session": "2000-12-29", "total_return": -0.039499375073722365, "traded_notional_by_category": { "entry": 1020015.8902991932, "exit": 1007705.6962467382, "resize": 389239.651620271 }, "transaction_cost": 1208.4806190831011, "transaction_cost_over_anchor_nav": 0.0013697571093974456, "two_sided_turnover": 3.106775359484698 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5331199313127029, "annualized_volatility": 0.21117137703957126, "cagr": -0.13820099434055255, "end_nav": 730297.4211445984, "end_session": "2002-12-31", "fee_by_category": { "entry": 148.46411734717753, "exit": 384.02241377362145, "resize": 88.14421432904987 }, "max_cash_weight": 0.6793675225538247, "max_drawdown": -0.2566373287837592, "mean_cash_weight": 0.16834106848533828, "nonzero_trade_event_count": 12, "order_count": 33, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 847410.3779984937, "start_session": "2001-12-31", "total_return": -0.13820099434055255, "traded_notional_by_category": { "entry": 296928.23469435505, "exit": 768044.8275472429, "resize": 176288.42865809976 }, "transaction_cost": 620.6307454498489, "transaction_cost_over_anchor_nav": 0.0007323851130024183, "two_sided_turnover": 1.5331199313127029 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3694786261518668, "annualized_volatility": 0.07472025454602073, "cagr": 0.16201131731335727, "end_nav": 848613.8683747825, "end_session": "2003-12-31", "fee_by_category": { "entry": 366.7851666194614, "exit": 125.29608023013628, "resize": 10.953283106117247 }, "max_cash_weight": 1.0, "max_drawdown": -0.03531324260942803, "mean_cash_weight": 0.6655610339842597, "nonzero_trade_event_count": 7, "order_count": 13, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 730297.4211445984, "start_session": "2002-12-31", "total_return": 0.16201131731335727, "traded_notional_by_category": { "entry": 733570.3332389228, "exit": 250592.16046027257, "resize": 21906.566212234495 }, "transaction_cost": 503.0345299557149, "transaction_cost_over_anchor_nav": 0.00068880775885434, "two_sided_turnover": 1.3694786261518668 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.889718758511245, "annualized_volatility": 0.13370373491906395, "cagr": 0.1699196007608037, "end_nav": 992809.9980891068, "end_session": "2004-12-31", "fee_by_category": { "entry": 586.4997437155387, "exit": 579.5351896054726, "resize": 104.38422125687593 }, "max_cash_weight": 1.4337980780996902e-16, "max_drawdown": -0.08739813936659335, "mean_cash_weight": 5.68335296812892e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 848613.8683747825, "start_session": "2003-12-31", "total_return": 0.1699196007608037, "traded_notional_by_category": { "entry": 1172999.4874310773, "exit": 1159070.3792109452, "resize": 208768.44251375186 }, "transaction_cost": 1270.4191545778872, "transaction_cost_over_anchor_nav": 0.001497052077419996, "two_sided_turnover": 2.889718758511245 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.642264207164726, "annualized_volatility": 0.14763907780504665, "cagr": 0.15330849628295717, "end_nav": 1145016.2059908332, "end_session": "2005-12-30", "fee_by_category": { "entry": 377.65828938754385, "exit": 370.6015951992375, "resize": 172.95879063739272 }, "max_cash_weight": 0.0, "max_drawdown": -0.10019741825433359, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 992809.9980891068, "start_session": "2004-12-31", "total_return": 0.15330849628295717, "traded_notional_by_category": { "entry": 755316.5787750876, "exit": 741203.1903984749, "resize": 345917.58127478545 }, "transaction_cost": 921.218675224174, "transaction_cost_over_anchor_nav": 0.0009278902075898442, "two_sided_turnover": 1.642264207164726 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.5448328894501677, "annualized_volatility": 0.11493302402550878, "cagr": 0.122802756244355, "end_nav": 1285627.3520309618, "end_session": "2006-12-29", "fee_by_category": { "entry": 994.4551561816867, "exit": 995.4067067794956, "resize": 126.03025895389648 }, "max_cash_weight": 0.0, "max_drawdown": -0.1005342547659559, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1145016.2059908332, "start_session": "2005-12-30", "total_return": 0.122802756244355, "traded_notional_by_category": { "entry": 1988910.3123633733, "exit": 1990813.4135589912, "resize": 252060.51790779294 }, "transaction_cost": 2115.892121915079, "transaction_cost_over_anchor_nav": 0.0018479145629944195, "two_sided_turnover": 3.5448328894501677 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.846900857109751, "annualized_volatility": 0.16680846046481337, "cagr": 0.10019736648821898, "end_nav": 1414443.8269896866, "end_session": "2007-12-31", "fee_by_category": { "entry": 925.169416630641, "exit": 920.9237991731045, "resize": 127.36434822235891 }, "max_cash_weight": 0.0, "max_drawdown": -0.08905846837623144, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1285627.3520309618, "start_session": "2006-12-29", "total_return": 0.10019736648821898, "traded_notional_by_category": { "entry": 1850338.8332612817, "exit": 1841847.598346209, "resize": 254728.69644471782 }, "transaction_cost": 1973.4575640261041, "transaction_cost_over_anchor_nav": 0.0015350152288752623, "two_sided_turnover": 2.846900857109751 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.399033263538977, "annualized_volatility": 0.22774587557783618, "cagr": -0.21380765565725757, "end_nav": 1112024.9082821421, "end_session": "2008-12-31", "fee_by_category": { "entry": 434.20851349973213, "exit": 814.5760354422508, "resize": 268.81724685173486 }, "max_cash_weight": 0.7124741803443221, "max_drawdown": -0.2597984925352955, "mean_cash_weight": 0.17167089676205685, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1414443.8269896866, "start_session": "2007-12-31", "total_return": -0.21380765565725757, "traded_notional_by_category": { "entry": 868417.0269994643, "exit": 1629152.0708845016, "resize": 537634.4937034696 }, "transaction_cost": 1517.6017957937177, "transaction_cost_over_anchor_nav": 0.0010729318243931812, "two_sided_turnover": 2.399033263538977 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4036689919367016, "annualized_volatility": 0.08480729628261983, "cagr": 0.05396038669996894, "end_nav": 1172030.202353044, "end_session": "2009-12-31", "fee_by_category": { "entry": 534.3841721342116, "exit": 183.9053172904791, "resize": 32.578114779033584 }, "max_cash_weight": 1.0, "max_drawdown": -0.07066206949258236, "mean_cash_weight": 0.6657888390168902, "nonzero_trade_event_count": 7, "order_count": 13, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1112024.9082821421, "start_session": "2008-12-31", "total_return": 0.05396038669996894, "traded_notional_by_category": { "entry": 1068768.344268423, "exit": 367810.6345809582, "resize": 65156.22955806716 }, "transaction_cost": 750.8676042037242, "transaction_cost_over_anchor_nav": 0.0006752255265249999, "two_sided_turnover": 1.4036689919367016 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2283632835684317, "annualized_volatility": 0.17340252249446345, "cagr": 0.13959827622705356, "end_nav": 1335643.5982875735, "end_session": "2010-12-31", "fee_by_category": { "entry": 621.7848805751207, "exit": 622.5221673684553, "resize": 137.08312698807407 }, "max_cash_weight": 0.0, "max_drawdown": -0.1527668937183665, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1172030.202353044, "start_session": "2009-12-31", "total_return": 0.13959827622705356, "traded_notional_by_category": { "entry": 1243569.7611502414, "exit": 1245044.3347369104, "resize": 274166.25397614815 }, "transaction_cost": 1381.39017493165, "transaction_cost_over_anchor_nav": 0.0011786301856029661, "two_sided_turnover": 2.2283632835684317 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 3.478458107560761, "annualized_volatility": 0.23022985803173387, "cagr": -0.09350444062408769, "end_nav": 1210754.9907565503, "end_session": "2011-12-30", "fee_by_category": { "entry": 1012.0759087203548, "exit": 1014.840351578373, "resize": 95.10650024861103 }, "max_cash_weight": 0.0, "max_drawdown": -0.23568180767156133, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1335643.5982875735, "start_session": "2010-12-31", "total_return": -0.09350444062408769, "traded_notional_by_category": { "entry": 2024151.8174407096, "exit": 2029680.7031567458, "resize": 190213.00049722206 }, "transaction_cost": 2122.022760547339, "transaction_cost_over_anchor_nav": 0.0015887642206858035, "two_sided_turnover": 3.478458107560761 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.145225764042223, "annualized_volatility": 0.11251962609229112, "cagr": 0.06401040252576062, "end_nav": 1288255.9050749508, "end_session": "2012-12-31", "fee_by_category": { "entry": 640.863021922191, "exit": 643.4189488101686, "resize": 88.81061623837002 }, "max_cash_weight": 0.0, "max_drawdown": -0.07698712418864984, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1210754.9907565503, "start_session": "2011-12-30", "total_return": 0.06401040252576062, "traded_notional_by_category": { "entry": 1281726.043844382, "exit": 1286837.897620337, "resize": 177621.23247674003 }, "transaction_cost": 1373.0925869707296, "transaction_cost_over_anchor_nav": 0.0011340796424161269, "two_sided_turnover": 2.145225764042223 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1327543631506836, "annualized_volatility": 0.11079733587062197, "cagr": 0.28630915735251583, "end_nav": 1657095.3677113624, "end_session": "2013-12-31", "fee_by_category": { "entry": 736.3139084095517, "exit": 730.4202090738802, "resize": 102.64341851847068 }, "max_cash_weight": 0.0, "max_drawdown": -0.07011686328854105, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1288255.9050749508, "start_session": "2012-12-31", "total_return": 0.28630915735251583, "traded_notional_by_category": { "entry": 1472627.8168191034, "exit": 1460840.4181477604, "resize": 205286.83703694138 }, "transaction_cost": 1569.3775360019026, "transaction_cost_over_anchor_nav": 0.0012182187792188666, "two_sided_turnover": 2.1327543631506836 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4660227399597214, "annualized_volatility": 0.12643830726027838, "cagr": 0.12628979955871555, "end_nav": 1866369.6095493063, "end_session": "2014-12-31", "fee_by_category": { "entry": 581.0356008903461, "exit": 572.795887488986, "resize": 123.49535545187743 }, "max_cash_weight": 1.4583264292838854e-16, "max_drawdown": -0.08254662520144695, "mean_cash_weight": 8.991839910886568e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1657095.3677113624, "start_session": "2013-12-31", "total_return": 0.12628979955871555, "traded_notional_by_category": { "entry": 1162071.2017806922, "exit": 1145591.7749779718, "resize": 246990.71090375487 }, "transaction_cost": 1277.3268438312093, "transaction_cost_over_anchor_nav": 0.0007708227714107627, "two_sided_turnover": 1.4660227399597214 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.457437082791755, "annualized_volatility": 0.15163933963716397, "cagr": 0.06593084241299385, "end_nav": 1989420.9301609024, "end_session": "2015-12-31", "fee_by_category": { "entry": 638.6145124789374, "exit": 629.0259117452175, "resize": 129.48300867077103 }, "max_cash_weight": 1.2866219638249092e-16, "max_drawdown": -0.10813738854458854, "mean_cash_weight": 4.9881156638107126e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1866369.6095493063, "start_session": "2014-12-31", "total_return": 0.06593084241299385, "traded_notional_by_category": { "entry": 1277229.0249578748, "exit": 1258051.823490435, "resize": 258966.01734154206 }, "transaction_cost": 1397.123432894926, "transaction_cost_over_anchor_nav": 0.0007485781089375461, "two_sided_turnover": 1.457437082791755 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8914602502794042, "annualized_volatility": 0.11681892116515227, "cagr": 0.0895407504709278, "end_nav": 2167555.173250081, "end_session": "2016-12-30", "fee_by_category": { "entry": 1352.4361070676955, "exit": 1347.7239514302755, "resize": 234.99042391102128 }, "max_cash_weight": 1.2835950292745022e-16, "max_drawdown": -0.08822972515730276, "mean_cash_weight": 4.743123741894438e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1989420.9301609024, "start_session": "2015-12-31", "total_return": 0.0895407504709278, "traded_notional_by_category": { "entry": 2704872.2141353907, "exit": 2695447.902860551, "resize": 469980.84782204253 }, "transaction_cost": 2935.150482408992, "transaction_cost_over_anchor_nav": 0.0014753793115927457, "two_sided_turnover": 2.8914602502794042 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.852293679792915, "annualized_volatility": 0.08678664924775227, "cagr": 0.28158678289229244, "end_nav": 2777910.0612271167, "end_session": "2017-12-29", "fee_by_category": { "entry": 387.2249530097466, "exit": 386.5284038859514, "resize": 228.30101518413304 }, "max_cash_weight": 0.0, "max_drawdown": -0.03309997499344841, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2167555.173250081, "start_session": "2016-12-30", "total_return": 0.28158678289229244, "traded_notional_by_category": { "entry": 774449.9060194932, "exit": 773056.8077719028, "resize": 456602.03036826605 }, "transaction_cost": 1002.0543720798311, "transaction_cost_over_anchor_nav": 0.00046229705450926453, "two_sided_turnover": 0.852293679792915 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4968411265308434, "annualized_volatility": 0.19451342972237806, "cagr": -0.04110313493859086, "end_nav": 2663729.2491332293, "end_session": "2018-12-31", "fee_by_category": { "entry": 979.9153114448774, "exit": 975.3183214953312, "resize": 243.6696506231315 }, "max_cash_weight": 0.0, "max_drawdown": -0.20839194901057057, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2777910.0612271167, "start_session": "2017-12-29", "total_return": -0.04110313493859086, "traded_notional_by_category": { "entry": 1959830.6228897546, "exit": 1950636.6429906627, "resize": 487339.30124626297 }, "transaction_cost": 2198.90328356334, "transaction_cost_over_anchor_nav": 0.0007915674860229256, "two_sided_turnover": 1.4968411265308434 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.19082803168435, "annualized_volatility": 0.11224596138300083, "cagr": 0.3026397628062032, "end_nav": 3469879.6372708557, "end_session": "2019-12-31", "fee_by_category": { "entry": 1563.8550089309658, "exit": 1569.0420553262938, "resize": 292.80137855841764 }, "max_cash_weight": 1.454141383590212e-16, "max_drawdown": -0.038876372448138685, "mean_cash_weight": 2.416632742308674e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2663729.2491332293, "start_session": "2018-12-31", "total_return": 0.3026397628062032, "traded_notional_by_category": { "entry": 3127710.0178619316, "exit": 3138084.110652588, "resize": 585602.7571168353 }, "transaction_cost": 3425.6984428156775, "transaction_cost_over_anchor_nav": 0.0012860535446424935, "two_sided_turnover": 2.19082803168435 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5976764499824254, "annualized_volatility": 0.3321177536714913, "cagr": 0.1880242451112426, "end_nav": 4122301.1366955806, "end_session": "2020-12-31", "fee_by_category": { "entry": 1263.6051301482207, "exit": 1286.5313551417362, "resize": 442.8338314159931 }, "max_cash_weight": 1.3495831761752813e-16, "max_drawdown": -0.3026753160366754, "mean_cash_weight": 4.069659965894546e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3469879.6372708557, "start_session": "2019-12-31", "total_return": 0.1880242451112426, "traded_notional_by_category": { "entry": 2527210.2602964416, "exit": 2573062.710283472, "resize": 885667.6628319861 }, "transaction_cost": 2992.9703167059497, "transaction_cost_over_anchor_nav": 0.0008625573880308982, "two_sided_turnover": 1.5976764499824254 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8514185047563485, "annualized_volatility": 0.15021385650905147, "cagr": 0.2279082147535143, "end_nav": 5061807.429436253, "end_session": "2021-12-31", "fee_by_category": { "entry": 2957.284222578377, "exit": 2936.809232890697, "resize": 451.8356179239083 }, "max_cash_weight": 0.0, "max_drawdown": -0.07583729211642054, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4122301.1366955806, "start_session": "2020-12-31", "total_return": 0.2279082147535143, "traded_notional_by_category": { "entry": 5914568.445156754, "exit": 5873618.4657813925, "resize": 903671.2358478166 }, "transaction_cost": 6345.929073392982, "transaction_cost_over_anchor_nav": 0.0015394142404841031, "two_sided_turnover": 2.8514185047563485 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4117466533906646, "annualized_volatility": 0.20795198150711505, "cagr": 0.014120938258163962, "end_nav": 5133284.899622038, "end_session": "2022-12-30", "fee_by_category": { "entry": 2382.1103156457825, "exit": 2386.2356868076663, "resize": 1007.581008824081 }, "max_cash_weight": 0.0, "max_drawdown": -0.12284600293282055, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 5061807.429436253, "start_session": "2021-12-31", "total_return": 0.014120938258163962, "traded_notional_by_category": { "entry": 4764220.631291565, "exit": 4772471.373615332, "resize": 2015162.0176481619 }, "transaction_cost": 5775.927011277529, "transaction_cost_over_anchor_nav": 0.0011410799584528663, "two_sided_turnover": 2.4117466533906646 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.225492043490677, "annualized_volatility": 0.1403153880323703, "cagr": 0.08621470966964218, "end_nav": 5575849.56689451, "end_session": "2023-12-29", "fee_by_category": { "entry": 2553.238968194585, "exit": 2539.386545571953, "resize": 597.6668636663101 }, "max_cash_weight": 0.0, "max_drawdown": -0.098588481262611, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5133284.899622038, "start_session": "2022-12-30", "total_return": 0.08621470966964218, "traded_notional_by_category": { "entry": 5106477.93638917, "exit": 5078773.091143906, "resize": 1195333.7273326202 }, "transaction_cost": 5690.292377432848, "transaction_cost_over_anchor_nav": 0.0011085089740200905, "two_sided_turnover": 2.225492043490677 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.270941854309106, "annualized_volatility": 0.1291113148555247, "cagr": 0.19211084659403954, "end_nav": 6647030.747671623, "end_session": "2024-12-31", "fee_by_category": { "entry": 3270.362407390453, "exit": 3349.187425330027, "resize": 780.1949138711304 }, "max_cash_weight": 1.4824856871089062e-16, "max_drawdown": -0.09096120740361313, "mean_cash_weight": 2.2091484505124387e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 5575849.56689451, "start_session": "2023-12-29", "total_return": 0.19211084659403954, "traded_notional_by_category": { "entry": 6540724.814780906, "exit": 6698374.850660054, "resize": 1560389.8277422609 }, "transaction_cost": 7399.744746591611, "transaction_cost_over_anchor_nav": 0.0013271062387561735, "two_sided_turnover": 2.270941854309106 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5467945678973252, "annualized_volatility": 0.14334322841471567, "cagr": 0.13045601510510996, "end_nav": 7514175.891294002, "end_session": "2025-12-31", "fee_by_category": { "entry": 2445.782013546095, "exit": 2454.667496455645, "resize": 758.9983308657403 }, "max_cash_weight": 1.4269341546725985e-16, "max_drawdown": -0.10114344707691014, "mean_cash_weight": 9.896648707311088e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6647030.747671623, "start_session": "2024-12-31", "total_return": 0.13045601510510996, "traded_notional_by_category": { "entry": 4891564.02709219, "exit": 4909334.99291129, "resize": 1517996.6617314806 }, "transaction_cost": 5659.44784086748, "transaction_cost_over_anchor_nav": 0.0008514249528407731, "two_sided_turnover": 1.5467945678973252 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.159181895513939, "annualized_volatility": 0.16467456504384934, "cagr": 0.08946030013373218, "end_nav": 7514175.891294002, "end_session": "2025-12-31", "fee_by_category": { "entry": 28264.13479161889, "exit": 28322.573936017823, "resize": 6841.345364906636 }, "max_cash_weight": 1.0, "max_drawdown": -0.3026753160366754, "mean_cash_weight": 0.06702001815419047, "nonzero_trade_event_count": 290, "order_count": 913, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 882259.0595019509, "start_session": "2000-12-29", "total_return": 7.5169722094277756, "traded_notional_by_category": { "entry": 56528269.58323778, "exit": 56645147.872035645, "resize": 13682690.729813272 }, "transaction_cost": 63428.05409254335, "transaction_cost_over_anchor_nav": 0.07189277730777793, "two_sided_turnover": 53.97954738784847 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7456927.2531299805, "end_session": "2026-10-02", "fee_by_category": { "entry": 4884.494745499591, "exit": 4930.218356489506, "resize": 1070.3550587984516 }, "max_cash_weight": 1.2810619217703196e-16, "max_drawdown": -0.09982899338967044, "mean_cash_weight": 4.185193765350162e-17, "nonzero_trade_event_count": 10, "order_count": 34, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 7514175.891294002, "start_session": "2025-12-31", "total_return": -0.007618751409632307, "traded_notional_by_category": { "entry": 9768989.49099918, "exit": 9860436.712979011, "resize": 2140710.1175969034 }, "transaction_cost": 10885.068160787549, "transaction_cost_over_anchor_nav": 0.0014486043869959308, "two_sided_turnover": 2.9614729595774754 } }, "monthly_risk": { "beta_intercept_per_month": 0.0018062842464700345, "beta_to_SPY_excess_returns": 0.713145646251662, "monthly_return_volatility_annualized": 0.13275374722668543, "months": 300, "sharpe_monthly_annualized": 0.5851231421597287, "tracking_error_monthly_annualized": 0.08933240541992024 }, "phase": [ 3, 9 ], "policy": "B", "run_id": "BMIX-03-09-5bps", "signal": "mixed" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5837074684099353, "annualized_volatility": 0.14668040859935752, "cagr": -0.09157421068060845, "end_nav": 887213.8963853581, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6775243318261914, "max_drawdown": -0.14587391490139023, "mean_cash_weight": 0.1101521812114494, "nonzero_trade_event_count": 12, "order_count": 35, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 976649.8340498173, "start_session": "2000-12-29", "total_return": -0.09157421068060845, "traded_notional_by_category": { "entry": 320330.4378171001, "exit": 914881.5074255075, "resize": 230255.26262186014 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5837074684099353 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 2.143755779871061, "annualized_volatility": 0.21721654344230032, "cagr": -0.14747218985234922, "end_nav": 756374.5202179741, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6793675225538247, "max_drawdown": -0.25662163285131234, "mean_cash_weight": 0.3255601691418747, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 887213.8963853581, "start_session": "2001-12-31", "total_return": -0.14747218985234922, "traded_notional_by_category": { "entry": 885556.5754580654, "exit": 794476.4640916211, "resize": 119762.75057790906 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.143755779871061 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3723239111859156, "annualized_volatility": 0.055687640011641566, "cagr": 0.12429049853564322, "end_nav": 850384.686415524, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.03451165130083533, "mean_cash_weight": 0.7288435484396919, "nonzero_trade_event_count": 7, "order_count": 11, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 756374.5202179741, "start_session": "2002-12-31", "total_return": 0.12429049853564322, "traded_notional_by_category": { "entry": 767821.9433050475, "exit": 260968.99926758735, "resize": 24779.43061640297 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3723239111859156 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 1.568108391856766, "annualized_volatility": 0.11210741441478426, "cagr": 0.17313736637942512, "end_nav": 997618.0514309012, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3867863437757109e-16, "max_drawdown": -0.0711177180878867, "mean_cash_weight": 8.566283105099244e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 850384.686415524, "start_session": "2003-12-31", "total_return": 0.17313736637942512, "traded_notional_by_category": { "entry": 600977.9288801085, "exit": 587796.919315509, "resize": 222577.6336248975 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.568108391856766 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6700961609974143, "annualized_volatility": 0.14812033369489994, "cagr": 0.18320123404726796, "end_nav": 1180382.9095608732, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.2698820638040274e-16, "max_drawdown": -0.10412213278527438, "mean_cash_weight": 1.8320785405432038e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 997618.0514309012, "start_session": "2004-12-31", "total_return": 0.18320123404726796, "traded_notional_by_category": { "entry": 733373.99641766, "exit": 754441.6662177984, "resize": 349145.08960495 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6700961609974143 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.5395040942898475, "annualized_volatility": 0.1252733586982376, "cagr": 0.09507517754794281, "end_nav": 1292608.0242619305, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.10685134814714736, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1180382.9095608732, "start_session": "2005-12-30", "total_return": 0.09507517754794281, "traded_notional_by_category": { "entry": 2076278.4460960438, "exit": 2080355.7412368762, "resize": 246845.05728504976 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.5395040942898475 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.480681306343467, "annualized_volatility": 0.16262238332228243, "cagr": 0.11394139530333103, "end_nav": 1439889.5861266167, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.800930145350641e-16, "max_drawdown": -0.08905434602291418, "mean_cash_weight": 5.736508247090431e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1292608.0242619305, "start_session": "2006-12-29", "total_return": 0.11394139530333103, "traded_notional_by_category": { "entry": 2356395.395953656, "exit": 2363473.401392044, "resize": 192786.223332726 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.480681306343467 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.39990035627242, "annualized_volatility": 0.33923027756580504, "cagr": -0.31310659891456816, "end_nav": 989050.6550020066, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6914204219896662, "max_drawdown": -0.440902080198989, "mean_cash_weight": 0.10880084787592503, "nonzero_trade_event_count": 12, "order_count": 36, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1439889.5861266167, "start_session": "2007-12-31", "total_return": -0.31310659891456816, "traded_notional_by_category": { "entry": 933054.7116987031, "exit": 1554796.6522800627, "resize": 572664.1816342813 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.39990035627242 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4154632082716674, "annualized_volatility": 0.06443915131862821, "cagr": 0.06374731553470547, "end_nav": 1052099.9791862266, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.07064448886873698, "mean_cash_weight": 0.7246720637318742, "nonzero_trade_event_count": 7, "order_count": 11, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 989050.6550020066, "start_session": "2008-12-31", "total_return": 0.06374731553470547, "traded_notional_by_category": { "entry": 967551.8405270115, "exit": 333393.8586905072, "resize": 68979.18569315365 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4154632082716674 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2170852855377303, "annualized_volatility": 0.1691763251450839, "cagr": 0.08284913132721328, "end_nav": 1139265.5485311847, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.3664100247483036e-16, "max_drawdown": -0.15603866238923014, "mean_cash_weight": 5.57804746450213e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1052099.9791862266, "start_session": "2009-12-31", "total_return": 0.08284913132721328, "traded_notional_by_category": { "entry": 1088669.247018918, "exit": 1083849.7131703098, "resize": 229037.9222923678 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2170852855377303 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.5783592241927566, "annualized_volatility": 0.21203681929642787, "cagr": 0.0032234614682915552, "end_nav": 1142937.927129027, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3379036219494392, "max_drawdown": -0.20751326785188096, "mean_cash_weight": 0.0552511685992455, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1139265.5485311847, "start_session": "2010-12-31", "total_return": 0.0032234614682915552, "traded_notional_by_category": { "entry": 1187056.1531681523, "exit": 1569403.988679685, "resize": 256174.2546517399 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.5783592241927566 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7830221488369753, "annualized_volatility": 0.1038670782137255, "cagr": 0.04855921961688359, "end_nav": 1198438.1009409511, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3409430880321493, "max_drawdown": -0.07358565638736791, "mean_cash_weight": 0.10943874355010647, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1142937.927129027, "start_session": "2011-12-30", "total_return": 0.04855921961688359, "traded_notional_by_category": { "entry": 1172496.3875057679, "exit": 774961.945191124, "resize": 143463.39551581338 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.7830221488369753 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.114496366259636, "annualized_volatility": 0.11078166188616259, "cagr": 0.3004888860117374, "end_nav": 1558555.4308467195, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6751232367678524e-16, "max_drawdown": -0.07009664224555467, "mean_cash_weight": 1.481634331644811e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1198438.1009409511, "start_session": "2012-12-31", "total_return": 0.3004888860117374, "traded_notional_by_category": { "entry": 1446730.2879361643, "exit": 1449649.8304928257, "resize": 153703.42858131166 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.114496366259636 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4672801594883296, "annualized_volatility": 0.12623785674065188, "cagr": 0.1567612357091568, "end_nav": 1802876.5061074686, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4914751819330211e-16, "max_drawdown": -0.07460910048399183, "mean_cash_weight": 5.814885795521548e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1558555.4308467195, "start_session": "2013-12-31", "total_return": 0.1567612357091568, "traded_notional_by_category": { "entry": 1109466.3149465786, "exit": 1107084.7882230773, "resize": 219186.8466408261 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4672801594883296 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.836495402807796, "annualized_volatility": 0.1446082583854215, "cagr": 0.06549216149070625, "end_nav": 1920950.785393259, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.34306679765823045, "max_drawdown": -0.10813738854458843, "mean_cash_weight": 0.05577167034861781, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1802876.5061074686, "start_session": "2014-12-31", "total_return": 0.06549216149070625, "traded_notional_by_category": { "entry": 1236069.464152045, "exit": 1892036.621494975, "resize": 299314.34049952705 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.836495402807796 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9027192342888124, "annualized_volatility": 0.10074645990873962, "cagr": 0.1289317833354502, "end_nav": 2168622.3958536456, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.34539484923293434, "max_drawdown": -0.04922600540866795, "mean_cash_weight": 0.10851798729838559, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1920950.785393259, "start_session": "2015-12-31", "total_return": 0.1289317833354502, "traded_notional_by_category": { "entry": 2005082.0745480692, "exit": 1353341.6875335602, "resize": 480824.89809164766 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.9027192342888124 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.166830492648452, "annualized_volatility": 0.07750701363430804, "cagr": 0.28374779945709316, "end_nav": 2783964.2285304866, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0230765617127664e-16, "max_drawdown": -0.02626776674280984, "mean_cash_weight": 6.524127613229142e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2168622.3958536456, "start_session": "2016-12-30", "total_return": 0.28374779945709316, "traded_notional_by_category": { "entry": 2582096.853413032, "exit": 2598930.112135501, "resize": 393561.7420669808 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.166830492648452 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.840495128405209, "annualized_volatility": 0.18800356206777846, "cagr": -0.07422320279719452, "end_nav": 2577329.487016133, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.655327642956924e-16, "max_drawdown": -0.2029050054199455, "mean_cash_weight": 1.3368278599657447e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2783964.2285304866, "start_session": "2017-12-29", "total_return": -0.07422320279719452, "traded_notional_by_category": { "entry": 3602154.36455472, "exit": 3631027.7488538125, "resize": 463892.3992162759 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.840495128405209 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 1.542596786156766, "annualized_volatility": 0.11706407850778536, "cagr": 0.3413098781365944, "end_nav": 3456997.500147461, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5100723605954843e-16, "max_drawdown": -0.04840162199094922, "mean_cash_weight": 1.2931119222141218e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2577329.487016133, "start_session": "2018-12-31", "total_return": 0.3413098781365944, "traded_notional_by_category": { "entry": 2023665.201455962, "exit": 1986950.575458981, "resize": 674264.123497899 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.542596786156766 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0877068674718573, "annualized_volatility": 0.3048933716538365, "cagr": 0.04063228100305971, "end_nav": 3597463.1940003275, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.30266992317089536, "mean_cash_weight": 0.5059288537549408, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3456997.500147461, "start_session": "2019-12-31", "total_return": 0.04063228100305971, "traded_notional_by_category": { "entry": 3216873.704650892, "exit": 3216873.7046508915, "resize": 290124.7563984769 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0877068674718573 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4714823653068283, "annualized_volatility": 0.1547488389448403, "cagr": 0.1392408120790265, "end_nav": 4098376.8905573413, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3472172699403298e-16, "max_drawdown": -0.07628529124925987, "mean_cash_weight": 6.117494764449642e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3597463.1940003275, "start_session": "2020-12-31", "total_return": 0.1392408120790265, "traded_notional_by_category": { "entry": 6629401.872355019, "exit": 6621429.523970431, "resize": 530167.5332868893 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.4714823653068283 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7247427854549244, "annualized_volatility": 0.19268991219590662, "cagr": 0.11781638932017535, "end_nav": 4581232.857876055, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6894765046261286, "max_drawdown": -0.14329918164342614, "mean_cash_weight": 0.1126551749975616, "nonzero_trade_event_count": 12, "order_count": 35, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4098376.8905573413, "start_session": "2021-12-31", "total_return": 0.11781638932017535, "traded_notional_by_category": { "entry": 1429506.9762112317, "exit": 4289070.604078988, "resize": 1931105.1732488985 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.7247427854549244 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6040272632110568, "annualized_volatility": 0.11922347916300122, "cagr": 0.14872568971015765, "end_nav": 5262579.874386508, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6851814409499873, "max_drawdown": -0.08404607808540787, "mean_cash_weight": 0.2167183006397747, "nonzero_trade_event_count": 12, "order_count": 29, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4581232.857876055, "start_session": "2022-12-30", "total_return": 0.14872568971015765, "traded_notional_by_category": { "entry": 4608363.119744559, "exit": 1579354.8942747228, "resize": 1296816.4369639927 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6040272632110568 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.275649418791046, "annualized_volatility": 0.1396436178820192, "cagr": 0.18341730739052098, "end_nav": 6227828.104874027, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.0909435254655846, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 5262579.874386508, "start_session": "2023-12-29", "total_return": 0.18341730739052098, "traded_notional_by_category": { "entry": 5743649.149944264, "exit": 5754504.535001708, "resize": 1589183.4106125184 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.275649418791046 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8501007352242116, "annualized_volatility": 0.16155531482803967, "cagr": 0.05850826458533298, "end_nav": 6592207.51942597, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4626483200626056e-16, "max_drawdown": -0.13250867097669972, "mean_cash_weight": 4.727492820660503e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6227828.104874027, "start_session": "2024-12-31", "total_return": 0.05850826458533298, "traded_notional_by_category": { "entry": 8848359.499751635, "exit": 8868871.27448339, "resize": 1184224.7622979982 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8501007352242116 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.1454652136632353, "annualized_volatility": 0.16495909132922887, "cagr": 0.07937332158120602, "end_nav": 6592207.51942597, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.440902080198989, "mean_cash_weight": 0.126660004856044, "nonzero_trade_event_count": 285, "order_count": 859, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 976649.8340498173, "start_session": "2000-12-29", "total_return": 5.749816863317782, "traded_notional_by_category": { "entry": 57570981.94751041, "exit": 57421926.7576115, "resize": 12162840.238854393 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 53.63663034158088 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7180638.911037869, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3420337562320492e-16, "max_drawdown": -0.10686382619885504, "mean_cash_weight": 1.6064741201687902e-17, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 6592207.51942597, "start_session": "2025-12-31", "total_return": 0.0892616608136052, "traded_notional_by_category": { "entry": 4760739.431381352, "exit": 4855678.679194596, "resize": 1962586.2944665945 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6274301600018133 } }, "monthly_risk": { "beta_intercept_per_month": 0.0010743050155332182, "beta_to_SPY_excess_returns": 0.7087062272487119, "monthly_return_volatility_annualized": 0.13418004258090413, "months": 300, "sharpe_monthly_annualized": 0.5109336863122548, "tracking_error_monthly_annualized": 0.09254306965356275 }, "phase": [ 4, 10 ], "policy": "B", "run_id": "BMIX-04-10-0bps", "signal": "mixed" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5832605202134944, "annualized_volatility": 0.14659983504056454, "cagr": -0.09301176660964916, "end_nav": 882765.1386889904, "end_session": "2001-12-31", "fee_by_category": { "entry": 318.9721529449946, "exit": 911.1688664161179, "resize": 229.13563197987136 }, "max_cash_weight": 0.6775243318261913, "max_drawdown": -0.14594323935710485, "mean_cash_weight": 0.1101521812114494, "nonzero_trade_event_count": 12, "order_count": 35, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 973292.8236446753, "start_session": "2000-12-29", "total_return": -0.09301176660964916, "traded_notional_by_category": { "entry": 318972.1529449946, "exit": 911168.8664161179, "resize": 229135.63197987137 }, "transaction_cost": 1459.2766513409838, "transaction_cost_over_anchor_nav": 0.0014993192345510696, "two_sided_turnover": 1.5832605202134944 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1421954722058474, "annualized_volatility": 0.21718600258273496, "cagr": -0.1492974570117762, "end_nav": 750970.5483440761, "end_session": "2002-12-31", "fee_by_category": { "entry": 879.9367065036288, "exit": 789.7542169886028, "resize": 118.82916647077154 }, "max_cash_weight": 0.6793675225538246, "max_drawdown": -0.2566530193210166, "mean_cash_weight": 0.3255601691418747, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 882765.1386889904, "start_session": "2001-12-31", "total_return": -0.1492974570117762, "traded_notional_by_category": { "entry": 879936.7065036288, "exit": 789754.2169886028, "resize": 118829.16647077154 }, "transaction_cost": 1788.520089963003, "transaction_cost_over_anchor_nav": 0.0020260429547763574, "two_sided_turnover": 2.1421954722058474 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3713194624495797, "annualized_volatility": 0.05573572321345572, "cagr": 0.12274916809962022, "end_nav": 843151.5584206271, "end_session": "2003-12-31", "fee_by_category": { "entry": 761.2986973763732, "exit": 259.09867908161885, "resize": 24.58757537991114 }, "max_cash_weight": 1.0, "max_drawdown": -0.03451325876782951, "mean_cash_weight": 0.7288435484396919, "nonzero_trade_event_count": 7, "order_count": 11, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 750970.5483440761, "start_session": "2002-12-31", "total_return": 0.12274916809962022, "traded_notional_by_category": { "entry": 761298.6973763732, "exit": 259098.67908161887, "resize": 24587.57537991114 }, "transaction_cost": 1044.9849518379033, "transaction_cost_over_anchor_nav": 0.0013915125621665751, "two_sided_turnover": 1.3713194624495797 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5676649913613194, "annualized_volatility": 0.11203985751387126, "cagr": 0.17129918206574324, "end_nav": 987582.7307355372, "end_session": "2004-12-31", "fee_by_category": { "entry": 595.1680892199479, "exit": 582.5066675600549, "resize": 220.56712399300108 }, "max_cash_weight": 1.4099541655672062e-16, "max_drawdown": -0.07175401363678025, "mean_cash_weight": 6.70780177718123e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 843151.5584206271, "start_session": "2003-12-31", "total_return": 0.17129918206574324, "traded_notional_by_category": { "entry": 595168.0892199479, "exit": 582506.6675600549, "resize": 220567.12399300106 }, "transaction_cost": 1398.241880773004, "transaction_cost_over_anchor_nav": 0.0016583517717646868, "two_sided_turnover": 1.5676649913613194 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.66915944792121, "annualized_volatility": 0.14809017138642622, "cagr": 0.18122734176715505, "end_nav": 1166559.7238018867, "end_session": "2005-12-30", "fee_by_category": { "entry": 725.0850568026194, "exit": 746.4280430024462, "resize": 344.91847481567567 }, "max_cash_weight": 1.1610292559596806e-16, "max_drawdown": -0.10414026201304638, "mean_cash_weight": 9.3495290750277e-18, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 987582.7307355372, "start_session": "2004-12-31", "total_return": 0.18122734176715505, "traded_notional_by_category": { "entry": 725085.0568026194, "exit": 746428.0430024462, "resize": 344918.47481567564 }, "transaction_cost": 1816.4315746207412, "transaction_cost_over_anchor_nav": 0.0018392702890500014, "two_sided_turnover": 1.66915944792121 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.536141882188015, "annualized_volatility": 0.12538448968650034, "cagr": 0.0912065121486425, "end_nav": 1272957.5674229404, "end_session": "2006-12-29", "fee_by_category": { "entry": 2046.4406571337634, "exit": 2054.0088625022477, "resize": 243.14817716250406 }, "max_cash_weight": 0.0, "max_drawdown": -0.1068627454254889, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1166559.7238018867, "start_session": "2005-12-30", "total_return": 0.0912065121486425, "traded_notional_by_category": { "entry": 2046440.6571337632, "exit": 2054008.8625022476, "resize": 243148.17716250406 }, "transaction_cost": 4343.597696798515, "transaction_cost_over_anchor_nav": 0.0037234250490343307, "two_sided_turnover": 3.536141882188015 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4773453452927154, "annualized_volatility": 0.1628445662704679, "cagr": 0.11007134236215244, "end_nav": 1413073.7156392436, "end_session": "2007-12-31", "fee_by_category": { "entry": 2314.4126798011157, "exit": 2325.4318065288417, "resize": 188.99824644492958 }, "max_cash_weight": 0.0, "max_drawdown": -0.08906259210412515, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1272957.5674229404, "start_session": "2006-12-29", "total_return": 0.11007134236215244, "traded_notional_by_category": { "entry": 2314412.6798011158, "exit": 2325431.806528842, "resize": 188998.24644492957 }, "transaction_cost": 4828.842732774888, "transaction_cost_over_anchor_nav": 0.003793404317907247, "two_sided_turnover": 3.4773453452927154 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3996263825679423, "annualized_volatility": 0.3392314769871111, "cagr": -0.314753678931199, "end_nav": 968303.5650408127, "end_session": "2008-12-31", "fee_by_category": { "entry": 914.3070121255635, "exit": 1524.612376278349, "resize": 562.216786545121 }, "max_cash_weight": 0.6914204219896662, "max_drawdown": -0.44102859225577895, "mean_cash_weight": 0.10880084787592498, "nonzero_trade_event_count": 12, "order_count": 36, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1413073.7156392436, "start_session": "2007-12-31", "total_return": -0.314753678931199, "traded_notional_by_category": { "entry": 914307.0121255635, "exit": 1524612.3762783492, "resize": 562216.786545121 }, "transaction_cost": 3001.136174949034, "transaction_cost_over_anchor_nav": 0.002123835537901422, "two_sided_turnover": 2.3996263825679423 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4144510938279509, "annualized_volatility": 0.0643482272083183, "cagr": 0.06224316648139294, "end_nav": 1028573.8450441742, "end_session": "2009-12-31", "fee_by_category": { "entry": 945.9326431872123, "exit": 326.382838535464, "resize": 67.49429329726706 }, "max_cash_weight": 1.0, "max_drawdown": -0.07067964409207139, "mean_cash_weight": 0.7246720637318742, "nonzero_trade_event_count": 7, "order_count": 11, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 968303.5650408127, "start_session": "2008-12-31", "total_return": 0.06224316648139294, "traded_notional_by_category": { "entry": 945932.6431872123, "exit": 326382.83853546396, "resize": 67494.29329726705 }, "transaction_cost": 1339.8097750199433, "transaction_cost_over_anchor_nav": 0.0013836670889087062, "two_sided_turnover": 1.4144510938279509 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2164244649680254, "annualized_volatility": 0.16908091561341806, "cagr": 0.08045053128101043, "end_nav": 1111323.1573397298, "end_session": "2010-12-31", "fee_by_category": { "entry": 1062.5342152305825, "exit": 1059.0073070977126, "resize": 224.1758639998999 }, "max_cash_weight": 0.0, "max_drawdown": -0.15720105456246125, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1028573.8450441742, "start_session": "2009-12-31", "total_return": 0.08045053128101043, "traded_notional_by_category": { "entry": 1062534.2152305823, "exit": 1059007.3070977125, "resize": 224175.86399989988 }, "transaction_cost": 2345.7173863281946, "transaction_cost_over_anchor_nav": 0.0022805532122270257, "two_sided_turnover": 2.2164244649680254 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.577190082901216, "annualized_volatility": 0.21224067089516654, "cagr": 0.0006398580087394468, "end_nav": 1112034.2463622512, "end_session": "2011-12-30", "fee_by_category": { "entry": 1155.9275059235333, "exit": 1529.7588025465784, "resize": 249.72377884325468 }, "max_cash_weight": 0.3379036219494392, "max_drawdown": -0.20869404385142376, "mean_cash_weight": 0.05525116859924546, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1111323.1573397298, "start_session": "2010-12-31", "total_return": 0.0006398580087394468, "traded_notional_by_category": { "entry": 1155927.5059235333, "exit": 1529758.8025465785, "resize": 249723.77884325467 }, "transaction_cost": 2935.4100873133666, "transaction_cost_over_anchor_nav": 0.0026413649962447566, "two_sided_turnover": 2.577190082901216 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7822393803708634, "annualized_volatility": 0.1037872850203047, "cagr": 0.046691338438021646, "end_nav": 1163956.6137138214, "end_session": "2012-12-31", "fee_by_category": { "entry": 1139.328795607953, "exit": 753.5850869209287, "resize": 139.59829983295367 }, "max_cash_weight": 0.34094308803214923, "max_drawdown": -0.0737069732316803, "mean_cash_weight": 0.10943874355010644, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1112034.2463622512, "start_session": "2011-12-30", "total_return": 0.046691338438021646, "traded_notional_by_category": { "entry": 1139328.7956079529, "exit": 753585.0869209287, "resize": 139598.29983295366 }, "transaction_cost": 2032.5121823618354, "transaction_cost_over_anchor_nav": 0.001827742436000243, "two_sided_turnover": 1.7822393803708634 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1129416112758057, "annualized_volatility": 0.11080735319209767, "cagr": 0.2977424805527349, "end_nav": 1510515.943136736, "end_session": "2013-12-31", "fee_by_category": { "entry": 1402.785339097663, "exit": 1407.1917360730522, "resize": 148.55785595708906 }, "max_cash_weight": 0.0, "max_drawdown": -0.07013709107412236, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1163956.6137138214, "start_session": "2012-12-31", "total_return": 0.2977424805527349, "traded_notional_by_category": { "entry": 1402785.3390976628, "exit": 1407191.736073052, "resize": 148557.85595708905 }, "transaction_cost": 2958.534931127804, "transaction_cost_over_anchor_nav": 0.002541791417540938, "two_sided_turnover": 2.1129416112758057 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4668264120411203, "annualized_volatility": 0.12623654362756126, "cagr": 0.15506518662711377, "end_nav": 1744744.3797624647, "end_session": "2014-12-31", "fee_by_category": { "entry": 1074.0724904232104, "exit": 1072.4863673916818, "resize": 212.32460134186496 }, "max_cash_weight": 1.4941622658778187e-16, "max_drawdown": -0.0746169726332474, "mean_cash_weight": 2.4698825035594345e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1510515.943136736, "start_session": "2013-12-31", "total_return": 0.15506518662711377, "traded_notional_by_category": { "entry": 1074072.4904232104, "exit": 1072486.3673916818, "resize": 212324.60134186497 }, "transaction_cost": 2358.883459156757, "transaction_cost_over_anchor_nav": 0.0015616408882506078, "two_sided_turnover": 1.4668264120411203 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8351500520422173, "annualized_volatility": 0.14447962560504934, "cagr": 0.06353759142353788, "end_nav": 1855601.2353023263, "end_session": "2015-12-31", "fee_by_category": { "entry": 1194.517303400808, "exit": 1830.0102058231128, "resize": 288.6343312860034 }, "max_cash_weight": 0.34306679765823045, "max_drawdown": -0.10813738854458854, "mean_cash_weight": 0.05577167034861779, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1744744.3797624647, "start_session": "2014-12-31", "total_return": 0.06353759142353788, "traded_notional_by_category": { "entry": 1194517.303400808, "exit": 1830010.2058231127, "resize": 288634.33128600335 }, "transaction_cost": 3313.161840509924, "transaction_cost_over_anchor_nav": 0.0018989382507487939, "two_sided_turnover": 1.8351500520422173 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9014888810837007, "annualized_volatility": 0.1007569034552155, "cagr": 0.1267863470813111, "end_nav": 2090866.1375658768, "end_session": "2016-12-30", "fee_by_category": { "entry": 1934.2901102412998, "exit": 1306.4780504232228, "resize": 463.34273408570664 }, "max_cash_weight": 0.34539484923293434, "max_drawdown": -0.049264835389937645, "mean_cash_weight": 0.10851798729838555, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1855601.2353023263, "start_session": "2015-12-31", "total_return": 0.1267863470813111, "traded_notional_by_category": { "entry": 1934290.1102412995, "exit": 1306478.0504232228, "resize": 463342.73408570664 }, "transaction_cost": 3704.1108947502294, "transaction_cost_over_anchor_nav": 0.001996178286735583, "two_sided_turnover": 1.9014888810837007 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1657025614509005, "annualized_volatility": 0.07746957373752197, "cagr": 0.280969138290875, "end_nav": 2678334.9945193315, "end_session": "2017-12-29", "fee_by_category": { "entry": 2485.254519847986, "exit": 2504.3034416883243, "resize": 379.0499683264274 }, "max_cash_weight": 0.0, "max_drawdown": -0.02626776674280984, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2090866.1375658768, "start_session": "2016-12-30", "total_return": 0.280969138290875, "traded_notional_by_category": { "entry": 2485254.519847986, "exit": 2504303.4416883243, "resize": 379049.9683264274 }, "transaction_cost": 5368.607929862737, "transaction_cost_over_anchor_nav": 0.002567647843832178, "two_sided_turnover": 2.1657025614509005 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8378144612844225, "annualized_volatility": 0.18790768488872386, "cagr": -0.07684872569813772, "end_nav": 2472508.3631977923, "end_session": "2018-12-31", "fee_by_category": { "entry": 3457.7525995071346, "exit": 3491.2381155739863, "resize": 444.3102429396301 }, "max_cash_weight": 0.0, "max_drawdown": -0.20348069826734083, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2678334.9945193315, "start_session": "2017-12-29", "total_return": -0.07684872569813772, "traded_notional_by_category": { "entry": 3457752.5995071344, "exit": 3491238.1155739864, "resize": 444310.24293963006 }, "transaction_cost": 7393.300958020751, "transaction_cost_over_anchor_nav": 0.002760409348774384, "two_sided_turnover": 2.8378144612844225 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5421545775079226, "annualized_volatility": 0.1171586673136301, "cagr": 0.33924177115585263, "end_nav": 3311286.4795266697, "end_session": "2019-12-31", "fee_by_category": { "entry": 1938.6563067364116, "exit": 1906.0244855182689, "resize": 647.4780154649142 }, "max_cash_weight": 1.4883717282294468e-16, "max_drawdown": -0.04841041051488659, "mean_cash_weight": 1.1670490350092176e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2472508.3631977923, "start_session": "2018-12-31", "total_return": 0.33924177115585263, "traded_notional_by_category": { "entry": 1938656.3067364115, "exit": 1906024.4855182688, "resize": 647478.0154649141 }, "transaction_cost": 4492.158807719595, "transaction_cost_over_anchor_nav": 0.0018168427151080326, "two_sided_turnover": 1.5421545775079226 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.086689524421957, "annualized_volatility": 0.30495167178762367, "cagr": 0.038462029526223684, "end_nav": 3438645.27787201, "end_session": "2020-12-31", "fee_by_category": { "entry": 3074.907964559137, "exit": 3081.063936460156, "resize": 277.72117414748135 }, "max_cash_weight": 1.0, "max_drawdown": -0.3026807071054324, "mean_cash_weight": 0.5059288537549407, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3311286.4795266697, "start_session": "2019-12-31", "total_return": 0.038462029526223684, "traded_notional_by_category": { "entry": 3074907.964559137, "exit": 3081063.936460156, "resize": 277721.17414748133 }, "transaction_cost": 6433.693075166774, "transaction_cost_over_anchor_nav": 0.0019429587608760554, "two_sided_turnover": 2.086689524421957 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4690252633898395, "annualized_volatility": 0.15466664491374982, "cagr": 0.13529232417641412, "end_nav": 3903867.5895335656, "end_session": "2021-12-31", "fee_by_category": { "entry": 6319.988890087481, "exit": 6323.29572810902, "resize": 507.8490554823766 }, "max_cash_weight": 1.4095098873642952e-16, "max_drawdown": -0.07629600383323087, "mean_cash_weight": 5.339430756179822e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3438645.27787201, "start_session": "2020-12-31", "total_return": 0.13529232417641412, "traded_notional_by_category": { "entry": 6319988.890087482, "exit": 6323295.72810902, "resize": 507849.0554823766 }, "transaction_cost": 13151.133673678878, "transaction_cost_over_anchor_nav": 0.0038245101227240854, "two_sided_turnover": 3.4690252633898395 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7251655166988007, "annualized_volatility": 0.19265811401253186, "cagr": 0.11588912475362068, "end_nav": 4356283.387638638, "end_session": "2022-12-30", "fee_by_category": { "entry": 1360.4944572902698, "exit": 4082.3172598231995, "resize": 1841.145830626175 }, "max_cash_weight": 0.6894765046261286, "max_drawdown": -0.14329918164342614, "mean_cash_weight": 0.11265517499756157, "nonzero_trade_event_count": 12, "order_count": 35, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3903867.5895335656, "start_session": "2021-12-31", "total_return": 0.11588912475362068, "traded_notional_by_category": { "entry": 1360494.4572902697, "exit": 4082317.2598231994, "resize": 1841145.830626175 }, "transaction_cost": 7283.957547739644, "transaction_cost_over_anchor_nav": 0.0018658310971581727, "two_sided_turnover": 1.7251655166988007 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6030902869202666, "annualized_volatility": 0.1191865224505403, "cagr": 0.14688512115670105, "end_nav": 4996156.600824864, "end_session": "2023-12-29", "fee_by_category": { "entry": 4377.701964667625, "exit": 1500.5030602213928, "resize": 1231.0058634915256 }, "max_cash_weight": 0.6851814409499873, "max_drawdown": -0.08408046331848396, "mean_cash_weight": 0.2167183006397747, "nonzero_trade_event_count": 12, "order_count": 29, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4356283.387638638, "start_session": "2022-12-30", "total_return": 0.14688512115670105, "traded_notional_by_category": { "entry": 4377701.964667626, "exit": 1500503.060221393, "resize": 1231005.8634915256 }, "transaction_cost": 7109.210888380545, "transaction_cost_over_anchor_nav": 0.001631944080716511, "two_sided_turnover": 1.6030902869202666 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.274039198744507, "annualized_volatility": 0.1397358325848647, "cagr": 0.18072788118168814, "end_nav": 5899101.397343846, "end_session": "2024-12-31", "fee_by_category": { "entry": 5443.368242014816, "exit": 5459.730748505182, "resize": 1504.6713989430696 }, "max_cash_weight": 0.0, "max_drawdown": -0.0909788952375864, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4996156.600824864, "start_session": "2023-12-29", "total_return": 0.18072788118168814, "traded_notional_by_category": { "entry": 5443368.242014816, "exit": 5459730.748505183, "resize": 1504671.3989430696 }, "transaction_cost": 12407.770389463069, "transaction_cost_over_anchor_nav": 0.002483463065872385, "two_sided_turnover": 2.274039198744507 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.847839126032078, "annualized_volatility": 0.1616269928968274, "cagr": 0.05549573673971242, "end_nav": 6226476.375491709, "end_session": "2025-12-31", "fee_by_category": { "entry": 8361.836099697022, "exit": 8395.346294301515, "resize": 1120.6544549417304 }, "max_cash_weight": 1.592446973744418e-16, "max_drawdown": -0.13253609720631498, "mean_cash_weight": 2.3838719098225827e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5899101.397343846, "start_session": "2024-12-31", "total_return": 0.05549573673971242, "traded_notional_by_category": { "entry": 8361836.099697022, "exit": 8395346.294301515, "resize": 1120654.4549417302 }, "transaction_cost": 17877.836848940267, "transaction_cost_over_anchor_nav": 0.003030603416477977, "two_sided_turnover": 2.847839126032078 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.1441978399664685, "annualized_volatility": 0.1649666930773041, "cagr": 0.07706013797394351, "end_nav": 6226476.375491709, "end_session": "2025-12-31", "fee_by_category": { "entry": 55284.97049942815, "exit": 55221.732983371076, "resize": 11680.138945799155 }, "max_cash_weight": 1.0, "max_drawdown": -0.44102859225577895, "mean_cash_weight": 0.12666000485604398, "nonzero_trade_event_count": 285, "order_count": 859, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 973292.8236446753, "start_session": "2000-12-29", "total_return": 5.397331023335315, "traded_notional_by_category": { "entry": 55284970.49942815, "exit": 55221732.98337108, "resize": 11680138.945799155 }, "transaction_cost": 122186.8424285984, "transaction_cost_over_anchor_nav": 0.1255396520556343, "two_sided_turnover": 53.604945999161714 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6771236.646484028, "end_session": "2026-10-02", "fee_by_category": { "entry": 4490.037407017795, "exit": 4585.8083973805005, "resize": 1848.5150129221252 }, "max_cash_weight": 1.410917548814465e-16, "max_drawdown": -0.10693724152398787, "mean_cash_weight": 3.0837588013439046e-17, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 6226476.375491709, "start_session": "2025-12-31", "total_return": 0.08749094000204849, "traded_notional_by_category": { "entry": 4490037.407017794, "exit": 4585808.3973805, "resize": 1848515.0129221252 }, "transaction_cost": 10924.36081732042, "transaction_cost_over_anchor_nav": 0.0017545012874890598, "two_sided_turnover": 1.626009171035239 } }, "monthly_risk": { "beta_intercept_per_month": 0.0008971526572226765, "beta_to_SPY_excess_returns": 0.7082567634386898, "monthly_return_volatility_annualized": 0.13415275233833657, "months": 300, "sharpe_monthly_annualized": 0.49494361404882536, "tracking_error_monthly_annualized": 0.09261676810651384 }, "phase": [ 4, 10 ], "policy": "B", "run_id": "BMIX-04-10-10bps", "signal": "mixed" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5825930432666668, "annualized_volatility": 0.14649104037720515, "cagr": -0.09516389370161082, "end_nav": 876133.9607599317, "end_session": "2001-12-31", "fee_by_category": { "entry": 792.3652740465727, "exit": 2264.073801499749, "resize": 568.6684574868706 }, "max_cash_weight": 0.6775243318261913, "max_drawdown": -0.1460471900668857, "mean_cash_weight": 0.1101521812114494, "nonzero_trade_event_count": 12, "order_count": 35, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 968279.1774790292, "start_session": "2000-12-29", "total_return": -0.09516389370161082, "traded_notional_by_category": { "entry": 316946.1096186291, "exit": 905629.5205998996, "resize": 227467.38299474824 }, "transaction_cost": 3625.1075330331923, "transaction_cost_over_anchor_nav": 0.0037438660433361474, "two_sided_turnover": 1.5825930432666668 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 2.139860307344146, "annualized_volatility": 0.2171594443568476, "cagr": -0.15202659068742663, "end_nav": 742938.3017201277, "end_session": "2002-12-31", "fee_by_category": { "entry": 2178.9383106154964, "exit": 1956.812848169271, "resize": 293.60631658840225 }, "max_cash_weight": 0.6793675225538247, "max_drawdown": -0.2567000585894299, "mean_cash_weight": 0.3255601691418747, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 876133.9607599317, "start_session": "2001-12-31", "total_return": -0.15202659068742663, "traded_notional_by_category": { "entry": 871575.3242461985, "exit": 782725.1392677084, "resize": 117442.5266353609 }, "transaction_cost": 4429.357475373169, "transaction_cost_over_anchor_nav": 0.005055571035656785, "two_sided_turnover": 2.139860307344146 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3698165397659947, "annualized_volatility": 0.05584461345879965, "cagr": 0.12044300891247461, "end_nav": 832420.0262156238, "end_session": "2003-12-31", "fee_by_category": { "entry": 1879.0506611929632, "exit": 640.7969714883122, "resize": 60.75666518135266 }, "max_cash_weight": 1.0, "max_drawdown": -0.03451566796066108, "mean_cash_weight": 0.7288435484396919, "nonzero_trade_event_count": 7, "order_count": 11, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 742938.3017201277, "start_session": "2002-12-31", "total_return": 0.12044300891247461, "traded_notional_by_category": { "entry": 751620.2644771852, "exit": 256318.7885953249, "resize": 24302.666072541062 }, "transaction_cost": 2580.604297862628, "transaction_cost_over_anchor_nav": 0.0034735109118586905, "two_sided_turnover": 1.3698165397659947 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5670005433504748, "annualized_volatility": 0.11195398594621489, "cagr": 0.1685472313763332, "end_nav": 972722.1169764819, "end_session": "2004-12-31", "fee_by_category": { "entry": 1466.401785717826, "exit": 1436.6565886231215, "resize": 543.9657030834014 }, "max_cash_weight": 1.4297471177077072e-16, "max_drawdown": -0.07270763998408658, "mean_cash_weight": 6.568620235522872e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 832420.0262156238, "start_session": "2003-12-31", "total_return": 0.1685472313763332, "traded_notional_by_category": { "entry": 586560.7142871304, "exit": 574662.6354492486, "resize": 217586.28123336058 }, "transaction_cost": 3447.024077424349, "transaction_cost_over_anchor_nav": 0.004140967262759555, "two_sided_turnover": 1.5670005433504748 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6677574281163934, "annualized_volatility": 0.14805745673819426, "cagr": 0.1782746107765616, "end_nav": 1146133.773774217, "end_session": "2005-12-30", "fee_by_category": { "entry": 1782.0757803972033, "exit": 1836.424282319335, "resize": 846.6925115353737 }, "max_cash_weight": 1.1802166471046528e-16, "max_drawdown": -0.10416747853514008, "mean_cash_weight": 1.8128278341919052e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 972722.1169764819, "start_session": "2004-12-31", "total_return": 0.1782746107765616, "traded_notional_by_category": { "entry": 712830.3121588813, "exit": 734569.712927734, "resize": 338677.00461414945 }, "transaction_cost": 4465.192574251912, "transaction_cost_over_anchor_nav": 0.0045904092199847354, "two_sided_turnover": 1.6677574281163934 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.5311111276820486, "annualized_volatility": 0.1256361829395964, "cagr": 0.08543100242696333, "end_nav": 1244049.1309831468, "end_session": "2006-12-29", "fee_by_category": { "entry": 5006.2489893009615, "exit": 5037.818176831632, "resize": 594.2758820007476 }, "max_cash_weight": 0.0, "max_drawdown": -0.10687982710826538, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1146133.773774217, "start_session": "2005-12-30", "total_return": 0.08543100242696333, "traded_notional_by_category": { "entry": 2002499.5957203843, "exit": 2015127.2707326524, "resize": 237710.35280029906 }, "transaction_cost": 10638.34304813334, "transaction_cost_over_anchor_nav": 0.009281938366671884, "two_sided_turnover": 3.5311111276820486 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.472353956168698, "annualized_volatility": 0.1632412502781381, "cagr": 0.10429324613448498, "end_nav": 1373795.0532041644, "end_session": "2007-12-31", "fee_by_category": { "entry": 5632.151045956425, "exit": 5673.835872720971, "resize": 458.6327917759413 }, "max_cash_weight": 0.0, "max_drawdown": -0.08907497154213995, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1244049.1309831468, "start_session": "2006-12-29", "total_return": 0.10429324613448498, "traded_notional_by_category": { "entry": 2252860.41838257, "exit": 2269534.349088388, "resize": 183453.11671037652 }, "transaction_cost": 11764.619710453338, "transaction_cost_over_anchor_nav": 0.009456716312446597, "two_sided_turnover": 3.472353956168698 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.399216421570856, "annualized_volatility": 0.33924548379648056, "cagr": -0.31721907138117, "end_nav": 938001.0621586943, "end_session": "2008-12-31", "fee_by_category": { "entry": 2217.2388662710205, "exit": 3701.111271065445, "resize": 1367.264190964433 }, "max_cash_weight": 0.6914204219896662, "max_drawdown": -0.44121828989994927, "mean_cash_weight": 0.10880084787592498, "nonzero_trade_event_count": 12, "order_count": 36, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1373795.0532041644, "start_session": "2007-12-31", "total_return": -0.31721907138117, "traded_notional_by_category": { "entry": 886895.5465084082, "exit": 1480444.508426178, "resize": 546905.6763857732 }, "transaction_cost": 7285.614328300899, "transaction_cost_over_anchor_nav": 0.0053032759954320195, "two_sided_turnover": 2.399216421570856 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.41293668859163, "annualized_volatility": 0.06424469752959971, "cagr": 0.05999272631138175, "end_nav": 994274.3031605663, "end_session": "2009-12-31", "fee_by_category": { "entry": 2286.0314869521762, "exit": 790.3586665358703, "resize": 163.31782188916898 }, "max_cash_weight": 1.0, "max_drawdown": -0.07073233177532223, "mean_cash_weight": 0.7246720637318742, "nonzero_trade_event_count": 7, "order_count": 11, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 938001.0621586943, "start_session": "2008-12-31", "total_return": 0.05999272631138175, "traded_notional_by_category": { "entry": 914412.5947808705, "exit": 316143.4666143481, "resize": 65327.128755667596 }, "transaction_cost": 3239.7079753772155, "transaction_cost_over_anchor_nav": 0.003453842544614422, "two_sided_turnover": 1.41293668859163 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2154341569359484, "annualized_volatility": 0.16896289529611389, "cagr": 0.07686075210602272, "end_nav": 1070694.973901179, "end_session": "2010-12-31", "fee_by_category": { "entry": 2561.272438607513, "exit": 2557.036569053615, "resize": 542.6911887031532 }, "max_cash_weight": 1.2181301723807138e-16, "max_drawdown": -0.15894300214485557, "mean_cash_weight": 2.7223266546059358e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 994274.3031605663, "start_session": "2009-12-31", "total_return": 0.07686075210602272, "traded_notional_by_category": { "entry": 1024508.9754430051, "exit": 1022814.627621446, "resize": 217076.47548126127 }, "transaction_cost": 5661.000196364281, "transaction_cost_over_anchor_nav": 0.005693600024026851, "two_sided_turnover": 2.2154341569359484 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.5754387514779298, "annualized_volatility": 0.21256996814383466, "cagr": -0.0032240708731531287, "end_nav": 1067242.9774217927, "end_session": "2011-12-30", "fee_by_category": { "entry": 2776.908247081152, "exit": 3680.4228480409224, "resize": 600.8883490272813 }, "max_cash_weight": 0.33790362194943907, "max_drawdown": -0.2104631463561617, "mean_cash_weight": 0.055251168599245455, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1070694.973901179, "start_session": "2010-12-31", "total_return": -0.0032240708731531287, "traded_notional_by_category": { "entry": 1110763.2988324608, "exit": 1472169.139216369, "resize": 240355.3396109125 }, "transaction_cost": 7058.219444149356, "transaction_cost_over_anchor_nav": 0.006592185091176866, "two_sided_turnover": 2.5754387514779298 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7810693090924394, "annualized_volatility": 0.10369415085091716, "cagr": 0.043895961668633854, "end_nav": 1114090.6342498183, "end_session": "2012-12-31", "fee_by_category": { "entry": 2728.336607788301, "exit": 1806.5611949918746, "resize": 334.99019797548505 }, "max_cash_weight": 0.34094308803214934, "max_drawdown": -0.07464528427056327, "mean_cash_weight": 0.10943874355010644, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1067242.9774217927, "start_session": "2011-12-30", "total_return": 0.043895961668633854, "traded_notional_by_category": { "entry": 1091334.6431153205, "exit": 722624.4779967498, "resize": 133996.07919019402 }, "transaction_cost": 4869.888000755661, "transaction_cost_over_anchor_nav": 0.004563054621844561, "two_sided_turnover": 1.7810693090924394 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1106147942947335, "annualized_volatility": 0.11088345805836917, "cagr": 0.29363586317046475, "end_nav": 1441227.5992878943, "end_session": "2013-12-31", "fee_by_category": { "entry": 3348.4165684887857, "exit": 3364.577849619057, "resize": 352.89820585693815 }, "max_cash_weight": 0.0, "max_drawdown": -0.07019781492017885, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1114090.6342498183, "start_session": "2012-12-31", "total_return": 0.29363586317046475, "traded_notional_by_category": { "entry": 1339366.6273955144, "exit": 1345831.1398476227, "resize": 141159.28234277526 }, "transaction_cost": 7065.892623964781, "transaction_cost_over_anchor_nav": 0.006342296045530133, "two_sided_turnover": 2.1106147942947335 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4661464015757482, "annualized_volatility": 0.12624802819785494, "cagr": 0.15252577060195693, "end_nav": 1661051.949482089, "end_session": "2014-12-31", "fee_by_category": { "entry": 2557.7352316757924, "exit": 2556.530103052408, "resize": 506.0833426943171 }, "max_cash_weight": 0.0, "max_drawdown": -0.07462877102513765, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1441227.5992878943, "start_session": "2013-12-31", "total_return": 0.15252577060195693, "traded_notional_by_category": { "entry": 1023094.092670317, "exit": 1022612.0412209631, "resize": 202433.33707772684 }, "transaction_cost": 5620.3486774225175, "transaction_cost_over_anchor_nav": 0.003899695426454165, "two_sided_turnover": 1.4661464015757482 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8331371098766545, "annualized_volatility": 0.14431238415953954, "cagr": 0.06061397052827533, "end_nav": 1761734.9033939305, "end_session": "2015-12-31", "fee_by_category": { "entry": 2837.005694897027, "exit": 4351.938699016467, "resize": 683.3090100110313 }, "max_cash_weight": 0.34306679765823056, "max_drawdown": -0.10813738854458865, "mean_cash_weight": 0.05577167034861784, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1661051.949482089, "start_session": "2014-12-31", "total_return": 0.06061397052827533, "traded_notional_by_category": { "entry": 1134802.2779588108, "exit": 1740775.4796065865, "resize": 273323.60400441254 }, "transaction_cost": 7872.253403924526, "transaction_cost_over_anchor_nav": 0.004739318000487023, "two_sided_turnover": 1.8331371098766545 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8996474827573715, "annualized_volatility": 0.10079986352678089, "cagr": 0.12357793141274342, "end_nav": 1979446.458452982, "end_session": "2016-12-30", "fee_by_category": { "entry": 4581.946319907739, "exit": 3098.047336084819, "resize": 1095.7676949410857 }, "max_cash_weight": 0.3453948492329343, "max_drawdown": -0.04932307888134879, "mean_cash_weight": 0.10851798729838555, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1761734.9033939305, "start_session": "2015-12-31", "total_return": 0.12357793141274342, "traded_notional_by_category": { "entry": 1832778.5279630956, "exit": 1239218.9344339278, "resize": 438307.07797643426 }, "transaction_cost": 8775.761350933644, "transaction_cost_over_anchor_nav": 0.004981317753327926, "two_sided_turnover": 1.8996474827573715 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1640160519778338, "annualized_volatility": 0.07746850284475168, "cagr": 0.2768123783150942, "end_nav": 2527381.740364742, "end_session": "2017-12-29", "fee_by_category": { "entry": 5866.953240438617, "exit": 5922.010551791853, "resize": 895.726741910996 }, "max_cash_weight": 0.0, "max_drawdown": -0.02626776674281006, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1979446.458452982, "start_session": "2016-12-30", "total_return": 0.2768123783150942, "traded_notional_by_category": { "entry": 2346781.296175447, "exit": 2368804.2207167414, "resize": 358290.69676439837 }, "transaction_cost": 12684.690534141466, "transaction_cost_over_anchor_nav": 0.006408200878570401, "two_sided_turnover": 2.1640160519778338 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8338035678756675, "annualized_volatility": 0.1878090590965342, "cagr": -0.08077153175861151, "end_nav": 2323241.2458567363, "end_session": "2018-12-31", "fee_by_category": { "entry": 8129.9087139796975, "exit": 8229.03845085888, "resize": 1041.2025682474016 }, "max_cash_weight": 0.0, "max_drawdown": -0.20601701501637082, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2527381.740364742, "start_session": "2017-12-29", "total_return": -0.08077153175861151, "traded_notional_by_category": { "entry": 3251963.485591879, "exit": 3291615.3803435513, "resize": 416481.0272989606 }, "transaction_cost": 17400.14973308598, "transaction_cost_over_anchor_nav": 0.006884654365895219, "two_sided_turnover": 2.8338035678756675 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5414919066388766, "annualized_volatility": 0.11732830527385855, "cagr": 0.33614333203983704, "end_nav": 3104183.299371402, "end_session": "2019-12-31", "fee_by_category": { "entry": 4544.5212052322195, "exit": 4476.98244941869, "resize": 1523.2147480310866 }, "max_cash_weight": 0.0, "max_drawdown": -0.0484236042956091, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2323241.2458567363, "start_session": "2018-12-31", "total_return": 0.33614333203983704, "traded_notional_by_category": { "entry": 1817808.4820928876, "exit": 1790792.979767476, "resize": 609285.8992124347 }, "transaction_cost": 10544.718402681996, "transaction_cost_over_anchor_nav": 0.004538796141592021, "two_sided_turnover": 1.5414919066388766 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.085167283276378, "annualized_volatility": 0.3050510146170185, "cagr": 0.03521519445092225, "end_nav": 3213497.717870071, "end_session": "2020-12-31", "fee_by_category": { "entry": 7184.116998018818, "exit": 7220.12760953771, "resize": 650.2640238851723 }, "max_cash_weight": 1.0, "max_drawdown": -0.3026968695385438, "mean_cash_weight": 0.5059288537549407, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3104183.299371402, "start_session": "2019-12-31", "total_return": 0.03521519445092225, "traded_notional_by_category": { "entry": 2873646.799207527, "exit": 2888051.043815084, "resize": 260105.60955406888 }, "transaction_cost": 15054.5086314417, "transaction_cost_over_anchor_nav": 0.00484974860682043, "two_sided_turnover": 2.085167283276378 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 3.465349774764282, "annualized_volatility": 0.1546137212501014, "cagr": 0.12939339156195317, "end_nav": 3629303.086361876, "end_session": "2021-12-31", "fee_by_category": { "entry": 14706.97864871132, "exit": 14752.853932774415, "resize": 1190.290015547442 }, "max_cash_weight": 1.5083765154926726e-16, "max_drawdown": -0.07631208611108597, "mean_cash_weight": 4.632888098684096e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3213497.717870071, "start_session": "2020-12-31", "total_return": 0.12939339156195317, "traded_notional_by_category": { "entry": 5882791.459484529, "exit": 5901141.573109766, "resize": 476116.0062189768 }, "transaction_cost": 30650.122597033176, "transaction_cost_over_anchor_nav": 0.009537931963227997, "two_sided_turnover": 3.465349774764282 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7258003328244236, "annualized_volatility": 0.19261927554738853, "cagr": 0.11300078210604592, "end_nav": 4039417.1736206543, "end_session": "2022-12-30", "fee_by_category": { "entry": 3157.9500397441234, "exit": 9476.874993728296, "resize": 4285.031511663392 }, "max_cash_weight": 0.6894765046261286, "max_drawdown": -0.14329918164342614, "mean_cash_weight": 0.11265517499756157, "nonzero_trade_event_count": 12, "order_count": 35, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3629303.086361876, "start_session": "2021-12-31", "total_return": 0.11300078210604592, "traded_notional_by_category": { "entry": 1263180.0158976493, "exit": 3790749.9974913183, "resize": 1714012.6046653567 }, "transaction_cost": 16919.85654513581, "transaction_cost_over_anchor_nav": 0.004662012552414516, "two_sided_turnover": 1.7258003328244236 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6016877234268805, "annualized_volatility": 0.11914576060226686, "cagr": 0.14413181917711548, "end_nav": 4621625.719269881, "end_session": "2023-12-29", "fee_by_category": { "entry": 10133.00550993258, "exit": 3473.8845633955034, "resize": 2846.26271577288 }, "max_cash_weight": 0.6851814409499872, "max_drawdown": -0.0841319982223453, "mean_cash_weight": 0.2167183006397747, "nonzero_trade_event_count": 12, "order_count": 29, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4039417.1736206543, "start_session": "2022-12-30", "total_return": 0.14413181917711548, "traded_notional_by_category": { "entry": 4053202.2039730316, "exit": 1389553.8253582013, "resize": 1138505.086309152 }, "transaction_cost": 16453.15278910096, "transaction_cost_over_anchor_nav": 0.00407315018031512, "two_sided_turnover": 1.6016877234268805 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2716292973614203, "annualized_volatility": 0.13990386644608666, "cagr": 0.17670726652583602, "end_nav": 5438300.567027562, "end_session": "2024-12-31", "fee_by_category": { "entry": 12555.414079812244, "exit": 12614.196615594814, "resize": 3465.6506953861344 }, "max_cash_weight": 0.0, "max_drawdown": -0.09103199414467844, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4621625.719269881, "start_session": "2023-12-29", "total_return": 0.17670726652583602, "traded_notional_by_category": { "entry": 5022165.631924897, "exit": 5045678.646237926, "resize": 1386260.2781544537 }, "transaction_cost": 28635.261390793192, "transaction_cost_over_anchor_nav": 0.006195928257755359, "two_sided_turnover": 2.2716292973614203 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.844454539891272, "annualized_volatility": 0.16178546416889375, "cagr": 0.05099312642577658, "end_nav": 5715616.515383371, "end_session": "2025-12-31", "fee_by_category": { "entry": 19204.55181626105, "exit": 19330.25749082906, "resize": 2579.123235605702 }, "max_cash_weight": 0.0, "max_drawdown": -0.1325772219846435, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5438300.567027562, "start_session": "2024-12-31", "total_return": 0.05099312642577658, "traded_notional_by_category": { "entry": 7681820.726504419, "exit": 7732102.996331623, "resize": 1031649.2942422808 }, "transaction_cost": 41113.9325426958, "transaction_cost_over_anchor_nav": 0.007560069921837299, "two_sided_turnover": 2.844454539891272 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.1423013815961904, "annualized_volatility": 0.16500465975277934, "cagr": 0.07359999201473966, "end_nav": 5715616.515383371, "end_session": "2025-12-31", "fee_by_category": { "entry": 130115.52356102763, "exit": 130249.22973704209, "resize": 27490.57458576519 }, "max_cash_weight": 1.0, "max_drawdown": -0.44121828989994927, "mean_cash_weight": 0.126660004856044, "nonzero_trade_event_count": 285, "order_count": 859, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 968279.1774790292, "start_session": "2000-12-29", "total_return": 4.902860092751668, "traded_notional_by_category": { "entry": 52046209.42441105, "exit": 52099691.89481683, "resize": 10996229.834306076 }, "transaction_cost": 287855.3278838349, "transaction_cost_over_anchor_nav": 0.2972854674343849, "two_sided_turnover": 53.557534539904765 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6200542.287870072, "end_session": "2026-10-02", "fee_by_category": { "entry": 10281.525419922511, "exit": 10522.245249773796, "resize": 4224.317500619071 }, "max_cash_weight": 1.5232995927119504e-16, "max_drawdown": -0.10704726766804384, "mean_cash_weight": 1.6431242030775982e-17, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 5715616.515383371, "start_session": "2025-12-31", "total_return": 0.08484225125697997, "traded_notional_by_category": { "entry": 4112610.1679690043, "exit": 4208898.099909518, "resize": 1689727.0002476287 }, "transaction_cost": 25028.08817031538, "transaction_cost_over_anchor_nav": 0.004378895627961254, "two_sided_turnover": 1.6238828808670231 } }, "monthly_risk": { "beta_intercept_per_month": 0.0006318173312482387, "beta_to_SPY_excess_returns": 0.7075833813432757, "monthly_return_volatility_annualized": 0.1341397792507575, "months": 300, "sharpe_monthly_annualized": 0.47088498037384896, "tracking_error_monthly_annualized": 0.09276743805027697 }, "phase": [ 4, 10 ], "policy": "B", "run_id": "BMIX-04-10-25bps", "signal": "mixed" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5834837976258296, "annualized_volatility": 0.14663931716154815, "cagr": -0.09229326969112162, "end_nav": 884986.7102094218, "end_session": "2001-12-31", "fee_by_category": { "entry": 159.82526694923382, "exit": 456.5116030996952, "resize": 114.84734894782657 }, "max_cash_weight": 0.6775243318261914, "max_drawdown": -0.14590857953163727, "mean_cash_weight": 0.11015218121144936, "nonzero_trade_event_count": 12, "order_count": 35, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 974969.8670938297, "start_session": "2000-12-29", "total_return": -0.09229326969112162, "traded_notional_by_category": { "entry": 319650.53389846766, "exit": 913023.2061993905, "resize": 229694.69789565314 }, "transaction_cost": 731.1842189967557, "transaction_cost_over_anchor_nav": 0.0007499557100941537, "two_sided_turnover": 1.5834837976258296 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1429752722558013, "annualized_volatility": 0.2171999853387936, "cagr": -0.1483854091777983, "end_nav": 753667.5950980831, "end_session": "2002-12-31", "fee_by_category": { "entry": 441.3710292416287, "exit": 396.0558524959621, "resize": 59.647518899268135 }, "max_cash_weight": 0.6793675225538247, "max_drawdown": -0.25663732878375933, "mean_cash_weight": 0.3255601691418747, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 884986.7102094218, "start_session": "2001-12-31", "total_return": -0.1483854091777983, "traded_notional_by_category": { "entry": 882742.0584832574, "exit": 792111.7049919241, "resize": 119295.03779853627 }, "transaction_cost": 897.074400636859, "transaction_cost_over_anchor_nav": 0.0010136586123700962, "two_sided_turnover": 2.1429752722558013 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3718214362913788, "annualized_volatility": 0.055709216640018065, "cagr": 0.12351944343881738, "end_nav": 846760.1969824703, "end_session": "2003-12-31", "fee_by_category": { "entry": 382.2765906580385, "exit": 130.01606222429848, "resize": 12.341655172068364 }, "max_cash_weight": 1.0, "max_drawdown": -0.03451245516826573, "mean_cash_weight": 0.7288435484396919, "nonzero_trade_event_count": 7, "order_count": 11, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 753667.5950980831, "start_session": "2002-12-31", "total_return": 0.12351944343881738, "traded_notional_by_category": { "entry": 764553.181316077, "exit": 260032.12444859697, "resize": 24683.310344136728 }, "transaction_cost": 524.6343080544053, "transaction_cost_over_anchor_nav": 0.000696108352630086, "two_sided_turnover": 1.3718214362913788 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5678866480689502, "annualized_volatility": 0.11207260484206723, "cagr": 0.17221791876520354, "end_nav": 992587.4758000051, "end_session": "2004-12-31", "fee_by_category": { "entry": 299.0329005082139, "exit": 292.5728322716044, "resize": 110.78501779888582 }, "max_cash_weight": 1.3927591616351946e-16, "max_drawdown": -0.0714359203646967, "mean_cash_weight": 6.498960325441026e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 846760.1969824703, "start_session": "2003-12-31", "total_return": 0.17221791876520354, "traded_notional_by_category": { "entry": 598065.8010164278, "exit": 585145.6645432089, "resize": 221570.03559777164 }, "transaction_cost": 702.3907505787042, "transaction_cost_over_anchor_nav": 0.0008295037403526481, "two_sided_turnover": 1.5678866480689502 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6696276007728925, "annualized_volatility": 0.14810441537751043, "cagr": 0.18221374629700415, "end_nav": 1173450.558293011, "end_session": "2005-12-30", "fee_by_category": { "entry": 364.60876042125824, "exit": 375.21198350941825, "resize": 173.51258099400013 }, "max_cash_weight": 1.1547019632900114e-16, "max_drawdown": -0.10413119588813968, "mean_cash_weight": 9.298576692495025e-18, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 992587.4758000051, "start_session": "2004-12-31", "total_return": 0.18221374629700415, "traded_notional_by_category": { "entry": 729217.5208425166, "exit": 750423.9670188364, "resize": 347025.16198800027 }, "transaction_cost": 913.3333249246766, "transaction_cost_over_anchor_nav": 0.0009201539886331415, "two_sided_turnover": 1.6696276007728925 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.5378221489978205, "annualized_volatility": 0.1253232228220638, "cagr": 0.09313900680522935, "end_nav": 1282744.5778274639, "end_session": "2006-12-29", "fee_by_category": { "entry": 1030.6523146489028, "exit": 1033.5696689182544, "resize": 122.49468654140246 }, "max_cash_weight": 0.0, "max_drawdown": -0.10685704773593296, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1173450.558293011, "start_session": "2005-12-30", "total_return": 0.09313900680522935, "traded_notional_by_category": { "entry": 2061304.6292978055, "exit": 2067139.3378365084, "resize": 244989.3730828049 }, "transaction_cost": 2186.7166701085594, "transaction_cost_over_anchor_nav": 0.0018634928030453375, "two_sided_turnover": 3.5378221489978205 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4790124873229806, "annualized_volatility": 0.16272921783691674, "cagr": 0.11200456465050279, "end_nav": 1426417.825824822, "end_session": "2007-12-31", "fee_by_category": { "entry": 1167.6540336839864, "exit": 1172.1870325624643, "resize": 95.44149696073809 }, "max_cash_weight": 0.0, "max_drawdown": -0.08905846837623177, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1282744.5778274639, "start_session": "2006-12-29", "total_return": 0.11200456465050279, "traded_notional_by_category": { "entry": 2335308.067367973, "exit": 2344374.0651249285, "resize": 190882.99392147618 }, "transaction_cost": 2435.282563207189, "transaction_cost_over_anchor_nav": 0.0018984937494974528, "two_sided_turnover": 3.4790124873229806 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.399763302767696, "annualized_volatility": 0.33923006276161655, "cagr": -0.3139304877640664, "end_nav": 978621.7820082766, "end_session": "2008-12-31", "fee_by_category": { "entry": 461.8164332570365, "exit": 769.8148072834717, "resize": 283.7080911524899 }, "max_cash_weight": 0.6914204219896662, "max_drawdown": -0.4409653409315816, "mean_cash_weight": 0.10880084787592498, "nonzero_trade_event_count": 12, "order_count": 36, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1426417.825824822, "start_session": "2007-12-31", "total_return": -0.3139304877640664, "traded_notional_by_category": { "entry": 923632.866514073, "exit": 1539629.6145669434, "resize": 567416.1823049798 }, "transaction_cost": 1515.339331692998, "transaction_cost_over_anchor_nav": 0.0010623390315644419, "two_sided_turnover": 2.399763302767696 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4149568994557926, "annualized_volatility": 0.06439149657213102, "cagr": 0.06299485466936172, "end_nav": 1040269.9189421597, "end_session": "2009-12-31", "fee_by_category": { "entry": 478.340363292193, "exit": 164.93480224615146, "resize": 34.1163341898408 }, "max_cash_weight": 1.0, "max_drawdown": -0.0706620694925828, "mean_cash_weight": 0.7246720637318742, "nonzero_trade_event_count": 7, "order_count": 11, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 978621.7820082766, "start_session": "2008-12-31", "total_return": 0.06299485466936172, "traded_notional_by_category": { "entry": 956680.726584386, "exit": 329869.6044923029, "resize": 68232.66837968159 }, "transaction_cost": 677.3914997281853, "transaction_cost_over_anchor_nav": 0.0006921892728956817, "two_sided_turnover": 1.4149568994557926 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.216754813694708, "annualized_volatility": 0.1691269469725476, "cagr": 0.08164928925982529, "end_nav": 1125207.2184621631, "end_session": "2010-12-31", "fee_by_category": { "entry": 537.7609757293823, "exit": 535.677994051591, "resize": 113.2968961113398 }, "max_cash_weight": 1.2644949628929507e-16, "max_drawdown": -0.15661996793592248, "mean_cash_weight": 2.780711569004302e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1040269.9189421597, "start_session": "2009-12-31", "total_return": 0.08164928925982529, "traded_notional_by_category": { "entry": 1075521.9514587643, "exit": 1071355.988103182, "resize": 226593.7922226796 }, "transaction_cost": 1186.7358658923129, "transaction_cost_over_anchor_nav": 0.0011407960994383967, "two_sided_turnover": 2.216754813694708 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.5777744946666883, "annualized_volatility": 0.2121371710792447, "cagr": 0.0019308933203467937, "end_nav": 1127379.8735642978, "end_session": "2011-12-30", "fee_by_category": { "entry": 585.6940412788632, "exit": 774.7270094430476, "resize": 126.46408582601714 }, "max_cash_weight": 0.3379036219494391, "max_drawdown": -0.20810379340071394, "mean_cash_weight": 0.055251168599245455, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1125207.2184621631, "start_session": "2010-12-31", "total_return": 0.0019308933203467937, "traded_notional_by_category": { "entry": 1171388.0825577264, "exit": 1549454.018886095, "resize": 252928.17165203427 }, "transaction_cost": 1486.8851365479277, "transaction_cost_over_anchor_nav": 0.001321432276785493, "two_sided_turnover": 2.5777744946666883 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.782630492021731, "annualized_volatility": 0.10382540952827123, "cagr": 0.047624848467762604, "end_nav": 1181071.1692084027, "end_session": "2012-12-31", "fee_by_category": { "entry": 577.8965849172786, "exit": 382.0992388655031, "resize": 70.75878900605187 }, "max_cash_weight": 0.3409430880321493, "max_drawdown": -0.07359767106840409, "mean_cash_weight": 0.10943874355010645, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1127379.8735642978, "start_session": "2011-12-30", "total_return": 0.047624848467762604, "traded_notional_by_category": { "entry": 1155793.169834557, "exit": 764198.4777310061, "resize": 141517.57801210374 }, "transaction_cost": 1030.7546127888336, "transaction_cost_over_anchor_nav": 0.0009142921893132826, "two_sided_turnover": 1.782630492021731 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1137186337240035, "annualized_volatility": 0.11079199268823284, "cagr": 0.29911481535948026, "end_nav": 1534347.0539125795, "end_session": "2013-12-31", "fee_by_category": { "entry": 712.2938797799364, "exit": 714.1312843445585, "resize": 75.5544198969045 }, "max_cash_weight": 0.0, "max_drawdown": -0.07011686328854094, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1181071.1692084027, "start_session": "2012-12-31", "total_return": 0.29911481535948026, "traded_notional_by_category": { "entry": 1424587.7595598728, "exit": 1428262.568689117, "resize": 151108.839793809 }, "transaction_cost": 1501.9795840213994, "transaction_cost_over_anchor_nav": 0.0012717096337455103, "two_sided_turnover": 2.1137186337240035 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4670532450258478, "annualized_volatility": 0.1262363020076673, "cagr": 0.1559129003212374, "end_nav": 1773571.5531874357, "end_session": "2014-12-31", "fee_by_category": { "entry": 545.8127480005777, "exit": 544.8238985672534, "resize": 107.86417034818467 }, "max_cash_weight": 1.4506287900934538e-16, "max_drawdown": -0.07461303721452284, "mean_cash_weight": 3.389638455956923e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1534347.0539125795, "start_session": "2013-12-31", "total_return": 0.1559129003212374, "traded_notional_by_category": { "entry": 1091625.4960011553, "exit": 1089647.797134507, "resize": 215728.34069636936 }, "transaction_cost": 1198.5008169160158, "transaction_cost_over_anchor_nav": 0.000781114555445486, "two_sided_turnover": 1.4670532450258478 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8358223878231563, "annualized_volatility": 0.14454222460456553, "cagr": 0.06451432639045263, "end_nav": 1887992.327246592, "end_session": "2015-12-31", "fee_by_category": { "entry": 607.557571097028, "exit": 930.3820187993197, "resize": 146.9629496078457 }, "max_cash_weight": 0.3430667976582305, "max_drawdown": -0.10813738854458854, "mean_cash_weight": 0.05577167034861781, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1773571.5531874357, "start_session": "2014-12-31", "total_return": 0.06451432639045263, "traded_notional_by_category": { "entry": 1215115.142194056, "exit": 1860764.0375986393, "resize": 293925.8992156914 }, "transaction_cost": 1684.9025395041933, "transaction_cost_over_anchor_nav": 0.0009500053924952237, "two_sided_turnover": 1.8358223878231563 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9021037817421305, "annualized_volatility": 0.10074985557287033, "cagr": 0.1278584145667534, "end_nav": 2129388.032922536, "end_session": "2016-12-30", "fee_by_category": { "entry": 984.683375928101, "exit": 664.8513100825387, "resize": 236.0013319728995 }, "max_cash_weight": 0.3453948492329343, "max_drawdown": -0.0492454204980024, "mean_cash_weight": 0.10851798729838558, "nonzero_trade_event_count": 12, "order_count": 34, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1887992.327246592, "start_session": "2015-12-31", "total_return": 0.1278584145667534, "traded_notional_by_category": { "entry": 1969366.7518562018, "exit": 1329702.6201650775, "resize": 472002.663945799 }, "transaction_cost": 1885.536017983539, "transaction_cost_over_anchor_nav": 0.0009986989834505128, "two_sided_turnover": 1.9021037817421305 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1662661672345185, "annualized_volatility": 0.07748461239668424, "cagr": 0.2823577185756643, "end_nav": 2730637.1798608648, "end_session": "2017-12-29", "fee_by_category": { "entry": 1266.6056492528828, "exit": 1275.5883139963248, "resize": 193.1184469335644 }, "max_cash_weight": 0.0, "max_drawdown": -0.02626776674280995, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2129388.032922536, "start_session": "2016-12-30", "total_return": 0.2823577185756643, "traded_notional_by_category": { "entry": 2533211.2985057654, "exit": 2551176.6279926496, "resize": 386236.89386712876 }, "transaction_cost": 2735.3124101827716, "transaction_cost_over_anchor_nav": 0.0012845532931959884, "two_sided_turnover": 2.1662661672345185 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8391541196884202, "annualized_volatility": 0.18795260147884182, "cagr": -0.07553699893940136, "end_nav": 2524373.0421018247, "end_session": "2018-12-31", "fee_by_category": { "entry": 1764.606320300109, "exit": 1780.222165481771, "resize": 226.99769157656155 }, "max_cash_weight": 0.0, "max_drawdown": -0.20319299121185008, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2730637.1798608648, "start_session": "2017-12-29", "total_return": -0.07553699893940136, "traded_notional_by_category": { "entry": 3529212.6406002175, "exit": 3560444.330963542, "resize": 453995.3831531231 }, "transaction_cost": 3771.826177358442, "transaction_cost_over_anchor_nav": 0.0013812989163029814, "two_sided_turnover": 2.8391541196884202 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5423756390008578, "annualized_volatility": 0.11710951688634103, "cagr": 0.34027557636289574, "end_nav": 3383355.5339579796, "end_session": "2019-12-31", "fee_by_category": { "entry": 990.3517516101908, "exit": 973.0327382852727, "resize": 330.36748656504267 }, "max_cash_weight": 0.0, "max_drawdown": -0.048406015520418566, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2524373.0421018247, "start_session": "2018-12-31", "total_return": 0.34027557636289574, "traded_notional_by_category": { "entry": 1980703.5032203817, "exit": 1946065.4765705452, "resize": 660734.9731300853 }, "transaction_cost": 2293.7519764605063, "transaction_cost_over_anchor_nav": 0.0009086422403523607, "two_sided_turnover": 1.5423756390008578 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0871979438859327, "annualized_volatility": 0.304921726957919, "cagr": 0.03954658463347838, "end_nav": 3517155.689926796, "end_session": "2020-12-31", "fee_by_category": { "entry": 1572.543959009657, "exit": 1574.1172896339783, "resize": 141.92751476888424 }, "max_cash_weight": 1.0, "max_drawdown": -0.3026753160366753, "mean_cash_weight": 0.5059288537549407, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3383355.5339579796, "start_session": "2019-12-31", "total_return": 0.03954658463347838, "traded_notional_by_category": { "entry": 3145087.9180193143, "exit": 3148234.579267957, "resize": 283855.02953776845 }, "transaction_cost": 3288.5887634125197, "transaction_cost_over_anchor_nav": 0.0009719903008731104, "two_sided_turnover": 2.0871979438859327 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 3.470252581583062, "annualized_volatility": 0.15470303969621924, "cagr": 0.1372649778248456, "end_nav": 3999937.9877111274, "end_session": "2021-12-31", "fee_by_category": { "entry": 3236.4213197574, "exit": 3235.3204252003216, "resize": 259.4432562499966 }, "max_cash_weight": 1.3780125070716503e-16, "max_drawdown": -0.07629064664838114, "mean_cash_weight": 6.17364986073142e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3517155.689926796, "start_session": "2020-12-31", "total_return": 0.1372649778248456, "traded_notional_by_category": { "entry": 6472842.6395148, "exit": 6470640.850400643, "resize": 518886.5124999932 }, "transaction_cost": 6731.185001207718, "transaction_cost_over_anchor_nav": 0.0019138149102941237, "two_sided_turnover": 3.470252581583062 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7249541031497253, "annualized_volatility": 0.19267342346145122, "cagr": 0.1168525867436272, "end_nav": 4467341.088389272, "end_session": "2022-12-30", "fee_by_category": { "entry": 697.286646116115, "exit": 2092.2075855255284, "resize": 942.7941905619243 }, "max_cash_weight": 0.6894765046261285, "max_drawdown": -0.14329918164342614, "mean_cash_weight": 0.11265517499756156, "nonzero_trade_event_count": 12, "order_count": 35, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3999937.9877111274, "start_session": "2021-12-31", "total_return": 0.1168525867436272, "traded_notional_by_category": { "entry": 1394573.2922322298, "exit": 4184415.171051056, "resize": 1885588.3811238487 }, "transaction_cost": 3732.2884222035677, "transaction_cost_over_anchor_nav": 0.000933086571259392, "two_sided_turnover": 1.7249541031497253 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 1.603558581319837, "annualized_volatility": 0.11920402058274343, "cagr": 0.14780490100179167, "end_nav": 5127635.995699884, "end_session": "2023-12-29", "fee_by_category": { "entry": 2245.775060244038, "exit": 769.7117666983371, "resize": 631.7411307193203 }, "max_cash_weight": 0.6851814409499873, "max_drawdown": -0.08406327356690446, "mean_cash_weight": 0.2167183006397747, "nonzero_trade_event_count": 12, "order_count": 29, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4467341.088389272, "start_session": "2022-12-30", "total_return": 0.14780490100179167, "traded_notional_by_category": { "entry": 4491550.120488076, "exit": 1539423.533396674, "resize": 1263482.2614386405 }, "transaction_cost": 3647.227957661695, "transaction_cost_over_anchor_nav": 0.0008164203013602273, "two_sided_turnover": 1.603558581319837 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2748439461686996, "annualized_volatility": 0.13968773468311632, "cagr": 0.18207169061861905, "end_nav": 6061233.350313848, "end_session": "2024-12-31", "fee_by_category": { "entry": 2795.7450888077383, "exit": 2802.588618384306, "resize": 773.1748798960933 }, "max_cash_weight": 1.555920434348219e-16, "max_drawdown": -0.09096120740361324, "mean_cash_weight": 1.2520346313279065e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 5127635.995699884, "start_session": "2023-12-29", "total_return": 0.18207169061861905, "traded_notional_by_category": { "entry": 5591490.177615477, "exit": 5605177.236768612, "resize": 1546349.7597921866 }, "transaction_cost": 6371.508587088138, "transaction_cost_over_anchor_nav": 0.0012425820772830568, "two_sided_turnover": 2.2748439461686996 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8489694077743444, "annualized_volatility": 0.16158774062475498, "cagr": 0.05700091944358654, "end_nav": 6406729.224243868, "end_session": "2025-12-31", "fee_by_category": { "entry": 4300.826545480772, "exit": 4314.428171815962, "resize": 576.000241411074 }, "max_cash_weight": 1.484320241287247e-16, "max_drawdown": -0.13252238506410308, "mean_cash_weight": 3.645330769386593e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6061233.350313848, "start_session": "2024-12-31", "total_return": 0.05700091944358654, "traded_notional_by_category": { "entry": 8601653.090961546, "exit": 8628856.343631923, "resize": 1152000.482822148 }, "transaction_cost": 9191.254958707808, "transaction_cost_over_anchor_nav": 0.001516400116526101, "two_sided_turnover": 2.8489694077743444 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.144831197282512, "annualized_volatility": 0.16496111565274119, "cagr": 0.07821608653611722, "end_nav": 6406729.224243868, "end_session": "2025-12-31", "fee_by_category": { "entry": 28207.439209970562, "exit": 28154.784473786935, "resize": 5959.362212108224 }, "max_cash_weight": 1.0, "max_drawdown": -0.4409653409315816, "mean_cash_weight": 0.126660004856044, "nonzero_trade_event_count": 285, "order_count": 859, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 974969.8670938297, "start_session": "2000-12-29", "total_return": 5.571207419303036, "traded_notional_by_category": { "entry": 56414878.41994113, "exit": 56309568.94757386, "resize": 11918724.42421645 }, "transaction_cost": 62321.58589586572, "transaction_cost_over_anchor_nav": 0.06392155080816254, "two_sided_turnover": 53.6207799320628 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6972929.0867747525, "end_session": "2026-10-02", "fee_by_category": { "entry": 2311.702285471982, "exit": 2359.4060384059535, "resize": 952.3481093810649 }, "max_cash_weight": 1.565040633931392e-16, "max_drawdown": -0.10690054032219654, "mean_cash_weight": 6.224606173949753e-17, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 6406729.224243868, "start_session": "2025-12-31", "total_return": 0.08837580654857602, "traded_notional_by_category": { "entry": 4623404.570943964, "exit": 4718812.076811907, "resize": 1904696.2187621298 }, "transaction_cost": 5623.456433259, "transaction_cost_over_anchor_nav": 0.0008777421733353635, "two_sided_turnover": 1.6267193186190374 } }, "monthly_risk": { "beta_intercept_per_month": 0.0009857025723567859, "beta_to_SPY_excess_returns": 0.7084814409805725, "monthly_return_volatility_annualized": 0.13416452804992843, "months": 300, "sharpe_monthly_annualized": 0.502944009262082, "tracking_error_monthly_annualized": 0.09257723079953735 }, "phase": [ 4, 10 ], "policy": "B", "run_id": "BMIX-04-10-5bps", "signal": "mixed" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.5654278279184797, "annualized_volatility": 0.1623575320151948, "cagr": -0.1264505862203248, "end_nav": 792747.843844076, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.20953291961915466, "mean_cash_weight": 0.0806451612903226, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 907502.0042816047, "start_session": "2000-12-29", "total_return": -0.1264505862203248, "traded_notional_by_category": { "entry": 585611.315649429, "exit": 1381019.5199555452, "resize": 191971.40392689747 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.5654278279184797 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.806215614604485, "annualized_volatility": 0.22095172439875885, "cagr": -0.09876234554822805, "end_nav": 714454.2073577347, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.23917106879912797, "mean_cash_weight": 0.46880060229978593, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 792747.843844076, "start_session": "2001-12-31", "total_return": -0.09876234554822805, "traded_notional_by_category": { "entry": 792747.843844076, "exit": 493093.9074985943, "resize": 86954.47776981615 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.806215614604485 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.398829694934292, "annualized_volatility": 0.057021186634784116, "cagr": 0.09486074887884244, "end_nav": 782227.8685073291, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6810158055801587, "max_drawdown": -0.03626760952790775, "mean_cash_weight": 0.6084531706928279, "nonzero_trade_event_count": 12, "order_count": 15, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 714454.2073577347, "start_session": "2002-12-31", "total_return": 0.09486074887884244, "traded_notional_by_category": { "entry": 733949.9389741251, "exit": 248044.19740727192, "resize": 43120.58861770245 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.398829694934292 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.870575123169844, "annualized_volatility": 0.11743970905795822, "cagr": 0.13155958049811733, "end_nav": 885137.4387420898, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.514456133101601e-16, "max_drawdown": -0.09774367863671074, "mean_cash_weight": 2.425965817903461e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 782227.8685073291, "start_session": "2003-12-31", "total_return": 0.13155958049811733, "traded_notional_by_category": { "entry": 1074633.6706642667, "exit": 1067795.6951405155, "resize": 171257.30017944876 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.870575123169844 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6531689010883446, "annualized_volatility": 0.14083743742164073, "cagr": 0.17312402822092987, "end_nav": 1038375.9976662769, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.3715007680962764e-16, "max_drawdown": -0.10133613355512516, "mean_cash_weight": 6.904411048621567e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 885137.4387420898, "start_session": "2004-12-31", "total_return": 0.17312402822092987, "traded_notional_by_category": { "entry": 663005.0694725122, "exit": 667334.591944687, "resize": 309016.6870611621 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6531689010883446 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.615414256477698, "annualized_volatility": 0.14664237825090182, "cagr": 0.16341913264743524, "end_nav": 1208066.5025668151, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.2061316543030166e-16, "max_drawdown": -0.10752256304763663, "mean_cash_weight": 4.7890536102637124e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1038375.9976662769, "start_session": "2005-12-30", "total_return": 0.16341913264743524, "traded_notional_by_category": { "entry": 1916317.999471587, "exit": 1923950.4873914209, "resize": 300459.6717959786 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.615414256477698 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.795499718192368, "annualized_volatility": 0.13373049013688926, "cagr": 0.18043557838474955, "end_nav": 1426044.6806847, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8429632644980573e-16, "max_drawdown": -0.07539401810364077, "mean_cash_weight": 1.440253760654e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1208066.5025668151, "start_session": "2006-12-29", "total_return": 0.18043557838474955, "traded_notional_by_category": { "entry": 1813144.221607726, "exit": 1820237.9201263103, "resize": 154459.53280491685 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.795499718192368 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.035847679149702, "annualized_volatility": 0.4323534128533363, "cagr": -0.4171775659854462, "end_nav": 831130.8318101639, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.5295273962657365, "mean_cash_weight": 0.08695652173913053, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1426044.6806847, "start_session": "2007-12-31", "total_return": -0.4171775659854462, "traded_notional_by_category": { "entry": 491480.43773558765, "exit": 1319640.5592369381, "resize": 491663.39352627395 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.035847679149702 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9999999999999999, "annualized_volatility": 0.027540936677691145, "cagr": 0.025432947235335845, "end_nav": 852268.9384012526, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.016007443185795944, "mean_cash_weight": 0.9126984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 831130.8318101639, "start_session": "2008-12-31", "total_return": 0.025432947235335845, "traded_notional_by_category": { "entry": 831130.8318101638, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.9999999999999999 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5312135650621645, "annualized_volatility": 0.1820031483343817, "cagr": 0.18950141521630592, "end_nav": 1013775.1083731886, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.465292465901171e-16, "max_drawdown": -0.1581301602181303, "mean_cash_weight": 7.585941691851369e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 852268.9384012526, "start_session": "2009-12-31", "total_return": 0.18950141521630592, "traded_notional_by_category": { "entry": 612709.3009692226, "exit": 621124.5210246718, "resize": 165135.2981230881 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5312135650621645 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.898114421430681, "annualized_volatility": 0.20615326757708402, "cagr": 0.061937904355407136, "end_nav": 1076566.2140734997, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.1461110318172369e-16, "max_drawdown": -0.167179399242398, "mean_cash_weight": 1.7368457795603154e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1013775.1083731886, "start_session": "2010-12-31", "total_return": 0.061937904355407136, "traded_notional_by_category": { "entry": 1433358.4178913224, "exit": 1423445.5295061832, "resize": 244505.0464204462 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.898114421430681 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1862867481510686, "annualized_volatility": 0.10633405760337943, "cagr": 0.15287680808662785, "end_nav": 1241148.2205749615, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.139819645914944e-16, "max_drawdown": -0.0777102135008233, "mean_cash_weight": 8.312482827063536e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1076566.2140734997, "start_session": "2011-12-30", "total_return": 0.15287680808662785, "traded_notional_by_category": { "entry": 1195862.1842523809, "exit": 1209889.0431147094, "resize": 200216.96802885883 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.1862867481510686 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.123321398671522, "annualized_volatility": 0.11103945268456016, "cagr": 0.3373241696973166, "end_nav": 1659817.5135517123, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5751669165380153e-16, "max_drawdown": -0.05262226528991576, "mean_cash_weight": 2.5221825204065443e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1241148.2205749615, "start_session": "2012-12-31", "total_return": 0.3373241696973166, "traded_notional_by_category": { "entry": 1575625.9256443554, "exit": 1578773.4239496035, "resize": 173783.41115089238 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.123321398671522 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.852988294013926, "annualized_volatility": 0.127673788658422, "cagr": 0.033663533437106485, "end_nav": 1715692.8359186552, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4404813329599027e-16, "max_drawdown": -0.09925309439130625, "mean_cash_weight": 6.834966889758074e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1659817.5135517123, "start_session": "2013-12-31", "total_return": 0.033663533437106485, "traded_notional_by_category": { "entry": 2287377.9840573827, "exit": 2273979.8338011918, "resize": 330343.58450723946 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.852988294013926 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5393399671468833, "annualized_volatility": 0.16208427658230093, "cagr": 0.044394677164579566, "end_nav": 1791860.465482846, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4017939055433633e-16, "max_drawdown": -0.11970622650410345, "mean_cash_weight": 6.636101580735721e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1715692.8359186552, "start_session": "2014-12-31", "total_return": 0.044394677164579566, "traded_notional_by_category": { "entry": 1198157.4085320663, "exit": 1187230.4593645036, "resize": 368542.4145295422 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5393399671468833 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.239806747862393, "annualized_volatility": 0.12535027903870505, "cagr": 0.0956345143568571, "end_nav": 1963224.17089455, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3101077097374909e-16, "max_drawdown": -0.08084397421208378, "mean_cash_weight": 7.312915311721935e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1791860.465482846, "start_session": "2015-12-31", "total_return": 0.0956345143568571, "traded_notional_by_category": { "entry": 1863873.3755232894, "exit": 1930281.4806498196, "resize": 380713.1670009411 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.239806747862393 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8056680950429516, "annualized_volatility": 0.07127138539214545, "cagr": 0.2560892407357347, "end_nav": 2465984.7582129776, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.1132294230801437e-16, "max_drawdown": -0.02686235847036955, "mean_cash_weight": 9.368643696217547e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1963224.17089455, "start_session": "2016-12-30", "total_return": 0.2560892407357347, "traded_notional_by_category": { "entry": 3109481.8924966175, "exit": 3126499.7823376455, "resize": 293518.7184823307 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8056680950429516 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4982302437069897, "annualized_volatility": 0.17780771316799987, "cagr": -0.0881547131897773, "end_nav": 2248596.57912235, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.20787048092425786, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2465984.7582129776, "start_session": "2017-12-29", "total_return": -0.0881547131897773, "traded_notional_by_category": { "entry": 4185533.982181265, "exit": 4174725.839572883, "resize": 429340.9477245107 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.4982302437069897 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5188993818873906, "annualized_volatility": 0.10730828926868545, "cagr": 0.28612329299851136, "end_nav": 2891972.4369660243, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9546471313141621e-16, "max_drawdown": -0.04840162199094922, "mean_cash_weight": 8.708145271304933e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2248596.57912235, "start_session": "2018-12-31", "total_return": 0.28612329299851136, "traded_notional_by_category": { "entry": 1618297.5720280327, "exit": 1609792.4692102675, "resize": 491374.9919115292 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5188993818873906 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2288328145707985, "annualized_volatility": 0.33150091845479956, "cagr": 0.18115420180717745, "end_nav": 3415865.3954329626, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5315587428666056e-16, "max_drawdown": -0.30266992317089536, "mean_cash_weight": 3.70809890070911e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2891972.4369660243, "start_session": "2019-12-31", "total_return": 0.18115420180717745, "traded_notional_by_category": { "entry": 3172025.8550221175, "exit": 3139642.352578954, "resize": 697298.1044357556 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2288328145707985 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.809830616087116, "annualized_volatility": 0.16131399029401902, "cagr": 0.1480029226577304, "end_nav": 3921423.457362445, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3790275239450842e-16, "max_drawdown": -0.08344055421957075, "mean_cash_weight": 5.148479468044531e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3415865.3954329626, "start_session": "2020-12-31", "total_return": 0.1480029226577304, "traded_notional_by_category": { "entry": 5100570.648467004, "exit": 5070514.364647001, "resize": 551785.8712658295 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.809830616087116 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.999339089757692, "annualized_volatility": 0.21967164559995142, "cagr": -0.12428284693003167, "end_nav": 3434057.786063233, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5602773548390708e-16, "max_drawdown": -0.2481253591996475, "mean_cash_weight": 9.282943957522574e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3921423.457362445, "start_session": "2021-12-31", "total_return": -0.12428284693003167, "traded_notional_by_category": { "entry": 4589930.452141354, "exit": 4622915.5489794845, "resize": 1111085.9075480923 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.999339089757692 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.801976560281922, "annualized_volatility": 0.12169675150924864, "cagr": 0.046440221032691964, "end_nav": 3593536.1886870465, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4867735302836682e-16, "max_drawdown": -0.11085380555603752, "mean_cash_weight": 5.607678122449024e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 3434057.786063233, "start_session": "2022-12-30", "total_return": 0.046440221032691964, "traded_notional_by_category": { "entry": 4455109.515937609, "exit": 4408922.98414215, "resize": 504488.12202927517 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.801976560281922 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8607187519028052, "annualized_volatility": 0.13059781249878277, "cagr": 0.14372734730313552, "end_nav": 4110025.612524856, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3338551916699188e-16, "max_drawdown": -0.08278626940748757, "mean_cash_weight": 5.1772331067807755e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3593536.1886870465, "start_session": "2023-12-29", "total_return": 0.14372734730313552, "traded_notional_by_category": { "entry": 5320066.650218654, "exit": 5254248.760079632, "resize": 815369.8039725949 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8607187519028052 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2015753520300043, "annualized_volatility": 0.15530011689707568, "cagr": 0.12495895303553839, "end_nav": 4623610.110015209, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.453663937321741e-16, "max_drawdown": -0.1325086709766995, "mean_cash_weight": 5.5034071211287e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4110025.612524856, "start_session": "2024-12-31", "total_return": 0.12495895303553839, "traded_notional_by_category": { "entry": 4562718.088907062, "exit": 4622865.63586841, "resize": 830900.1475821445 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2015753520300043 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.353484834525661, "annualized_volatility": 0.17729803691414875, "cagr": 0.06729713707289608, "end_nav": 4623610.110015209, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.5295273962657365, "mean_cash_weight": 0.08644312880453937, "nonzero_trade_event_count": 284, "order_count": 903, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 907502.0042816047, "start_session": "2000-12-29", "total_return": 4.094875921156057, "traded_notional_by_category": { "entry": 55182720.58349921, "exit": 55175968.90752839, "resize": 9337305.560395267 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 58.83712086314152 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 5647744.718090101, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7788975947795159e-16, "max_drawdown": -0.07811493217876309, "mean_cash_weight": 1.9381932591420367e-17, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 4623610.110015209, "start_session": "2025-12-31", "total_return": 0.22150107463787072, "traded_notional_by_category": { "entry": 3594644.5650374843, "exit": 3316760.1028586347, "resize": 2167867.8956870213 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6995428167834996 } }, "monthly_risk": { "beta_intercept_per_month": -0.00013082437814298728, "beta_to_SPY_excess_returns": 0.7646034715218847, "monthly_return_volatility_annualized": 0.14263654709427148, "months": 300, "sharpe_monthly_annualized": 0.4103258578561787, "tracking_error_monthly_annualized": 0.09141324057885541 }, "phase": [ 5, 11 ], "policy": "B", "run_id": "BMIX-05-11-0bps", "signal": "mixed" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.564060325828146, "annualized_volatility": 0.1624442396518033, "cagr": -0.1286887699578121, "end_nav": 786949.643756625, "end_session": "2001-12-31", "fee_by_category": { "entry": 581.9777834001274, "exit": 1373.1423208223696, "resize": 190.49883426382382 }, "max_cash_weight": 1.0, "max_drawdown": -0.21071982127027544, "mean_cash_weight": 0.0806451612903226, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 903178.5848995907, "start_session": "2000-12-29", "total_return": -0.1286887699578121, "traded_notional_by_category": { "entry": 581977.7834001273, "exit": 1373142.3208223695, "resize": 190498.83426382384 }, "transaction_cost": 2145.6189384863205, "transaction_cost_over_anchor_nav": 0.0023756308822632855, "two_sided_turnover": 2.564060325828146 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8049732393198534, "annualized_volatility": 0.2210151551901385, "cagr": -0.10038825534694684, "end_nav": 707949.1419739961, "end_session": "2002-12-31", "fee_by_category": { "entry": 786.1634802763488, "exit": 488.94344830158315, "resize": 86.05272971292813 }, "max_cash_weight": 1.0, "max_drawdown": -0.2399482024466042, "mean_cash_weight": 0.46880060229978593, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 786949.643756625, "start_session": "2001-12-31", "total_return": -0.10038825534694684, "traded_notional_by_category": { "entry": 786163.4802763488, "exit": 488943.4483015831, "resize": 86052.72971292812 }, "transaction_cost": 1361.15965829086, "transaction_cost_over_anchor_nav": 0.0017296655117513687, "two_sided_turnover": 1.8049732393198534 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3983844410287876, "annualized_volatility": 0.05689389993042259, "cagr": 0.09333029218852595, "end_nav": 774022.2422490453, "end_session": "2003-12-31", "fee_by_category": { "entry": 726.4191043285917, "exit": 245.77864889635197, "resize": 42.87459713719084 }, "max_cash_weight": 0.6810158055801588, "max_drawdown": -0.03628098966811655, "mean_cash_weight": 0.6084531706928279, "nonzero_trade_event_count": 12, "order_count": 15, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 707949.1419739961, "start_session": "2002-12-31", "total_return": 0.09333029218852595, "traded_notional_by_category": { "entry": 726419.1043285917, "exit": 245778.64889635195, "resize": 42874.59713719084 }, "transaction_cost": 1015.0723503621344, "transaction_cost_over_anchor_nav": 0.0014338210051809334, "two_sided_turnover": 1.3983844410287876 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.868785306854239, "annualized_volatility": 0.11745794875419982, "cagr": 0.12831552144332048, "end_nav": 873341.3098719596, "end_session": "2004-12-31", "fee_by_category": { "entry": 1060.9207166829365, "exit": 1055.9080054323163, "resize": 169.6097236094117 }, "max_cash_weight": 1.5306274386506447e-16, "max_drawdown": -0.09775847003770877, "mean_cash_weight": 4.9734937531172265e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 774022.2422490453, "start_session": "2003-12-31", "total_return": 0.12831552144332048, "traded_notional_by_category": { "entry": 1060920.7166829365, "exit": 1055908.0054323163, "resize": 169609.7236094117 }, "transaction_cost": 2286.4384457246647, "transaction_cost_over_anchor_nav": 0.002953969951924188, "two_sided_turnover": 2.868785306854239 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6527071959081165, "annualized_volatility": 0.140710659563028, "cagr": 0.1711862512559763, "end_nav": 1022845.3347759243, "end_session": "2005-12-30", "fee_by_category": { "entry": 653.3432368857946, "exit": 658.0579750654902, "resize": 304.7464916364599 }, "max_cash_weight": 1.3824307975767311e-16, "max_drawdown": -0.10135882249848471, "mean_cash_weight": 3.0664258235269164e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 873341.3098719596, "start_session": "2004-12-31", "total_return": 0.1711862512559763, "traded_notional_by_category": { "entry": 653343.2368857947, "exit": 658057.9750654901, "resize": 304746.4916364599 }, "transaction_cost": 1616.1477035877447, "transaction_cost_over_anchor_nav": 0.0018505339038922685, "two_sided_turnover": 1.6527071959081165 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.612055704840254, "annualized_volatility": 0.14667650952305258, "cagr": 0.15922100528414207, "end_nav": 1185703.797229142, "end_session": "2006-12-29", "fee_by_category": { "entry": 1882.3667372937612, "exit": 1893.1831797132304, "resize": 295.25156790741175 }, "max_cash_weight": 0.0, "max_drawdown": -0.10872378531476445, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1022845.3347759243, "start_session": "2005-12-30", "total_return": 0.15922100528414207, "traded_notional_by_category": { "entry": 1882366.737293761, "exit": 1893183.1797132303, "resize": 295251.5679074117 }, "transaction_cost": 4070.801484914403, "transaction_cost_over_anchor_nav": 0.003979879798548622, "two_sided_turnover": 3.612055704840254 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.792812652996902, "annualized_volatility": 0.13362873672564388, "cagr": 0.17714081859240283, "end_nav": 1395740.3384784325, "end_session": "2007-12-31", "fee_by_category": { "entry": 1775.4898869960748, "exit": 1785.4359932914683, "resize": 150.96231083279528 }, "max_cash_weight": 0.0, "max_drawdown": -0.07602726783010716, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1185703.797229142, "start_session": "2006-12-29", "total_return": 0.17714081859240283, "traded_notional_by_category": { "entry": 1775489.8869960746, "exit": 1785435.9932914684, "resize": 150962.31083279528 }, "transaction_cost": 3711.8881911203384, "transaction_cost_over_anchor_nav": 0.0031305358048060645, "two_sided_turnover": 2.792812652996902 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.035553194560202, "annualized_volatility": 0.43240621390876066, "cagr": -0.4183631511189665, "end_nav": 811814.0123287425, "end_session": "2008-12-31", "fee_by_category": { "entry": 480.63215149392795, "exit": 1290.6727158158842, "resize": 480.88114540163946 }, "max_cash_weight": 1.0, "max_drawdown": -0.5299333305704673, "mean_cash_weight": 0.08695652173913045, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1395740.3384784325, "start_session": "2007-12-31", "total_return": -0.4183631511189665, "traded_notional_by_category": { "entry": 480632.15149392793, "exit": 1290672.7158158843, "resize": 480881.14540163946 }, "transaction_cost": 2252.186012711452, "transaction_cost_over_anchor_nav": 0.0016136139012552107, "two_sided_turnover": 2.035553194560202 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9990009990009991, "annualized_volatility": 0.027309086994229622, "cagr": 0.02440853869663906, "end_nav": 831629.2060631425, "end_session": "2009-12-31", "fee_by_category": { "entry": 811.0030093194232, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.016007443185795833, "mean_cash_weight": 0.9126984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 811814.0123287425, "start_session": "2008-12-31", "total_return": 0.02440853869663906, "traded_notional_by_category": { "entry": 811003.0093194232, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 811.0030093194232, "transaction_cost_over_anchor_nav": 0.000999000999000999, "two_sided_turnover": 0.9990009990009991 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5303200377731356, "annualized_volatility": 0.1819672063621639, "cagr": 0.18768193492790508, "end_nav": 987710.9845996306, "end_session": "2010-12-31", "fee_by_category": { "entry": 597.1622604851539, "exit": 605.7787851992009, "resize": 160.71369167063216 }, "max_cash_weight": 1.4908748522557444e-16, "max_drawdown": -0.15873861511816711, "mean_cash_weight": 6.676501173287444e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 831629.2060631425, "start_session": "2009-12-31", "total_return": 0.18768193492790508, "traded_notional_by_category": { "entry": 597162.2604851538, "exit": 605778.7851992009, "resize": 160713.69167063216 }, "transaction_cost": 1363.6547373549868, "transaction_cost_over_anchor_nav": 0.0016397388733019672, "two_sided_turnover": 1.5303200377731356 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8972196795494995, "annualized_volatility": 0.20628241091829913, "cagr": 0.058863802187950176, "end_nav": 1045851.4086159687, "end_session": "2011-12-30", "fee_by_category": { "entry": 1393.5360248860607, "exit": 1385.7404212247002, "resize": 238.88632523248737 }, "max_cash_weight": 1.135816470259258e-16, "max_drawdown": -0.16839612421901873, "mean_cash_weight": 8.903570068815164e-18, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 987710.9845996306, "start_session": "2010-12-31", "total_return": 0.058863802187950176, "traded_notional_by_category": { "entry": 1393536.0248860605, "exit": 1385740.4212247003, "resize": 238886.32523248735 }, "transaction_cost": 3018.1627713432486, "transaction_cost_over_anchor_nav": 0.0030557144938168964, "two_sided_turnover": 2.8972196795494995 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1847161734213847, "annualized_volatility": 0.10650182315534377, "cagr": 0.15035954104405036, "end_nav": 1203105.1464157393, "end_session": "2012-12-31", "fee_by_category": { "entry": 1159.7150792299901, "exit": 1174.6580566043315, "resize": 193.89968878400262 }, "max_cash_weight": 0.0, "max_drawdown": -0.07773819862453146, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1045851.4086159687, "start_session": "2011-12-30", "total_return": 0.15035954104405036, "traded_notional_by_category": { "entry": 1159715.07922999, "exit": 1174658.0566043314, "resize": 193899.68878400262 }, "transaction_cost": 2528.272824618324, "transaction_cost_over_anchor_nav": 0.0024174302427570696, "two_sided_turnover": 2.1847161734213847 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.122619695679736, "annualized_volatility": 0.11103697026430077, "cagr": 0.3344870393696038, "end_nav": 1605528.2248906735, "end_session": "2013-12-31", "fee_by_category": { "entry": 1524.7508261973128, "exit": 1529.5416255794407, "resize": 169.05553907916922 }, "max_cash_weight": 0.0, "max_drawdown": -0.052629094667326015, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1203105.1464157393, "start_session": "2012-12-31", "total_return": 0.3344870393696038, "traded_notional_by_category": { "entry": 1524750.826197313, "exit": 1529541.6255794407, "resize": 169055.53907916922 }, "transaction_cost": 3223.347990855923, "transaction_cost_over_anchor_nav": 0.002679190593157082, "two_sided_turnover": 2.122619695679736 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.851235220971293, "annualized_volatility": 0.127730886628974, "cagr": 0.03071867482561985, "end_nav": 1654847.924354445, "end_session": "2014-12-31", "fee_by_category": { "entry": 2207.8601566407024, "exit": 2197.873227322987, "resize": 319.27677849953426 }, "max_cash_weight": 1.489280660262684e-16, "max_drawdown": -0.09931803418168905, "mean_cash_weight": 5.988149154259878e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1605528.2248906735, "start_session": "2013-12-31", "total_return": 0.03071867482561985, "traded_notional_by_category": { "entry": 2207860.1566407024, "exit": 2197873.2273229873, "resize": 319276.77849953424 }, "transaction_cost": 4725.010162463224, "transaction_cost_over_anchor_nav": 0.002942963000718949, "two_sided_turnover": 2.851235220971293 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5389222792533201, "annualized_volatility": 0.1620282759173612, "cagr": 0.04278820082187074, "end_nav": 1725655.8896713788, "end_session": "2015-12-31", "fee_by_category": { "entry": 1154.3097668028877, "exit": 1144.5470686928002, "resize": 355.4087220328703 }, "max_cash_weight": 1.4968235717403332e-16, "max_drawdown": -0.11971327566349743, "mean_cash_weight": 3.394838138391246e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1654847.924354445, "start_session": "2014-12-31", "total_return": 0.04278820082187074, "traded_notional_by_category": { "entry": 1154309.7668028874, "exit": 1144547.0686928001, "resize": 355408.7220328703 }, "transaction_cost": 2654.265557528558, "transaction_cost_over_anchor_nav": 0.0016039332185548017, "two_sided_turnover": 1.5389222792533201 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2377324776019827, "annualized_volatility": 0.12538723229751497, "cagr": 0.09318424564274652, "end_nav": 1886459.831989369, "end_session": "2016-12-30", "fee_by_category": { "entry": 1791.9606325471395, "exit": 1857.858200057975, "resize": 364.6363877173937 }, "max_cash_weight": 1.4679732080972613e-16, "max_drawdown": -0.08088932264554405, "mean_cash_weight": 4.322040575669368e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1725655.8896713788, "start_session": "2015-12-31", "total_return": 0.09318424564274652, "traded_notional_by_category": { "entry": 1791960.6325471397, "exit": 1857858.200057975, "resize": 364636.3877173937 }, "transaction_cost": 4014.4552203225085, "transaction_cost_over_anchor_nav": 0.002326335884431161, "two_sided_turnover": 2.2377324776019827 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8038398736852574, "annualized_volatility": 0.07138201150444588, "cagr": 0.25257004575991693, "end_nav": 2362923.078079169, "end_session": "2017-12-29", "fee_by_category": { "entry": 2981.5570421222255, "exit": 3001.88524182909, "resize": 281.57693866323706 }, "max_cash_weight": 0.0, "max_drawdown": -0.026877449626570904, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1886459.831989369, "start_session": "2016-12-30", "total_return": 0.25257004575991693, "traded_notional_by_category": { "entry": 2981557.0421222253, "exit": 3001885.24182909, "resize": 281576.93866323703 }, "transaction_cost": 6265.019222614552, "transaction_cost_over_anchor_nav": 0.003321045651954204, "two_sided_turnover": 2.8038398736852574 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4957720200207856, "annualized_volatility": 0.17761185984884353, "cagr": -0.0913393768409616, "end_nav": 2147095.156604291, "end_session": "2018-12-31", "fee_by_category": { "entry": 4000.087712885361, "exit": 3996.7069714570066, "resize": 411.8303320424203 }, "max_cash_weight": 0.0, "max_drawdown": -0.21062956224286478, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2362923.078079169, "start_session": "2017-12-29", "total_return": -0.0913393768409616, "traded_notional_by_category": { "entry": 4000087.7128853602, "exit": 3996706.9714570064, "resize": 411830.3320424203 }, "transaction_cost": 8408.625016384787, "transaction_cost_over_anchor_nav": 0.00355856908521127, "two_sided_turnover": 3.4957720200207856 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5184491211397317, "annualized_volatility": 0.1073371800312086, "cagr": 0.28417071780470615, "end_nav": 2757236.72845154, "end_session": "2019-12-31", "fee_by_category": { "entry": 1543.0767455312334, "exit": 1537.0156435721735, "resize": 469.7803162651471 }, "max_cash_weight": 0.0, "max_drawdown": -0.04841041051488637, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2147095.156604291, "start_session": "2018-12-31", "total_return": 0.28417071780470615, "traded_notional_by_category": { "entry": 1543076.7455312335, "exit": 1537015.6435721735, "resize": 469780.31626514706 }, "transaction_cost": 3549.8727053685543, "transaction_cost_over_anchor_nav": 0.0016533373914283365, "two_sided_turnover": 1.5184491211397317 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.228114374365001, "annualized_volatility": 0.33148098772904144, "cagr": 0.1785240553730123, "end_nav": 3249469.8108381266, "end_session": "2020-12-31", "fee_by_category": { "entry": 3018.8073006136196, "exit": 2991.404546487847, "resize": 665.8003118132867 }, "max_cash_weight": 0.0, "max_drawdown": -0.3026807071054324, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2757236.72845154, "start_session": "2019-12-31", "total_return": 0.1785240553730123, "traded_notional_by_category": { "entry": 3018807.30061362, "exit": 2991404.546487847, "resize": 665800.3118132867 }, "transaction_cost": 6676.012158914754, "transaction_cost_over_anchor_nav": 0.0024212691242742846, "two_sided_turnover": 2.228114374365001 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8080325871292957, "annualized_volatility": 0.16133221908703363, "cagr": 0.14478175170565, "end_nav": 3719933.742165898, "end_session": "2021-12-31", "fee_by_category": { "entry": 4841.924846827849, "exit": 4819.792835334568, "resize": 524.5399689526479 }, "max_cash_weight": 1.4215816767780088e-16, "max_drawdown": -0.08467284169085643, "mean_cash_weight": 4.263387707917768e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3249469.8108381266, "start_session": "2020-12-31", "total_return": 0.14478175170565, "traded_notional_by_category": { "entry": 4841924.84682785, "exit": 4819792.835334567, "resize": 524539.9689526479 }, "transaction_cost": 10186.257651115066, "transaction_cost_over_anchor_nav": 0.0031347445103629855, "two_sided_turnover": 2.8080325871292957 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.9970928427526813, "annualized_volatility": 0.21969529650105254, "cagr": -0.1269054840440741, "end_nav": 3247853.750004451, "end_session": "2022-12-30", "fee_by_category": { "entry": 4343.875691098129, "exit": 4382.331155458112, "resize": 1052.5489857717282 }, "max_cash_weight": 1.6482874555342277e-16, "max_drawdown": -0.24970028326077687, "mean_cash_weight": 1.2818461426271614e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3719933.742165898, "start_session": "2021-12-31", "total_return": -0.1269054840440741, "traded_notional_by_category": { "entry": 4343875.691098129, "exit": 4382331.155458113, "resize": 1052548.9857717282 }, "transaction_cost": 9778.75583232797, "transaction_cost_over_anchor_nav": 0.0026287446256057175, "two_sided_turnover": 2.9970928427526813 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.801085024734187, "annualized_volatility": 0.12151800540811107, "cagr": 0.043511297607059074, "end_nav": 3389172.081105097, "end_session": "2023-12-29", "fee_by_category": { "entry": 4204.56753336826, "exit": 4166.55650675204, "resize": 479.59651521628854 }, "max_cash_weight": 1.531237948155721e-16, "max_drawdown": -0.11087477921760769, "mean_cash_weight": 2.4885170588177054e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 3247853.750004451, "start_session": "2022-12-30", "total_return": 0.043511297607059074, "traded_notional_by_category": { "entry": 4204567.53336826, "exit": 4166556.5067520393, "resize": 479596.5152162885 }, "transaction_cost": 8850.720555336587, "transaction_cost_over_anchor_nav": 0.002725098245364176, "two_sided_turnover": 2.801085024734187 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8589058059756765, "annualized_volatility": 0.13080231966970096, "cagr": 0.1404596723658893, "end_nav": 3865214.081208738, "end_session": "2024-12-31", "fee_by_category": { "entry": 5005.851391259414, "exit": 4952.0816699318475, "resize": 769.9728340804063 }, "max_cash_weight": 1.3327124742049945e-16, "max_drawdown": -0.08339794912112053, "mean_cash_weight": 4.2264285046307103e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3389172.081105097, "start_session": "2023-12-29", "total_return": 0.1404596723658893, "traded_notional_by_category": { "entry": 5005851.391259414, "exit": 4952081.669931848, "resize": 769972.8340804062 }, "transaction_cost": 10727.905895271668, "transaction_cost_over_anchor_nav": 0.0031653470636916294, "two_sided_turnover": 2.8589058059756765 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1995070088488675, "annualized_volatility": 0.15538354781530245, "cagr": 0.12248604412071518, "end_nav": 4338648.863695681, "end_session": "2025-12-31", "fee_by_category": { "entry": 4283.510634341228, "exit": 4344.897456383419, "resize": 776.994664014994 }, "max_cash_weight": 1.2151606995239773e-16, "max_drawdown": -0.1325360972063151, "mean_cash_weight": 2.7907685970900695e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 3865214.081208738, "start_session": "2024-12-31", "total_return": 0.12248604412071518, "traded_notional_by_category": { "entry": 4283510.634341228, "exit": 4344897.456383418, "resize": 776994.6640149939 }, "transaction_cost": 9405.402754739642, "transaction_cost_over_anchor_nav": 0.00243334587868374, "two_sided_turnover": 2.1995070088488675 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.3520758913295734, "annualized_volatility": 0.17730919877613743, "cagr": 0.06478821281971059, "end_nav": 4338648.863695681, "end_session": "2025-12-31", "fee_by_category": { "entry": 52810.86975151355, "exit": 52879.79169922623, "resize": 8955.395400337906 }, "max_cash_weight": 1.0, "max_drawdown": -0.5299333305704673, "mean_cash_weight": 0.08644312880453933, "nonzero_trade_event_count": 284, "order_count": 903, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 903178.5848995907, "start_session": "2000-12-29", "total_return": 3.8037552442389044, "traded_notional_by_category": { "entry": 52810869.751513556, "exit": 52879791.69922623, "resize": 8955395.400337907 }, "transaction_cost": 114646.0568510777, "transaction_cost_over_anchor_nav": 0.12693619929421077, "two_sided_turnover": 58.801897283239335 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 5290662.681186114, "end_session": "2026-10-02", "fee_by_category": { "entry": 3367.9505348402486, "exit": 3111.7382857797174, "resize": 2034.7992195652002 }, "max_cash_weight": 0.0, "max_drawdown": -0.0781649701685907, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 4338648.863695681, "start_session": "2025-12-31", "total_return": 0.21942633464914785, "traded_notional_by_category": { "entry": 3367950.5348402485, "exit": 3111738.2857797174, "resize": 2034799.2195652002 }, "transaction_cost": 8514.488040185166, "transaction_cost_over_anchor_nav": 0.001962474564704111, "two_sided_turnover": 1.6990629998284459 } }, "monthly_risk": { "beta_intercept_per_month": -0.00032947927829256405, "beta_to_SPY_excess_returns": 0.764869443056914, "monthly_return_volatility_annualized": 0.14264872144037066, "months": 300, "sharpe_monthly_annualized": 0.3937417149922749, "tracking_error_monthly_annualized": 0.09136791717791304 }, "phase": [ 5, 11 ], "policy": "B", "run_id": "BMIX-05-11-10bps", "signal": "mixed" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.562014172015712, "annualized_volatility": 0.16260631021874533, "cagr": -0.13203540772527755, "end_nav": 778334.2653673925, "end_session": "2001-12-31", "fee_by_category": { "entry": 1441.4316341533945, "exit": 3403.54496961164, "resize": 470.7774204532671 }, "max_cash_weight": 1.0, "max_drawdown": -0.21249544319581481, "mean_cash_weight": 0.08064516129032262, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 896735.0422988674, "start_session": "2000-12-29", "total_return": -0.13203540772527755, "traded_notional_by_category": { "entry": 576572.6536613578, "exit": 1361417.9878446562, "resize": 188310.96818130685 }, "transaction_cost": 5315.754024218302, "transaction_cost_over_anchor_nav": 0.005927898178921223, "two_sided_turnover": 2.562014172015712 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8031137488728584, "annualized_volatility": 0.2211221593571224, "cagr": -0.10281994010735096, "end_nav": 698305.9828188182, "end_session": "2002-12-31", "fee_by_category": { "entry": 1940.983205404969, "exit": 1206.9641143595366, "resize": 211.79414710743396 }, "max_cash_weight": 1.0, "max_drawdown": -0.24111097465276976, "mean_cash_weight": 0.46880060229978593, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 778334.2653673925, "start_session": "2001-12-31", "total_return": -0.10281994010735096, "traded_notional_by_category": { "entry": 776393.2821619876, "exit": 482785.64574381465, "resize": 84717.65884297359 }, "transaction_cost": 3359.74146687194, "transaction_cost_over_anchor_nav": 0.004316579156753508, "two_sided_turnover": 1.8031137488728584 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3977171423673131, "annualized_volatility": 0.05673241069982631, "cagr": 0.09103860333303904, "end_nav": 761878.7841937486, "end_session": "2003-12-31", "fee_by_category": { "entry": 1788.1781652908935, "exit": 606.0507492696845, "resize": 106.26730809457396 }, "max_cash_weight": 0.6810158055801587, "max_drawdown": -0.03630104311134297, "mean_cash_weight": 0.6084531706928279, "nonzero_trade_event_count": 12, "order_count": 15, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 698305.9828188182, "start_session": "2002-12-31", "total_return": 0.09103860333303904, "traded_notional_by_category": { "entry": 715271.2661163574, "exit": 242420.2997078738, "resize": 42506.923237829586 }, "transaction_cost": 2500.4962226551525, "transaction_cost_over_anchor_nav": 0.003580803092308503, "two_sided_turnover": 1.3977171423673131 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8661084192472575, "annualized_volatility": 0.11755589299629877, "cagr": 0.12346502263776671, "end_nav": 855944.1655314639, "end_session": "2004-12-31", "fee_by_category": { "entry": 2601.7093279108876, "exit": 2595.8278631078383, "resize": 417.9175592876457 }, "max_cash_weight": 1.5306319565966044e-16, "max_drawdown": -0.09778066022624832, "mean_cash_weight": 4.9706993738509246e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 761878.7841937486, "start_session": "2003-12-31", "total_return": 0.12346502263776671, "traded_notional_by_category": { "entry": 1040683.7311643551, "exit": 1038331.1452431354, "resize": 167167.02371505828 }, "transaction_cost": 5615.454750306372, "transaction_cost_over_anchor_nav": 0.007370535663686812, "two_sided_turnover": 2.8661084192472575 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.652015326285307, "annualized_volatility": 0.14053313613833263, "cagr": 0.16828555870779494, "end_nav": 999987.2076506036, "end_session": "2005-12-30", "fee_by_category": { "entry": 1597.7906051971122, "exit": 1610.9667694729123, "resize": 746.131973324586 }, "max_cash_weight": 1.4105834545600664e-16, "max_drawdown": -0.10139288429835769, "mean_cash_weight": 7.170757862888255e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 855944.1655314639, "start_session": "2004-12-31", "total_return": 0.16828555870779494, "traded_notional_by_category": { "entry": 639116.2420788448, "exit": 644386.707789165, "resize": 298452.7893298344 }, "transaction_cost": 3954.8893479946105, "transaction_cost_over_anchor_nav": 0.00462049921858978, "two_sided_turnover": 1.652015326285307 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.6070304975986245, "annualized_volatility": 0.14680121459621842, "cagr": 0.15295413008689307, "end_nav": 1152939.381094823, "end_session": "2006-12-29", "fee_by_category": { "entry": 4581.443262984007, "exit": 4619.905745017813, "resize": 719.0225522875321 }, "max_cash_weight": 1.1350385200362822e-16, "max_drawdown": -0.11052112536532954, "mean_cash_weight": 1.0208594067462976e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 999987.2076506036, "start_session": "2005-12-30", "total_return": 0.15295413008689307, "traded_notional_by_category": { "entry": 1832577.3051936026, "exit": 1847962.298007125, "resize": 287609.0209150128 }, "transaction_cost": 9920.371560289352, "transaction_cost_over_anchor_nav": 0.009920498466771925, "two_sided_turnover": 3.6070304975986245 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7887921097388455, "annualized_volatility": 0.13353959974342236, "cagr": 0.172217916862069, "end_nav": 1351496.1995752165, "end_session": "2007-12-31", "fee_by_category": { "entry": 4301.209150693343, "exit": 4336.22028814696, "resize": 364.6568737763126 }, "max_cash_weight": 0.0, "max_drawdown": -0.07697477335264202, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1152939.381094823, "start_session": "2006-12-29", "total_return": 0.172217916862069, "traded_notional_by_category": { "entry": 1720483.6602773368, "exit": 1734488.115258784, "resize": 145862.74951052503 }, "transaction_cost": 9002.086312616615, "transaction_cost_over_anchor_nav": 0.0078079441644783604, "two_sided_turnover": 2.7887921097388455 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0352341383569836, "annualized_volatility": 0.43249145817705775, "cagr": -0.4201381391825708, "end_nav": 783681.1011733687, "end_session": "2008-12-31", "fee_by_category": { "entry": 1162.0253683395545, "exit": 3121.0444709036474, "resize": 1163.3094169390902 }, "max_cash_weight": 1.0, "max_drawdown": -0.5305417040170082, "mean_cash_weight": 0.08695652173913043, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1351496.1995752165, "start_session": "2007-12-31", "total_return": -0.4201381391825708, "traded_notional_by_category": { "entry": 464810.1473358219, "exit": 1248417.788361459, "resize": 465323.76677563606 }, "transaction_cost": 5446.379256182292, "transaction_cost_over_anchor_nav": 0.004029888695132196, "two_sided_turnover": 2.0352341383569836 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9975062344139652, "annualized_volatility": 0.027028458315657203, "cagr": 0.022875757840733923, "end_nav": 801608.4002681705, "end_session": "2009-12-31", "fee_by_category": { "entry": 1954.316960532092, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.016007443185795833, "mean_cash_weight": 0.9126984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 783681.1011733687, "start_session": "2008-12-31", "total_return": 0.022875757840733923, "traded_notional_by_category": { "entry": 781726.7842128368, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 1954.316960532092, "transaction_cost_over_anchor_nav": 0.002493765586034913, "two_sided_turnover": 0.9975062344139652 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5289826471083978, "annualized_volatility": 0.18192280528254265, "cagr": 0.18495982304326986, "end_nav": 949873.74813177, "end_session": "2010-12-31", "fee_by_category": { "entry": 1436.457928987433, "exit": 1458.6817024325528, "resize": 385.75761415317385 }, "max_cash_weight": 1.5485474724339467e-16, "max_drawdown": -0.15964905094085402, "mean_cash_weight": 3.6195957825453197e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 801608.4002681705, "start_session": "2009-12-31", "total_return": 0.18495982304326986, "traded_notional_by_category": { "entry": 574583.1715949732, "exit": 583472.6809730211, "resize": 154303.04566126954 }, "transaction_cost": 3280.8972455731596, "transaction_cost_over_anchor_nav": 0.004092892794630852, "two_sided_turnover": 1.5289826471083978 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8958787729714084, "annualized_volatility": 0.20650744372998533, "cagr": 0.05426580974015338, "end_nav": 1001419.4162250549, "end_session": "2011-12-30", "fee_by_category": { "entry": 3339.691212515564, "exit": 3327.6464124590357, "resize": 576.7365738168451 }, "max_cash_weight": 1.3406021096732219e-16, "max_drawdown": -0.1702193469856912, "mean_cash_weight": 5.936087965979628e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 949873.74813177, "start_session": "2010-12-31", "total_return": 0.05426580974015338, "traded_notional_by_category": { "entry": 1335876.4850062255, "exit": 1331058.5649836143, "resize": 230694.62952673802 }, "transaction_cost": 7244.074198791445, "transaction_cost_over_anchor_nav": 0.00762635477929486, "two_sided_turnover": 2.8958787729714084 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.182365659423981, "annualized_volatility": 0.10679219542171624, "cagr": 0.1465958032088388, "end_nav": 1148223.2998954933, "end_session": "2012-12-31", "fee_by_category": { "entry": 2768.85085918657, "exit": 2809.329056082935, "resize": 461.991817709818 }, "max_cash_weight": 1.1503257334403413e-16, "max_drawdown": -0.07778019357877508, "mean_cash_weight": 1.8708403614226143e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1001419.4162250549, "start_session": "2011-12-30", "total_return": 0.1465958032088388, "traded_notional_by_category": { "entry": 1107540.343674628, "exit": 1123731.622433174, "resize": 184796.7270839272 }, "transaction_cost": 6040.171732979324, "transaction_cost_over_anchor_nav": 0.006031610367360682, "two_sided_turnover": 2.182365659423981 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1215680248866025, "annualized_volatility": 0.11107125171397705, "cagr": 0.330240475641727, "end_nav": 1527413.1085958944, "end_session": "2013-12-31", "fee_by_category": { "entry": 3628.7767221037, "exit": 3646.418727877022, "resize": 405.49612121265744 }, "max_cash_weight": 0.0, "max_drawdown": -0.05263933020382672, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1148223.2998954933, "start_session": "2012-12-31", "total_return": 0.330240475641727, "traded_notional_by_category": { "entry": 1451510.6888414798, "exit": 1458567.4911508088, "resize": 162198.44848506298 }, "transaction_cost": 7680.691571193379, "transaction_cost_over_anchor_nav": 0.006689196754579396, "two_sided_turnover": 2.1215680248866025 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8486112373643873, "annualized_volatility": 0.127868174296105, "cagr": 0.026316986035926027, "end_nav": 1567610.018045903, "end_session": "2014-12-31", "fee_by_category": { "entry": 5234.376348365518, "exit": 5221.191550413874, "resize": 758.419544683271 }, "max_cash_weight": 1.4980853732525967e-16, "max_drawdown": -0.09941551882495148, "mean_cash_weight": 1.2641439184363849e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1527413.1085958944, "start_session": "2013-12-31", "total_return": 0.026316986035926027, "traded_notional_by_category": { "entry": 2093750.5393462074, "exit": 2088476.6201655495, "resize": 303367.81787330844 }, "transaction_cost": 11213.987443462665, "transaction_cost_over_anchor_nav": 0.007341816945496397, "two_sided_turnover": 2.8486112373643873 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5382963881959462, "annualized_volatility": 0.16195480893491415, "cagr": 0.04038298811493757, "end_nav": 1630914.7947735076, "end_session": "2015-12-31", "fee_by_category": { "entry": 2728.835129672476, "exit": 2708.4684956130623, "resize": 841.4558772758603 }, "max_cash_weight": 1.5869098700161436e-16, "max_drawdown": -0.11972384059847552, "mean_cash_weight": 2.455280282854067e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1567610.018045903, "start_session": "2014-12-31", "total_return": 0.04038298811493757, "traded_notional_by_category": { "entry": 1091534.0518689905, "exit": 1083387.3982452247, "resize": 336582.3509103441 }, "transaction_cost": 6278.759502561398, "transaction_cost_over_anchor_nav": 0.004005307079108972, "two_sided_turnover": 1.5382963881959462 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.234628879627052, "annualized_volatility": 0.12547701634195269, "cagr": 0.08952282372772413, "end_nav": 1776918.892460954, "end_session": "2016-12-30", "fee_by_category": { "entry": 4223.181373077416, "exit": 4385.742846601306, "resize": 854.4483358086716 }, "max_cash_weight": 1.5415405272498403e-16, "max_drawdown": -0.08095728658986101, "mean_cash_weight": 3.358050023882342e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1630914.7947735076, "start_session": "2015-12-31", "total_return": 0.08952282372772413, "traded_notional_by_category": { "entry": 1689272.5492309663, "exit": 1754297.138640522, "resize": 341779.3343234686 }, "transaction_cost": 9463.372555487393, "transaction_cost_over_anchor_nav": 0.005802493536642184, "two_sided_turnover": 2.234628879627052 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8011031918356504, "annualized_volatility": 0.07164073348743552, "cagr": 0.2473098553622437, "end_nav": 2216368.4467459107, "end_session": "2017-12-29", "fee_by_category": { "entry": 6998.732640841095, "exit": 7060.593630096195, "resize": 661.4462822481286 }, "max_cash_weight": 1.218714329461091e-16, "max_drawdown": -0.026900067512635295, "mean_cash_weight": 2.864983726090472e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1776918.892460954, "start_session": "2016-12-30", "total_return": 0.2473098553622437, "traded_notional_by_category": { "entry": 2799493.0563364383, "exit": 2824237.452038478, "resize": 264578.5128992514 }, "transaction_cost": 14720.77255318542, "transaction_cost_over_anchor_nav": 0.008284436963128802, "two_sided_turnover": 2.8011031918356504 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4920927819062912, "annualized_volatility": 0.17738011936918227, "cagr": -0.09609699988660403, "end_nav": 2003382.0883702962, "end_session": "2018-12-31", "fee_by_category": { "entry": 9343.104235369676, "exit": 9359.621668832058, "resize": 967.2249887960003 }, "max_cash_weight": 0.0, "max_drawdown": -0.21475144339799912, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2216368.4467459107, "start_session": "2017-12-29", "total_return": -0.09609699988660403, "traded_notional_by_category": { "entry": 3737241.69414787, "exit": 3743848.667532823, "resize": 386889.9955184001 }, "transaction_cost": 19669.95089299773, "transaction_cost_over_anchor_nav": 0.00887485603843409, "two_sided_turnover": 3.4920927819062912 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5177743622367952, "annualized_volatility": 0.10741145674498175, "cagr": 0.2812452891822781, "end_nav": 2566823.863156596, "end_session": "2019-12-31", "fee_by_category": { "entry": 3591.892945488825, "exit": 3584.9553427614796, "resize": 1097.889450121014 }, "max_cash_weight": 0.0, "max_drawdown": -0.05004910878029478, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2003382.0883702962, "start_session": "2018-12-31", "total_return": 0.2812452891822781, "traded_notional_by_category": { "entry": 1436757.1781955299, "exit": 1433982.1371045918, "resize": 439155.78004840564 }, "transaction_cost": 8274.73773837132, "transaction_cost_over_anchor_nav": 0.0041303842069900015, "two_sided_turnover": 1.5177743622367952 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.227037641689564, "annualized_volatility": 0.33146387893114887, "cagr": 0.1745880040852621, "end_nav": 3014960.518263528, "end_session": "2020-12-31", "fee_by_category": { "entry": 7006.8926283190585, "exit": 6955.204960143178, "resize": 1552.9910586257154 }, "max_cash_weight": 0.0, "max_drawdown": -0.3026968695385439, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2566823.863156596, "start_session": "2019-12-31", "total_return": 0.1745880040852621, "traded_notional_by_category": { "entry": 2802757.0513276234, "exit": 2782081.984057271, "resize": 621196.4234502862 }, "transaction_cost": 15515.088647087952, "transaction_cost_over_anchor_nav": 0.006044469536763618, "two_sided_turnover": 2.227037641689564 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8053432789356925, "annualized_volatility": 0.16140089921329417, "cagr": 0.13996690275509072, "end_nav": 3436955.2039337573, "end_session": "2021-12-31", "fee_by_category": { "entry": 11195.886464693409, "exit": 11166.946214205027, "resize": 1215.4828183683558 }, "max_cash_weight": 1.453078188057897e-16, "max_drawdown": -0.08651970724698499, "mean_cash_weight": 3.5990535508660855e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3014960.518263528, "start_session": "2020-12-31", "total_return": 0.13996690275509072, "traded_notional_by_category": { "entry": 4478354.585877364, "exit": 4466778.485682011, "resize": 486193.1273473423 }, "transaction_cost": 23578.31549726679, "transaction_cost_over_anchor_nav": 0.007820439224473414, "two_sided_turnover": 2.8053432789356925 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.993731362097652, "annualized_volatility": 0.21976854251186476, "cagr": -0.13082472407788248, "end_nav": 2987316.4877110813, "end_session": "2022-12-30", "fee_by_category": { "entry": 9998.294779830816, "exit": 10111.865885582967, "resize": 2426.200865464788 }, "max_cash_weight": 1.5535492146324673e-16, "max_drawdown": -0.25205645982777514, "mean_cash_weight": 1.3376342034833356e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3436955.2039337573, "start_session": "2021-12-31", "total_return": -0.13082472407788248, "traded_notional_by_category": { "entry": 3999317.911932326, "exit": 4044746.3542331867, "resize": 970480.3461859153 }, "transaction_cost": 22536.36153087857, "transaction_cost_over_anchor_nav": 0.00655707165024573, "two_sided_turnover": 2.993731362097652 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7997488876034713, "annualized_volatility": 0.12130566159942571, "cagr": 0.039129809784580694, "end_nav": 3104209.6136415573, "end_session": "2023-12-29", "fee_by_category": { "entry": 9637.325496327934, "exit": 9569.426766127583, "resize": 1111.280438011046 }, "max_cash_weight": 0.0, "max_drawdown": -0.11090623957653467, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 2987316.4877110813, "start_session": "2022-12-30", "total_return": 0.039129809784580694, "traded_notional_by_category": { "entry": 3854930.1985311736, "exit": 3827770.7064510332, "resize": 444512.17520441837 }, "transaction_cost": 20318.032700466563, "transaction_cost_over_anchor_nav": 0.006801432919494409, "two_sided_turnover": 2.7997488876034713 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8561942198108534, "annualized_volatility": 0.13117016853592284, "cagr": 0.13557389751361337, "end_nav": 3525059.409662171, "end_session": "2024-12-31", "fee_by_category": { "entry": 11422.449573042937, "exit": 11327.76755448166, "resize": 1766.4032491498274 }, "max_cash_weight": 1.455278820690762e-16, "max_drawdown": -0.08431623392890952, "mean_cash_weight": 3.51487996953911e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3104209.6136415573, "start_session": "2023-12-29", "total_return": 0.13557389751361337, "traded_notional_by_category": { "entry": 4568979.829217176, "exit": 4531107.021792664, "resize": 706561.299659931 }, "transaction_cost": 24516.620376674426, "transaction_cost_over_anchor_nav": 0.007897862395933342, "two_sided_turnover": 2.8561942198108534 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1964121411460527, "annualized_volatility": 0.155535250782146, "cagr": 0.11879078194274317, "end_nav": 3943803.9733305643, "end_session": "2025-12-31", "fee_by_category": { "entry": 9741.036472287713, "exit": 9897.41852825063, "resize": 1756.4993487816607 }, "max_cash_weight": 1.3324396967009654e-16, "max_drawdown": -0.13257722198464295, "mean_cash_weight": 5.153207907083375e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 3525059.409662171, "start_session": "2024-12-31", "total_return": 0.11879078194274317, "traded_notional_by_category": { "entry": 3896414.5889150854, "exit": 3958967.4113002517, "resize": 702599.7395126643 }, "transaction_cost": 21394.95434932, "transaction_cost_over_anchor_nav": 0.006069388303265623, "two_sided_turnover": 2.1964121411460527 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.3499720506294666, "annualized_volatility": 0.17735561729679372, "cagr": 0.061035823564366876, "end_nav": 3943803.9733305643, "end_session": "2025-12-31", "fee_by_category": { "entry": 123664.8724906164, "exit": 124091.80431185059, "resize": 21039.601635497274 }, "max_cash_weight": 1.0, "max_drawdown": -0.5305417040170082, "mean_cash_weight": 0.08644312880453933, "nonzero_trade_event_count": 284, "order_count": 903, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 896735.0422988674, "start_session": "2000-12-29", "total_return": 3.3979590261357915, "traded_notional_by_category": { "entry": 49465948.996246554, "exit": 49636721.72474024, "resize": 8415840.65419891 }, "transaction_cost": 268796.27843796427, "transaction_cost_over_anchor_nav": 0.299749943694493, "two_sided_turnover": 58.74930126573666 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 4796923.386544, "end_session": "2026-10-02", "fee_by_category": { "entry": 7636.07991652986, "exit": 7069.316540572045, "resize": 4625.892777101238 }, "max_cash_weight": 1.1465964624625297e-16, "max_drawdown": -0.07824008975298569, "mean_cash_weight": 1.2146748226808294e-17, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 3943803.9733305643, "start_session": "2025-12-31", "total_return": 0.2163189192420667, "traded_notional_by_category": { "entry": 3054431.966611944, "exit": 2827726.616228818, "resize": 1850357.110840495 }, "transaction_cost": 19331.289234203145, "transaction_cost_over_anchor_nav": 0.004901686129667789, "two_sided_turnover": 1.6983439818394643 } }, "monthly_risk": { "beta_intercept_per_month": -0.0006270129666141287, "beta_to_SPY_excess_returns": 0.7652672008121085, "monthly_return_volatility_annualized": 0.14269856592471133, "months": 300, "sharpe_monthly_annualized": 0.36882690792216294, "tracking_error_monthly_annualized": 0.09134952312561485 }, "phase": [ 5, 11 ], "policy": "B", "run_id": "BMIX-05-11-25bps", "signal": "mixed" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.564743736249785, "annualized_volatility": 0.16239874385665637, "cagr": -0.12757038877369287, "end_nav": 789843.2531113091, "end_session": "2001-12-31", "fee_by_category": { "entry": 291.8957618114678, "exit": 688.5373972265206, "resize": 95.61685621649809 }, "max_cash_weight": 1.0, "max_drawdown": -0.2101266864599377, "mean_cash_weight": 0.0806451612903226, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 905337.5114137715, "start_session": "2000-12-29", "total_return": -0.12757038877369287, "traded_notional_by_category": { "entry": 583791.5236229356, "exit": 1377074.7944530412, "resize": 191233.7124329962 }, "transaction_cost": 1076.0500152544864, "transaction_cost_over_anchor_nav": 0.0011885622783641549, "two_sided_turnover": 2.564743736249785 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.8055941549519938, "annualized_volatility": 0.22098264631021414, "cagr": -0.09957578012461543, "end_nav": 711193.9950065864, "end_session": "2002-12-31", "fee_by_category": { "entry": 394.7242644234429, "exit": 245.50706206519698, "resize": 43.251212653288746 }, "max_cash_weight": 1.0, "max_drawdown": -0.23955983123172375, "mean_cash_weight": 0.46880060229978593, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 789843.2531113091, "start_session": "2001-12-31", "total_return": -0.09957578012461543, "traded_notional_by_category": { "entry": 789448.5288468858, "exit": 491014.12413039396, "resize": 86502.4253065775 }, "transaction_cost": 683.4825391419287, "transaction_cost_over_anchor_nav": 0.0008653394663429612, "two_sided_turnover": 1.8055941549519938 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3986070291437103, "annualized_volatility": 0.05695558614606626, "cagr": 0.09409525384394257, "end_nav": 778113.9744990189, "end_session": "2003-12-31", "fee_by_category": { "entry": 365.0872774110946, "exit": 123.45437029780054, "resize": 21.498753111791245 }, "max_cash_weight": 0.6810158055801588, "max_drawdown": -0.03627430071656512, "mean_cash_weight": 0.6084531706928279, "nonzero_trade_event_count": 12, "order_count": 15, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 711193.9950065864, "start_session": "2002-12-31", "total_return": 0.09409525384394257, "traded_notional_by_category": { "entry": 730174.5548221892, "exit": 246908.74059560106, "resize": 42997.50622358249 }, "transaction_cost": 510.04040082068633, "transaction_cost_over_anchor_nav": 0.0007171607246430178, "two_sided_turnover": 1.3986070291437103 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.86967969156985, "annualized_volatility": 0.11744410394743517, "cagr": 0.12993650956262526, "end_nav": 879219.388387323, "end_session": "2004-12-31", "fee_by_category": { "entry": 533.8774164448075, "exit": 530.9173682264192, "resize": 85.21579481927274 }, "max_cash_weight": 1.5128344464005116e-16, "max_drawdown": -0.09775107413222872, "mean_cash_weight": 2.4203625377717326e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 778113.9744990189, "start_session": "2003-12-31", "total_return": 0.12993650956262526, "traded_notional_by_category": { "entry": 1067754.8328896149, "exit": 1061834.7364528384, "resize": 170431.5896385455 }, "transaction_cost": 1150.0105794904994, "transaction_cost_over_anchor_nav": 0.0014779461842089683, "two_sided_turnover": 2.86967969156985 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6529380025961087, "annualized_volatility": 0.14077320595176487, "cagr": 0.17215474106080242, "end_nav": 1030581.1745307797, "end_session": "2005-12-30", "fee_by_category": { "entry": 329.07812902535017, "exit": 331.3399417108883, "resize": 153.4370393600377 }, "max_cash_weight": 1.291888395310625e-16, "max_drawdown": -0.10134747613574435, "mean_cash_weight": 3.162879736088069e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 879219.388387323, "start_session": "2004-12-31", "total_return": 0.17215474106080242, "traded_notional_by_category": { "entry": 658156.2580507003, "exit": 662679.8834217766, "resize": 306874.07872007537 }, "transaction_cost": 813.8551100962761, "transaction_cost_over_anchor_nav": 0.0009256564639561248, "two_sided_turnover": 1.6529380025961087 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.6137341376435654, "annualized_volatility": 0.14665452011642163, "cagr": 0.16131804180756149, "end_nav": 1196832.511529822, "end_session": "2006-12-29", "fee_by_category": { "entry": 949.6328030204767, "exit": 954.2520707952624, "resize": 148.92208921135747 }, "max_cash_weight": 0.0, "max_drawdown": -0.10812347433668945, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1030581.1745307797, "start_session": "2005-12-30", "total_return": 0.16131804180756149, "traded_notional_by_category": { "entry": 1899265.6060409532, "exit": 1908504.1415905247, "resize": 297844.17842271493 }, "transaction_cost": 2052.806963027096, "transaction_cost_over_anchor_nav": 0.001991892549329491, "two_sided_turnover": 3.6137341376435654 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7941555139582293, "annualized_volatility": 0.13367536902119412, "cagr": 0.17878691247779344, "end_nav": 1410810.5010192818, "end_session": "2007-12-31", "fee_by_category": { "entry": 897.1086449094748, "exit": 901.3760922202148, "resize": 76.35051161060063 }, "max_cash_weight": 0.0, "max_drawdown": -0.07571080122041607, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1196832.511529822, "start_session": "2006-12-29", "total_return": 0.17878691247779344, "traded_notional_by_category": { "entry": 1794217.2898189495, "exit": 1802752.1844404296, "resize": 152701.02322120126 }, "transaction_cost": 1874.8352487402901, "transaction_cost_over_anchor_nav": 0.0015664975931710175, "two_sided_turnover": 2.7941555139582293 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.035700408093675, "annualized_volatility": 0.4323794103929142, "cagr": -0.41777059662720073, "end_nav": 821415.3562805364, "end_session": "2008-12-31", "fee_by_category": { "entry": 243.01290005813686, "exit": 652.5378123356579, "resize": 243.12107082864293 }, "max_cash_weight": 1.0, "max_drawdown": -0.5297304082371621, "mean_cash_weight": 0.08695652173913043, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1410810.5010192818, "start_session": "2007-12-31", "total_return": -0.41777059662720073, "traded_notional_by_category": { "entry": 486025.8001162737, "exit": 1305075.6246713158, "resize": 486242.14165728586 }, "transaction_cost": 1138.6717832224376, "transaction_cost_over_anchor_nav": 0.0008071046979022133, "two_sided_turnover": 2.035700408093675 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9995002498750626, "annualized_volatility": 0.027420586797441648, "cagr": 0.02492048699184002, "end_nav": 841885.426981623, "end_session": "2009-12-31", "fee_by_category": { "entry": 410.50242692680484, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.016007443185795833, "mean_cash_weight": 0.9126984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 821415.3562805364, "start_session": "2008-12-31", "total_return": 0.02492048699184002, "traded_notional_by_category": { "entry": 821004.8538536096, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 410.50242692680484, "transaction_cost_over_anchor_nav": 0.0004997501249375313, "two_sided_turnover": 0.9995002498750626 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5307666077152273, "annualized_volatility": 0.18198454180702664, "cagr": 0.18859120020910125, "end_nav": 1000657.610094639, "end_session": "2010-12-31", "fee_by_category": { "entry": 302.4427363040857, "exit": 306.70166630592144, "resize": 81.45471803600245 }, "max_cash_weight": 1.3009024408590838e-16, "max_drawdown": -0.15843453773745275, "mean_cash_weight": 1.0614519843628826e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 841885.426981623, "start_session": "2009-12-31", "total_return": 0.18859120020910125, "traded_notional_by_category": { "entry": 604885.4726081714, "exit": 613403.3326118428, "resize": 162909.4360720049 }, "transaction_cost": 690.5991206460096, "transaction_cost_over_anchor_nav": 0.0008203005997169782, "two_sided_turnover": 1.5307666077152273 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8976669700241913, "annualized_volatility": 0.20621574580922167, "cagr": 0.060399974717053384, "end_nav": 1061097.3044447822, "end_session": "2011-12-30", "fee_by_category": { "entry": 706.6531420278232, "exit": 702.2328058938806, "resize": 120.83984426685554 }, "max_cash_weight": 1.2835068334116032e-16, "max_drawdown": -0.16778788612474738, "mean_cash_weight": 1.861172137518184e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1000657.610094639, "start_session": "2010-12-31", "total_return": 0.060399974717053384, "traded_notional_by_category": { "entry": 1413306.284055646, "exit": 1404465.6117877613, "resize": 241679.68853371107 }, "transaction_cost": 1529.7257921885594, "transaction_cost_over_anchor_nav": 0.001528720490162347, "two_sided_turnover": 2.8976669700241913 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1855011035677734, "annualized_volatility": 0.10641534105229024, "cagr": 0.15161736194749942, "end_nav": 1221978.0785143026, "end_session": "2012-12-31", "fee_by_category": { "entry": 588.8246907095527, "exit": 596.0714839144481, "resize": 98.51646101282127 }, "max_cash_weight": 0.0, "max_drawdown": -0.07772420491298737, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1061097.3044447822, "start_session": "2011-12-30", "total_return": 0.15161736194749942, "traded_notional_by_category": { "entry": 1177649.3814191055, "exit": 1192142.9678288961, "resize": 197032.92202564253 }, "transaction_cost": 1283.4126356368222, "transaction_cost_over_anchor_nav": 0.0012095145565451852, "two_sided_turnover": 2.1855011035677734 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.122970488223715, "annualized_volatility": 0.11103567407401152, "cagr": 0.33590499503703963, "end_nav": 1632446.6189130207, "end_session": "2013-12-31", "fee_by_category": { "entry": 774.9894849096055, "exit": 776.9809096235547, "resize": 85.70177526393178 }, "max_cash_weight": 1.4914910837051738e-16, "max_drawdown": -0.05262568054764061, "mean_cash_weight": 1.218179926009045e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1221978.0785143026, "start_session": "2012-12-31", "total_return": 0.33590499503703963, "traded_notional_by_category": { "entry": 1549978.969819211, "exit": 1553961.8192471093, "resize": 171403.55052786355 }, "transaction_cost": 1637.672169797092, "transaction_cost_over_anchor_nav": 0.0013401812999691417, "two_sided_turnover": 2.122970488223715 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8521113817399906, "annualized_volatility": 0.12769888187342585, "cagr": 0.032190061874326936, "end_nav": 1684995.1765823667, "end_session": "2014-12-31", "fee_by_category": { "entry": 1123.6331599603063, "exit": 1117.8008148843815, "resize": 162.38151884466598 }, "max_cash_weight": 1.4735486836386682e-16, "max_drawdown": -0.09928555929238048, "mean_cash_weight": 3.6500237358188344e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1632446.6189130207, "start_session": "2013-12-31", "total_return": 0.032190061874326936, "traded_notional_by_category": { "entry": 2247266.3199206125, "exit": 2235601.6297687627, "resize": 324763.0376893319 }, "transaction_cost": 2403.8154936893534, "transaction_cost_over_anchor_nav": 0.0014725231844272834, "two_sided_turnover": 2.8521113817399906 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5391310804580607, "annualized_volatility": 0.1620555735149624, "cagr": 0.043591138544145425, "end_nav": 1758446.0347709856, "end_session": "2015-12-31", "fee_by_category": { "entry": 588.0144140774128, "exit": 582.846498741357, "resize": 180.95792846990162 }, "max_cash_weight": 1.4279482664913023e-16, "max_drawdown": -0.1197097516711324, "mean_cash_weight": 4.54204926818175e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1684995.1765823667, "start_session": "2014-12-31", "total_return": 0.043591138544145425, "traded_notional_by_category": { "entry": 1176028.8281548256, "exit": 1165692.9974827138, "resize": 361915.8569398032 }, "transaction_cost": 1351.8188412886711, "transaction_cost_over_anchor_nav": 0.0008022686711961581, "two_sided_turnover": 1.5391310804580607 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2387690912064193, "annualized_volatility": 0.12536645451741865, "cagr": 0.0944084454130989, "end_nav": 1924458.1912565422, "end_session": "2016-12-30", "fee_by_category": { "entry": 913.7811955381479, "exit": 946.8614090117585, "resize": 186.29424219297204 }, "max_cash_weight": 1.3350387390074155e-16, "max_drawdown": -0.08086665234523971, "mean_cash_weight": 7.410897238968126e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1758446.0347709856, "start_session": "2015-12-31", "total_return": 0.0944084454130989, "traded_notional_by_category": { "entry": 1827562.3910762959, "exit": 1893722.8180235168, "resize": 372588.4843859441 }, "transaction_cost": 2046.9368467428785, "transaction_cost_over_anchor_nav": 0.0011640600884345394, "two_sided_turnover": 2.2387690912064193 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.804753606986115, "annualized_volatility": 0.07132047280710938, "cagr": 0.254328400315454, "end_nav": 2413902.5645127906, "end_session": "2017-12-29", "fee_by_category": { "entry": 1522.42297080781, "exit": 1531.7785996761877, "resize": 143.74256772753247 }, "max_cash_weight": 1.1252020992020195e-16, "max_drawdown": -0.026869905305856756, "mean_cash_weight": 8.459903538754966e-18, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1924458.1912565422, "start_session": "2016-12-30", "total_return": 0.254328400315454, "traded_notional_by_category": { "entry": 3044845.9416156197, "exit": 3063557.199352375, "resize": 287485.13545506494 }, "transaction_cost": 3197.94413821153, "transaction_cost_over_anchor_nav": 0.001661737393278202, "two_sided_turnover": 2.804753606986115 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 3.497000591014682, "annualized_volatility": 0.1777056457651369, "cagr": -0.08974833953459116, "end_nav": 2197258.8175494764, "end_session": "2018-12-31", "fee_by_category": { "entry": 2045.8789753614396, "exit": 2042.3719165963466, "resize": 210.2474029825573 }, "max_cash_weight": 0.0, "max_drawdown": -0.2092511402480468, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2413902.5645127906, "start_session": "2017-12-29", "total_return": -0.08974833953459116, "traded_notional_by_category": { "entry": 4091757.9507228793, "exit": 4084743.833192693, "resize": 420494.8059651146 }, "transaction_cost": 4298.498294940344, "transaction_cost_over_anchor_nav": 0.0017807256838504291, "two_sided_turnover": 3.497000591014682 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5186742093406718, "annualized_volatility": 0.10732066776675575, "cagr": 0.28514677627654583, "end_nav": 2823800.0860189246, "end_session": "2019-12-31", "fee_by_category": { "entry": 790.1195453402229, "exit": 786.4912438736486, "resize": 240.2281241996038 }, "max_cash_weight": 0.0, "max_drawdown": -0.0484060155204189, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2197258.8175494764, "start_session": "2018-12-31", "total_return": 0.28514677627654583, "traded_notional_by_category": { "entry": 1580239.0906804458, "exit": 1572982.4877472972, "resize": 480456.2483992076 }, "transaction_cost": 1816.8389134134754, "transaction_cost_over_anchor_nav": 0.000826866138345837, "two_sided_turnover": 1.5186742093406718 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2284735325858107, "annualized_volatility": 0.3314900995550342, "cagr": 0.17983851658348726, "end_nav": 3331628.1046168916, "end_session": "2020-12-31", "fee_by_category": { "entry": 1547.2336821668273, "exit": 1532.3130576762646, "resize": 340.6837777922133 }, "max_cash_weight": 0.0, "max_drawdown": -0.3026753160366754, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2823800.0860189246, "start_session": "2019-12-31", "total_return": 0.17983851658348726, "traded_notional_by_category": { "entry": 3094467.3643336543, "exit": 3064626.115352529, "resize": 681367.5555844265 }, "transaction_cost": 3420.230517635305, "transaction_cost_over_anchor_nav": 0.00121121552994116, "two_sided_turnover": 2.2284735325858107 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8089305311003208, "annualized_volatility": 0.16132034053200867, "cagr": 0.1463912075065581, "end_nav": 3819349.165814544, "end_session": "2021-12-31", "fee_by_category": { "entry": 2484.7820288790535, "exit": 2471.7815519203045, "resize": 268.9934689367402 }, "max_cash_weight": 1.348496588526538e-16, "max_drawdown": -0.0840568024003241, "mean_cash_weight": 5.443948154193592e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3331628.1046168916, "start_session": "2020-12-31", "total_return": 0.1463912075065581, "traded_notional_by_category": { "entry": 4969564.057758108, "exit": 4943563.103840609, "resize": 537986.9378734804 }, "transaction_cost": 5225.557049736099, "transaction_cost_over_anchor_nav": 0.001568469494687791, "two_sided_turnover": 2.8089305311003208 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.9982154392552367, "annualized_volatility": 0.21968094294183377, "cagr": -0.12559514880928369, "end_nav": 3339657.438979453, "end_session": "2022-12-30", "fee_by_category": { "entry": 2232.603656418608, "exit": 2250.5072618301188, "resize": 540.7105085543982 }, "max_cash_weight": 1.5955190587405204e-16, "max_drawdown": -0.2489132360364893, "mean_cash_weight": 3.53133723767265e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3819349.165814544, "start_session": "2021-12-31", "total_return": -0.12559514880928369, "traded_notional_by_category": { "entry": 4465207.312837215, "exit": 4501014.523660237, "resize": 1081421.0171087964 }, "transaction_cost": 5023.821426803125, "transaction_cost_over_anchor_nav": 0.0013153606043064424, "two_sided_turnover": 2.9982154392552367 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8015307147125177, "annualized_volatility": 0.12160366514577846, "cagr": 0.04497496518016009, "end_nav": 3489858.4160112166, "end_session": "2023-12-29", "fee_by_category": { "entry": 2164.012673637139, "exit": 2143.012909728261, "resize": 245.94357977214892 }, "max_cash_weight": 1.4349409083956363e-16, "max_drawdown": -0.110864292396892, "mean_cash_weight": 3.4698693493989315e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 3339657.438979453, "start_session": "2022-12-30", "total_return": 0.04497496518016009, "traded_notional_by_category": { "entry": 4328025.347274277, "exit": 4286025.819456521, "resize": 491887.15954429784 }, "transaction_cost": 4552.969163137549, "transaction_cost_over_anchor_nav": 0.0013633042449194624, "two_sided_turnover": 2.8015307147125177 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8598117557718017, "annualized_volatility": 0.13069596542354012, "cagr": 0.142092458535108, "end_nav": 3985740.9782816884, "end_session": "2024-12-31", "fee_by_category": { "entry": 2580.2839865918695, "exit": 2550.4637510937164, "resize": 396.1735306124277 }, "max_cash_weight": 1.3734944190057202e-16, "max_drawdown": -0.08309205828249788, "mean_cash_weight": 4.181982133651074e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3489858.4160112166, "start_session": "2023-12-29", "total_return": 0.142092458535108, "traded_notional_by_category": { "entry": 5160567.97318374, "exit": 5100927.502187433, "resize": 792347.0612248555 }, "transaction_cost": 5526.921268298014, "transaction_cost_over_anchor_nav": 0.0015837093112261809, "two_sided_turnover": 2.8598117557718017 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.200540669623024, "annualized_volatility": 0.15534005270067397, "cagr": 0.12372155596615375, "end_nav": 4478863.053792759, "end_session": "2025-12-31", "fee_by_category": { "entry": 2210.4549527568483, "exit": 2240.863448299411, "resize": 401.7485761593136 }, "max_cash_weight": 1.1407149268561542e-16, "max_drawdown": -0.1325223850641033, "mean_cash_weight": 1.7699380048640332e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 3985740.9782816884, "start_session": "2024-12-31", "total_return": 0.12372155596615375, "traded_notional_by_category": { "entry": 4420909.905513696, "exit": 4481726.896598822, "resize": 803497.1523186271 }, "transaction_cost": 4853.066977215573, "transaction_cost_over_anchor_nav": 0.0012176072162390747, "two_sided_turnover": 2.200540669623024 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.352780027896302, "annualized_volatility": 0.17730163341427121, "cagr": 0.06604193948271164, "end_nav": 4478863.053792759, "end_session": "2025-12-31", "fee_by_category": { "entry": 26991.05091951781, "exit": 27007.00144394752, "resize": 4572.031352635576 }, "max_cash_weight": 1.0, "max_drawdown": -0.5297304082371621, "mean_cash_weight": 0.08644312880453933, "nonzero_trade_event_count": 284, "order_count": 903, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 905337.5114137715, "start_session": "2000-12-29", "total_return": 3.947174945616231, "traded_notional_by_category": { "entry": 53982101.839035615, "exit": 54014002.88789504, "resize": 9144062.70527115 }, "transaction_cost": 58570.083716100904, "transaction_cost_over_anchor_nav": 0.06469419744315917, "two_sided_turnover": 58.81950069740754 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 5466288.392120701, "end_session": "2026-10-02", "fee_by_category": { "entry": 1739.725834833099, "exit": 1606.306797317295, "resize": 1050.1398091288443 }, "max_cash_weight": 0.0, "max_drawdown": -0.07813994700314941, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 10, "order_count": 32, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 4478863.053792759, "start_session": "2025-12-31", "total_return": 0.22046339137156212, "traded_notional_by_category": { "entry": 3479451.669666198, "exit": 3212613.5946345897, "resize": 2100279.6182576884 }, "transaction_cost": 4396.172441279238, "transaction_cost_over_anchor_nav": 0.0009815375885530821, "two_sided_turnover": 1.6993028611164411 } }, "monthly_risk": { "beta_intercept_per_month": -0.00023018187668404858, "beta_to_SPY_excess_returns": 0.7647365405718636, "monthly_return_volatility_annualized": 0.14264052224210297, "months": 300, "sharpe_monthly_annualized": 0.4020368573159857, "tracking_error_monthly_annualized": 0.09138726512375633 }, "phase": [ 5, 11 ], "policy": "B", "run_id": "BMIX-05-11-5bps", "signal": "mixed" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2648043716021906, "annualized_volatility": 0.1678605323640354, "cagr": -0.11018704712329297, "end_nav": 819229.2582388561, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5160980214416338e-16, "max_drawdown": -0.20954584928231546, "mean_cash_weight": 8.1050979313419e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 920675.8067415647, "start_session": "2000-12-29", "total_return": -0.11018704712329297, "traded_notional_by_category": { "entry": 907148.8875945783, "exit": 887867.9749330529, "resize": 240193.20803067012 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2648043716021906 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 2.209040112370786, "annualized_volatility": 0.24458844023460247, "cagr": -0.12852319049367067, "end_nav": 713939.300224235, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.477939476049986e-16, "max_drawdown": -0.27628475969166855, "mean_cash_weight": 5.645595581267761e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 819229.2582388561, "start_session": "2001-12-31", "total_return": -0.12852319049367067, "traded_notional_by_category": { "entry": 810066.5639635673, "exit": 804375.0138230786, "resize": 167268.46201944823 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.209040112370786 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.167200273149288, "annualized_volatility": 0.10655214945521428, "cagr": 0.20560819474950565, "end_nav": 860731.0709040654, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.679462582947304, "max_drawdown": -0.0579359858262104, "mean_cash_weight": 0.32709160954131294, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 713939.300224235, "start_session": "2002-12-31", "total_return": 0.20560819474950565, "traded_notional_by_category": { "entry": 742601.2858027221, "exit": 725833.6293027619, "resize": 130645.26809420591 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.167200273149288 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8537554350409735, "annualized_volatility": 0.12418538977832344, "cagr": 0.11978542635784994, "end_nav": 963834.1092117577, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4426118545553e-16, "max_drawdown": -0.07804567672453588, "mean_cash_weight": 6.466847386097189e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 860731.0709040654, "start_session": "2003-12-31", "total_return": 0.11978542635784994, "traded_notional_by_category": { "entry": 1168040.3092143182, "exit": 1162195.915120358, "resize": 170102.20848279208 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8537554350409735 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6282768582165366, "annualized_volatility": 0.1400761229897994, "cagr": 0.1825977911035812, "end_nav": 1139828.0885441124, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.053149512294538e-16, "max_drawdown": -0.10133613355512539, "mean_cash_weight": 6.218275191823115e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 963834.1092117577, "start_session": "2004-12-31", "total_return": 0.1825977911035812, "traded_notional_by_category": { "entry": 681848.8626599554, "exit": 672013.9305062906, "resize": 324022.1436859991 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6282768582165366 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.267540530501463, "annualized_volatility": 0.12930251323394154, "cagr": 0.184366728913695, "end_nav": 1349974.46475294, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9867775462451204e-16, "max_drawdown": -0.07444541548164041, "mean_cash_weight": 4.826911460513052e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1139828.0885441124, "start_session": "2005-12-30", "total_return": 0.184366728913695, "traded_notional_by_category": { "entry": 1201146.207008164, "exit": 1214885.3686678756, "resize": 311545.364392202 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.267540530501463 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8505063664442676, "annualized_volatility": 0.14063720619317485, "cagr": 0.09498033408448969, "end_nav": 1478195.4904207042, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.07488530661509274, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1349974.46475294, "start_session": "2006-12-29", "total_return": 0.09498033408448969, "traded_notional_by_category": { "entry": 1847082.4646869928, "exit": 1842798.2321113546, "resize": 266268.7034683042 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8505063664442676 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4508333650929433, "annualized_volatility": 0.3880438842029478, "cagr": -0.33322109077393836, "end_nav": 985629.5767256004, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6711378867955206e-16, "max_drawdown": -0.4445241621437872, "mean_cash_weight": 5.134958821857337e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1478195.4904207042, "start_session": "2007-12-31", "total_return": -0.33322109077393836, "traded_notional_by_category": { "entry": 1483044.2562318756, "exit": 1488688.4978934722, "resize": 591673.787025358 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.4508333650929433 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0646040460405253, "annualized_volatility": 0.13989430071448541, "cagr": 0.2852948724246698, "end_nav": 1266824.641075512, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.0658063264211336, "mean_cash_weight": 0.49206349206349204, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 985629.5767256004, "start_session": "2008-12-31", "total_return": 0.2852948724246698, "traded_notional_by_category": { "entry": 991838.0085531711, "exit": 991838.0085531708, "resize": 74559.2832811671 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0646040460405253 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.189461794806912, "annualized_volatility": 0.17435176266366556, "cagr": 0.14032260096710614, "end_nav": 1444588.7696804483, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.946077936941257e-16, "max_drawdown": -0.14757450858894794, "mean_cash_weight": 1.647285815588658e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1266824.641075512, "start_session": "2009-12-31", "total_return": 0.14032260096710614, "traded_notional_by_category": { "entry": 1198548.7102171136, "exit": 1188935.297901331, "resize": 250412.2998396728 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.189461794806912 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2794132916686114, "annualized_volatility": 0.2192928398791937, "cagr": 0.08343323609436526, "end_nav": 1565115.4855604658, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.556542349891785e-16, "max_drawdown": -0.17292551242944454, "mean_cash_weight": 1.2616660554077806e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1444588.7696804483, "start_session": "2010-12-31", "total_return": 0.08343323609436526, "traded_notional_by_category": { "entry": 1533523.8735059607, "exit": 1537566.1599624176, "resize": 414997.9835157278 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2794132916686114 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5059233118913375, "annualized_volatility": 0.08866211504570111, "cagr": 0.11578243789540132, "end_nav": 1746328.3720665015, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4924078081386449e-16, "max_drawdown": -0.06557410119163565, "mean_cash_weight": 3.6036593677102257e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1565115.4855604658, "start_session": "2011-12-30", "total_return": 0.11578243789540132, "traded_notional_by_category": { "entry": 1095133.6360296058, "exit": 1091628.9260353886, "resize": 294468.2607549397 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5059233118913375 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4194019660979278, "annualized_volatility": 0.12064984247179968, "cagr": 0.3909420324471409, "end_nav": 2429041.5351622864, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2689084013139528e-16, "max_drawdown": -0.0547445757890318, "mean_cash_weight": 2.8493438566412e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1746328.3720665015, "start_session": "2012-12-31", "total_return": 0.3909420324471409, "traded_notional_by_category": { "entry": 1181954.816151325, "exit": 1176439.6972305467, "resize": 188376.29646870866 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4194019660979278 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8673494457956283, "annualized_volatility": 0.1380325569166657, "cagr": 0.004399782258912577, "end_nav": 2439728.7890148554, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8517188397980718e-16, "max_drawdown": -0.11635805930926024, "mean_cash_weight": 1.5164381406315675e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2429041.5351622864, "start_session": "2013-12-31", "total_return": 0.004399782258912577, "traded_notional_by_category": { "entry": 3371151.6682501216, "exit": 3374038.4125512564, "resize": 491763.8058816305 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8673494457956283 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.466785728079341, "annualized_volatility": 0.15974189863958563, "cagr": 0.0004911977673760504, "end_nav": 2440927.1783490228, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.12599485948033562, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2439728.7890148554, "start_session": "2014-12-31", "total_return": 0.0004911977673760504, "traded_notional_by_category": { "entry": 4055266.8223122335, "exit": 4034207.5751011204, "resize": 344191.87065761874 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.466785728079341 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2209691421998996, "annualized_volatility": 0.12803765570630044, "cagr": 0.047786804952524964, "end_nav": 2557571.289324105, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0630406019508301e-16, "max_drawdown": -0.08227401100480458, "mean_cash_weight": 3.1245042822432697e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2440927.1783490228, "start_session": "2015-12-31", "total_return": 0.047786804952524964, "traded_notional_by_category": { "entry": 2499192.781560435, "exit": 2486755.8272967837, "resize": 559802.3889438257 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2209691421998996 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.850821883693092, "annualized_volatility": 0.09124786010460235, "cagr": 0.23078775653462014, "end_nav": 3147827.429364571, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.823420739748006e-16, "max_drawdown": -0.05444608127490014, "mean_cash_weight": 7.196524199126509e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2557571.289324105, "start_session": "2016-12-30", "total_return": 0.23078775653462014, "traded_notional_by_category": { "entry": 3562047.509611625, "exit": 3599112.826096222, "resize": 476756.4740752303 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.850821883693092 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5635231760171202, "annualized_volatility": 0.17999530971013233, "cagr": -0.0768538947743147, "end_nav": 2905904.6313404846, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4686860056431156e-16, "max_drawdown": -0.24636880288553653, "mean_cash_weight": 3.681193441318106e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3147827.429364571, "start_session": "2017-12-29", "total_return": -0.0768538947743147, "traded_notional_by_category": { "entry": 2173724.799553152, "exit": 2196811.5720830876, "resize": 739511.375802514 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.5635231760171202 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.837863108624146, "annualized_volatility": 0.10223341295433465, "cagr": 0.2562037286173777, "end_nav": 3650408.232896423, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.510080974078662e-16, "max_drawdown": -0.04840162199094922, "mean_cash_weight": 8.223759656782832e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2905904.6313404846, "start_session": "2018-12-31", "total_return": 0.2562037286173777, "traded_notional_by_category": { "entry": 3942834.0261447136, "exit": 3963998.46806536, "resize": 540870.0529239109 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.837863108624146 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2501753869848113, "annualized_volatility": 0.35126204588027166, "cagr": 0.15022764035374325, "end_nav": 4198800.44805233, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.807186608396092e-16, "max_drawdown": -0.32840577254000425, "mean_cash_weight": 5.352233735073571e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3650408.232896423, "start_session": "2019-12-31", "total_return": 0.15022764035374325, "traded_notional_by_category": { "entry": 3523101.164925824, "exit": 3464172.974041016, "resize": 910599.95180191 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2501753869848113 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2062266041208516, "annualized_volatility": 0.15951739117683914, "cagr": 0.21652664529251142, "end_nav": 5107952.623321795, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9760220104021775e-16, "max_drawdown": -0.0685711467875123, "mean_cash_weight": 1.5855740187735127e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4198800.44805233, "start_session": "2020-12-31", "total_return": 0.21652664529251142, "traded_notional_by_category": { "entry": 4591850.151129067, "exit": 4694790.143818823, "resize": 859087.6342357853 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2062266041208516 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.5865593100183615, "annualized_volatility": 0.25507430361039163, "cagr": -0.19339176034252636, "end_nav": 4120116.6737513673, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.167613565126973e-16, "max_drawdown": -0.30765576980832665, "mean_cash_weight": 6.4452778746282e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 5107952.623321795, "start_session": "2021-12-31", "total_return": -0.19339176034252636, "traded_notional_by_category": { "entry": 7165484.158685807, "exit": 7195132.932788554, "resize": 1054901.1198121181 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.5865593100183615 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.153333700285058, "annualized_volatility": 0.14261398033907396, "cagr": 0.09556361936427482, "end_nav": 4513849.935298145, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.172344770900511e-16, "max_drawdown": -0.12599525766838804, "mean_cash_weight": 6.544664476965827e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4120116.6737513673, "start_session": "2022-12-30", "total_return": 0.09556361936427482, "traded_notional_by_category": { "entry": 4162688.0916103483, "exit": 4133376.975851957, "resize": 656741.7643112831 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.153333700285058 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.581689747982849, "annualized_volatility": 0.14359118367320473, "cagr": 0.21351803346304754, "end_nav": 5477638.29683031, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9693650604181274e-16, "max_drawdown": -0.0909435254655846, "mean_cash_weight": 3.18737818875482e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4513849.935298145, "start_session": "2023-12-29", "total_return": 0.21351803346304754, "traded_notional_by_category": { "entry": 3154530.031090717, "exit": 3178809.443977179, "resize": 1212045.7756845672 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.581689747982849 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8702523308660188, "annualized_volatility": 0.1572970845848427, "cagr": 0.17055609508905745, "end_nav": 6411882.895047963, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.503250461178972e-16, "max_drawdown": -0.13250867097669983, "mean_cash_weight": 1.1178472168692083e-17, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5477638.29683031, "start_session": "2024-12-31", "total_return": 0.17055609508905745, "traded_notional_by_category": { "entry": 1838352.7399825866, "exit": 1922245.1441044281, "resize": 1125099.6974934593 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.8702523308660188 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.2642524515036375, "annualized_volatility": 0.18266115594378787, "cagr": 0.08072489071231992, "end_nav": 6411882.895047963, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.4445241621437872, "mean_cash_weight": 0.03283395667320043, "nonzero_trade_event_count": 295, "order_count": 947, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 920675.8067415647, "start_session": "2000-12-29", "total_return": 5.964322129567797, "traded_notional_by_category": { "entry": 58882201.826475985, "exit": 59028518.947816886, "resize": 12395905.180683048 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 56.60631128759094 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7784765.37108965, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5074245958417072e-16, "max_drawdown": -0.07152226218118873, "mean_cash_weight": 7.608518207499366e-17, "nonzero_trade_event_count": 10, "order_count": 34, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 6411882.895047963, "start_session": "2025-12-31", "total_return": 0.2141153384292147, "traded_notional_by_category": { "entry": 9171898.146826092, "exit": 9408500.34479826, "resize": 3202982.2005238202 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.15235391059272 } }, "monthly_risk": { "beta_intercept_per_month": 0.000673482733166534, "beta_to_SPY_excess_returns": 0.7997609991409299, "monthly_return_volatility_annualized": 0.14178497086243022, "months": 300, "sharpe_monthly_annualized": 0.5002996891728568, "tracking_error_monthly_annualized": 0.08070053260301265 }, "phase": [ 6, 12 ], "policy": "B", "run_id": "BMIX-06-12-0bps", "signal": "mixed" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.264164313801669, "annualized_volatility": 0.16787837357781168, "cagr": -0.11220044874980184, "end_nav": 815577.5566674976, "end_session": "2001-12-31", "fee_by_category": { "entry": 903.7186800722491, "exit": 885.5025939125421, "resize": 239.70591893507495 }, "max_cash_weight": 1.4215530995031757e-16, "max_drawdown": -0.21125137530527227, "mean_cash_weight": 2.260827210102248e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 918650.5619641307, "start_session": "2000-12-29", "total_return": -0.11220044874980184, "traded_notional_by_category": { "entry": 903718.6800722491, "exit": 885502.5939125421, "resize": 239705.91893507494 }, "transaction_cost": 2028.927192919866, "transaction_cost_over_anchor_nav": 0.002208595168746097, "two_sided_turnover": 2.264164313801669 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2078747831997187, "annualized_volatility": 0.2446617039025433, "cagr": -0.1304461669711804, "end_nav": 709188.5905325019, "end_session": "2002-12-31", "fee_by_category": { "entry": 805.1729344962777, "exit": 800.4317354787084, "resize": 166.1919532400438 }, "max_cash_weight": 1.8353080433918544e-16, "max_drawdown": -0.27680599345796997, "mean_cash_weight": 3.6866142637062407e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 815577.5566674976, "start_session": "2001-12-31", "total_return": -0.1304461669711804, "traded_notional_by_category": { "entry": 805172.9344962776, "exit": 800431.7354787084, "resize": 166191.9532400438 }, "transaction_cost": 1771.7966232150297, "transaction_cost_over_anchor_nav": 0.0021724440658405374, "two_sided_turnover": 2.2078747831997187 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1661081980352046, "annualized_volatility": 0.1063762095389537, "cagr": 0.2029981949510029, "end_nav": 853152.5942904457, "end_session": "2003-12-31", "fee_by_category": { "entry": 736.1619299503044, "exit": 720.8301422296113, "resize": 129.72324889842255 }, "max_cash_weight": 0.679462582947304, "max_drawdown": -0.057973664561441374, "mean_cash_weight": 0.32709160954131294, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 709188.5905325019, "start_session": "2002-12-31", "total_return": 0.2029981949510029, "traded_notional_by_category": { "entry": 736161.9299503043, "exit": 720830.1422296113, "resize": 129723.24889842255 }, "transaction_cost": 1586.715321078338, "transaction_cost_over_anchor_nav": 0.0022373672423112952, "two_sided_turnover": 2.1661081980352046 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8519667569812874, "annualized_volatility": 0.12437798049031273, "cagr": 0.11659439131351657, "end_nav": 952625.4017192877, "end_session": "2004-12-31", "fee_by_category": { "entry": 1155.38651337585, "exit": 1151.1488438169536, "resize": 168.23748836439685 }, "max_cash_weight": 1.4317508922453562e-16, "max_drawdown": -0.07806201042321337, "mean_cash_weight": 5.715488474274362e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 853152.5942904457, "start_session": "2003-12-31", "total_return": 0.11659439131351657, "traded_notional_by_category": { "entry": 1155386.51337585, "exit": 1151148.8438169535, "resize": 168237.48836439685 }, "transaction_cost": 2474.7728455572, "transaction_cost_over_anchor_nav": 0.002900738815212104, "two_sided_turnover": 2.8519667569812874 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6282495847469285, "annualized_volatility": 0.14009703921119504, "cagr": 0.18067323937434487, "end_nav": 1124739.318958198, "end_session": "2005-12-30", "fee_by_category": { "entry": 673.1606372753158, "exit": 663.9155661093465, "resize": 320.3750506307523 }, "max_cash_weight": 1.1963874912028558e-16, "max_drawdown": -0.10135882249848494, "mean_cash_weight": 2.828071406937582e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 952625.4017192877, "start_session": "2004-12-31", "total_return": 0.18067323937434487, "traded_notional_by_category": { "entry": 673160.6372753158, "exit": 663915.5661093465, "resize": 320375.0506307523 }, "transaction_cost": 1657.4512540154146, "transaction_cost_over_anchor_nav": 0.0017398772392842612, "two_sided_turnover": 1.6282495847469285 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.265489809578228, "annualized_volatility": 0.12907185765945556, "cagr": 0.18168524789463736, "end_nav": 1329087.8609399637, "end_session": "2006-12-29", "fee_by_category": { "entry": 1183.230710494368, "exit": 1198.1222839851885, "resize": 305.95490254478807 }, "max_cash_weight": 0.0, "max_drawdown": -0.07446796419308066, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1124739.318958198, "start_session": "2005-12-30", "total_return": 0.18168524789463736, "traded_notional_by_category": { "entry": 1183230.7104943679, "exit": 1198122.2839851885, "resize": 305954.9025447881 }, "transaction_cost": 2687.3078970243446, "transaction_cost_over_anchor_nav": 0.0023892717643351287, "two_sided_turnover": 2.265489809578228 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.848722016048002, "annualized_volatility": 0.14047232727122932, "cagr": 0.09186352345261506, "end_nav": 1451182.5548240081, "end_session": "2007-12-31", "fee_by_category": { "entry": 1814.759367377673, "exit": 1812.9622183549486, "resize": 261.5899184506801 }, "max_cash_weight": 0.0, "max_drawdown": -0.07615480449047507, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1329087.8609399637, "start_session": "2006-12-29", "total_return": 0.09186352345261506, "traded_notional_by_category": { "entry": 1814759.3673776728, "exit": 1812962.2183549486, "resize": 261589.9184506801 }, "transaction_cost": 3889.3115041833016, "transaction_cost_over_anchor_nav": 0.0029263012766008447, "two_sided_turnover": 2.848722016048002 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.4492638214353684, "annualized_volatility": 0.38806127457598716, "cagr": -0.3348529773272091, "end_nav": 965249.7556958832, "end_session": "2008-12-31", "fee_by_category": { "entry": 1453.5763659579118, "exit": 1460.7558089599988, "resize": 579.1368796134703 }, "max_cash_weight": 0.0, "max_drawdown": -0.4450413758153461, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1451182.5548240081, "start_session": "2007-12-31", "total_return": -0.3348529773272091, "traded_notional_by_category": { "entry": 1453576.3659579118, "exit": 1460755.8089599987, "resize": 579136.8796134703 }, "transaction_cost": 3493.469054531381, "transaction_cost_over_anchor_nav": 0.0024073256964938163, "two_sided_turnover": 2.4492638214353684 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 2.063592872234978, "annualized_volatility": 0.13989449095203782, "cagr": 0.28264399899611026, "end_nav": 1238071.8066757862, "end_session": "2009-12-31", "fee_by_category": { "entry": 969.3890971282299, "exit": 971.3298160413991, "resize": 72.85596229877132 }, "max_cash_weight": 1.0, "max_drawdown": -0.06580632642113338, "mean_cash_weight": 0.49206349206349204, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 965249.7556958832, "start_session": "2008-12-31", "total_return": 0.28264399899611026, "traded_notional_by_category": { "entry": 969389.0971282299, "exit": 971329.8160413991, "resize": 72855.96229877131 }, "transaction_cost": 2013.5748754684005, "transaction_cost_over_anchor_nav": 0.002086066185032849, "two_sided_turnover": 2.063592872234978 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1887841433266795, "annualized_volatility": 0.17426580014627108, "cagr": 0.13782813452589404, "end_nav": 1408712.934199013, "end_session": "2010-12-31", "fee_by_category": { "entry": 1169.4770507812623, "exit": 1161.3767758777994, "resize": 244.9039040774441 }, "max_cash_weight": 0.0, "max_drawdown": -0.14873726988509106, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1238071.8066757862, "start_session": "2009-12-31", "total_return": 0.13782813452589404, "traded_notional_by_category": { "entry": 1169477.050781262, "exit": 1161376.7758777994, "resize": 244903.9040774441 }, "transaction_cost": 2575.757730736506, "transaction_cost_over_anchor_nav": 0.0020804590790677938, "two_sided_turnover": 2.1887841433266795 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.277878785688616, "annualized_volatility": 0.21922831083158167, "cagr": 0.08096689220602693, "end_nav": 1522772.0424915403, "end_session": "2011-12-30", "fee_by_category": { "entry": 1492.976050104499, "exit": 1498.6017894401152, "resize": 403.3968842630002 }, "max_cash_weight": 0.0, "max_drawdown": -0.17415770705587363, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1408712.934199013, "start_session": "2010-12-31", "total_return": 0.08096689220602693, "traded_notional_by_category": { "entry": 1492976.050104499, "exit": 1498601.7894401154, "resize": 403396.88426300016 }, "transaction_cost": 3394.9747238076147, "transaction_cost_over_anchor_nav": 0.002409983355294441, "two_sided_turnover": 2.277878785688616 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5054611262163633, "annualized_volatility": 0.08860594838357817, "cagr": 0.11410343021911085, "end_nav": 1696525.5559815867, "end_session": "2012-12-31", "fee_by_category": { "entry": 1064.3845052701975, "exit": 1061.6838464502096, "resize": 286.11848377804336 }, "max_cash_weight": 1.494691720024665e-16, "max_drawdown": -0.06558631932600523, "mean_cash_weight": 5.762681756494765e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1522772.0424915403, "start_session": "2011-12-30", "total_return": 0.11410343021911085, "traded_notional_by_category": { "entry": 1064384.5052701975, "exit": 1061683.8464502096, "resize": 286118.48377804336 }, "transaction_cost": 2412.1868354984504, "transaction_cost_over_anchor_nav": 0.0015840761244550175, "two_sided_turnover": 1.5054611262163633 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4189465563195336, "annualized_volatility": 0.12047524572144687, "cagr": 0.3889685241853511, "end_nav": 2356420.597734477, "end_session": "2013-12-31", "fee_by_category": { "entry": 1146.7166499093832, "exit": 1142.8893004017796, "resize": 183.50441432777268 }, "max_cash_weight": 1.3509102884355878e-16, "max_drawdown": -0.0547445757890318, "mean_cash_weight": 2.0646117154586627e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1696525.5559815867, "start_session": "2012-12-31", "total_return": 0.3889685241853511, "traded_notional_by_category": { "entry": 1146716.6499093832, "exit": 1142889.3004017796, "resize": 183504.41432777268 }, "transaction_cost": 2473.110364638935, "transaction_cost_over_anchor_nav": 0.0014577501387581673, "two_sided_turnover": 1.4189465563195336 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8651298773605185, "annualized_volatility": 0.13803070115695237, "cagr": 0.0015239333952110634, "end_nav": 2360011.6257765274, "end_session": "2014-12-31", "fee_by_category": { "entry": 3263.042857100115, "exit": 3271.3352927529313, "resize": 476.0858508774934 }, "max_cash_weight": 0.0, "max_drawdown": -0.11638981123633452, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2356420.597734477, "start_session": "2013-12-31", "total_return": 0.0015239333952110634, "traded_notional_by_category": { "entry": 3263042.8571001147, "exit": 3271335.2927529314, "resize": 476085.8508774934 }, "transaction_cost": 7010.46400073054, "transaction_cost_over_anchor_nav": 0.002975047836311811, "two_sided_turnover": 2.8651298773605185 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4643574796191565, "annualized_volatility": 0.15975185565373767, "cagr": -0.0029717453007437333, "end_nav": 2352998.2723179255, "end_session": "2015-12-31", "fee_by_category": { "entry": 3912.720100441161, "exit": 3899.185641196873, "resize": 333.17462474142246 }, "max_cash_weight": 0.0, "max_drawdown": -0.1272378574930102, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2360011.6257765274, "start_session": "2014-12-31", "total_return": -0.0029717453007437333, "traded_notional_by_category": { "entry": 3912720.1004411606, "exit": 3899185.641196873, "resize": 333174.6247414225 }, "transaction_cost": 8145.080366379457, "transaction_cost_over_anchor_nav": 0.0034512882383362993, "two_sided_turnover": 3.4643574796191565 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.219807471238174, "annualized_volatility": 0.12815027391526457, "cagr": 0.04546232133599304, "end_nav": 2459971.0358770797, "end_session": "2016-12-30", "fee_by_category": { "entry": 2405.207010092029, "exit": 2395.9538228642054, "resize": 538.7943335808062 }, "max_cash_weight": 0.0, "max_drawdown": -0.08292245465649994, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2352998.2723179255, "start_session": "2015-12-31", "total_return": 0.04546232133599304, "traded_notional_by_category": { "entry": 2405207.010092029, "exit": 2395953.8228642056, "resize": 538794.3335808062 }, "transaction_cost": 5339.955166537041, "transaction_cost_over_anchor_nav": 0.0022694258764910527, "two_sided_turnover": 2.219807471238174 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8481187502289806, "annualized_volatility": 0.09127209924535015, "cagr": 0.227285087203843, "end_nav": 3019085.7672853298, "end_session": "2017-12-29", "fee_by_category": { "entry": 3418.974192084743, "exit": 3459.2098857181827, "resize": 455.28948396622695 }, "max_cash_weight": 0.0, "max_drawdown": -0.05446200040186555, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2459971.0358770797, "start_session": "2016-12-30", "total_return": 0.227285087203843, "traded_notional_by_category": { "entry": 3418974.192084743, "exit": 3459209.8857181827, "resize": 455289.4839662269 }, "transaction_cost": 7333.473561769153, "transaction_cost_over_anchor_nav": 0.002981121913557194, "two_sided_turnover": 2.8481187502289806 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5630637264238076, "annualized_volatility": 0.17996726266007484, "cagr": -0.07829613189597795, "end_nav": 2782703.029844688, "end_session": "2018-12-31", "fee_by_category": { "entry": 2082.5434202245306, "exit": 2106.0857426376533, "resize": 708.5532922328883 }, "max_cash_weight": 1.7947715079679986e-16, "max_drawdown": -0.24639017085212644, "mean_cash_weight": 5.0488370701272446e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3019085.7672853298, "start_session": "2017-12-29", "total_return": -0.07829613189597795, "traded_notional_by_category": { "entry": 2082543.4202245302, "exit": 2106085.742637653, "resize": 708553.2922328883 }, "transaction_cost": 4897.182455095071, "transaction_cost_over_anchor_nav": 0.0016220746386739681, "two_sided_turnover": 1.5630637264238076 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8356404335940626, "annualized_volatility": 0.1026643151386956, "cagr": 0.2526438358588765, "end_nav": 3485735.7973607676, "end_session": "2019-12-31", "fee_by_category": { "entry": 3767.342031705689, "exit": 3793.7368998491975, "resize": 516.6830298847475 }, "max_cash_weight": 1.4474953094680695e-16, "max_drawdown": -0.04841041051488626, "mean_cash_weight": 1.2969554962366168e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2782703.029844688, "start_session": "2018-12-31", "total_return": 0.2526438358588765, "traded_notional_by_category": { "entry": 3767342.0317056887, "exit": 3793736.899849198, "resize": 516683.02988474746 }, "transaction_cost": 8077.7619614396335, "transaction_cost_over_anchor_nav": 0.002902847294448981, "two_sided_turnover": 2.8356404335940626 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2495646998701053, "annualized_volatility": 0.3512371697393546, "cagr": 0.14764175045169226, "end_nav": 4000375.9320952366, "end_session": "2020-12-31", "fee_by_category": { "entry": 3358.631072133414, "exit": 3306.1205444022853, "resize": 870.0869242730669 }, "max_cash_weight": 1.893915677307329e-16, "max_drawdown": -0.32842096417424205, "mean_cash_weight": 5.579885788119468e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3485735.7973607676, "start_session": "2019-12-31", "total_return": 0.14764175045169226, "traded_notional_by_category": { "entry": 3358631.072133414, "exit": 3306120.5444022855, "resize": 870086.9242730668 }, "transaction_cost": 7534.838540808766, "transaction_cost_over_anchor_nav": 0.0021616206674395073, "two_sided_turnover": 2.2495646998701053 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.204604009438926, "annualized_volatility": 0.15955477241190386, "cagr": 0.21384620966753043, "end_nav": 4855841.162419017, "end_session": "2021-12-31", "fee_by_category": { "entry": 4367.46329965059, "exit": 4470.54060741775, "resize": 815.2985145881663 }, "max_cash_weight": 1.1573828833261303e-16, "max_drawdown": -0.06858955892180374, "mean_cash_weight": 8.493072534748385e-18, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4000375.9320952366, "start_session": "2020-12-31", "total_return": 0.21384620966753043, "traded_notional_by_category": { "entry": 4367463.299650589, "exit": 4470540.60741775, "resize": 815298.5145881663 }, "transaction_cost": 9653.302421656505, "transaction_cost_over_anchor_nav": 0.0024130988150907334, "two_sided_turnover": 2.204604009438926 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.583208814455345, "annualized_volatility": 0.2549385694513428, "cagr": -0.1962791702183635, "end_nav": 3902740.688347239, "end_session": "2022-12-30", "fee_by_category": { "entry": 6795.20751814779, "exit": 6834.86662865164, "resize": 998.1172253843737 }, "max_cash_weight": 1.3416744367788304e-16, "max_drawdown": -0.30912655965737756, "mean_cash_weight": 2.08809657190789e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4855841.162419017, "start_session": "2021-12-31", "total_return": -0.1962791702183635, "traded_notional_by_category": { "entry": 6795207.518147791, "exit": 6834866.628651639, "resize": 998117.2253843737 }, "transaction_cost": 14628.191372183805, "transaction_cost_over_anchor_nav": 0.0030124937951834753, "two_sided_turnover": 3.583208814455345 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.15266113435352, "annualized_volatility": 0.14268119914820862, "cagr": 0.09320655411059486, "end_nav": 4266501.699495296, "end_session": "2023-12-29", "fee_by_category": { "entry": 3936.60642821042, "exit": 3913.2803860115537, "resize": 623.1901827491839 }, "max_cash_weight": 1.2217914713243292e-16, "max_drawdown": -0.1260058019100705, "mean_cash_weight": 2.0000995803543552e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 3902740.688347239, "start_session": "2022-12-30", "total_return": 0.09320655411059486, "traded_notional_by_category": { "entry": 3936606.4282104196, "exit": 3913280.386011554, "resize": 623190.1827491838 }, "transaction_cost": 8473.076996971158, "transaction_cost_over_anchor_nav": 0.0021710581546629474, "two_sided_turnover": 2.15266113435352 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.581237558406072, "annualized_volatility": 0.14366881616276242, "cagr": 0.21160011515854715, "end_nav": 5169293.950432638, "end_session": "2024-12-31", "fee_by_category": { "entry": 2978.392590792925, "exit": 3003.381668251752, "resize": 1144.4282686346082 }, "max_cash_weight": 0.0, "max_drawdown": -0.09097889523758607, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4266501.699495296, "start_session": "2023-12-29", "total_return": 0.21160011515854715, "traded_notional_by_category": { "entry": 2978392.590792925, "exit": 3003381.668251752, "resize": 1144428.2686346082 }, "transaction_cost": 7126.202527679286, "transaction_cost_over_anchor_nav": 0.0016702682969802348, "two_sided_turnover": 1.581237558406072 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.869550915835792, "annualized_volatility": 0.15730229155176845, "cagr": 0.16953839395456272, "end_nav": 6045687.744668024, "end_session": "2025-12-31", "fee_by_category": { "entry": 1733.6609990113718, "exit": 1814.0391271211674, "resize": 1058.5638056528412 }, "max_cash_weight": 0.0, "max_drawdown": -0.13253609720631432, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5169293.950432638, "start_session": "2024-12-31", "total_return": 0.16953839395456272, "traded_notional_by_category": { "entry": 1733660.9990113718, "exit": 1814039.1271211675, "resize": 1058563.8056528412 }, "transaction_cost": 4606.263931785381, "transaction_cost_over_anchor_nav": 0.0008910818336031878, "two_sided_turnover": 0.869550915835792 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.2629379055374814, "annualized_volatility": 0.18265513113716753, "cagr": 0.07828065728159084, "end_nav": 6045687.744668024, "end_session": "2025-12-31", "fee_by_category": { "entry": 56587.9020117883, "exit": 56797.2869679338, "resize": 11899.960545988486 }, "max_cash_weight": 1.0, "max_drawdown": -0.4450413758153461, "mean_cash_weight": 0.03283395667320041, "nonzero_trade_event_count": 295, "order_count": 947, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 918650.5619641307, "start_session": "2000-12-29", "total_return": 5.581052682036112, "traded_notional_by_category": { "entry": 56587902.0117883, "exit": 56797286.96793379, "resize": 11899960.545988485 }, "transaction_cost": 125285.14952571057, "transaction_cost_over_anchor_nav": 0.13637954921384177, "two_sided_turnover": 56.57344763843704 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7317066.494121855, "end_session": "2026-10-02", "fee_by_category": { "entry": 8628.84306193892, "exit": 8863.532860879508, "resize": 3007.6019006414504 }, "max_cash_weight": 1.4139988863908215e-16, "max_drawdown": -0.07156555605093373, "mean_cash_weight": 3.103296042515147e-17, "nonzero_trade_event_count": 10, "order_count": 34, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 6045687.744668024, "start_session": "2025-12-31", "total_return": 0.21029513980028502, "traded_notional_by_category": { "entry": 8628843.06193892, "exit": 8863532.860879507, "resize": 3007601.90064145 }, "transaction_cost": 20499.977823459878, "transaction_cost_over_anchor_nav": 0.0033908429758946405, "two_sided_turnover": 3.1495662014351455 } }, "monthly_risk": { "beta_intercept_per_month": 0.0004866632738723068, "beta_to_SPY_excess_returns": 0.7992774510593746, "monthly_return_volatility_annualized": 0.14176685429169963, "months": 300, "sharpe_monthly_annualized": 0.48430150463731525, "tracking_error_monthly_annualized": 0.08080361444481429 }, "phase": [ 6, 12 ], "policy": "B", "run_id": "BMIX-06-12-10bps", "signal": "mixed" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.263205169836612, "annualized_volatility": 0.1679301991753733, "cagr": -0.11521362163587168, "end_nav": 810130.4961429718, "end_session": "2001-12-31", "fee_by_category": { "entry": 2246.4950354760235, "exit": 2204.9205080554907, "resize": 597.4441135156501 }, "max_cash_weight": 1.5073084426485873e-16, "max_drawdown": -0.2138041423304795, "mean_cash_weight": 4.8321485330937984e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 915622.7039127942, "start_session": "2000-12-29", "total_return": -0.11521362163587168, "traded_notional_by_category": { "entry": 898598.0141904093, "exit": 881968.2032221963, "resize": 238977.64540626 }, "transaction_cost": 5048.859657047164, "transaction_cost_over_anchor_nav": 0.005514126763645681, "two_sided_turnover": 2.263205169836612 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2061321932016584, "annualized_volatility": 0.24478864630111258, "cagr": -0.13332258715391954, "end_nav": 702121.8024649024, "end_session": "2002-12-31", "fee_by_category": { "entry": 1994.7223333176019, "exit": 1986.3852693768547, "resize": 411.4756310832986 }, "max_cash_weight": 1.4238716625357337e-16, "max_drawdown": -0.2775883006416907, "mean_cash_weight": 2.4241077279130016e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 810130.4961429718, "start_session": "2001-12-31", "total_return": -0.13332258715391954, "traded_notional_by_category": { "entry": 797888.9333270408, "exit": 794554.1077507419, "resize": 164590.25243331943 }, "transaction_cost": 4392.583233777756, "transaction_cost_over_anchor_nav": 0.005422068734223471, "two_sided_turnover": 2.2061321932016584 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1644754358849743, "annualized_volatility": 0.10615188474932884, "cagr": 0.19909364889548486, "end_nav": 841909.7940867146, "end_session": "2003-12-31", "fee_by_category": { "entry": 1816.518718815819, "exit": 1783.4732666359905, "resize": 320.88330132147314 }, "max_cash_weight": 0.6794625829473039, "max_drawdown": -0.05803022980198835, "mean_cash_weight": 0.32709160954131294, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 702121.8024649024, "start_session": "2002-12-31", "total_return": 0.19909364889548486, "traded_notional_by_category": { "entry": 726607.4875263276, "exit": 713389.3066543962, "resize": 128353.32052858925 }, "transaction_cost": 3920.875286773283, "transaction_cost_over_anchor_nav": 0.005584323507699761, "two_sided_turnover": 2.1644754358849743 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8492893710568823, "annualized_volatility": 0.12471820477342543, "cagr": 0.11182488581442729, "end_nav": 936056.2606765095, "end_session": "2004-12-31", "fee_by_category": { "entry": 2841.660783756189, "exit": 2836.9419134921245, "resize": 413.6950732455151 }, "max_cash_weight": 1.4800255311972816e-16, "max_drawdown": -0.07808653140538158, "mean_cash_weight": 7.927200926935076e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 841909.7940867146, "start_session": "2003-12-31", "total_return": 0.11182488581442729, "traded_notional_by_category": { "entry": 1136664.3135024756, "exit": 1134776.7653968497, "resize": 165478.02929820603 }, "transaction_cost": 6092.2977704938285, "transaction_cost_over_anchor_nav": 0.007236283285078801, "two_sided_turnover": 2.8492893710568823 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6282093529519046, "annualized_volatility": 0.14014065212159812, "cagr": 0.17779032592295452, "end_nav": 1102478.0083444081, "end_session": "2005-12-30", "fee_by_category": { "entry": 1650.8376146647124, "exit": 1629.8771408674208, "resize": 787.4524140634669 }, "max_cash_weight": 1.2073095124335727e-16, "max_drawdown": -0.10139288429835758, "mean_cash_weight": 9.744496794764715e-18, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 936056.2606765095, "start_session": "2004-12-31", "total_return": 0.17779032592295452, "traded_notional_by_category": { "entry": 660335.045865885, "exit": 651950.8563469683, "resize": 314980.96562538674 }, "transaction_cost": 4068.1671695956006, "transaction_cost_over_anchor_nav": 0.004346071214411239, "two_sided_turnover": 1.6282093529519046 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2624213890464784, "annualized_volatility": 0.12875986356662378, "cagr": 0.1776784188847227, "end_nav": 1298364.5577222207, "end_session": "2006-12-29", "fee_by_category": { "entry": 2892.149104714388, "exit": 2933.52519995721, "resize": 744.3776291831892 }, "max_cash_weight": 0.0, "max_drawdown": -0.0745017590978202, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1102478.0083444081, "start_session": "2005-12-30", "total_return": 0.1776784188847227, "traded_notional_by_category": { "entry": 1156859.6418857551, "exit": 1173410.079982884, "resize": 297751.0516732757 }, "transaction_cost": 6570.051933854787, "transaction_cost_over_anchor_nav": 0.005959349650630255, "two_sided_turnover": 2.2624213890464784 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8460511314693013, "annualized_volatility": 0.14027369536141637, "cagr": 0.08720490257450142, "end_nav": 1411588.3124845726, "end_session": "2007-12-31", "fee_by_category": { "entry": 4418.338811262334, "exit": 4422.786877641944, "resize": 636.8263559755364 }, "max_cash_weight": 0.0, "max_drawdown": -0.07805425118925047, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1298364.5577222207, "start_session": "2006-12-29", "total_return": 0.08720490257450142, "traded_notional_by_category": { "entry": 1767335.5245049337, "exit": 1769114.7510567773, "resize": 254730.54239021457 }, "transaction_cost": 9477.952044879814, "transaction_cost_over_anchor_nav": 0.0072999158737877224, "two_sided_turnover": 2.8460511314693013 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.446914977663922, "annualized_volatility": 0.38809825937262715, "cagr": -0.337292290999441, "end_nav": 935470.4566186162, "end_session": "2008-12-31", "fee_by_category": { "entry": 3526.1846649632134, "exit": 3549.6022520681327, "resize": 1402.0670482995702 }, "max_cash_weight": 1.430860570411895e-16, "max_drawdown": -0.4458162825407299, "mean_cash_weight": 2.0477737295669537e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1411588.3124845726, "start_session": "2007-12-31", "total_return": -0.337292290999441, "traded_notional_by_category": { "entry": 1410473.8659852853, "exit": 1419840.9008272532, "resize": 560826.8193198281 }, "transaction_cost": 8477.853965330916, "transaction_cost_over_anchor_nav": 0.006005896967515145, "two_sided_turnover": 2.446914977663922 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0620798753387426, "annualized_volatility": 0.1399213200514048, "cagr": 0.2786779812334903, "end_nav": 1196165.4749726637, "end_session": "2009-12-31", "fee_by_category": { "entry": 2341.669654088218, "exit": 2353.4073465899132, "resize": 175.93479526116718 }, "max_cash_weight": 1.0, "max_drawdown": -0.06580632642113349, "mean_cash_weight": 0.49206349206349204, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 935470.4566186162, "start_session": "2008-12-31", "total_return": 0.2786779812334903, "traded_notional_by_category": { "entry": 936667.8616352873, "exit": 941362.9386359652, "resize": 70373.91810446687 }, "transaction_cost": 4871.011795939298, "transaction_cost_over_anchor_nav": 0.0052070183098525905, "two_sided_turnover": 2.0620798753387426 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.187768577394468, "annualized_volatility": 0.1741611000292212, "cagr": 0.13409477110934875, "end_nav": 1356565.0105480284, "end_session": "2010-12-31", "fee_by_category": { "entry": 2817.9747025819074, "exit": 2803.0902210484855, "resize": 592.1677397260187 }, "max_cash_weight": 0.0, "max_drawdown": -0.15047982608956378, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1196165.4749726637, "start_session": "2009-12-31", "total_return": 0.13409477110934875, "traded_notional_by_category": { "entry": 1127189.8810327628, "exit": 1121236.088419394, "resize": 236867.09589040745 }, "transaction_cost": 6213.232663356412, "transaction_cost_over_anchor_nav": 0.005194291921440388, "two_sided_turnover": 2.187768577394468 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.275582432538491, "annualized_volatility": 0.21915129897439872, "cagr": 0.07727952387781722, "end_nav": 1461399.7086724862, "end_session": "2011-12-30", "fee_by_category": { "entry": 3585.401773396396, "exit": 3605.003507596991, "resize": 966.5014824381212 }, "max_cash_weight": 0.0, "max_drawdown": -0.17600128369826562, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1356565.0105480284, "start_session": "2010-12-31", "total_return": 0.07727952387781722, "traded_notional_by_category": { "entry": 1434160.7093585585, "exit": 1442001.4030387965, "resize": 386600.59297524847 }, "transaction_cost": 8156.906763431509, "transaction_cost_over_anchor_nav": 0.00601291254013419, "two_sided_turnover": 2.275582432538491 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.504770722335968, "annualized_volatility": 0.0885411196864553, "cagr": 0.11158968737573693, "end_nav": 1624476.845294242, "end_session": "2012-12-31", "fee_by_category": { "entry": 2549.6867146862296, "exit": 2545.754822106105, "resize": 685.1042944165763 }, "max_cash_weight": 1.4968588074439168e-16, "max_drawdown": -0.06560463126760818, "mean_cash_weight": 2.3681415271368735e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1461399.7086724862, "start_session": "2011-12-30", "total_return": 0.11158968737573693, "traded_notional_by_category": { "entry": 1019874.6858744919, "exit": 1018301.9288424421, "resize": 274041.7177666305 }, "transaction_cost": 5780.545831208911, "transaction_cost_over_anchor_nav": 0.0039554858242443975, "two_sided_turnover": 1.504770722335968 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4182640324056999, "annualized_volatility": 0.12024172411147192, "cagr": 0.38601124995516933, "end_nav": 2251543.182869503, "end_session": "2013-12-31", "fee_by_category": { "entry": 2739.5525901410597, "exit": 2735.8815767485216, "resize": 441.0737476415353 }, "max_cash_weight": 1.368672091591919e-16, "max_drawdown": -0.05474457578903191, "mean_cash_weight": 2.0640992848319275e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1624476.845294242, "start_session": "2012-12-31", "total_return": 0.38601124995516933, "traded_notional_by_category": { "entry": 1095821.0360564238, "exit": 1094352.6306994087, "resize": 176429.49905661412 }, "transaction_cost": 5916.507914531117, "transaction_cost_over_anchor_nav": 0.003642100490179322, "two_sided_turnover": 1.4182640324056999 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.861808359603524, "annualized_volatility": 0.1380884849851588, "cagr": -0.002774447143173653, "end_nav": 2245296.3953180583, "end_session": "2014-12-31", "fee_by_category": { "entry": 7768.386481570875, "exit": 7807.794654350951, "resize": 1133.7565333372227 }, "max_cash_weight": 0.0, "max_drawdown": -0.11643747818869032, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2251543.182869503, "start_session": "2013-12-31", "total_return": -0.002774447143173653, "traded_notional_by_category": { "entry": 3107354.5926283496, "exit": 3123117.86174038, "resize": 453502.61333488906 }, "transaction_cost": 16709.93766925905, "transaction_cost_over_anchor_nav": 0.0074215488276635645, "two_sided_turnover": 2.861808359603524 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.460723191285516, "annualized_volatility": 0.1598337925552601, "cagr": -0.008145423734832069, "end_nav": 2227007.5047679017, "end_session": "2015-12-31", "fee_by_category": { "entry": 9270.61510616211, "exit": 9262.728022472307, "resize": 793.2535640610938 }, "max_cash_weight": 1.154650440542143e-16, "max_drawdown": -0.1291005272854373, "mean_cash_weight": 1.8596744813527063e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2245296.3953180583, "start_session": "2014-12-31", "total_return": -0.008145423734832069, "traded_notional_by_category": { "entry": 3708246.042464844, "exit": 3705091.2089889226, "resize": 317301.4256244375 }, "transaction_cost": 19326.59669269551, "transaction_cost_over_anchor_nav": 0.008607592624740217, "two_sided_turnover": 3.460723191285516 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.218068165269725, "annualized_volatility": 0.1283510416335353, "cagr": 0.04198539006279045, "end_nav": 2320509.283528344, "end_session": "2016-12-30", "fee_by_category": { "entry": 5677.040903027203, "exit": 5664.830283434294, "resize": 1271.8796561158538 }, "max_cash_weight": 0.0, "max_drawdown": -0.08389269312844605, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2227007.5047679017, "start_session": "2015-12-31", "total_return": 0.04198539006279045, "traded_notional_by_category": { "entry": 2270816.3612108813, "exit": 2265932.1133737178, "resize": 508751.86244634155 }, "transaction_cost": 12613.750842577352, "transaction_cost_over_anchor_nav": 0.005663991170021654, "two_sided_turnover": 2.218068165269725 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.844074184497666, "annualized_volatility": 0.09138247572785803, "cagr": 0.22205382907942584, "end_nav": 2835787.2553501674, "end_session": "2017-12-29", "fee_by_category": { "entry": 8037.693474830234, "exit": 8148.7280508679905, "resize": 1062.1650094981346 }, "max_cash_weight": 0.0, "max_drawdown": -0.05448589900781875, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2320509.283528344, "start_session": "2016-12-30", "total_return": 0.22205382907942584, "traded_notional_by_category": { "entry": 3215077.389932094, "exit": 3259491.2203471963, "resize": 424866.00379925384 }, "transaction_cost": 17248.586535196362, "transaction_cost_over_anchor_nav": 0.007433103869754753, "two_sided_turnover": 2.844074184497666 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.56237520283225, "annualized_volatility": 0.1799349397878626, "cagr": -0.08045528163385218, "end_nav": 2607633.193067281, "end_session": "2018-12-31", "fee_by_category": { "entry": 4882.248224937518, "exit": 4942.45182911197, "resize": 1661.3291408111002 }, "max_cash_weight": 1.6584538153896733e-16, "max_drawdown": -0.2464221955612772, "mean_cash_weight": 2.5274490638645424e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2835787.2553501674, "start_session": "2017-12-29", "total_return": -0.08045528163385218, "traded_notional_by_category": { "entry": 1952899.2899750073, "exit": 1976980.731644788, "resize": 664531.65632444 }, "transaction_cost": 11486.02919486059, "transaction_cost_over_anchor_nav": 0.0040503846588598475, "two_sided_turnover": 1.56237520283225 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.832314243654095, "annualized_volatility": 0.10338314989601739, "cagr": 0.24732284946104022, "end_nav": 3252560.4647258716, "end_session": "2019-12-31", "fee_by_category": { "entry": 8796.630689082605, "exit": 8879.93725540386, "resize": 1206.043025233842 }, "max_cash_weight": 0.0, "max_drawdown": -0.048423604295609435, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2607633.193067281, "start_session": "2018-12-31", "total_return": 0.24732284946104022, "traded_notional_by_category": { "entry": 3518652.275633042, "exit": 3551974.902161544, "resize": 482417.21009353676 }, "transaction_cost": 18882.61096972031, "transaction_cost_over_anchor_nav": 0.007241283405933815, "two_sided_turnover": 2.832314243654095 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2486561244699965, "annualized_volatility": 0.35121188286024935, "cagr": 0.14377159964171704, "end_nav": 3720186.2856709165, "end_session": "2020-12-31", "fee_by_category": { "entry": 7815.546385866492, "exit": 7706.174032980731, "resize": 2031.7332523122668 }, "max_cash_weight": 1.4302498387188024e-16, "max_drawdown": -0.3284437706309795, "mean_cash_weight": 1.1497110815032455e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3252560.4647258716, "start_session": "2019-12-31", "total_return": 0.14377159964171704, "traded_notional_by_category": { "entry": 3126218.5543465964, "exit": 3082469.6131922924, "resize": 812693.3009249067 }, "transaction_cost": 17553.45367115949, "transaction_cost_over_anchor_nav": 0.005396810869936866, "two_sided_turnover": 2.2486561244699965 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.202177691074365, "annualized_volatility": 0.15963827511681403, "cagr": 0.2098386308288771, "end_nav": 4500825.082284467, "end_session": "2021-12-31", "fee_by_category": { "entry": 10128.216740223968, "exit": 10385.23832961737, "resize": 1884.4229355386337 }, "max_cash_weight": 1.272879653647103e-16, "max_drawdown": -0.06861715412723646, "mean_cash_weight": 2.0345839583045366e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3720186.2856709165, "start_session": "2020-12-31", "total_return": 0.2098386308288771, "traded_notional_by_category": { "entry": 4051286.696089587, "exit": 4154095.331846948, "resize": 753769.1742154534 }, "transaction_cost": 22397.87800537997, "transaction_cost_over_anchor_nav": 0.006020633453666052, "two_sided_turnover": 2.202177691074365 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.5781956713889658, "annualized_volatility": 0.2547787036303189, "cagr": -0.2005895936782005, "end_nav": 3598006.407812373, "end_session": "2022-12-30", "fee_by_category": { "entry": 15688.497827446026, "exit": 15820.08916023293, "resize": 2296.519006917192 }, "max_cash_weight": 1.486086466698273e-16, "max_drawdown": -0.3113269000277614, "mean_cash_weight": 5.370498148801685e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4500825.082284467, "start_session": "2021-12-31", "total_return": -0.2005895936782005, "traded_notional_by_category": { "entry": 6275399.13097841, "exit": 6328035.664093172, "resize": 918607.6027668769 }, "transaction_cost": 33805.105994596146, "transaction_cost_over_anchor_nav": 0.007510868646652185, "two_sided_turnover": 3.5781956713889658 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.151653181698385, "annualized_volatility": 0.14281120085497195, "cagr": 0.08967862810295024, "end_nav": 3920670.6863706107, "end_session": "2023-12-29", "fee_by_category": { "entry": 9050.780492493002, "exit": 9012.327480013244, "resize": 1440.1084752706038 }, "max_cash_weight": 1.4220512078978327e-16, "max_drawdown": -0.1260216280923726, "mean_cash_weight": 2.2990440230211697e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 3598006.407812373, "start_session": "2022-12-30", "total_return": 0.08967862810295024, "traded_notional_by_category": { "entry": 3620312.1969972006, "exit": 3604930.9920052974, "resize": 576043.3901082415 }, "transaction_cost": 19503.21644777685, "transaction_cost_over_anchor_nav": 0.005420561899342202, "two_sided_turnover": 2.151653181698385 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5805599324193162, "annualized_volatility": 0.14379722094367473, "cagr": 0.2087288199499051, "end_nav": 4739027.652148933, "end_session": "2024-12-31", "fee_by_category": { "entry": 6831.156213793585, "exit": 6895.582181756691, "resize": 2625.0308042941506 }, "max_cash_weight": 1.1348307320394532e-16, "max_drawdown": -0.091031994144678, "mean_cash_weight": 8.880748783283468e-18, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3920670.6863706107, "start_session": "2023-12-29", "total_return": 0.2087288199499051, "traded_notional_by_category": { "entry": 2732462.4855174343, "exit": 2758232.8727026763, "resize": 1050012.3217176602 }, "transaction_cost": 16351.769199844428, "transaction_cost_over_anchor_nav": 0.004170656121843623, "two_sided_turnover": 1.5805599324193162 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8685014703967734, "annualized_volatility": 0.15731593127281246, "cagr": 0.1680155005775248, "end_nav": 5535257.755375468, "end_session": "2025-12-31", "fee_by_category": { "entry": 3969.2561092550905, "exit": 4157.61884888933, "resize": 2415.1544209037997 }, "max_cash_weight": 0.0, "max_drawdown": -0.13257722198464317, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4739027.652148933, "start_session": "2024-12-31", "total_return": 0.1680155005775248, "traded_notional_by_category": { "entry": 1587702.4437020358, "exit": 1663047.5395557317, "resize": 966061.7683615198 }, "transaction_cost": 10542.02937904822, "transaction_cost_over_anchor_nav": 0.002224513160261449, "two_sided_turnover": 0.8685014703967734 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.260970883188627, "annualized_volatility": 0.18267230371848753, "cagr": 0.07462478249534699, "end_nav": 5535257.755375468, "end_session": "2025-12-31", "fee_by_category": { "entry": 133337.2611505528, "exit": 134074.15003131685, "resize": 27996.39945046501 }, "max_cash_weight": 1.0, "max_drawdown": -0.4458162825407299, "mean_cash_weight": 0.03283395667320041, "nonzero_trade_event_count": 295, "order_count": 947, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 915622.7039127942, "start_session": "2000-12-29", "total_return": 5.045347861866319, "traded_notional_by_category": { "entry": 53334904.46022112, "exit": 53629660.01252674, "resize": 11198559.780186005 }, "transaction_cost": 295407.8106323347, "transaction_cost_over_anchor_nav": 0.3226304998444751, "two_sided_turnover": 56.52427207971568 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6667724.175118221, "end_session": "2026-10-02", "fee_by_category": { "entry": 19685.033930345366, "exit": 20261.864740550503, "resize": 6841.615137134083 }, "max_cash_weight": 1.4368177313213478e-16, "max_drawdown": -0.07163055101802385, "mean_cash_weight": 1.5745157127936342e-17, "nonzero_trade_event_count": 10, "order_count": 34, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 5535257.755375468, "start_session": "2025-12-31", "total_return": 0.20459145170664872, "traded_notional_by_category": { "entry": 7874013.572138146, "exit": 8104745.896220202, "resize": 2736646.054853633 }, "transaction_cost": 46788.51380802995, "transaction_cost_over_anchor_nav": 0.008452815727071085, "two_sided_turnover": 3.145395032296747 } }, "monthly_risk": { "beta_intercept_per_month": 0.00020683839490042571, "beta_to_SPY_excess_returns": 0.7985533609527196, "monthly_return_volatility_annualized": 0.1417685391843889, "months": 300, "sharpe_monthly_annualized": 0.46023761639953703, "tracking_error_monthly_annualized": 0.08100817936124326 }, "phase": [ 6, 12 ], "policy": "B", "run_id": "BMIX-06-12-25bps", "signal": "mixed" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2644842798173648, "annualized_volatility": 0.1678677793427556, "cagr": -0.11119421045827171, "end_nav": 817401.3682732179, "end_session": "2001-12-31", "fee_by_category": { "entry": 452.7160680929943, "exit": 443.3421850547012, "resize": 119.97469282466696 }, "max_cash_weight": 1.4964950905918184e-16, "max_drawdown": -0.21039898084692898, "mean_cash_weight": 4.782975163236275e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 919662.5155813546, "start_session": "2000-12-29", "total_return": -0.11119421045827171, "traded_notional_by_category": { "entry": 905432.1361859887, "exit": 886684.3701094023, "resize": 239949.3856493339 }, "transaction_cost": 1016.0329459723624, "transaction_cost_over_anchor_nav": 0.0011047889076245413, "two_sided_turnover": 2.2644842798173648 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2084570868724787, "annualized_volatility": 0.2446239314930772, "cagr": -0.12948521614264752, "end_nav": 711559.9754270645, "end_session": "2002-12-31", "fee_by_category": { "entry": 403.80798503809694, "exit": 401.20043979818024, "resize": 83.36466644158503 }, "max_cash_weight": 1.8293020502436822e-16, "max_drawdown": -0.2765453461686155, "mean_cash_weight": 6.010865315172233e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 817401.3682732179, "start_session": "2001-12-31", "total_return": -0.12948521614264752, "traded_notional_by_category": { "entry": 807615.9700761939, "exit": 802400.8795963605, "resize": 166729.33288317005 }, "transaction_cost": 888.3730912778622, "transaction_cost_over_anchor_nav": 0.00108682603890739, "two_sided_turnover": 2.2084570868724787 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.166653878237502, "annualized_volatility": 0.10646154088493742, "cagr": 0.20430249654696686, "end_nav": 856933.4548497121, "end_session": "2003-12-31", "fee_by_category": { "entry": 369.6872968672192, "exit": 361.66378625354895, "resize": 65.09169013848857 }, "max_cash_weight": 0.6794625829473039, "max_drawdown": -0.05795482205340796, "mean_cash_weight": 0.32709160954131294, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 711559.9754270645, "start_session": "2002-12-31", "total_return": 0.20430249654696686, "traded_notional_by_category": { "entry": 739374.5937344383, "exit": 723327.5725070979, "resize": 130183.38027697714 }, "transaction_cost": 796.4427732592566, "transaction_cost_over_anchor_nav": 0.00111929113604408, "two_sided_turnover": 2.166653878237502 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8528607199086706, "annualized_volatility": 0.12427824192068244, "cagr": 0.11818876980234894, "end_nav": 958213.3656808762, "end_session": "2004-12-31", "fee_by_category": { "entry": 580.8480248114777, "exit": 578.3295283438656, "resize": 84.5836610936951 }, "max_cash_weight": 1.3986547858162303e-16, "max_drawdown": -0.078053842212506, "mean_cash_weight": 2.150877172645762e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 856933.4548497121, "start_session": "2003-12-31", "total_return": 0.11818876980234894, "traded_notional_by_category": { "entry": 1161696.0496229553, "exit": 1156659.056687731, "resize": 169167.32218739018 }, "transaction_cost": 1243.7612142490384, "transaction_cost_over_anchor_nav": 0.0014514093331403051, "two_sided_turnover": 2.8528607199086706 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6282631762529551, "annualized_volatility": 0.14008576489411476, "cagr": 0.1816352540731283, "end_nav": 1132258.6938125896, "end_session": "2005-12-30", "fee_by_category": { "entry": 338.74542409686507, "exit": 333.9762296238058, "resize": 161.09672737520557 }, "max_cash_weight": 0.0, "max_drawdown": -0.10134747613574446, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 958213.3656808762, "start_session": "2004-12-31", "total_return": 0.1816352540731283, "traded_notional_by_category": { "entry": 677490.8481937301, "exit": 667952.4592476117, "resize": 322193.45475041115 }, "transaction_cost": 833.8183810958765, "transaction_cost_over_anchor_nav": 0.0008701802865204155, "two_sided_turnover": 1.6282631762529551 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.266514658307294, "annualized_volatility": 0.12918491815974034, "cagr": 0.18302495946398567, "end_nav": 1339490.2953503842, "end_session": "2006-12-29", "fee_by_category": { "entry": 596.07731923815, "exit": 603.2373643224093, "resize": 154.36893541390378 }, "max_cash_weight": 0.0, "max_drawdown": -0.0744566917161068, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1132258.6938125896, "start_session": "2005-12-30", "total_return": 0.18302495946398567, "traded_notional_by_category": { "entry": 1192154.6384763, "exit": 1206474.7286448185, "resize": 308737.8708278076 }, "transaction_cost": 1353.6836189744631, "transaction_cost_over_anchor_nav": 0.00119556036652391, "two_sided_turnover": 2.266514658307294 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.849613814485718, "annualized_volatility": 0.14055151926843243, "cagr": 0.09342081994594187, "end_nav": 1464626.5770516489, "end_session": "2007-12-31", "fee_by_category": { "entry": 915.424675703614, "exit": 913.9095601917747, "resize": 131.95929516516222 }, "max_cash_weight": 0.0, "max_drawdown": -0.0755203762023604, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1339490.2953503842, "start_session": "2006-12-29", "total_return": 0.09342081994594187, "traded_notional_by_category": { "entry": 1830849.351407228, "exit": 1827819.1203835495, "resize": 263918.5903303244 }, "transaction_cost": 1961.2935310605508, "transaction_cost_over_anchor_nav": 0.0014642088396374048, "two_sided_turnover": 2.849613814485718 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.450048227802795, "annualized_volatility": 0.3880518502206826, "cagr": -0.3340376030875798, "end_nav": 975386.2258349496, "end_session": "2008-12-31", "fee_by_category": { "entry": 734.118012539687, "exit": 737.3278512603634, "resize": 292.6859200637602 }, "max_cash_weight": 1.37241026568186e-16, "max_drawdown": -0.44478282995225515, "mean_cash_weight": 9.01669177756594e-18, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1464626.5770516489, "start_session": "2007-12-31", "total_return": -0.3340376030875798, "traded_notional_by_category": { "entry": 1468236.025079374, "exit": 1474655.702520727, "resize": 585371.8401275203 }, "transaction_cost": 1764.1317838638106, "transaction_cost_over_anchor_nav": 0.0012044925385794089, "two_sided_turnover": 2.450048227802795 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0640982077182652, "annualized_volatility": 0.13989262257266563, "cagr": 0.2839687481662694, "end_nav": 1252365.4313639223, "end_session": "2009-12-31", "fee_by_category": { "entry": 490.27454784386026, "exit": 490.7650676516079, "resize": 36.85134217433914 }, "max_cash_weight": 1.0, "max_drawdown": -0.06580632642113338, "mean_cash_weight": 0.49206349206349204, "nonzero_trade_event_count": 7, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 975386.2258349496, "start_session": "2008-12-31", "total_return": 0.2839687481662694, "traded_notional_by_category": { "entry": 980549.0956877205, "exit": 981530.1353032158, "resize": 73702.68434867827 }, "transaction_cost": 1017.8909576698073, "transaction_cost_over_anchor_nav": 0.0010435773345050807, "two_sided_turnover": 2.0640982077182652 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1891229082766457, "annualized_volatility": 0.17430716447965475, "cagr": 0.13907481133126365, "end_nav": 1426537.9174486564, "end_session": "2010-12-31", "fee_by_category": { "entry": 591.9617005108678, "exit": 587.5374829239846, "resize": 123.82141312224194 }, "max_cash_weight": 0.0, "max_drawdown": -0.14815599502952514, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1252365.4313639223, "start_session": "2009-12-31", "total_return": 0.13907481133126365, "traded_notional_by_category": { "entry": 1183923.4010217355, "exit": 1175074.9658479693, "resize": 247642.82624448388 }, "transaction_cost": 1303.3205965570944, "transaction_cost_over_anchor_nav": 0.001040687138048579, "two_sided_turnover": 2.1891229082766457 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2786456776114696, "annualized_volatility": 0.21925925274917255, "cagr": 0.08219925253826288, "end_nav": 1543798.267980426, "end_session": "2011-12-30", "fee_by_category": { "entry": 756.5568922827522, "exit": 758.9793853947135, "resize": 204.57815424676284 }, "max_cash_weight": 1.526242378642448e-16, "max_drawdown": -0.17354192472782992, "mean_cash_weight": 1.2481042506472588e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1426537.9174486564, "start_session": "2010-12-31", "total_return": 0.08219925253826288, "traded_notional_by_category": { "entry": 1513113.7845655042, "exit": 1517958.7707894272, "resize": 409156.30849352566 }, "transaction_cost": 1720.1144319242285, "transaction_cost_over_anchor_nav": 0.0012057965027670837, "two_sided_turnover": 2.2786456776114696 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5056920270866017, "annualized_volatility": 0.0886327366673723, "cagr": 0.1149426154537283, "end_nav": 1721246.478635032, "end_session": "2012-12-31", "fee_by_category": { "entry": 539.8247077884885, "exit": 538.2760443596446, "resize": 145.13146009443096 }, "max_cash_weight": 1.4738090312861814e-16, "max_drawdown": -0.06558021127682878, "mean_cash_weight": 4.766133912332127e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1543798.267980426, "start_session": "2011-12-30", "total_return": 0.1149426154537283, "traded_notional_by_category": { "entry": 1079649.415576977, "exit": 1076552.0887192893, "resize": 290262.9201888619 }, "transaction_cost": 1223.232212242564, "transaction_cost_over_anchor_nav": 0.0007923523672835688, "two_sided_turnover": 1.5056920270866017 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.4191742217998722, "annualized_volatility": 0.12056065522234787, "cagr": 0.3899550789553494, "end_nav": 2392455.285112773, "end_session": "2013-12-31", "fee_by_category": { "entry": 582.1011481461195, "exit": 579.7714560945786, "resize": 92.96228075748316 }, "max_cash_weight": 1.2568566318128406e-16, "max_drawdown": -0.05474457578903191, "mean_cash_weight": 1.957953210579937e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1721246.478635032, "start_session": "2012-12-31", "total_return": 0.3899550789553494, "traded_notional_by_category": { "entry": 1164202.2962922389, "exit": 1159542.9121891572, "resize": 185924.5615149663 }, "transaction_cost": 1254.8348849981812, "transaction_cost_over_anchor_nav": 0.0007290268422180184, "two_sided_turnover": 1.4191742217998722 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.866239138243391, "annualized_volatility": 0.1380275753021637, "cagr": 0.002960829332445236, "end_nav": 2399538.9368974986, "end_session": "2014-12-31", "fee_by_category": { "entry": 1658.3280635211033, "exit": 1661.144806839674, "resize": 241.93061189953744 }, "max_cash_weight": 0.0, "max_drawdown": -0.11637393267038809, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2392455.285112773, "start_session": "2013-12-31", "total_return": 0.002960829332445236, "traded_notional_by_category": { "entry": 3316656.127042206, "exit": 3322289.6136793485, "resize": 483861.2237990749 }, "transaction_cost": 3561.403482260315, "transaction_cost_over_anchor_nav": 0.0014885977198493142, "two_sided_turnover": 2.866239138243391 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.465571063872253, "annualized_volatility": 0.1597423946708078, "cagr": -0.0012416593547359689, "end_nav": 2396559.5269294465, "end_session": "2015-12-31", "fee_by_category": { "entry": 1991.6777010838123, "exit": 1983.0605734968572, "resize": 169.31940143070818 }, "max_cash_weight": 0.0, "max_drawdown": -0.12661648038488071, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2399538.9368974986, "start_session": "2014-12-31", "total_return": -0.0012416593547359689, "traded_notional_by_category": { "entry": 3983355.402167624, "exit": 3966121.1469937144, "resize": 338638.80286141636 }, "transaction_cost": 4144.057676011377, "transaction_cost_over_anchor_nav": 0.001727022475980101, "two_sided_turnover": 3.465571063872253 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.2203880929862825, "annualized_volatility": 0.12809183409754085, "cagr": 0.04662390884728529, "end_nav": 2508296.499860098, "end_session": "2016-12-30", "fee_by_category": { "entry": 1225.8746895954728, "exit": 1220.4662178646731, "resize": 274.59893392566704 }, "max_cash_weight": 0.0, "max_drawdown": -0.08259839495452659, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2396559.5269294465, "start_session": "2015-12-31", "total_return": 0.04662390884728529, "traded_notional_by_category": { "entry": 2451749.3791909455, "exit": 2440932.4357293462, "resize": 549197.867851334 }, "transaction_cost": 2720.939841385813, "transaction_cost_over_anchor_nav": 0.0011353524962811892, "two_sided_turnover": 2.2203880929862825 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8494696399875106, "annualized_volatility": 0.09125502061949956, "cagr": 0.22903490112583746, "end_nav": 3082783.94069984, "end_session": "2017-12-29", "fee_by_category": { "entry": 1744.8884638778118, "exit": 1764.2338118577359, "resize": 232.95046289183787 }, "max_cash_weight": 0.0, "max_drawdown": -0.05445403951156769, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2508296.499860098, "start_session": "2016-12-30", "total_return": 0.22903490112583746, "traded_notional_by_category": { "entry": 3489776.927755624, "exit": 3528467.623715472, "resize": 465900.92578367575 }, "transaction_cost": 3742.0727386273857, "transaction_cost_over_anchor_nav": 0.0014918781487101315, "two_sided_turnover": 2.8494696399875106 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5632934078084073, "annualized_volatility": 0.1799806356616483, "cagr": -0.07757529405606656, "end_nav": 2843636.0699887304, "end_session": "2018-12-31", "fee_by_category": { "entry": 1063.8226015405808, "exit": 1075.4849268523258, "resize": 361.9333318880083 }, "max_cash_weight": 1.5208993690966021e-16, "max_drawdown": -0.2463794886861156, "mean_cash_weight": 2.4516465927179876e-17, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3082783.94069984, "start_session": "2017-12-29", "total_return": -0.07757529405606656, "traded_notional_by_category": { "entry": 2127645.2030811612, "exit": 2150969.8537046514, "resize": 723866.6637760166 }, "transaction_cost": 2501.2408602809146, "transaction_cost_over_anchor_nav": 0.0008113578208510759, "two_sided_turnover": 1.5632934078084073 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8367512485936155, "annualized_volatility": 0.10244397034729501, "cagr": 0.25442252257775433, "end_nav": 3567121.132208355, "end_session": "2019-12-31", "fee_by_category": { "entry": 1927.0442062040336, "exit": 1938.9660564618337, "resize": 264.3190441664412 }, "max_cash_weight": 1.3816428758870135e-16, "max_drawdown": -0.04840601552041879, "mean_cash_weight": 1.0833617398453603e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2843636.0699887304, "start_session": "2018-12-31", "total_return": 0.25442252257775433, "traded_notional_by_category": { "entry": 3854088.412408067, "exit": 3877932.1129236673, "resize": 528638.0883328824 }, "transaction_cost": 4130.329306832308, "transaction_cost_over_anchor_nav": 0.0014524816837228672, "two_sided_turnover": 2.8367512485936155 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.24986998094803, "annualized_volatility": 0.3512488049985504, "cagr": 0.14893411456236194, "end_nav": 4098387.159570496, "end_session": "2020-12-31", "fee_by_category": { "entry": 1719.9413036290657, "exit": 1692.1117145969374, "resize": 445.0565591724641 }, "max_cash_weight": 1.426921188059527e-16, "max_drawdown": -0.3284133670909425, "mean_cash_weight": 1.971207540062384e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3567121.132208355, "start_session": "2019-12-31", "total_return": 0.14893411456236194, "traded_notional_by_category": { "entry": 3439882.6072581317, "exit": 3384223.429193875, "resize": 890113.1183449283 }, "transaction_cost": 3857.109577398467, "transaction_cost_over_anchor_nav": 0.00108129481294362, "two_sided_turnover": 2.24986998094803 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.205414247042114, "annualized_volatility": 0.15953424563202015, "cagr": 0.2151855539251899, "end_nav": 4980300.870702559, "end_session": "2021-12-31", "fee_by_category": { "entry": 2239.1252890126316, "exit": 2290.646505798853, "resize": 418.45187221528323 }, "max_cash_weight": 1.1293161803400102e-16, "max_drawdown": -0.06858035438874677, "mean_cash_weight": 8.287114292487784e-18, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4098387.159570496, "start_session": "2020-12-31", "total_return": 0.2151855539251899, "traded_notional_by_category": { "entry": 4478250.578025263, "exit": 4581293.011597706, "resize": 836903.7444305664 }, "transaction_cost": 4948.2236670267675, "transaction_cost_over_anchor_nav": 0.0012073587668436218, "two_sided_turnover": 2.205414247042114 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.5848832205520376, "annualized_volatility": 0.25500351205453137, "cagr": -0.1948368488455181, "end_nav": 4009954.7427522824, "end_session": "2022-12-30", "fee_by_category": { "entry": 3488.9435519983945, "exit": 3506.342198023587, "resize": 513.0587096151992 }, "max_cash_weight": 1.3337254704488454e-16, "max_drawdown": -0.3083915551453936, "mean_cash_weight": 4.090442813373208e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4980300.870702559, "start_session": "2021-12-31", "total_return": -0.1948368488455181, "traded_notional_by_category": { "entry": 6977887.103996789, "exit": 7012684.396047175, "resize": 1026117.4192303983 }, "transaction_cost": 7508.344459637181, "transaction_cost_over_anchor_nav": 0.0015076086073044814, "two_sided_turnover": 3.5848832205520376 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.1529973575324854, "annualized_volatility": 0.14264564019447318, "cagr": 0.09438457468420558, "end_nav": 4388432.61564987, "end_session": "2023-12-29", "fee_by_category": { "entry": 2024.0340416434926, "exit": 2010.9110215012643, "resize": 319.87324218424794 }, "max_cash_weight": 1.2320023297500033e-16, "max_drawdown": -0.12600052913515802, "mean_cash_weight": 2.0677565622885626e-17, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4009954.7427522824, "start_session": "2022-12-30", "total_return": 0.09438457468420558, "traded_notional_by_category": { "entry": 4048068.0832869853, "exit": 4021822.043002528, "resize": 639746.4843684959 }, "transaction_cost": 4354.818305329005, "transaction_cost_over_anchor_nav": 0.0010860018590484193, "two_sided_turnover": 2.1529973575324854 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.5814636092774743, "annualized_volatility": 0.1436292008831987, "cagr": 0.21255870173532587, "end_nav": 5321232.155085366, "end_session": "2024-12-31", "fee_by_category": { "entry": 1532.5978620282267, "exit": 1544.9250692661526, "resize": 588.8757919234275 }, "max_cash_weight": 0.0, "max_drawdown": -0.09096120740361324, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4388432.61564987, "start_session": "2023-12-29", "total_return": 0.21255870173532587, "traded_notional_by_category": { "entry": 3065195.7240564534, "exit": 3089850.138532305, "resize": 1177751.583846855 }, "transaction_cost": 3666.398723217807, "transaction_cost_over_anchor_nav": 0.0008354688437377, "two_sided_turnover": 1.5814636092774743 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.8699014445297203, "annualized_volatility": 0.1572992978675139, "cagr": 0.17004700013726226, "end_nav": 6226091.720091572, "end_session": "2025-12-31", "fee_by_category": { "entry": 892.6195301254655, "exit": 933.6790890961286, "resize": 545.6624945010842 }, "max_cash_weight": 0.0, "max_drawdown": -0.1325223850641034, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5321232.155085366, "start_session": "2024-12-31", "total_return": 0.17004700013726226, "traded_notional_by_category": { "entry": 1785239.060250931, "exit": 1867358.1781922572, "resize": 1091324.9890021684 }, "transaction_cost": 2371.9611137226784, "transaction_cost_over_anchor_nav": 0.00044575411194113293, "two_sided_turnover": 0.8699014445297203 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.2635948534220383, "annualized_volatility": 0.18265639122347746, "cagr": 0.07950207421829059, "end_nav": 6226091.720091572, "end_session": "2025-12-31", "fee_by_category": { "entry": 28861.041107220284, "exit": 28950.2883729292, "resize": 6072.500694725632 }, "max_cash_weight": 1.0, "max_drawdown": -0.44478282995225515, "mean_cash_weight": 0.03283395667320041, "nonzero_trade_event_count": 295, "order_count": 947, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 919662.5155813546, "start_session": "2000-12-29", "total_return": 5.769974435845976, "traded_notional_by_category": { "entry": 57722082.21444057, "exit": 57900576.7458584, "resize": 12145001.389451263 }, "transaction_cost": 63883.83017487512, "transaction_cost_over_anchor_nav": 0.06946442754002173, "two_sided_turnover": 56.58987133555095 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7547289.924121657, "end_session": "2026-10-02", "fee_by_category": { "entry": 4448.111443039614, "exit": 4565.974082363247, "resize": 1551.877613205891 }, "max_cash_weight": 1.371920727977058e-16, "max_drawdown": -0.07154390550763723, "mean_cash_weight": 1.4876774127551845e-17, "nonzero_trade_event_count": 10, "order_count": 34, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 6226091.720091572, "start_session": "2025-12-31", "total_return": 0.21220345979912003, "traded_notional_by_category": { "entry": 8896222.886079226, "exit": 9131948.164726496, "resize": 3103755.226411782 }, "transaction_cost": 10565.963138608751, "transaction_cost_over_anchor_nav": 0.0016970458537435985, "two_sided_turnover": 3.1509593616755733 } }, "monthly_risk": { "beta_intercept_per_month": 0.0005800459971380973, "beta_to_SPY_excess_returns": 0.7995191428047111, "monthly_return_volatility_annualized": 0.14177398322420368, "months": 300, "sharpe_monthly_annualized": 0.49230548483926645, "tracking_error_monthly_annualized": 0.08074872456666646 }, "phase": [ 6, 12 ], "policy": "B", "run_id": "BMIX-06-12-5bps", "signal": "mixed" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.8992326317563033, "annualized_volatility": 0.18031319378046784, "cagr": -0.09963303540797208, "end_nav": 886007.1837886752, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.33547538217911915, "max_drawdown": -0.23910806270786478, "mean_cash_weight": 0.05320051896001409, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 984051.190938731, "start_session": "2000-12-29", "total_return": -0.09963303540797208, "traded_notional_by_category": { "entry": 1493619.0087380563, "exit": 1760853.969022755, "resize": 211704.33744615474 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.8992326317563033 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 3.7878764284914967, "annualized_volatility": 0.1895042906501175, "cagr": -0.08080462550398315, "end_nav": 814413.7051087925, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.2720516490919265, "mean_cash_weight": 0.32528328843056387, "nonzero_trade_event_count": 12, "order_count": 30, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 886007.1837886752, "start_session": "2001-12-31", "total_return": -0.08080462550398315, "traded_notional_by_category": { "entry": 1373220.41860992, "exit": 1602712.7256048243, "resize": 114792.53881144125 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.7878764284914967 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 4.047952245458735, "annualized_volatility": 0.09562432732886504, "cagr": 0.16434132035909532, "end_nav": 948255.5287249144, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.056015904208169376, "mean_cash_weight": 0.4681115610628902, "nonzero_trade_event_count": 9, "order_count": 24, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 814413.7051087925, "start_session": "2002-12-31", "total_return": 0.16434132035909532, "traded_notional_by_category": { "entry": 1974507.9808494672, "exit": 1412344.9494010864, "resize": 60464.30002353352 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 4.047952245458735 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 5.548055059690525, "annualized_volatility": 0.11870057691508092, "cagr": 0.12240975655059638, "end_nav": 1064331.2571438882, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2859205984727136e-16, "max_drawdown": -0.08974354728733658, "mean_cash_weight": 6.056005872919357e-17, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 948255.5287249144, "start_session": "2003-12-31", "total_return": 0.12240975655059638, "traded_notional_by_category": { "entry": 2498332.4082903173, "exit": 2511259.5722527048, "resize": 193791.36787937267 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 5.548055059690525 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 3.5953828753179926, "annualized_volatility": 0.14234410081197643, "cagr": 0.15730426143996024, "end_nav": 1231755.099476372, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.970824306603383e-16, "max_drawdown": -0.09956633011933524, "mean_cash_weight": 1.6138526145578435e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1064331.2571438882, "start_session": "2004-12-31", "total_return": 0.15730426143996024, "traded_notional_by_category": { "entry": 2003492.2899029695, "exit": 1956040.1700710766, "resize": 348584.3740397466 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.5953828753179926 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 8.169390999043845, "annualized_volatility": 0.12888866003444394, "cagr": 0.07920023541018684, "end_nav": 1329310.3933225987, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8556753728671486e-16, "max_drawdown": -0.13380388670414955, "mean_cash_weight": 1.3845364438662085e-17, "nonzero_trade_event_count": 12, "order_count": 48, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1231755.099476372, "start_session": "2005-12-30", "total_return": 0.07920023541018684, "traded_notional_by_category": { "entry": 5049883.209306106, "exit": 5047707.045217959, "resize": 215521.5982347409 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 8.169390999043845 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 6.800817671110466, "annualized_volatility": 0.173932028704663, "cagr": 0.0963064222201917, "end_nav": 1457331.521323614, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7439352669030921e-16, "max_drawdown": -0.11677986501106985, "mean_cash_weight": 4.1197322300780757e-17, "nonzero_trade_event_count": 12, "order_count": 46, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1329310.3933225987, "start_session": "2006-12-29", "total_return": 0.0963064222201917, "traded_notional_by_category": { "entry": 4594320.001339452, "exit": 4616181.79335232, "resize": 164329.7960746808 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 6.800817671110466 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 5.278999266765332, "annualized_volatility": 0.21780636062786138, "cagr": -0.19693188309707244, "end_nav": 1170336.4805326334, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.2666156987067432, "mean_cash_weight": 0.20051826604062656, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1457331.521323614, "start_session": "2007-12-31", "total_return": -0.19693188309707244, "traded_notional_by_category": { "entry": 2815890.933267864, "exit": 3992531.6913399873, "resize": 424503.1745322415 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 5.278999266765332 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.022798120698004, "annualized_volatility": 0.06559442298449657, "cagr": 0.11727743531941148, "end_nav": 1307590.541430247, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.02216741015817647, "mean_cash_weight": 0.8040306845603088, "nonzero_trade_event_count": 3, "order_count": 7, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1170336.4805326334, "start_session": "2008-12-31", "total_return": 0.11727743531941148, "traded_notional_by_category": { "entry": 1168583.297416275, "exit": 0.0, "resize": 28781.15005405451 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.022798120698004 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 6.183542526582009, "annualized_volatility": 0.17708235659189592, "cagr": 0.15288596170761926, "end_nav": 1507502.7788765968, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6854014532597527e-16, "max_drawdown": -0.15150616847964116, "mean_cash_weight": 1.3745948916114336e-17, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1307590.541430247, "start_session": "2009-12-31", "total_return": 0.15288596170761926, "traded_notional_by_category": { "entry": 4040925.3232765817, "exit": 4051013.601463024, "resize": 232245.1710814613 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 6.183542526582009 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 5.602923581524717, "annualized_volatility": 0.20741196602830647, "cagr": 0.028673715686122536, "end_nav": 1550728.4849541439, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.710903110808834e-16, "max_drawdown": -0.1807833719255434, "mean_cash_weight": 7.868952549378996e-17, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1507502.7788765968, "start_session": "2010-12-31", "total_return": 0.028673715686122536, "traded_notional_by_category": { "entry": 4120272.178311811, "exit": 4180522.4957370125, "resize": 343030.5138753302 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 5.602923581524717 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 5.451421182330785, "annualized_volatility": 0.0994125467630372, "cagr": 0.10188490342216316, "end_nav": 1708724.306877694, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5138964517701175e-16, "max_drawdown": -0.060779665194865884, "mean_cash_weight": 4.828079687272256e-17, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1550728.4849541439, "start_session": "2011-12-30", "total_return": 0.10188490342216316, "traded_notional_by_category": { "entry": 4412692.1870704135, "exit": 4438328.375724487, "resize": 163267.58608532976 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 5.451421182330785 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 3.429600342345427, "annualized_volatility": 0.11482547243543205, "cagr": 0.3346978422444329, "end_nav": 2280630.6453802725, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2477470074801068e-16, "max_drawdown": -0.07331962130465641, "mean_cash_weight": 5.881480986252851e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1708724.306877694, "start_session": "2012-12-31", "total_return": 0.3346978422444329, "traded_notional_by_category": { "entry": 3258740.1912374096, "exit": 3235591.3628892293, "resize": 208880.11467162438 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.429600342345427 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 5.427877517084994, "annualized_volatility": 0.1254541991938548, "cagr": 0.12722438065501196, "end_nav": 2570782.466741618, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0967324535731622e-16, "max_drawdown": -0.08168122658023058, "mean_cash_weight": 4.9747402583233084e-17, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2280630.6453802725, "start_session": "2013-12-31", "total_return": 0.12722438065501196, "traded_notional_by_category": { "entry": 6481713.501345927, "exit": 6425671.691730427, "resize": 274586.28746101283 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 5.427877517084994 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 5.510854043148358, "annualized_volatility": 0.15102356818165003, "cagr": 0.036511345978163634, "end_nav": 2664645.194819418, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.824163358269493e-16, "max_drawdown": -0.11218104159106457, "mean_cash_weight": 1.552853745157925e-17, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2570782.466741618, "start_session": "2014-12-31", "total_return": 0.036511345978163634, "traded_notional_by_category": { "entry": 7078821.386942785, "exit": 7119427.580722387, "resize": 425430.60887296277 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 5.510854043148358 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 6.810749109789703, "annualized_volatility": 0.12567279544954504, "cagr": 0.0046309698132265265, "end_nav": 2676985.0862795855, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3340229084365087, "max_drawdown": -0.10686150498606828, "mean_cash_weight": 0.028491869396637903, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2664645.194819418, "start_session": "2015-12-31", "total_return": 0.0046309698132265265, "traded_notional_by_category": { "entry": 8778871.956965754, "exit": 8778710.042164668, "resize": 352851.524830334 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 6.810749109789703 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 6.15699739452159, "annualized_volatility": 0.09149807412696843, "cagr": 0.17281627295407476, "end_nav": 3139611.671644066, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7658547929391718e-16, "max_drawdown": -0.046516995119561755, "mean_cash_weight": 5.5300863530592815e-17, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2676985.0862795855, "start_session": "2016-12-30", "total_return": 0.17281627295407476, "traded_notional_by_category": { "entry": 8523377.692757718, "exit": 8529415.578725832, "resize": 450852.8499514307 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 6.15699739452159 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 4.80613199215351, "annualized_volatility": 0.19153741680021039, "cagr": -0.05162731617101046, "end_nav": 2977521.947217903, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6807252805606934e-16, "max_drawdown": -0.19946018073892624, "mean_cash_weight": 1.0597093248251574e-16, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3139611.671644066, "start_session": "2017-12-29", "total_return": -0.05162731617101046, "traded_notional_by_category": { "entry": 7608452.654348623, "exit": 7518715.4239621125, "resize": 551992.5516996204 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 4.80613199215351 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 6.168601302627207, "annualized_volatility": 0.10238951485968967, "cagr": 0.24293277526131685, "end_nav": 3700859.6172570284, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.666585170188638, "max_drawdown": -0.05168097099949309, "mean_cash_weight": 0.049863029728561346, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2977521.947217903, "start_session": "2018-12-31", "total_return": 0.24293277526131685, "traded_notional_by_category": { "entry": 9901061.23452222, "exit": 9991241.716657182, "resize": 443405.75739383965 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 6.168601302627207 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8494117505060976, "annualized_volatility": 0.3337329216768622, "cagr": 0.19655914901246385, "end_nav": 4428297.434239662, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3348178574776379, "max_drawdown": -0.30266992317089536, "mean_cash_weight": 0.025768715736776984, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3700859.6172570284, "start_session": "2019-12-31", "total_return": 0.19655914901246385, "traded_notional_by_category": { "entry": 5008826.27482788, "exit": 4856318.930965539, "resize": 791142.2937560776 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8494117505060976 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7870003218848645, "annualized_volatility": 0.16052909062590645, "cagr": 0.14769004821368426, "end_nav": 5082312.895807052, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.941851106932673e-16, "max_drawdown": -0.08104697811349393, "mean_cash_weight": 1.6289095209530712e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4428297.434239662, "start_session": "2020-12-31", "total_return": 0.14769004821368426, "traded_notional_by_category": { "entry": 6708353.672134036, "exit": 6591495.982945094, "resize": 685157.8881052393 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.7870003218848645 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 4.987772920237986, "annualized_volatility": 0.19620761746363688, "cagr": 0.13375033000869885, "end_nav": 5762073.922828712, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3394261445673563, "max_drawdown": -0.1381109595439538, "mean_cash_weight": 0.027740049322697094, "nonzero_trade_event_count": 12, "order_count": 42, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 5082312.895807052, "start_session": "2021-12-31", "total_return": 0.13375033000869885, "traded_notional_by_category": { "entry": 12627718.314930385, "exit": 12640849.320169955, "resize": 1701835.9150926927 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 4.987772920237986 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 6.416739169330028, "annualized_volatility": 0.13491153395071975, "cagr": 0.08917635898654419, "end_nav": 6275914.69547789, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6739275070521504, "max_drawdown": -0.11010403647280043, "mean_cash_weight": 0.07678023953875582, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5762073.922828712, "start_session": "2022-12-30", "total_return": 0.08917635898654419, "traded_notional_by_category": { "entry": 16975593.21159839, "exit": 18773424.69188231, "resize": 728091.3404930935 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 6.416739169330028 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 6.487155707072195, "annualized_volatility": 0.13299717113956933, "cagr": 0.09951987570064325, "end_nav": 6900492.945879689, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4675581670907475e-16, "max_drawdown": -0.08313214396788171, "mean_cash_weight": 8.00020508681659e-17, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 6275914.69547789, "start_session": "2023-12-29", "total_return": 0.09951987570064325, "traded_notional_by_category": { "entry": 22381944.704523075, "exit": 20226304.217655696, "resize": 1103729.614208699 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 6.487155707072195 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 4.824147357031187, "annualized_volatility": 0.15124893096342987, "cagr": 0.043981504693428874, "end_nav": 7203987.00876587, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4076396633184693e-16, "max_drawdown": -0.14212129532580464, "mean_cash_weight": 8.624467676266139e-17, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6900492.945879689, "start_session": "2024-12-31", "total_return": 0.043981504693428874, "traded_notional_by_category": { "entry": 16845685.89414487, "exit": 16701820.510754798, "resize": 1271287.097610815 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 4.824147357031187 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 5.042057260660134, "annualized_volatility": 0.16141926107900906, "cagr": 0.08288467892047668, "end_nav": 7203987.00876587, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.30266992317089536, "mean_cash_weight": 0.08253520224551474, "nonzero_trade_event_count": 288, "order_count": 1008, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 984051.190938731, "start_session": "2000-12-29", "total_return": 6.320744159552981, "traded_notional_by_category": { "entry": 167724899.9266583, "exit": 166958483.44041246, "resize": 11490259.752285529 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 126.05143151650336 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 8825191.36040834, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.1189927974279972e-16, "max_drawdown": -0.0781149321787632, "mean_cash_weight": 2.785872873286626e-17, "nonzero_trade_event_count": 10, "order_count": 35, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 7203987.00876587, "start_session": "2025-12-31", "total_return": 0.22504265341813845, "traded_notional_by_category": { "entry": 13350895.98569205, "exit": 13284879.673021546, "resize": 3329858.771975857 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.729860087317869 } }, "monthly_risk": { "beta_intercept_per_month": 0.001568537434743964, "beta_to_SPY_excess_returns": 0.6710273371688708, "monthly_return_volatility_annualized": 0.13258673299542575, "months": 300, "sharpe_monthly_annualized": 0.5381690368626699, "tracking_error_monthly_annualized": 0.09966528148150128 }, "phase": null, "policy": "C", "run_id": "M12-0bps", "signal": "12-1" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.89830479785012, "annualized_volatility": 0.18022653167302316, "cagr": -0.10313722465080133, "end_nav": 877220.2218525235, "end_session": "2001-12-31", "fee_by_category": { "entry": 1481.5459046161957, "exit": 1747.2298041267184, "resize": 210.29823396581904 }, "max_cash_weight": 0.33547538217911915, "max_drawdown": -0.2412562412356224, "mean_cash_weight": 0.05320051896001407, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 978098.5965338708, "start_session": "2000-12-29", "total_return": -0.10313722465080133, "traded_notional_by_category": { "entry": 1481545.9046161957, "exit": 1747229.8041267183, "resize": 210298.23396581903 }, "transaction_cost": 3439.0739427087333, "transaction_cost_over_anchor_nav": 0.0035160810524582334, "two_sided_turnover": 3.89830479785012 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 3.7865267068264656, "annualized_volatility": 0.18945258702547807, "cagr": -0.0842797886438762, "end_nav": 803288.2869606586, "end_session": "2002-12-31", "fee_by_category": { "entry": 1356.7816599850823, "exit": 1584.0077682963001, "resize": 113.60388522187868 }, "max_cash_weight": 1.0, "max_drawdown": -0.2728178290853359, "mean_cash_weight": 0.32528328843056387, "nonzero_trade_event_count": 12, "order_count": 30, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 877220.2218525235, "start_session": "2001-12-31", "total_return": -0.0842797886438762, "traded_notional_by_category": { "entry": 1356781.6599850822, "exit": 1584007.7682963002, "resize": 113603.88522187868 }, "transaction_cost": 3054.393313503261, "transaction_cost_over_anchor_nav": 0.0034819002542519585, "two_sided_turnover": 3.7865267068264656 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 4.046935351385302, "annualized_volatility": 0.09532653729472276, "cagr": 0.1596368818756937, "end_nav": 931522.7243383257, "end_session": "2003-12-31", "fee_by_category": { "entry": 1942.9487386438207, "exit": 1390.5315601861334, "resize": 60.2927163890902 }, "max_cash_weight": 1.0, "max_drawdown": -0.056015904208169376, "mean_cash_weight": 0.4681115610628902, "nonzero_trade_event_count": 9, "order_count": 24, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 803288.2869606586, "start_session": "2002-12-31", "total_return": 0.1596368818756937, "traded_notional_by_category": { "entry": 1942948.7386438206, "exit": 1390531.5601861335, "resize": 60292.7163890902 }, "transaction_cost": 3393.7730152190443, "transaction_cost_over_anchor_nav": 0.004224850617528369, "two_sided_turnover": 4.046935351385302 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 5.546230325142363, "annualized_volatility": 0.11852081380951536, "cagr": 0.11619929533209628, "end_nav": 1039765.0084922737, "end_session": "2004-12-31", "fee_by_category": { "entry": 2446.572736050931, "exit": 2461.2961153322144, "resize": 190.0263385855097 }, "max_cash_weight": 1.2994727234578254e-16, "max_drawdown": -0.09157048502962706, "mean_cash_weight": 3.0958249418488906e-17, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 931522.7243383257, "start_session": "2003-12-31", "total_return": 0.11619929533209628, "traded_notional_by_category": { "entry": 2446572.736050931, "exit": 2461296.115332214, "resize": 190026.3385855097 }, "transaction_cost": 5097.895189968654, "transaction_cost_over_anchor_nav": 0.005472647158006548, "two_sided_turnover": 5.546230325142363 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 3.594715076237744, "annualized_volatility": 0.14219495130433493, "cagr": 0.1531502146619108, "end_nav": 1199005.242740809, "end_session": "2005-12-30", "fee_by_category": { "entry": 1952.8611677703084, "exit": 1907.931156851891, "resize": 340.7198400570896 }, "max_cash_weight": 0.0, "max_drawdown": -0.10016681939568117, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1039765.0084922737, "start_session": "2004-12-31", "total_return": 0.1531502146619108, "traded_notional_by_category": { "entry": 1952861.1677703084, "exit": 1907931.156851891, "resize": 340719.8400570896 }, "transaction_cost": 4201.5121646792895, "transaction_cost_over_anchor_nav": 0.004040828581807877, "two_sided_turnover": 3.594715076237744 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 8.163975080476165, "annualized_volatility": 0.1286392702914845, "cagr": 0.07042164782878446, "end_nav": 1283441.1676899684, "end_session": "2006-12-29", "fee_by_category": { "entry": 4893.436937162204, "exit": 4895.63656558115, "resize": 206.7501907610259 }, "max_cash_weight": 0.0, "max_drawdown": -0.13789688816688228, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 48, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1199005.242740809, "start_session": "2005-12-30", "total_return": 0.07042164782878446, "traded_notional_by_category": { "entry": 4893436.937162205, "exit": 4895636.565581149, "resize": 206750.19076102588 }, "transaction_cost": 9995.82369350438, "transaction_cost_over_anchor_nav": 0.008336763958308391, "two_sided_turnover": 8.163975080476165 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 6.796427321458796, "annualized_volatility": 0.17386812141638794, "cagr": 0.08887774117605596, "end_nav": 1397510.5196066124, "end_session": "2007-12-31", "fee_by_category": { "entry": 4418.800507479894, "exit": 4443.333096873045, "resize": 155.9052852084106 }, "max_cash_weight": 0.0, "max_drawdown": -0.11855601472191823, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 46, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1283441.1676899684, "start_session": "2006-12-29", "total_return": 0.08887774117605596, "traded_notional_by_category": { "entry": 4418800.507479894, "exit": 4443333.096873045, "resize": 155905.28520841058 }, "transaction_cost": 9018.038889561349, "transaction_cost_over_anchor_nav": 0.007026452880417321, "two_sided_turnover": 6.796427321458796 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 5.277366985066583, "annualized_volatility": 0.21783541430321324, "cagr": -0.20116052363898995, "end_nav": 1116386.5716915494, "end_session": "2008-12-31", "fee_by_category": { "entry": 2693.48633009466, "exit": 3819.165934629537, "resize": 406.2937979417406 }, "max_cash_weight": 1.0, "max_drawdown": -0.2682125953875696, "mean_cash_weight": 0.20051826604062656, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1397510.5196066124, "start_session": "2007-12-31", "total_return": -0.20116052363898995, "traded_notional_by_category": { "entry": 2693486.3300946597, "exit": 3819165.9346295367, "resize": 406293.7979417406 }, "transaction_cost": 6918.9460626659375, "transaction_cost_over_anchor_nav": 0.004950908036537402, "two_sided_turnover": 5.277366985066583 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0220124495107912, "annualized_volatility": 0.06557158316298006, "cagr": 0.1161358361808873, "end_nav": 1246039.0596960615, "end_session": "2009-12-31", "fee_by_category": { "entry": 1113.847247868188, "exit": 0.0, "resize": 27.171712804700658 }, "max_cash_weight": 1.0, "max_drawdown": -0.02216741015817658, "mean_cash_weight": 0.8040306845603088, "nonzero_trade_event_count": 3, "order_count": 7, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1116386.5716915494, "start_session": "2008-12-31", "total_return": 0.1161358361808873, "traded_notional_by_category": { "entry": 1113847.2478681882, "exit": 0.0, "resize": 27171.712804700655 }, "transaction_cost": 1141.0189606728889, "transaction_cost_over_anchor_nav": 0.0010220643902443367, "two_sided_turnover": 1.0220124495107912 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 6.181052158237458, "annualized_volatility": 0.177001151935305, "cagr": 0.14577899989440657, "end_nav": 1427685.38764792, "end_session": "2010-12-31", "fee_by_category": { "entry": 3837.0138081945274, "exit": 3849.7948043216834, "resize": 220.8180703466289 }, "max_cash_weight": 0.0, "max_drawdown": -0.15380978983791904, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1246039.0596960615, "start_session": "2009-12-31", "total_return": 0.14577899989440657, "traded_notional_by_category": { "entry": 3837013.8081945274, "exit": 3849794.804321683, "resize": 220818.0703466289 }, "transaction_cost": 7907.6266828628395, "transaction_cost_over_anchor_nav": 0.0063462109163670176, "two_sided_turnover": 6.181052158237458 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 5.599681106340083, "annualized_volatility": 0.20777805413921066, "cagr": 0.02292714971249521, "end_nav": 1460418.1442728657, "end_session": "2011-12-30", "fee_by_category": { "entry": 3889.9136542092424, "exit": 3950.1142384591644, "resize": 322.54573130347313 }, "max_cash_weight": 0.0, "max_drawdown": -0.18363428586894637, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1427685.38764792, "start_session": "2010-12-31", "total_return": 0.02292714971249521, "traded_notional_by_category": { "entry": 3889913.654209242, "exit": 3950114.2384591643, "resize": 322545.7313034731 }, "transaction_cost": 8162.57362397188, "transaction_cost_over_anchor_nav": 0.005717347599543299, "two_sided_turnover": 5.599681106340083 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 5.448742960888191, "annualized_volatility": 0.09951955533321537, "cagr": 0.09589485927489005, "end_nav": 1600464.7367004082, "end_session": "2012-12-31", "fee_by_category": { "entry": 4142.405570123273, "exit": 4169.976901912364, "resize": 152.9137960535967 }, "max_cash_weight": 0.0, "max_drawdown": -0.060782247069664286, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1460418.1442728657, "start_session": "2011-12-30", "total_return": 0.09589485927489005, "traded_notional_by_category": { "entry": 4142405.570123273, "exit": 4169976.901912364, "resize": 152913.7960535967 }, "transaction_cost": 8465.296268089234, "transaction_cost_over_anchor_nav": 0.005796488013577824, "two_sided_turnover": 5.448742960888191 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 3.428442797294648, "annualized_volatility": 0.11463896990941526, "cagr": 0.33012823207607056, "end_nav": 2128823.3307274077, "end_session": "2013-12-31", "fee_by_category": { "entry": 3045.832785416176, "exit": 3026.2691545038188, "resize": 195.43215096400155 }, "max_cash_weight": 1.3716479842363248e-16, "max_drawdown": -0.07393761422142553, "mean_cash_weight": 6.137406602347856e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1600464.7367004082, "start_session": "2012-12-31", "total_return": 0.33012823207607056, "traded_notional_by_category": { "entry": 3045832.785416176, "exit": 3026269.1545038186, "resize": 195432.15096400154 }, "transaction_cost": 6267.534090883996, "transaction_cost_over_anchor_nav": 0.003916071343005928, "two_sided_turnover": 3.428442797294648 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 5.425907450182872, "annualized_volatility": 0.12546743306859137, "cagr": 0.12112220836638588, "end_nav": 2386671.113766996, "end_session": "2014-12-31", "fee_by_category": { "entry": 6030.892819403751, "exit": 5983.86559982549, "resize": 256.621433040646 }, "max_cash_weight": 0.0, "max_drawdown": -0.08168879650372751, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2128823.3307274077, "start_session": "2013-12-31", "total_return": 0.12112220836638588, "traded_notional_by_category": { "entry": 6030892.819403751, "exit": 5983865.599825489, "resize": 256621.43304064602 }, "transaction_cost": 12271.379852269887, "transaction_cost_over_anchor_nav": 0.005764395605377371, "two_sided_turnover": 5.425907450182872 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 5.508607325108407, "annualized_volatility": 0.1509185436863198, "cagr": 0.030815398862559906, "end_nav": 2460217.3360914765, "end_session": "2015-12-31", "fee_by_category": { "entry": 6551.441490321855, "exit": 6593.537096200394, "resize": 392.758720065161 }, "max_cash_weight": 0.0, "max_drawdown": -0.11277593896950389, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2386671.113766996, "start_session": "2014-12-31", "total_return": 0.030815398862559906, "traded_notional_by_category": { "entry": 6551441.490321854, "exit": 6593537.096200394, "resize": 392758.720065161 }, "transaction_cost": 13537.73730658741, "transaction_cost_over_anchor_nav": 0.00567222573252674, "two_sided_turnover": 5.508607325108407 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 6.809228710644241, "annualized_volatility": 0.12568447273355496, "cagr": -0.002188956565520428, "end_nav": 2454832.027201032, "end_session": "2016-12-30", "fee_by_category": { "entry": 8074.630499953602, "exit": 8080.703748621397, "resize": 326.28090558721976 }, "max_cash_weight": 0.3340229084365087, "max_drawdown": -0.10807607619329263, "mean_cash_weight": 0.02849186939663789, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2460217.3360914765, "start_session": "2015-12-31", "total_return": -0.002188956565520428, "traded_notional_by_category": { "entry": 8074630.499953602, "exit": 8080703.748621397, "resize": 326280.90558721975 }, "transaction_cost": 16481.61515416222, "transaction_cost_over_anchor_nav": 0.006699251693082694, "two_sided_turnover": 6.809228710644241 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 6.1540790267162775, "annualized_volatility": 0.0913992042232751, "cagr": 0.1656168885248661, "end_nav": 2861393.6693972563, "end_session": "2017-12-29", "fee_by_category": { "entry": 7787.1395031870525, "exit": 7801.125924386633, "resize": 412.85561527741737 }, "max_cash_weight": 0.0, "max_drawdown": -0.04653762010795903, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2454832.027201032, "start_session": "2016-12-30", "total_return": 0.1656168885248661, "traded_notional_by_category": { "entry": 7787139.503187053, "exit": 7801125.924386634, "resize": 412855.61527741735 }, "transaction_cost": 16001.121042851104, "transaction_cost_over_anchor_nav": 0.006518214226288785, "two_sided_turnover": 6.1540790267162775 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 4.804572942736717, "annualized_volatility": 0.19161577436212246, "cagr": -0.05617440611131275, "end_nav": 2700656.5793681955, "end_session": "2018-12-31", "fee_by_category": { "entry": 6915.388957302648, "exit": 6838.3753258986735, "resize": 501.28001180338197 }, "max_cash_weight": 0.0, "max_drawdown": -0.1994894627900331, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2861393.6693972563, "start_session": "2017-12-29", "total_return": -0.05617440611131275, "traded_notional_by_category": { "entry": 6915388.957302648, "exit": 6838375.325898673, "resize": 501280.01180338196 }, "transaction_cost": 14255.044295004704, "transaction_cost_over_anchor_nav": 0.004981853579765375, "two_sided_turnover": 4.804572942736717 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 6.165639406535419, "annualized_volatility": 0.10257212427410263, "cagr": 0.23529030229080306, "end_nav": 3336094.8823113847, "end_session": "2019-12-31", "fee_by_category": { "entry": 8948.255868074211, "exit": 9037.151364407342, "resize": 397.7975441856368 }, "max_cash_weight": 0.666585170188638, "max_drawdown": -0.05231395876830747, "mean_cash_weight": 0.0498630297285613, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2700656.5793681955, "start_session": "2018-12-31", "total_return": 0.23529030229080306, "traded_notional_by_category": { "entry": 8948255.86807421, "exit": 9037151.364407342, "resize": 397797.5441856368 }, "transaction_cost": 18383.20477666719, "transaction_cost_over_anchor_nav": 0.00680693906700564, "two_sided_turnover": 6.165639406535419 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8492742225777157, "annualized_volatility": 0.33376594265200266, "cagr": 0.1931534558977268, "end_nav": 3980473.138032549, "end_session": "2020-12-31", "fee_by_category": { "entry": 4506.481722666514, "exit": 4373.210454352295, "resize": 715.0631127496682 }, "max_cash_weight": 0.3348178574776379, "max_drawdown": -0.3026807071054325, "mean_cash_weight": 0.025768715736776932, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3336094.8823113847, "start_session": "2019-12-31", "total_return": 0.1931534558977268, "traded_notional_by_category": { "entry": 4506481.722666513, "exit": 4373210.454352294, "resize": 715063.1127496682 }, "transaction_cost": 9594.755289768476, "transaction_cost_over_anchor_nav": 0.002876043886114184, "two_sided_turnover": 2.8492742225777157 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7869912021306553, "annualized_volatility": 0.16048888162910352, "cagr": 0.14449486774835751, "end_nav": 4555631.077688452, "end_session": "2021-12-31", "fee_by_category": { "entry": 6019.391952218484, "exit": 5918.470235315683, "resize": 619.2793305740403 }, "max_cash_weight": 0.0, "max_drawdown": -0.08167046799534272, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3980473.138032549, "start_session": "2020-12-31", "total_return": 0.14449486774835751, "traded_notional_by_category": { "entry": 6019391.952218484, "exit": 5918470.235315682, "resize": 619279.3305740403 }, "transaction_cost": 12557.141518108208, "transaction_cost_over_anchor_nav": 0.003154685657372605, "two_sided_turnover": 2.7869912021306553 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 4.98493506321297, "annualized_volatility": 0.19615844389543838, "cagr": 0.1281104538146114, "end_nav": 5139255.042463067, "end_session": "2022-12-30", "fee_by_category": { "entry": 11285.950326141781, "exit": 11308.147666952993, "resize": 1515.7187652703008 }, "max_cash_weight": 0.3394261445673563, "max_drawdown": -0.1381109595439538, "mean_cash_weight": 0.02774004932269707, "nonzero_trade_event_count": 12, "order_count": 42, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4555631.077688452, "start_session": "2021-12-31", "total_return": 0.1281104538146114, "traded_notional_by_category": { "entry": 11285950.32614178, "exit": 11308147.666952994, "resize": 1515718.7652703007 }, "transaction_cost": 24109.816758365076, "transaction_cost_over_anchor_nav": 0.005292311064529507, "two_sided_turnover": 4.98493506321297 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 6.414258756273992, "annualized_volatility": 0.13477267177857707, "cagr": 0.08221018591509033, "end_nav": 5561754.154969022, "end_session": "2023-12-29", "fee_by_category": { "entry": 15088.142382783444, "exit": 16693.752080184597, "resize": 645.421227483247 }, "max_cash_weight": 0.6739275070521504, "max_drawdown": -0.11130833273753515, "mean_cash_weight": 0.07678023953875583, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5139255.042463067, "start_session": "2022-12-30", "total_return": 0.08221018591509033, "traded_notional_by_category": { "entry": 15088142.382783445, "exit": 16693752.080184596, "resize": 645421.2274832469 }, "transaction_cost": 32427.315690451287, "transaction_cost_over_anchor_nav": 0.006309730772752231, "two_sided_turnover": 6.414258756273992 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 6.484541390240614, "annualized_volatility": 0.13327126592916738, "cagr": 0.09241026241336692, "end_nav": 6075717.315908343, "end_session": "2024-12-31", "fee_by_category": { "entry": 19765.11983642454, "exit": 17870.75969954372, "resize": 974.7830895907977 }, "max_cash_weight": 0.0, "max_drawdown": -0.08315076655359155, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 5561754.154969022, "start_session": "2023-12-29", "total_return": 0.09241026241336692, "traded_notional_by_category": { "entry": 19765119.836424537, "exit": 17870759.699543722, "resize": 974783.0895907977 }, "transaction_cost": 38610.66262555906, "transaction_cost_over_anchor_nav": 0.006942173557071603, "two_sided_turnover": 6.484541390240614 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 4.822561657641609, "annualized_volatility": 0.15130458993334087, "cagr": 0.038956841149446086, "end_nav": 6312408.070253123, "end_session": "2025-12-31", "fee_by_category": { "entry": 14789.418313765313, "exit": 14675.756238626986, "resize": 1120.2954122214405 }, "max_cash_weight": 1.599879448107596e-16, "max_drawdown": -0.14330410282785488, "mean_cash_weight": 5.0395252778362606e-17, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6075717.315908343, "start_session": "2024-12-31", "total_return": 0.038956841149446086, "traded_notional_by_category": { "entry": 14789418.313765312, "exit": 14675756.238626985, "resize": 1120295.4122214406 }, "transaction_cost": 30585.469964613738, "transaction_cost_over_anchor_nav": 0.005034050857588508, "two_sided_turnover": 4.822561657641609 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 5.040040410828649, "annualized_volatility": 0.1614072892740566, "cagr": 0.07743851770991617, "end_nav": 6312408.070253123, "end_session": "2025-12-31", "fee_by_category": { "entry": 152977.7007198577, "exit": 152420.14253539022, "resize": 10480.926917451923 }, "max_cash_weight": 1.0, "max_drawdown": -0.30489928301808167, "mean_cash_weight": 0.08253520224551471, "nonzero_trade_event_count": 288, "order_count": 1008, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 978098.5965338708, "start_session": "2000-12-29", "total_return": 5.453754348102194, "traded_notional_by_category": { "entry": 152977700.7198577, "exit": 152420142.53539023, "resize": 10480926.917451922 }, "transaction_cost": 315878.7701726998, "transaction_cost_over_anchor_nav": 0.32295186936377657, "two_sided_turnover": 126.00101027071621 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7704180.214984858, "end_session": "2026-10-02", "fee_by_category": { "entry": 11672.201496960046, "exit": 11622.568929170913, "resize": 2911.190979508105 }, "max_cash_weight": 1.4808156792066947e-16, "max_drawdown": -0.07816497016859059, "mean_cash_weight": 4.691915635425212e-17, "nonzero_trade_event_count": 10, "order_count": 35, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 6312408.070253123, "start_session": "2025-12-31", "total_return": 0.22048196650821517, "traded_notional_by_category": { "entry": 11672201.496960046, "exit": 11622568.929170912, "resize": 2911190.9795081047 }, "transaction_cost": 26205.961405639064, "transaction_cost_over_anchor_nav": 0.004151499889421475, "two_sided_turnover": 3.7286240636597148 } }, "monthly_risk": { "beta_intercept_per_month": 0.001144882347806987, "beta_to_SPY_excess_returns": 0.6713646538502357, "monthly_return_volatility_annualized": 0.13268977550534275, "months": 300, "sharpe_monthly_annualized": 0.49976308873634745, "tracking_error_monthly_annualized": 0.09973261541478744 }, "phase": null, "policy": "C", "run_id": "M12-10bps", "signal": "12-1" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.896917495715749, "annualized_volatility": 0.18012237583217366, "cagr": -0.1083690232209149, "end_nav": 864203.4056214802, "end_session": "2001-12-31", "fee_by_category": { "entry": 3659.059296162746, "exit": 4317.495343760436, "resize": 520.5222464883254 }, "max_cash_weight": 0.33547538217911904, "max_drawdown": -0.24446851496875632, "mean_cash_weight": 0.05320051896001407, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 969238.8758669154, "start_session": "2000-12-29", "total_return": -0.1083690232209149, "traded_notional_by_category": { "entry": 1463623.7184650984, "exit": 1726998.1375041744, "resize": 208208.89859533016 }, "transaction_cost": 8497.076886411507, "transaction_cost_over_anchor_nav": 0.008766752033972506, "two_sided_turnover": 3.896917495715749 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 3.784506877695455, "annualized_volatility": 0.18940122717325328, "cagr": -0.0894677366328015, "end_nav": 786885.0829301674, "end_session": "2002-12-31", "fee_by_category": { "entry": 3331.2399123335917, "exit": 3890.9048445364806, "resize": 279.6183408980868 }, "max_cash_weight": 1.0, "max_drawdown": -0.27396661430682856, "mean_cash_weight": 0.3252832884305638, "nonzero_trade_event_count": 12, "order_count": 30, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 864203.4056214802, "start_session": "2001-12-31", "total_return": -0.0894677366328015, "traded_notional_by_category": { "entry": 1332495.9649334368, "exit": 1556361.9378145922, "resize": 111847.3363592347 }, "transaction_cost": 7501.763097768159, "transaction_cost_over_anchor_nav": 0.008680552574741785, "two_sided_turnover": 3.784506877695455 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 4.045412389875715, "annualized_volatility": 0.0949445384756113, "cagr": 0.15261297249339734, "end_nav": 906973.9544468538, "end_session": "2003-12-31", "fee_by_category": { "entry": 4741.394481232535, "exit": 3396.1116863906304, "resize": 150.0468755724645 }, "max_cash_weight": 1.0, "max_drawdown": -0.05601590420816949, "mean_cash_weight": 0.4681115610628902, "nonzero_trade_event_count": 9, "order_count": 24, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 786885.0829301674, "start_session": "2002-12-31", "total_return": 0.15261297249339734, "traded_notional_by_category": { "entry": 1896557.7924930141, "exit": 1358444.674556252, "resize": 60018.750228985795 }, "transaction_cost": 8287.55304319563, "transaction_cost_over_anchor_nav": 0.010532100840360083, "two_sided_turnover": 4.045412389875715 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 5.54349553235026, "annualized_volatility": 0.11832232474440514, "cagr": 0.1069460637946551, "end_nav": 1003971.2488392177, "end_session": "2004-12-31", "fee_by_category": { "entry": 5927.355000053948, "exit": 5970.534559312467, "resize": 461.2904686040097 }, "max_cash_weight": 1.3606852725937036e-16, "max_drawdown": -0.09430554255699664, "mean_cash_weight": 4.3097628681639103e-17, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 906973.9544468538, "start_session": "2003-12-31", "total_return": 0.1069460637946551, "traded_notional_by_category": { "entry": 2370942.000021579, "exit": 2388213.8237249865, "resize": 184516.18744160386 }, "transaction_cost": 12359.180027970426, "transaction_cost_over_anchor_nav": 0.013626830150274882, "two_sided_turnover": 5.54349553235026 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 3.593714874720733, "annualized_volatility": 0.1420015238208641, "cagr": 0.1469449691984368, "end_nav": 1151499.7730760127, "end_session": "2005-12-30", "fee_by_category": { "entry": 4698.248676728404, "exit": 4594.934813227072, "resize": 823.1240536147363 }, "max_cash_weight": 1.2026048348713847e-16, "max_drawdown": -0.10106830454782667, "mean_cash_weight": 9.358161180570431e-18, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1003971.2488392177, "start_session": "2004-12-31", "total_return": 0.1469449691984368, "traded_notional_by_category": { "entry": 1879299.4706913615, "exit": 1837973.9252908283, "resize": 329249.62144589453 }, "transaction_cost": 10116.30754357021, "transaction_cost_over_anchor_nav": 0.010076292080342532, "two_sided_turnover": 3.593714874720733 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 8.156214088113932, "annualized_volatility": 0.12836890571665222, "cagr": 0.0573935991547283, "end_nav": 1217588.489478698, "end_session": "2006-12-29", "fee_by_category": { "entry": 11669.60529030326, "exit": 11690.278923034188, "resize": 486.60623162236135 }, "max_cash_weight": 0.0, "max_drawdown": -0.14400098510341308, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 48, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1151499.7730760127, "start_session": "2005-12-30", "total_return": 0.0573935991547283, "traded_notional_by_category": { "entry": 4667842.116121304, "exit": 4676111.569213674, "resize": 194642.49264894455 }, "transaction_cost": 23846.490444959807, "transaction_cost_over_anchor_nav": 0.020709070902600737, "two_sided_turnover": 8.156214088113932 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 6.790551867431016, "annualized_volatility": 0.17382990432469833, "cagr": 0.07783379120029132, "end_nav": 1312358.017736661, "end_session": "2007-12-31", "fee_by_category": { "entry": 10420.130134138362, "exit": 10490.389254199907, "resize": 362.27868308726727 }, "max_cash_weight": 0.0, "max_drawdown": -0.1212150272451763, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 46, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1217588.489478698, "start_session": "2006-12-29", "total_return": 0.07783379120029132, "traded_notional_by_category": { "entry": 4168052.0536553445, "exit": 4196155.701679963, "resize": 144911.4732349069 }, "transaction_cost": 21272.798071425535, "transaction_cost_over_anchor_nav": 0.01747125424989303, "two_sided_turnover": 6.790551867431016 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 5.274922893813063, "annualized_volatility": 0.2179147505048398, "cagr": -0.20746332301137949, "end_nav": 1040091.8623963865, "end_session": "2008-12-31", "fee_by_category": { "entry": 6299.494575335648, "exit": 8932.909070926622, "resize": 951.1097575120922 }, "max_cash_weight": 1.0, "max_drawdown": -0.2706014453604746, "mean_cash_weight": 0.20051826604062656, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1312358.017736661, "start_session": "2007-12-31", "total_return": -0.20746332301137949, "traded_notional_by_category": { "entry": 2519797.830134259, "exit": 3573163.6283706487, "resize": 380443.9030048369 }, "transaction_cost": 16183.513403774361, "transaction_cost_over_anchor_nav": 0.012331629924953725, "two_sided_turnover": 5.274922893813063 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0208365872051421, "annualized_volatility": 0.06555344037131665, "cagr": 0.11442773965075181, "end_nav": 1159107.2232395457, "end_session": "2009-12-31", "fee_by_category": { "entry": 2591.2931194531875, "exit": 0.0, "resize": 62.30250644725675 }, "max_cash_weight": 1.0, "max_drawdown": -0.02216741015817647, "mean_cash_weight": 0.8040306845603088, "nonzero_trade_event_count": 3, "order_count": 7, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1040091.8623963865, "start_session": "2008-12-31", "total_return": 0.11442773965075181, "traded_notional_by_category": { "entry": 1036517.2477812751, "exit": 0.0, "resize": 24921.0025789027 }, "transaction_cost": 2653.5956259004447, "transaction_cost_over_anchor_nav": 0.0025513089005297306, "two_sided_turnover": 1.0208365872051421 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 6.177323641565191, "annualized_volatility": 0.17693084799017833, "cagr": 0.1352004677107883, "end_nav": 1315819.0619484854, "end_session": "2010-12-31", "fee_by_category": { "entry": 8875.794049257094, "exit": 8916.48033648538, "resize": 511.80251349481404 }, "max_cash_weight": 0.0, "max_drawdown": -0.15725215723418962, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1159107.2232395457, "start_session": "2009-12-31", "total_return": 0.1352004677107883, "traded_notional_by_category": { "entry": 3550317.619702838, "exit": 3566592.1345941518, "resize": 204721.00539792562 }, "transaction_cost": 18304.076899237287, "transaction_cost_over_anchor_nav": 0.01579153035392179, "two_sided_turnover": 6.177323641565191 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 5.594826585810431, "annualized_volatility": 0.20836567359857788, "cagr": 0.014370768103802112, "end_nav": 1334728.3925543097, "end_session": "2011-12-30", "fee_by_category": { "entry": 8920.838215377196, "exit": 9070.324337433602, "resize": 735.2199768550277 }, "max_cash_weight": 0.0, "max_drawdown": -0.18789082035765003, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1315819.0619484854, "start_session": "2010-12-31", "total_return": 0.014370768103802112, "traded_notional_by_category": { "entry": 3568335.2861508788, "exit": 3628129.7349734404, "resize": 294087.99074201105 }, "transaction_cost": 18726.382529665825, "transaction_cost_over_anchor_nav": 0.014231730692467325, "two_sided_turnover": 5.594826585810431 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 5.445362353086043, "annualized_volatility": 0.09976342190052347, "cagr": 0.08697074589650589, "end_nav": 1450810.7164240023, "end_session": "2012-12-31", "fee_by_category": { "entry": 9419.36261834697, "exit": 9494.01989501415, "resize": 348.79116196500036 }, "max_cash_weight": 0.0, "max_drawdown": -0.060786116657205014, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1334728.3925543097, "start_session": "2011-12-30", "total_return": 0.08697074589650589, "traded_notional_by_category": { "entry": 3767745.0473387875, "exit": 3797607.9580056597, "resize": 139516.46478600014 }, "transaction_cost": 19262.173675326118, "transaction_cost_over_anchor_nav": 0.014431530626589518, "two_sided_turnover": 5.445362353086043 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4267124464255683, "annualized_volatility": 0.1143962914093477, "cagr": 0.32330322817097135, "end_nav": 1919862.5045089219, "end_session": "2013-12-31", "fee_by_category": { "entry": 6880.741055391745, "exit": 6843.5760879859645, "resize": 442.1737862481223 }, "max_cash_weight": 1.4434096864643116e-16, "max_drawdown": -0.07486537673200477, "mean_cash_weight": 2.3014251979034198e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1450810.7164240023, "start_session": "2012-12-31", "total_return": 0.32330322817097135, "traded_notional_by_category": { "entry": 2752296.422156698, "exit": 2737430.4351943857, "resize": 176869.51449924894 }, "transaction_cost": 14166.490929625834, "transaction_cost_over_anchor_nav": 0.00976453424919812, "two_sided_turnover": 3.4267124464255683 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 5.423204277429117, "annualized_volatility": 0.12555325328660538, "cagr": 0.11202898077367318, "end_nav": 2134942.744114648, "end_session": "2014-12-31", "fee_by_category": { "entry": 13532.101585936205, "exit": 13443.828115106206, "resize": 580.8914677835872 }, "max_cash_weight": 1.2832922715248675e-16, "max_drawdown": -0.08170014193444841, "mean_cash_weight": 1.9153212591388024e-17, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1919862.5045089219, "start_session": "2013-12-31", "total_return": 0.11202898077367318, "traded_notional_by_category": { "entry": 5412840.634374482, "exit": 5377531.246042483, "resize": 232356.5871134349 }, "transaction_cost": 27556.821168825998, "transaction_cost_over_anchor_nav": 0.014353538914431118, "two_sided_turnover": 5.423204277429117 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 5.505241809324096, "annualized_volatility": 0.15080611406501968, "cagr": 0.022331616259324782, "end_nav": 2182619.466211846, "end_session": "2015-12-31", "fee_by_category": { "entry": 14582.966427863179, "exit": 14691.751351104056, "resize": 870.9932553702616 }, "max_cash_weight": 0.0, "max_drawdown": -0.11366754203460849, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2134942.744114648, "start_session": "2014-12-31", "total_return": 0.022331616259324782, "traded_notional_by_category": { "entry": 5833186.571145271, "exit": 5876700.540441623, "resize": 348397.30214810465 }, "transaction_cost": 30145.7110343375, "transaction_cost_over_anchor_nav": 0.014120149646841607, "two_sided_turnover": 5.505241809324096 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 6.807938765189349, "annualized_volatility": 0.1257709083159644, "cagr": -0.012337872182412668, "end_nav": 2155690.5862148786, "end_session": "2016-12-30", "fee_by_category": { "entry": 17807.119147728023, "exit": 17841.138357576587, "resize": 730.3959856662349 }, "max_cash_weight": 0.3340229084365087, "max_drawdown": -0.10989481500349396, "mean_cash_weight": 0.028491869396637896, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2182619.466211846, "start_session": "2015-12-31", "total_return": -0.012337872182412668, "traded_notional_by_category": { "entry": 7122847.659091208, "exit": 7136455.343030635, "resize": 292158.39426649397 }, "transaction_cost": 36378.65349097084, "transaction_cost_over_anchor_nav": 0.01666742831452412, "two_sided_turnover": 6.807938765189349 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 6.1497129963526165, "annualized_volatility": 0.09138717304973376, "cagr": 0.15489855761685178, "end_nav": 2489603.948687789, "end_session": "2017-12-29", "fee_by_category": { "entry": 17000.805607886785, "exit": 17059.17640657325, "resize": 904.4770417830503 }, "max_cash_weight": 0.0, "max_drawdown": -0.04656853183078635, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2155690.5862148786, "start_session": "2016-12-30", "total_return": 0.15489855761685178, "traded_notional_by_category": { "entry": 6800322.243154714, "exit": 6823670.562629299, "resize": 361790.8167132201 }, "transaction_cost": 34964.45905624308, "transaction_cost_over_anchor_nav": 0.01621960928893616, "two_sided_turnover": 6.1497129963526165 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 4.80224084464562, "annualized_volatility": 0.19176304222697435, "cagr": -0.06295428711837814, "end_nav": 2332872.70689105, "end_session": "2018-12-31", "fee_by_category": { "entry": 14980.916502021293, "exit": 14828.8751200735, "resize": 1084.5820557011702 }, "max_cash_weight": 0.0, "max_drawdown": -0.2033405457716051, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2489603.948687789, "start_session": "2017-12-29", "total_return": -0.06295428711837814, "traded_notional_by_category": { "entry": 5992366.600808517, "exit": 5931550.0480294, "resize": 433832.82228046807 }, "transaction_cost": 30894.373677795964, "transaction_cost_over_anchor_nav": 0.012409352778412668, "two_sided_turnover": 4.80224084464562 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 6.161667606400843, "annualized_volatility": 0.10291848888052925, "cagr": 0.22391720991931985, "end_nav": 2855243.054515025, "end_session": "2019-12-31", "fee_by_category": { "entry": 19220.547413862667, "exit": 19435.350448104055, "resize": 848.0132625238341 }, "max_cash_weight": 0.6665851701886382, "max_drawdown": -0.053262820922763465, "mean_cash_weight": 0.04986302972856129, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2332872.70689105, "start_session": "2018-12-31", "total_return": 0.22391720991931985, "traded_notional_by_category": { "entry": 7688218.965545066, "exit": 7774140.179241622, "resize": 339205.30500953365 }, "transaction_cost": 39503.91112449055, "transaction_cost_over_anchor_nav": 0.016933590507446177, "two_sided_turnover": 6.161667606400843 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8490897149006327, "annualized_volatility": 0.3338266397295625, "cagr": 0.1880590681027572, "end_nav": 3392197.4025539905, "end_session": "2020-12-31", "fee_by_category": { "entry": 9614.585435250805, "exit": 9342.89552630423, "resize": 1536.2346177216946 }, "max_cash_weight": 0.334817857477638, "max_drawdown": -0.3026968695385437, "mean_cash_weight": 0.025768715736776936, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2855243.054515025, "start_session": "2019-12-31", "total_return": 0.1880590681027572, "traded_notional_by_category": { "entry": 3845834.1741003217, "exit": 3737158.2105216924, "resize": 614493.8470886778 }, "transaction_cost": 20493.71557927673, "transaction_cost_over_anchor_nav": 0.0071775730429918414, "two_sided_turnover": 2.8490897149006327 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7869807617154154, "annualized_volatility": 0.16044937860342165, "cagr": 0.13971494175018795, "end_nav": 3866138.06505696, "end_session": "2021-12-31", "fee_by_category": { "entry": 12790.76113855018, "exit": 12588.871503672599, "resize": 1330.3072430801712 }, "max_cash_weight": 1.3913832363493804e-16, "max_drawdown": -0.08260645614261419, "mean_cash_weight": 4.352806408292942e-17, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3392197.4025539905, "start_session": "2020-12-31", "total_return": 0.13971494175018795, "traded_notional_by_category": { "entry": 5116304.455420072, "exit": 5035548.60146904, "resize": 532122.8972320685 }, "transaction_cost": 26709.93988530295, "transaction_cost_over_anchor_nav": 0.007873934419380486, "two_sided_turnover": 2.7869807617154154 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 4.980689323679366, "annualized_volatility": 0.19612274726982445, "cagr": 0.11970666131173013, "end_nav": 4328940.544995122, "end_session": "2022-12-30", "fee_by_category": { "entry": 23839.591591320484, "exit": 23919.664414630774, "resize": 3184.91716265013 }, "max_cash_weight": 0.3394261445673563, "max_drawdown": -0.13811095954395392, "mean_cash_weight": 0.027740049322697077, "nonzero_trade_event_count": 12, "order_count": 42, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3866138.06505696, "start_session": "2021-12-31", "total_return": 0.11970666131173013, "traded_notional_by_category": { "entry": 9535836.636528194, "exit": 9567865.76585231, "resize": 1273966.8650600521 }, "transaction_cost": 50944.17316860139, "transaction_cost_over_anchor_nav": 0.013177018593579592, "two_sided_turnover": 4.980689323679366 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 6.4108102521174075, "annualized_volatility": 0.13462136001499936, "cagr": 0.07184518492402914, "end_nav": 4639954.078975423, "end_session": "2023-12-29", "fee_by_category": { "entry": 31607.787465117985, "exit": 34995.53266032582, "resize": 1349.44916682664 }, "max_cash_weight": 0.6739275070521504, "max_drawdown": -0.11311063036480173, "mean_cash_weight": 0.07678023953875583, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4328940.544995122, "start_session": "2022-12-30", "total_return": 0.07184518492402914, "traded_notional_by_category": { "entry": 12643114.986047193, "exit": 13998213.064130329, "resize": 539779.666730656 }, "transaction_cost": 67952.76929227044, "transaction_cost_over_anchor_nav": 0.015697320992507886, "two_sided_turnover": 6.4108102521174075 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 6.481416812248732, "annualized_volatility": 0.13375006594092498, "cagr": 0.08183000984704014, "end_nav": 5019641.566947796, "end_session": "2024-12-31", "fee_by_category": { "entry": 41005.71691692675, "exit": 37104.370543753095, "resize": 2032.236817139671 }, "max_cash_weight": 0.0, "max_drawdown": -0.08317867717330685, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4639954.078975423, "start_session": "2023-12-29", "total_return": 0.08183000984704014, "traded_notional_by_category": { "entry": 16402286.7667707, "exit": 14841748.217501238, "resize": 812894.7268558685 }, "transaction_cost": 80142.32427781951, "transaction_cost_over_anchor_nav": 0.01727222358534984, "two_sided_turnover": 6.481416812248732 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 4.820185116307558, "annualized_volatility": 0.15143777957348023, "cagr": 0.03146339401865772, "end_nav": 5177576.527401107, "end_session": "2025-12-31", "fee_by_category": { "entry": 30414.80519646611, "exit": 30220.089621804713, "resize": 2316.8344783973525 }, "max_cash_weight": 0.0, "max_drawdown": -0.14507530911632271, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5019641.566947796, "start_session": "2024-12-31", "total_return": 0.03146339401865772, "traded_notional_by_category": { "entry": 12165922.078586444, "exit": 12088035.848721884, "resize": 926733.791358941 }, "transaction_cost": 62951.72929666818, "transaction_cost_over_anchor_nav": 0.01254108056463205, "two_sided_turnover": 4.820185116307558 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 5.037199036564762, "annualized_volatility": 0.16143374818975656, "cagr": 0.06932034063102543, "end_nav": 5177576.527401107, "end_session": "2025-12-31", "fee_by_category": { "entry": 333832.26085304515, "exit": 333079.50322133576, "resize": 22904.21915705336 }, "max_cash_weight": 1.0, "max_drawdown": -0.31008742916133825, "mean_cash_weight": 0.08253520224551471, "nonzero_trade_event_count": 288, "order_count": 1008, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 969238.8758669154, "start_session": "2000-12-29", "total_return": 4.3418993566164295, "traded_notional_by_category": { "entry": 133532904.34121805, "exit": 133231801.28853431, "resize": 9161687.662821345 }, "transaction_cost": 689815.9832314342, "transaction_cost_over_anchor_nav": 0.7117089506077052, "two_sided_turnover": 125.92997591411905 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6283884.280684668, "end_session": "2026-10-02", "fee_by_category": { "entry": 23853.694609070113, "exit": 23777.063331382386, "resize": 5949.473117023693 }, "max_cash_weight": 0.0, "max_drawdown": -0.0782400897529858, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 10, "order_count": 35, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 5177576.527401107, "start_session": "2025-12-31", "total_return": 0.21367289260307132, "traded_notional_by_category": { "entry": 9541477.843628045, "exit": 9510825.332552955, "resize": 2379789.246809477 }, "transaction_cost": 53580.231057476194, "transaction_cost_over_anchor_nav": 0.010348515521482958, "two_sided_turnover": 3.726774016985855 } }, "monthly_risk": { "beta_intercept_per_month": 0.000510003825527813, "beta_to_SPY_excess_returns": 0.6718688163146069, "monthly_return_volatility_annualized": 0.13286921658128079, "months": 300, "sharpe_monthly_annualized": 0.44224204756946495, "tracking_error_monthly_annualized": 0.09986722607523994 }, "phase": null, "policy": "C", "run_id": "M12-25bps", "signal": "12-1" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.8987684178928554, "annualized_volatility": 0.18026813964202817, "cagr": -0.10138676669874269, "end_nav": 881602.7203844469, "end_session": "2001-12-31", "fee_by_category": { "entry": 743.7849432574342, "exit": 877.0140855064928, "resize": 105.49997816496393 }, "max_cash_weight": 0.3354753821791192, "max_drawdown": -0.24018281931008556, "mean_cash_weight": 0.053200518960014084, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 981070.2621701681, "start_session": "2000-12-29", "total_return": -0.10138676669874269, "traded_notional_by_category": { "entry": 1487569.8865148681, "exit": 1754028.1710129855, "resize": 210999.95632992787 }, "transaction_cost": 1726.2990069288908, "transaction_cost_over_anchor_nav": 0.001759607923606048, "two_sided_turnover": 3.8987684178928554 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 3.7872012502510612, "annualized_volatility": 0.1894766899169096, "cagr": -0.08254386476465048, "end_nav": 808831.8246568851, "end_session": "2002-12-31", "fee_by_category": { "entry": 682.4880018392535, "exit": 796.6662929964868, "resize": 57.09821696813335 }, "max_cash_weight": 1.0, "max_drawdown": -0.27243477145603656, "mean_cash_weight": 0.3252832884305638, "nonzero_trade_event_count": 12, "order_count": 30, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 881602.7203844469, "start_session": "2001-12-31", "total_return": -0.08254386476465048, "traded_notional_by_category": { "entry": 1364976.0036785067, "exit": 1593332.5859929738, "resize": 114196.4339362667 }, "transaction_cost": 1536.2525118038736, "transaction_cost_over_anchor_nav": 0.0017425677987177137, "two_sided_turnover": 3.7872012502510612 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 4.047443639651716, "annualized_volatility": 0.09547114033065954, "cagr": 0.1619869125596305, "end_nav": 939851.9947130263, "end_session": "2003-12-31", "fee_by_category": { "entry": 979.3322374830985, "exit": 700.6977979597314, "resize": 30.189820353264107 }, "max_cash_weight": 1.0, "max_drawdown": -0.056015904208169376, "mean_cash_weight": 0.4681115610628902, "nonzero_trade_event_count": 9, "order_count": 24, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 808831.8246568851, "start_session": "2002-12-31", "total_return": 0.1619869125596305, "traded_notional_by_category": { "entry": 1958664.474966197, "exit": 1401395.5959194626, "resize": 60379.64070652821 }, "transaction_cost": 1710.219855796094, "transaction_cost_over_anchor_nav": 0.002114431954407317, "two_sided_turnover": 4.047443639651716 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 5.54714253837983, "annualized_volatility": 0.11860595817358416, "cagr": 0.11930034716522031, "end_nav": 1051976.6639662152, "end_session": "2004-12-31", "fee_by_category": { "entry": 1236.1583821367838, "exit": 1243.075983623384, "resize": 95.94978584662283 }, "max_cash_weight": 1.3311317139469874e-16, "max_drawdown": -0.09065737313831035, "mean_cash_weight": 6.016190987802047e-17, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 939851.9947130263, "start_session": "2003-12-31", "total_return": 0.11930034716522031, "traded_notional_by_category": { "entry": 2472316.764273567, "exit": 2486151.967246768, "resize": 191899.57169324567 }, "transaction_cost": 2575.1841516067907, "transaction_cost_over_anchor_nav": 0.0027399890260307374, "two_sided_turnover": 5.54714253837983 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 3.595048875933944, "annualized_volatility": 0.14226750860608056, "cagr": 0.15522551269406293, "end_nav": 1215270.2809725609, "end_session": "2005-12-30", "fee_by_category": { "entry": 989.0075051362385, "exit": 965.9180643909222, "resize": 172.31500643209952 }, "max_cash_weight": 0.0, "max_drawdown": -0.09986652470839397, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1051976.6639662152, "start_session": "2004-12-31", "total_return": 0.15522551269406293, "traded_notional_by_category": { "entry": 1978015.0102724768, "exit": 1931836.1287818444, "resize": 344630.01286419906 }, "transaction_cost": 2127.2405759592602, "transaction_cost_over_anchor_nav": 0.0020221366583732295, "two_sided_turnover": 3.595048875933944 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 8.166681915309136, "annualized_volatility": 0.12875705635923962, "cagr": 0.0748015007949634, "end_nav": 1306174.3218608252, "end_session": "2006-12-29", "fee_by_category": { "entry": 2485.521006285563, "exit": 2485.5438769424277, "resize": 105.54611295470706 }, "max_cash_weight": 0.0, "max_drawdown": -0.13585280523398946, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 48, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1215270.2809725609, "start_session": "2005-12-30", "total_return": 0.0748015007949634, "traded_notional_by_category": { "entry": 4971042.012571126, "exit": 4971087.753884856, "resize": 211092.22590941412 }, "transaction_cost": 5076.610996182698, "transaction_cost_over_anchor_nav": 0.0041773513889601325, "two_sided_turnover": 8.166681915309136 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 6.798556441251051, "annualized_volatility": 0.17389622494381293, "cagr": 0.09258535150961444, "end_nav": 1427106.930583142, "end_session": "2007-12-31", "fee_by_category": { "entry": 2252.851185797128, "exit": 2264.4649024016303, "resize": 79.98798694888683 }, "max_cash_weight": 0.0, "max_drawdown": -0.11766832932406379, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 46, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1306174.3218608252, "start_session": "2006-12-29", "total_return": 0.09258535150961444, "traded_notional_by_category": { "entry": 4505702.371594256, "exit": 4528929.804803261, "resize": 159975.97389777366 }, "transaction_cost": 4597.304075147646, "transaction_cost_over_anchor_nav": 0.0035196711481803996, "two_sided_turnover": 6.798556441251051 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 5.278182836770085, "annualized_volatility": 0.21781849980622345, "cagr": -0.1990488899394124, "end_nav": 1143042.8802257255, "end_session": "2008-12-31", "fee_by_category": { "entry": 1377.0036029983846, "exit": 1952.4418801905438, "resize": 207.64894902179577 }, "max_cash_weight": 1.0, "max_drawdown": -0.267414580927509, "mean_cash_weight": 0.20051826604062656, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1427106.930583142, "start_session": "2007-12-31", "total_return": -0.1990488899394124, "traded_notional_by_category": { "entry": 2754007.2059967695, "exit": 3904883.760381087, "resize": 415297.89804359153 }, "transaction_cost": 3537.0944322107243, "transaction_cost_over_anchor_nav": 0.0024785069404472744, "two_sided_turnover": 5.278182836770085 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.022405108466743, "annualized_volatility": 0.06558192548917179, "cagr": 0.11670634836354488, "end_nav": 1276443.2407998187, "end_session": "2009-12-31", "fee_by_category": { "entry": 570.4432765104224, "exit": 0.0, "resize": 13.982563085035189 }, "max_cash_weight": 1.0, "max_drawdown": -0.02216741015817625, "mean_cash_weight": 0.8040306845603088, "nonzero_trade_event_count": 3, "order_count": 7, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1143042.8802257255, "start_session": "2008-12-31", "total_return": 0.11670634836354488, "traded_notional_by_category": { "entry": 1140886.5530208447, "exit": 0.0, "resize": 27965.126170070376 }, "transaction_cost": 584.4258395954575, "transaction_cost_over_anchor_nav": 0.0005112895147730997, "two_sided_turnover": 1.022405108466743 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 6.18229687262062, "annualized_volatility": 0.17703831637708783, "cagr": 0.14932699716743358, "end_nav": 1467050.6770031229, "end_session": "2010-12-31", "fee_by_category": { "entry": 1968.823107829659, "exit": 1974.5595950751028, "resize": 113.22983291784776 }, "max_cash_weight": 0.0, "max_drawdown": -0.15265885220952524, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1276443.2407998187, "start_session": "2009-12-31", "total_return": 0.14932699716743358, "traded_notional_by_category": { "entry": 3937646.2156593176, "exit": 3949119.1901502055, "resize": 226459.66583569552 }, "transaction_cost": 4056.6125358226095, "transaction_cost_over_anchor_nav": 0.00317805947507759, "two_sided_turnover": 6.18229687262062 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 5.601301730021652, "annualized_volatility": 0.20759242784094345, "cagr": 0.025796183634237524, "end_nav": 1504894.9856678278, "end_session": "2011-12-30", "fee_by_category": { "entry": 2001.7164881328877, "exit": 2031.8411398843243, "resize": 166.3152551188188 }, "max_cash_weight": 0.0, "max_drawdown": -0.1822101549672599, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1467050.6770031229, "start_session": "2010-12-31", "total_return": 0.025796183634237524, "traded_notional_by_category": { "entry": 4003432.976265775, "exit": 4063682.2797686486, "resize": 332630.5102376376 }, "transaction_cost": 4199.87288313603, "transaction_cost_over_anchor_nav": 0.002862800139743973, "two_sided_turnover": 5.601301730021652 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 5.449871033552696, "annualized_volatility": 0.09946047075531488, "cagr": 0.09888580262708513, "end_nav": 1653707.7341950666, "end_session": "2012-12-31", "fee_by_category": { "entry": 2137.704663387252, "exit": 2151.028363291314, "resize": 78.8307914537538 }, "max_cash_weight": 1.4924229280174582e-16, "max_drawdown": -0.06078095634738534, "mean_cash_weight": 2.5465515062628808e-17, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1504894.9856678278, "start_session": "2011-12-30", "total_return": 0.09888580262708513, "traded_notional_by_category": { "entry": 4275409.326774504, "exit": 4302056.726582627, "resize": 157661.5829075076 }, "transaction_cost": 4367.563818132319, "transaction_cost_over_anchor_nav": 0.0029022382689341767, "two_sided_turnover": 5.449871033552696 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 3.429021171370572, "annualized_volatility": 0.114729753560584, "cagr": 0.3324110710107502, "end_nav": 2203418.4932576097, "end_session": "2013-12-31", "fee_by_category": { "entry": 1575.2428818143235, "exit": 1564.5888648865691, "resize": 101.02199024338118 }, "max_cash_weight": 1.2611122497625148e-16, "max_drawdown": -0.07362856625504643, "mean_cash_weight": 5.0203578727462155e-17, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1653707.7341950666, "start_session": "2012-12-31", "total_return": 0.3324110710107502, "traded_notional_by_category": { "entry": 3150485.7636286467, "exit": 3129177.729773138, "resize": 202043.98048676236 }, "transaction_cost": 3240.853736944274, "transaction_cost_over_anchor_nav": 0.0019597500029361246, "two_sided_turnover": 3.429021171370572 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 5.4268108985058765, "annualized_volatility": 0.12545640761281693, "cagr": 0.12416927790943122, "end_nav": 2477015.376497694, "end_session": "2014-12-31", "fee_by_category": { "entry": 3126.1172498426686, "exit": 3100.4141484453808, "resize": 132.6264588286163 }, "max_cash_weight": 0.0, "max_drawdown": -0.08168501217270108, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2203418.4932576097, "start_session": "2013-12-31", "total_return": 0.12416927790943122, "traded_notional_by_category": { "entry": 6252234.499685337, "exit": 6200828.296890762, "resize": 265252.9176572326 }, "transaction_cost": 6359.157857116666, "transaction_cost_over_anchor_nav": 0.002886041792140479, "two_sided_turnover": 5.4268108985058765 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 5.509730379616429, "annualized_volatility": 0.15096804745199596, "cagr": 0.03365934746645638, "end_nav": 2560390.097734985, "end_session": "2015-12-31", "fee_by_category": { "entry": 3405.0109099959145, "exit": 3425.7160988524947, "resize": 204.3840519929037 }, "max_cash_weight": 0.0, "max_drawdown": -0.11247853984680489, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2477015.376497694, "start_session": "2014-12-31", "total_return": 0.03365934746645638, "traded_notional_by_category": { "entry": 6810021.819991829, "exit": 6851432.197704989, "resize": 408768.1039858074 }, "transaction_cost": 7035.111060841313, "transaction_cost_over_anchor_nav": 0.0028401563945026492, "two_sided_turnover": 5.509730379616429 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 6.809988327777626, "annualized_volatility": 0.1256740281696174, "cagr": 0.0012154219630671204, "end_nav": 2563502.052093792, "end_session": "2016-12-30", "fee_by_category": { "entry": 4209.691101414045, "exit": 4211.234876341374, "resize": 169.6533069361163 }, "max_cash_weight": 0.33402290843650884, "max_drawdown": -0.1074689989353983, "mean_cash_weight": 0.028491869396637892, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2560390.097734985, "start_session": "2015-12-31", "total_return": 0.0012154219630671204, "traded_notional_by_category": { "entry": 8419382.20282809, "exit": 8422469.752682747, "resize": 339306.6138722326 }, "transaction_cost": 8590.579284691536, "transaction_cost_over_anchor_nav": 0.0033551837637128333, "two_sided_turnover": 6.809988327777626 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 6.155537441173601, "annualized_volatility": 0.09143954161197845, "cagr": 0.16921117568608013, "end_nav": 2997275.2482022615, "end_session": "2017-12-29", "fee_by_category": { "entry": 4073.4703975165157, "exit": 4078.5698046785515, "resize": 215.71752065087728 }, "max_cash_weight": 0.0, "max_drawdown": -0.046527309332223155, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2563502.052093792, "start_session": "2016-12-30", "total_return": 0.16921117568608013, "traded_notional_by_category": { "entry": 8146940.795033031, "exit": 8157139.609357104, "resize": 431435.04130175454 }, "transaction_cost": 8367.757722845945, "transaction_cost_over_anchor_nav": 0.003264189984170838, "two_sided_turnover": 6.155537441173601 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 4.805352035026714, "annualized_volatility": 0.1915746090260027, "cagr": -0.053903587390983776, "end_nav": 2835711.3599259583, "end_session": "2018-12-31", "fee_by_category": { "entry": 3626.8221030421673, "exit": 3585.238640989097, "resize": 263.0118131518226 }, "max_cash_weight": 1.5824741461325828e-16, "max_drawdown": -0.19947481938482492, "mean_cash_weight": 1.3755429158187363e-17, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2997275.2482022615, "start_session": "2017-12-29", "total_return": -0.053903587390983776, "traded_notional_by_category": { "entry": 7253644.206084335, "exit": 7170477.281978194, "resize": 526023.6263036452 }, "transaction_cost": 7475.072557183087, "transaction_cost_over_anchor_nav": 0.0024939559894162433, "two_sided_turnover": 4.805352035026714 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 6.16711972481235, "annualized_volatility": 0.10247596782650625, "cagr": 0.23910537495681372, "end_nav": 3513745.1879103505, "end_session": "2019-12-31", "fee_by_category": { "entry": 4706.301619338348, "exit": 4751.111054800373, "resize": 209.99174425410106 }, "max_cash_weight": 0.666585170188638, "max_drawdown": -0.051997517624091105, "mean_cash_weight": 0.0498630297285613, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2835711.3599259583, "start_session": "2018-12-31", "total_return": 0.23910537495681372, "traded_notional_by_category": { "entry": 9412603.238676695, "exit": 9502222.109600745, "resize": 419983.48850820214 }, "transaction_cost": 9667.404418392822, "transaction_cost_over_anchor_nav": 0.003409163765752676, "two_sided_turnover": 6.16711972481235 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8493359305706614, "annualized_volatility": 0.3337486875558301, "cagr": 0.19485535779935081, "end_nav": 4198417.263716369, "end_session": "2020-12-31", "fee_by_category": { "entry": 2375.508523633672, "exit": 2304.2178302234624, "resize": 376.05680382819855 }, "max_cash_weight": 0.3348178574776379, "max_drawdown": -0.3026753160366754, "mean_cash_weight": 0.025768715736776967, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3513745.1879103505, "start_session": "2019-12-31", "total_return": 0.19485535779935081, "traded_notional_by_category": { "entry": 4751017.047267344, "exit": 4608435.660446925, "resize": 752113.607656397 }, "transaction_cost": 5055.783157685333, "transaction_cost_over_anchor_nav": 0.0014388587923451683, "two_sided_turnover": 2.8493359305706614 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.786994991932446, "annualized_volatility": 0.16050759935241224, "cagr": 0.14609160062290893, "end_nav": 4811770.761855546, "end_session": "2021-12-31", "fee_by_category": { "entry": 3177.270595392459, "exit": 3122.9614413405907, "resize": 325.69266969199384 }, "max_cash_weight": 0.0, "max_drawdown": -0.08135867286508625, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4198417.263716369, "start_session": "2020-12-31", "total_return": 0.14609160062290893, "traded_notional_by_category": { "entry": 6354541.190784918, "exit": 6245922.882681182, "resize": 651385.3393839877 }, "transaction_cost": 6625.924706425044, "transaction_cost_over_anchor_nav": 0.0015781958510145526, "two_sided_turnover": 2.786994991932446 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 4.986353253950613, "annualized_volatility": 0.19618048683439346, "cagr": 0.1309266423667954, "end_nav": 5441759.75154401, "end_session": "2022-12-30", "fee_by_category": { "entry": 5968.996024766306, "exit": 5977.968793301638, "resize": 803.0429582155718 }, "max_cash_weight": 0.33942614456735626, "max_drawdown": -0.1381109595439538, "mean_cash_weight": 0.027740049322697063, "nonzero_trade_event_count": 12, "order_count": 42, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4811770.761855546, "start_session": "2021-12-31", "total_return": 0.1309266423667954, "traded_notional_by_category": { "entry": 11937992.049532613, "exit": 11955937.586603275, "resize": 1606085.9164311436 }, "transaction_cost": 12750.007776283515, "transaction_cost_over_anchor_nav": 0.002649753782403128, "two_sided_turnover": 4.986353253950613 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 6.415498343820922, "annualized_volatility": 0.13483830547233147, "cagr": 0.0856875821134575, "end_nav": 5908050.987096146, "end_session": "2023-12-29", "fee_by_category": { "entry": 8002.02761174007, "exit": 8851.530185723861, "resize": 342.7551469632697 }, "max_cash_weight": 0.6739275070521504, "max_drawdown": -0.11070648631255897, "mean_cash_weight": 0.07678023953875582, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5441759.75154401, "start_session": "2022-12-30", "total_return": 0.0856875821134575, "traded_notional_by_category": { "entry": 16004055.223480139, "exit": 17703060.371447723, "resize": 685510.2939265394 }, "transaction_cost": 17196.3129444272, "transaction_cost_over_anchor_nav": 0.0031600647087641144, "two_sided_turnover": 6.415498343820922 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 6.485847918963753, "annualized_volatility": 0.13312968761704366, "cagr": 0.09595928970149292, "end_nav": 6474983.363338096, "end_session": "2024-12-31", "fee_by_category": { "entry": 10516.427524179122, "exit": 9506.034606391777, "resize": 518.6272175318904 }, "max_cash_weight": 1.5693283573687993e-16, "max_drawdown": -0.08314145681236029, "mean_cash_weight": 4.860799652507172e-17, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 5908050.987096146, "start_session": "2023-12-29", "total_return": 0.09595928970149292, "traded_notional_by_category": { "entry": 21032855.048358243, "exit": 19012069.212783556, "resize": 1037254.4350637808 }, "transaction_cost": 20541.08934810279, "transaction_cost_over_anchor_nav": 0.00347679622145558, "two_sided_turnover": 6.485847918963753 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 4.823354373398373, "annualized_volatility": 0.15127343958936534, "cagr": 0.04146626086950378, "end_nav": 6743476.71260797, "end_session": "2025-12-31", "fee_by_category": { "entry": 7892.046371670662, "exit": 7828.019358118759, "resize": 596.7035016833861 }, "max_cash_weight": 1.4625560488812477e-16, "max_drawdown": -0.14271289960926692, "mean_cash_weight": 6.923760813003366e-17, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 6474983.363338096, "start_session": "2024-12-31", "total_return": 0.04146626086950378, "traded_notional_by_category": { "entry": 15784092.743341323, "exit": 15656038.716237517, "resize": 1193407.003366772 }, "transaction_cost": 16316.769231472806, "transaction_cost_over_anchor_nav": 0.0025199708348070415, "two_sided_turnover": 4.823354373398373 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 5.041033818040853, "annualized_volatility": 0.16141030904054324, "cagr": 0.08015815793334946, "end_nav": 6743476.71260797, "end_session": "2025-12-31", "fee_by_category": { "entry": 80079.76731514037, "exit": 79750.85768635629, "resize": 5485.879483238058 }, "max_cash_weight": 1.0, "max_drawdown": -0.3031617345578783, "mean_cash_weight": 0.08253520224551471, "nonzero_trade_event_count": 288, "order_count": 1008, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 981070.2621701681, "start_session": "2000-12-29", "total_return": 5.873592007254526, "traded_notional_by_category": { "entry": 160159534.63028076, "exit": 159501715.37271258, "resize": 10971758.966476114 }, "transaction_cost": 165316.50448473473, "transaction_cost_over_anchor_nav": 0.1685062842686188, "two_sided_turnover": 126.02584545102133 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 8245654.756603999, "end_session": "2026-10-02", "fee_by_category": { "entry": 6241.678497020602, "exit": 6212.976040827381, "resize": 1556.7467911338542 }, "max_cash_weight": 1.3851681045479844e-16, "max_drawdown": -0.07813994700314908, "mean_cash_weight": 5.584655215613744e-17, "nonzero_trade_event_count": 10, "order_count": 35, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 6743476.71260797, "start_session": "2025-12-31", "total_return": 0.22276017372277335, "traded_notional_by_category": { "entry": 12483356.994041204, "exit": 12425952.081654763, "resize": 3113493.5822677086 }, "transaction_cost": 14011.401328981838, "transaction_cost_over_anchor_nav": 0.002077771144784316, "two_sided_turnover": 3.7292418091747046 } }, "monthly_risk": { "beta_intercept_per_month": 0.0013566676763867684, "beta_to_SPY_excess_returns": 0.6711961178652238, "monthly_return_volatility_annualized": 0.13263659057944538, "months": 300, "sharpe_monthly_annualized": 0.5189609911398482, "tracking_error_monthly_annualized": 0.0996967010587581 }, "phase": null, "policy": "C", "run_id": "M12-5bps", "signal": "12-1" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.9318756542826736, "annualized_volatility": 0.16787095699203688, "cagr": -0.15328738502759842, "end_nav": 883619.4610635741, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.22920673918804935, "mean_cash_weight": 0.13670620148484564, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 1043588.3975726232, "start_session": "2000-12-29", "total_return": -0.15328738502759842, "traded_notional_by_category": { "entry": 1276036.5286184608, "exit": 2200965.5569261177, "resize": 206116.62300829566 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.9318756542826736 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 3.1167803487041947, "annualized_volatility": 0.16695392196928985, "cagr": -0.08023105259979613, "end_nav": 812725.7416047789, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.2566216328513121, "mean_cash_weight": 0.3573197533296108, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 883619.4610635741, "start_session": "2001-12-31", "total_return": -0.08023105259979613, "traded_notional_by_category": { "entry": 1458300.7480395641, "exit": 1107130.8357539612, "resize": 102106.7623837924 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.1167803487041947 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 4.070175236037216, "annualized_volatility": 0.10131963220379225, "cagr": 0.17176447960605246, "end_nav": 952323.1556739667, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.05793598582621051, "mean_cash_weight": 0.4116599404940028, "nonzero_trade_event_count": 10, "order_count": 26, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 812725.7416047789, "start_session": "2002-12-31", "total_return": 0.17176447960605246, "traded_notional_by_category": { "entry": 1974386.9659727763, "exit": 1422613.9536053422, "resize": 72351.63645228304 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 4.070175236037216 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 6.85834307605482, "annualized_volatility": 0.11932556918422692, "cagr": 0.14656960084958648, "end_nav": 1091904.7804809187, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2834041837026448e-16, "max_drawdown": -0.0726099106803334, "mean_cash_weight": 8.939426379938306e-17, "nonzero_trade_event_count": 12, "order_count": 46, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 952323.1556739667, "start_session": "2003-12-31", "total_return": 0.14656960084958648, "traded_notional_by_category": { "entry": 3176085.578475998, "exit": 3170595.3568097875, "resize": 194042.21744139458 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 6.85834307605482 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 4.878709336712983, "annualized_volatility": 0.14265837477737994, "cagr": 0.0877396972144242, "end_nav": 1187708.175307297, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0224171299742758e-16, "max_drawdown": -0.10118638893136711, "mean_cash_weight": 1.6561005270737166e-17, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1091904.7804809187, "start_session": "2004-12-31", "total_return": 0.0877396972144242, "traded_notional_by_category": { "entry": 2690796.2483394574, "exit": 2664185.82937157, "resize": 265879.7931673529 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 4.878709336712983 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 7.513559272265213, "annualized_volatility": 0.1268747294294977, "cagr": 0.10665499645480891, "end_nav": 1314383.1865340443, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8931668097869754e-16, "max_drawdown": -0.12503700566812115, "mean_cash_weight": 3.0972043307071787e-17, "nonzero_trade_event_count": 12, "order_count": 47, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1187708.175307297, "start_session": "2005-12-30", "total_return": 0.10665499645480891, "traded_notional_by_category": { "entry": 4609395.215928228, "exit": 4598814.695784496, "resize": 234253.83421763702 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 7.513559272265213 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 6.8367577819079015, "annualized_volatility": 0.17263213805449618, "cagr": 0.07583141056204168, "end_nav": 1414054.717587952, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.797568756024833e-16, "max_drawdown": -0.11257038345565284, "mean_cash_weight": 1.5445944018613345e-17, "nonzero_trade_event_count": 12, "order_count": 46, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1314383.1865340443, "start_session": "2006-12-29", "total_return": 0.07583141056204168, "traded_notional_by_category": { "entry": 4489628.900423399, "exit": 4536914.1897258675, "resize": 184872.06466834544 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 6.8367577819079015 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 5.8902464761454345, "annualized_volatility": 0.22385954703920355, "cagr": -0.22849688363846943, "end_nav": 1090947.621324829, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.2815401051323966, "mean_cash_weight": 0.20051826604062659, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1414054.717587952, "start_session": "2007-12-31", "total_return": -0.22849688363846943, "traded_notional_by_category": { "entry": 3181712.2489964976, "exit": 4219502.714405236, "resize": 382652.5189184839 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 5.8902464761454345 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 3.712300874821465, "annualized_volatility": 0.11612583785750442, "cagr": 0.259317644751037, "end_nav": 1373849.5890335299, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06230931297410014, "mean_cash_weight": 0.5197341909030646, "nonzero_trade_event_count": 6, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1090947.621324829, "start_session": "2008-12-31", "total_return": 0.259317644751037, "traded_notional_by_category": { "entry": 2786267.132419651, "exit": 1711387.344534683, "resize": 39472.738316270406 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.712300874821465 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 5.561703717627597, "annualized_volatility": 0.1805428427017646, "cagr": 0.12383001856239773, "end_nav": 1543973.4091454945, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7755734447331446e-16, "max_drawdown": -0.16120196730105918, "mean_cash_weight": 3.0161375449685166e-17, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1373849.5890335299, "start_session": "2009-12-31", "total_return": 0.12383001856239773, "traded_notional_by_category": { "entry": 3674347.545502147, "exit": 3725043.084611388, "resize": 264709.0727242095 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 5.561703717627597 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 8.792408154029571, "annualized_volatility": 0.19442022352478663, "cagr": 0.030836367764370598, "end_nav": 1591583.941008314, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3379036219494391, "max_drawdown": -0.16626712465089377, "mean_cash_weight": 0.027579937544369545, "nonzero_trade_event_count": 12, "order_count": 48, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1543973.4091454945, "start_session": "2010-12-31", "total_return": 0.030836367764370598, "traded_notional_by_category": { "entry": 7011013.586771098, "exit": 6975574.058678952, "resize": 229992.84337794827 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 8.792408154029571 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 5.443786678747093, "annualized_volatility": 0.10769087522664336, "cagr": 0.05561411687926032, "end_nav": 1680098.4763267043, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5010988315833555e-16, "max_drawdown": -0.0735856563873678, "mean_cash_weight": 1.0763940615699021e-16, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1591583.941008314, "start_session": "2011-12-30", "total_return": 0.05561411687926032, "traded_notional_by_category": { "entry": 4409144.469125326, "exit": 4378657.579075599, "resize": 209077.0254834685 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 5.443786678747093 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 4.110781484836607, "annualized_volatility": 0.11537367200517575, "cagr": 0.3356652231580286, "end_nav": 2244049.1063103713, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3128805619726424e-16, "max_drawdown": -0.07009664224555479, "mean_cash_weight": 4.935865228353706e-17, "nonzero_trade_event_count": 12, "order_count": 42, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1680098.4763267043, "start_session": "2012-12-31", "total_return": 0.3356652231580286, "traded_notional_by_category": { "entry": 3785212.404551795, "exit": 3760715.2625307776, "resize": 238470.31573483325 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 4.110781484836607 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 6.085025501799474, "annualized_volatility": 0.12591363763841543, "cagr": 0.12306834129471333, "end_nav": 2520220.5076078726, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9051772417384346e-16, "max_drawdown": -0.09043394462952503, "mean_cash_weight": 1.4193305145326365e-17, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2244049.1063103713, "start_session": "2013-12-31", "total_return": 0.12306834129471333, "traded_notional_by_category": { "entry": 7217494.746182047, "exit": 7115140.559445888, "resize": 296296.0684915555 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 6.085025501799474 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.492107674627188, "annualized_volatility": 0.14928214423255098, "cagr": 0.016880053502358106, "end_nav": 2562761.9646140337, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.34306679765823056, "max_drawdown": -0.11218104159106446, "mean_cash_weight": 0.02664392826487542, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2520220.5076078726, "start_session": "2014-12-31", "total_return": 0.016880053502358106, "traded_notional_by_category": { "entry": 4298109.20482013, "exit": 4265416.190560923, "resize": 437326.8214532577 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.492107674627188 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 5.548740469320692, "annualized_volatility": 0.12169272963071795, "cagr": 0.0894145515999949, "end_nav": 2791910.1765375193, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3340229084365088, "max_drawdown": -0.08084397421208389, "mean_cash_weight": 0.028491869396637906, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2562761.9646140337, "start_session": "2015-12-31", "total_return": 0.0894145515999949, "traded_notional_by_category": { "entry": 7043792.482251596, "exit": 7114939.506430778, "resize": 466168.2028757478 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 5.548740469320692 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 6.139870718412754, "annualized_volatility": 0.09238394673090475, "cagr": 0.20794238066899684, "end_nav": 3372466.6252607303, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4707399076312746e-16, "max_drawdown": -0.046516995119561866, "mean_cash_weight": 1.270085451786703e-17, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2791910.1765375193, "start_session": "2016-12-30", "total_return": 0.20794238066899684, "traded_notional_by_category": { "entry": 9092498.38553406, "exit": 9081794.261153769, "resize": 437211.0199679675 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 6.139870718412754 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 5.44957423704046, "annualized_volatility": 0.18324501484957617, "cagr": -0.05619443589607698, "end_nav": 3182952.765675857, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.555514947730671e-16, "max_drawdown": -0.18672841587346, "mean_cash_weight": 4.5349283250264806e-17, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3372466.6252607303, "start_session": "2017-12-29", "total_return": -0.05619443589607698, "traded_notional_by_category": { "entry": 9247908.656555975, "exit": 9148866.251068752, "resize": 505538.75326766376 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 5.44957423704046 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8458564205922716, "annualized_volatility": 0.10134850062372616, "cagr": 0.21667810321605674, "end_nav": 3872628.9335688036, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6665851701886382, "max_drawdown": -0.04840162199094944, "mean_cash_weight": 0.07753732034009586, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3182952.765675857, "start_session": "2018-12-31", "total_return": 0.21667810321605674, "traded_notional_by_category": { "entry": 4432372.439720573, "exit": 4364505.357738876, "resize": 646613.8154596583 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.8458564205922716 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 5.4780234349055315, "annualized_volatility": 0.33206698650622124, "cagr": 0.11042127869748497, "end_nav": 4300249.572334348, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.3026699231708956, "mean_cash_weight": 0.07905138339920956, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3872628.9335688036, "start_session": "2019-12-31", "total_return": 0.11042127869748497, "traded_notional_by_category": { "entry": 9970569.994547551, "exit": 9887193.508557845, "resize": 622966.0183628433 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 5.4780234349055315 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 5.440104771535815, "annualized_volatility": 0.15919098778332832, "cagr": 0.1775167719419617, "end_nav": 5063615.994959943, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.07628529124925965, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4300249.572334348, "start_session": "2020-12-31", "total_return": 0.1775167719419617, "traded_notional_by_category": { "entry": 12683134.407773992, "exit": 12668437.199837215, "resize": 516475.14355615387 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 5.440104771535815 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 6.892752789484862, "annualized_volatility": 0.19909061561461214, "cagr": 0.007953087558577598, "end_nav": 5103887.376330873, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6739826932221339, "max_drawdown": -0.1381109595439537, "mean_cash_weight": 0.05577828260680772, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 5063615.994959943, "start_session": "2021-12-31", "total_return": 0.007953087558577598, "traded_notional_by_category": { "entry": 16540021.215927852, "exit": 16434061.229707, "resize": 1227116.9542444146 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 6.892752789484862 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 6.804007584151461, "annualized_volatility": 0.1512517073606553, "cagr": 0.02628987809535488, "end_nav": 5238067.953267032, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8587324096346174e-16, "max_drawdown": -0.13016848732724806, "mean_cash_weight": 1.440588135416161e-17, "nonzero_trade_event_count": 12, "order_count": 46, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5103887.376330873, "start_session": "2022-12-30", "total_return": 0.02628987809535488, "traded_notional_by_category": { "entry": 16519837.311844002, "exit": 16349001.748816583, "resize": 852878.1050269501 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 6.804007584151461 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 7.502204253856485, "annualized_volatility": 0.1302866790990433, "cagr": 0.13861441224328153, "end_nav": 5964139.663899511, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7407124150816692e-16, "max_drawdown": -0.08313214396788182, "mean_cash_weight": 5.482854570322339e-17, "nonzero_trade_event_count": 12, "order_count": 47, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 5238067.953267032, "start_session": "2023-12-29", "total_return": 0.13861441224328153, "traded_notional_by_category": { "entry": 20873342.399096392, "exit": 20789612.72114126, "resize": 1053015.892324539 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 7.502204253856485 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 4.829660160631802, "annualized_volatility": 0.15338728065574875, "cagr": 0.08777076251963756, "end_nav": 6487616.749973586, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6286351618933544e-16, "max_drawdown": -0.14212129532580442, "mean_cash_weight": 4.843119910075828e-17, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5964139.663899511, "start_session": "2024-12-31", "total_return": 0.08777076251963756, "traded_notional_by_category": { "entry": 14768891.351041624, "exit": 14593829.862895735, "resize": 1197429.5436702778 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 4.829660160631802 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 5.489014244341263, "annualized_volatility": 0.16113087606756493, "cagr": 0.07582650014306624, "end_nav": 6487616.749973586, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.3219885062899327, "mean_cash_weight": 0.07694835011285807, "nonzero_trade_event_count": 292, "order_count": 1030, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 1043588.3975726232, "start_session": "2000-12-29", "total_return": 5.2166432331594725, "traded_notional_by_category": { "entry": 177210300.1684602, "exit": 176284898.8591684, "resize": 10883033.784595344 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 137.22535610853157 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6419981.827207634, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.511585868894127e-16, "max_drawdown": -0.09463507826982742, "mean_cash_weight": 6.218060792432002e-17, "nonzero_trade_event_count": 10, "order_count": 38, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 6487616.749973586, "start_session": "2025-12-31", "total_return": -0.010425234006960604, "traded_notional_by_category": { "entry": 17021961.583445393, "exit": 17338642.631030805, "resize": 1413683.1993219166 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 5.604590113219956 } }, "monthly_risk": { "beta_intercept_per_month": 0.000990476397039879, "beta_to_SPY_excess_returns": 0.6729304445979202, "monthly_return_volatility_annualized": 0.13087157268128813, "months": 300, "sharpe_monthly_annualized": 0.49343288819659187, "tracking_error_monthly_annualized": 0.09695360998691595 }, "phase": null, "policy": "C", "run_id": "MMIX-0bps", "signal": "mixed" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.9302203235487556, "annualized_volatility": 0.16788010510680895, "cagr": -0.15660968330629743, "end_nav": 872032.8681004641, "end_session": "2001-12-31", "fee_by_category": { "entry": 1262.0416306324546, "exit": 2176.5181591469927, "resize": 203.32268786453997 }, "max_cash_weight": 1.0, "max_drawdown": -0.23089185104933752, "mean_cash_weight": 0.1367062014848456, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 1033961.2049602934, "start_session": "2000-12-29", "total_return": -0.15660968330629743, "traded_notional_by_category": { "entry": 1262041.6306324545, "exit": 2176518.1591469925, "resize": 203322.68786453997 }, "transaction_cost": 3641.882477643987, "transaction_cost_over_anchor_nav": 0.0035222622088454895, "two_sided_turnover": 3.9302203235487556 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 3.115325820820494, "annualized_volatility": 0.166975526410362, "cagr": -0.08309285334886796, "end_nav": 799573.1688759995, "end_session": "2002-12-31", "fee_by_category": { "entry": 1436.9793767374758, "exit": 1090.7445263533018, "resize": 100.40183710276293 }, "max_cash_weight": 1.0, "max_drawdown": -0.2566530193210167, "mean_cash_weight": 0.3573197533296108, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 872032.8681004641, "start_session": "2001-12-31", "total_return": -0.08309285334886796, "traded_notional_by_category": { "entry": 1436979.3767374756, "exit": 1090744.5263533017, "resize": 100401.83710276292 }, "transaction_cost": 2628.1257401935404, "transaction_cost_over_anchor_nav": 0.003013792067170985, "two_sided_turnover": 3.115325820820494 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 4.068954925770223, "annualized_volatility": 0.10108381336697349, "cagr": 0.1670043578346332, "end_nav": 933105.3724859385, "end_session": "2003-12-31", "fee_by_category": { "entry": 1937.82879710064, "exit": 1397.0368621212228, "resize": 71.65141370614094 }, "max_cash_weight": 1.0, "max_drawdown": -0.05797366456144126, "mean_cash_weight": 0.41165994049400284, "nonzero_trade_event_count": 10, "order_count": 26, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 799573.1688759995, "start_session": "2002-12-31", "total_return": 0.1670043578346332, "traded_notional_by_category": { "entry": 1937828.7971006401, "exit": 1397036.862121223, "resize": 71651.41370614094 }, "transaction_cost": 3406.517072928004, "transaction_cost_over_anchor_nav": 0.00426041944068323, "two_sided_turnover": 4.068954925770223 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 6.855191135978124, "annualized_volatility": 0.11927479871759496, "cagr": 0.13873242246466755, "end_nav": 1062557.3412257086, "end_session": "2004-12-31", "fee_by_category": { "entry": 3099.869336889314, "exit": 3097.8181420934643, "resize": 189.5350390673905 }, "max_cash_weight": 1.3169026778293391e-16, "max_drawdown": -0.07435563891801689, "mean_cash_weight": 3.1087653784077325e-17, "nonzero_trade_event_count": 12, "order_count": 46, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 933105.3724859385, "start_session": "2003-12-31", "total_return": 0.13873242246466755, "traded_notional_by_category": { "entry": 3099869.336889314, "exit": 3097818.1420934643, "resize": 189535.0390673905 }, "transaction_cost": 6387.222518050169, "transaction_cost_over_anchor_nav": 0.0068451245769099054, "two_sided_turnover": 6.855191135978124 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 4.878025584587052, "annualized_volatility": 0.1424250909981064, "cagr": 0.08244485946004332, "end_nav": 1150159.7318912994, "end_session": "2005-12-30", "fee_by_category": { "entry": 2611.0558814634524, "exit": 2587.0212627977367, "resize": 259.1688099427453 }, "max_cash_weight": 0.0, "max_drawdown": -0.10178579780837205, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1062557.3412257086, "start_session": "2004-12-31", "total_return": 0.08244485946004332, "traded_notional_by_category": { "entry": 2611055.8814634522, "exit": 2587021.2627977366, "resize": 259168.8099427453 }, "transaction_cost": 5457.245954203934, "transaction_cost_over_anchor_nav": 0.0051359543080364495, "two_sided_turnover": 4.878025584587052 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 7.508404950483038, "annualized_volatility": 0.12687539958573985, "cagr": 0.09837315277772318, "end_nav": 1263304.5709154273, "end_session": "2006-12-29", "fee_by_category": { "entry": 4444.690137487184, "exit": 4438.516838605879, "resize": 224.16633588275528 }, "max_cash_weight": 0.0, "max_drawdown": -0.12562914636252664, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 47, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1150159.7318912994, "start_session": "2005-12-30", "total_return": 0.09837315277772318, "traded_notional_by_category": { "entry": 4444690.137487184, "exit": 4438516.838605879, "resize": 224166.3358827553 }, "transaction_cost": 9107.373311975818, "transaction_cost_over_anchor_nav": 0.007918355215757587, "two_sided_turnover": 7.508404950483038 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 6.832780921822186, "annualized_volatility": 0.17243606254069493, "cagr": 0.06850213806947769, "end_nav": 1349843.6350560782, "end_session": "2007-12-31", "fee_by_category": { "entry": 4298.347688067243, "exit": 4347.695921425761, "resize": 175.91942593982137 }, "max_cash_weight": 0.0, "max_drawdown": -0.11496038696622413, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 46, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1263304.5709154273, "start_session": "2006-12-29", "total_return": 0.06850213806947769, "traded_notional_by_category": { "entry": 4298347.688067243, "exit": 4347695.921425761, "resize": 175919.42593982135 }, "transaction_cost": 8821.963035432826, "transaction_cost_over_anchor_nav": 0.006983243185006585, "two_sided_turnover": 6.832780921822186 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 5.88884605959163, "annualized_volatility": 0.22397337684758764, "cagr": -0.23302860302274897, "end_nav": 1035291.458479811, "end_session": "2008-12-31", "fee_by_category": { "entry": 3028.693796737146, "exit": 4016.7345195238636, "resize": 365.1910122668654 }, "max_cash_weight": 1.0, "max_drawdown": -0.28402339027345147, "mean_cash_weight": 0.20051826604062656, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1349843.6350560782, "start_session": "2007-12-31", "total_return": -0.23302860302274897, "traded_notional_by_category": { "entry": 3028693.796737146, "exit": 4016734.5195238637, "resize": 365191.0122668654 }, "transaction_cost": 7410.619328527875, "transaction_cost_over_anchor_nav": 0.005489983532959361, "two_sided_turnover": 5.88884605959163 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 3.7098261285859393, "annualized_volatility": 0.11622008212164703, "cagr": 0.2546528196788953, "end_nav": 1298931.347571171, "end_session": "2009-12-31", "fee_by_category": { "entry": 2638.7188169855017, "exit": 1620.7637643953844, "resize": 36.541356659421986 }, "max_cash_weight": 1.0, "max_drawdown": -0.06324606690719325, "mean_cash_weight": 0.5197341909030646, "nonzero_trade_event_count": 6, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1035291.458479811, "start_session": "2008-12-31", "total_return": 0.2546528196788953, "traded_notional_by_category": { "entry": 2638718.816985502, "exit": 1620763.7643953844, "resize": 36541.35665942199 }, "transaction_cost": 4296.023938040308, "transaction_cost_over_anchor_nav": 0.004149579234767814, "two_sided_turnover": 3.7098261285859393 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 5.5589604968370825, "annualized_volatility": 0.18031255962441, "cagr": 0.11759792088653076, "end_nav": 1451682.9734198803, "end_session": "2010-12-31", "fee_by_category": { "entry": 3463.024392053107, "exit": 3513.2685104376137, "resize": 248.4121600924689 }, "max_cash_weight": 0.0, "max_drawdown": -0.162370821280293, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1298931.347571171, "start_session": "2009-12-31", "total_return": 0.11759792088653076, "traded_notional_by_category": { "entry": 3463024.3920531073, "exit": 3513268.5104376134, "resize": 248412.1600924689 }, "transaction_cost": 7224.70506258319, "transaction_cost_over_anchor_nav": 0.0055620376520225095, "two_sided_turnover": 5.5589604968370825 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 8.78891470743074, "annualized_volatility": 0.19478574956487874, "cagr": 0.021811852583162317, "end_nav": 1483346.8684336015, "end_session": "2011-12-30", "fee_by_category": { "entry": 6560.126181526815, "exit": 6533.401282984914, "resize": 216.2283376513358 }, "max_cash_weight": 0.33790362194943907, "max_drawdown": -0.16966200052896419, "mean_cash_weight": 0.027579937544369514, "nonzero_trade_event_count": 12, "order_count": 48, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1451682.9734198803, "start_session": "2010-12-31", "total_return": 0.021811852583162317, "traded_notional_by_category": { "entry": 6560126.1815268155, "exit": 6533401.282984914, "resize": 216228.3376513358 }, "transaction_cost": 13309.755802163065, "transaction_cost_over_anchor_nav": 0.009168500317123573, "two_sided_turnover": 8.78891470743074 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 5.442427302113391, "annualized_volatility": 0.10758033898574625, "cagr": 0.0498822703683548, "end_nav": 1557339.5779748587, "end_session": "2012-12-31", "fee_by_category": { "entry": 4096.325628629092, "exit": 4071.41848529383, "resize": 195.7440526289762 }, "max_cash_weight": 0.0, "max_drawdown": -0.07360968174588112, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1483346.8684336015, "start_session": "2011-12-30", "total_return": 0.0498822703683548, "traded_notional_by_category": { "entry": 4096325.628629091, "exit": 4071418.4852938303, "resize": 195744.05262897618 }, "transaction_cost": 8363.488166551897, "transaction_cost_over_anchor_nav": 0.005638255181260234, "two_sided_turnover": 5.442427302113391 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 4.1085571080911505, "annualized_volatility": 0.11522379044948386, "cagr": 0.33018584772914195, "end_nav": 2071551.0667306315, "end_session": "2013-12-31", "fee_by_category": { "entry": 3499.333057291192, "exit": 3480.553834459911, "resize": 220.59002975416666 }, "max_cash_weight": 1.4639323155773095e-16, "max_drawdown": -0.07013709107412203, "mean_cash_weight": 2.1842593110688066e-17, "nonzero_trade_event_count": 12, "order_count": 42, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1557339.5779748587, "start_session": "2012-12-31", "total_return": 0.33018584772914195, "traded_notional_by_category": { "entry": 3499333.057291192, "exit": 3480553.8344599106, "resize": 220590.02975416667 }, "transaction_cost": 7200.476921505269, "transaction_cost_over_anchor_nav": 0.004623575373887731, "two_sided_turnover": 4.1085571080911505 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 6.083293878557907, "annualized_volatility": 0.12599621889865278, "cagr": 0.1162538859172344, "end_nav": 2312376.9281140594, "end_session": "2014-12-31", "fee_by_category": { "entry": 6638.808122219804, "exit": 6551.0741888510565, "resize": 275.5934179374953 }, "max_cash_weight": 0.0, "max_drawdown": -0.09165252041160432, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2071551.0667306315, "start_session": "2013-12-31", "total_return": 0.1162538859172344, "traded_notional_by_category": { "entry": 6638808.122219805, "exit": 6551074.188851056, "resize": 275593.4179374953 }, "transaction_cost": 13465.475729008356, "transaction_cost_over_anchor_nav": 0.006500190096814689, "two_sided_turnover": 6.083293878557907 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4911331633032074, "annualized_volatility": 0.14926285468635017, "cagr": 0.013335140381213417, "end_nav": 2343212.7990647396, "end_session": "2015-12-31", "fee_by_category": { "entry": 3935.376655383291, "exit": 3908.0513476306287, "resize": 400.7517648874809 }, "max_cash_weight": 0.3430667976582305, "max_drawdown": -0.112775938969504, "mean_cash_weight": 0.0266439282648754, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2312376.9281140594, "start_session": "2014-12-31", "total_return": 0.013335140381213417, "traded_notional_by_category": { "entry": 3935376.6553832907, "exit": 3908051.347630629, "resize": 400751.7648874809 }, "transaction_cost": 8244.1797679014, "transaction_cost_over_anchor_nav": 0.003565240453521231, "two_sided_turnover": 3.4911331633032074 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 5.5458790558952105, "annualized_volatility": 0.12174596411359695, "cagr": 0.0833869075926823, "end_nav": 2538606.0682103415, "end_session": "2016-12-30", "fee_by_category": { "entry": 6419.232986795045, "exit": 6490.189747886643, "resize": 424.0227321608447 }, "max_cash_weight": 0.3340229084365087, "max_drawdown": -0.08088932264554416, "mean_cash_weight": 0.028491869396637885, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2343212.7990647396, "start_session": "2015-12-31", "total_return": 0.0833869075926823, "traded_notional_by_category": { "entry": 6419232.986795045, "exit": 6490189.747886643, "resize": 424022.7321608447 }, "transaction_cost": 13333.445466842531, "transaction_cost_over_anchor_nav": 0.005690240968368041, "two_sided_turnover": 5.5458790558952105 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 6.136511702552193, "annualized_volatility": 0.09221462802921537, "cagr": 0.2005479428432464, "end_nav": 3047718.2928793076, "end_session": "2017-12-29", "fee_by_category": { "entry": 8236.242630460329, "exit": 8236.703693015743, "resize": 397.3140633980594 }, "max_cash_weight": 0.0, "max_drawdown": -0.04653762010795903, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2538606.0682103415, "start_session": "2016-12-30", "total_return": 0.2005479428432464, "traded_notional_by_category": { "entry": 8236242.6304603275, "exit": 8236703.693015742, "resize": 397314.06339805934 }, "transaction_cost": 16870.260386874128, "transaction_cost_over_anchor_nav": 0.006645481785508876, "two_sided_turnover": 6.136511702552193 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 5.448217996259775, "annualized_volatility": 0.1832165496828781, "cagr": -0.06132462268434491, "end_nav": 2860818.1185203083, "end_session": "2018-12-31", "fee_by_category": { "entry": 8331.062360696793, "exit": 8248.74318824495, "resize": 458.0561015712874 }, "max_cash_weight": 1.5755289756239452e-16, "max_drawdown": -0.1872811843202704, "mean_cash_weight": 1.3695059261366885e-17, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3047718.2928793076, "start_session": "2017-12-29", "total_return": -0.06132462268434491, "traded_notional_by_category": { "entry": 8331062.360696793, "exit": 8248743.188244948, "resize": 458056.1015712874 }, "transaction_cost": 17037.86165051303, "transaction_cost_over_anchor_nav": 0.005590366304628715, "two_sided_turnover": 5.448217996259775 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8459580717753, "annualized_volatility": 0.10155965464301629, "cagr": 0.213219446480027, "end_nav": 3470800.1742312405, "end_session": "2019-12-31", "fee_by_category": { "entry": 3976.650070625856, "exit": 3919.4540524777763, "resize": 581.9870425272208 }, "max_cash_weight": 0.666585170188638, "max_drawdown": -0.04841041051488626, "mean_cash_weight": 0.0775373203400958, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2860818.1185203083, "start_session": "2018-12-31", "total_return": 0.213219446480027, "traded_notional_by_category": { "entry": 3976650.070625856, "exit": 3919454.052477776, "resize": 581987.0425272208 }, "transaction_cost": 8478.091165630853, "transaction_cost_over_anchor_nav": 0.0029635198095067814, "two_sided_turnover": 2.8459580717753 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 5.476793291150342, "annualized_volatility": 0.332043372043241, "cagr": 0.10435398872323698, "end_nav": 3832992.0164735764, "end_session": "2020-12-31", "fee_by_category": { "entry": 8906.358205184857, "exit": 8841.993647984193, "resize": 559.9048278771008 }, "max_cash_weight": 1.0, "max_drawdown": -0.3026807071054325, "mean_cash_weight": 0.07905138339920952, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3470800.1742312405, "start_session": "2019-12-31", "total_return": 0.10435398872323698, "traded_notional_by_category": { "entry": 8906358.205184858, "exit": 8841993.647984192, "resize": 559904.8278771008 }, "transaction_cost": 18308.25668104615, "transaction_cost_over_anchor_nav": 0.0052749382741693876, "two_sided_turnover": 5.476793291150342 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 5.437867308086127, "annualized_volatility": 0.1589452807179167, "cagr": 0.1711283253095306, "end_nav": 4488925.5211775005, "end_session": "2021-12-31", "fee_by_category": { "entry": 11268.740673892067, "exit": 11265.105046831553, "resize": 459.41955313959716 }, "max_cash_weight": 1.237230300167806e-16, "max_drawdown": -0.07629600383323076, "mean_cash_weight": 1.9795950875571135e-17, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3832992.0164735764, "start_session": "2020-12-31", "total_return": 0.1711283253095306, "traded_notional_by_category": { "entry": 11268740.673892066, "exit": 11265105.046831554, "resize": 459419.5531395972 }, "transaction_cost": 22993.265273863217, "transaction_cost_over_anchor_nav": 0.005998777241132228, "two_sided_turnover": 5.437867308086127 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 6.889149375997201, "annualized_volatility": 0.19903991155372597, "cagr": 0.001029814444464261, "end_nav": 4493548.281519333, "end_session": "2022-12-30", "fee_by_category": { "entry": 14604.178680376406, "exit": 14526.91312426149, "resize": 1080.7735167893143 }, "max_cash_weight": 0.6739826932221339, "max_drawdown": -0.1381109595439538, "mean_cash_weight": 0.05577828260680771, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4488925.5211775005, "start_session": "2021-12-31", "total_return": 0.001029814444464261, "traded_notional_by_category": { "entry": 14604178.680376407, "exit": 14526913.12426149, "resize": 1080773.5167893143 }, "transaction_cost": 30211.86532142721, "transaction_cost_over_anchor_nav": 0.006730311113181994, "two_sided_turnover": 6.889149375997201 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 6.800693520257066, "annualized_volatility": 0.15128330551427666, "cagr": 0.019330861816638123, "end_nav": 4580412.442415775, "end_session": "2023-12-29", "fee_by_category": { "entry": 14489.255321779723, "exit": 14353.157932976335, "resize": 746.5959385693595 }, "max_cash_weight": 0.0, "max_drawdown": -0.1324886059100462, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 46, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4493548.281519333, "start_session": "2022-12-30", "total_return": 0.019330861816638123, "traded_notional_by_category": { "entry": 14489255.321779724, "exit": 14353157.932976335, "resize": 746595.9385693595 }, "transaction_cost": 29589.00919332542, "transaction_cost_over_anchor_nav": 0.006584776069952664, "two_sided_turnover": 6.800693520257066 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 7.499246256380071, "annualized_volatility": 0.13043198441877416, "cagr": 0.13010422298010615, "end_nav": 5176343.44416469, "end_session": "2024-12-31", "fee_by_category": { "entry": 18175.60349380784, "exit": 18117.548545413054, "resize": 916.8831429482503 }, "max_cash_weight": 0.0, "max_drawdown": -0.08315076655359155, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 47, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4580412.442415775, "start_session": "2023-12-29", "total_return": 0.13010422298010615, "traded_notional_by_category": { "entry": 18175603.493807837, "exit": 18117548.54541305, "resize": 916883.1429482503 }, "transaction_cost": 37210.035182169144, "transaction_cost_over_anchor_nav": 0.008123730264461521, "two_sided_turnover": 7.499246256380071 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 4.827615296617899, "annualized_volatility": 0.15346749327873904, "cagr": 0.08253033462225035, "end_nav": 5603548.800731294, "end_session": "2025-12-31", "fee_by_category": { "entry": 12782.022785042898, "exit": 12639.036052231786, "resize": 1034.8288537297155 }, "max_cash_weight": 0.0, "max_drawdown": -0.1433041028278551, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5176343.44416469, "start_session": "2024-12-31", "total_return": 0.08253033462225035, "traded_notional_by_category": { "entry": 12782022.785042899, "exit": 12639036.052231785, "resize": 1034828.8537297156 }, "transaction_cost": 26455.887691004402, "transaction_cost_over_anchor_nav": 0.0051109220198339465, "two_sided_turnover": 4.827615296617899 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 5.486751775299684, "annualized_volatility": 0.16111594402664345, "cagr": 0.06993737017901758, "end_nav": 5603548.800731294, "end_session": "2025-12-31", "fee_by_category": { "entry": 160140.56670786554, "exit": 159469.4626774451, "resize": 9843.003454095118 }, "max_cash_weight": 1.0, "max_drawdown": -0.3258305665199801, "mean_cash_weight": 0.07694835011285804, "nonzero_trade_event_count": 292, "order_count": 1030, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 1033961.2049602934, "start_session": "2000-12-29", "total_return": 4.419496180174849, "traded_notional_by_category": { "entry": 160140566.70786554, "exit": 159469462.67744508, "resize": 9843003.454095118 }, "transaction_cost": 329453.0328394057, "transaction_cost_over_anchor_nav": 0.318631909262067, "two_sided_turnover": 137.1687943824921 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 5514141.747056413, "end_session": "2026-10-02", "fee_by_category": { "entry": 14656.986669789405, "exit": 14940.035540814233, "resize": 1214.345024197688 }, "max_cash_weight": 0.0, "max_drawdown": -0.0965126182352033, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 10, "order_count": 38, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 5603548.800731294, "start_session": "2025-12-31", "total_return": -0.015955434110471622, "traded_notional_by_category": { "entry": 14656986.669789406, "exit": 14940035.540814232, "resize": 1214345.0241976879 }, "transaction_cost": 30811.367234801328, "transaction_cost_over_anchor_nav": 0.0054985453558966555, "two_sided_turnover": 5.602222631110637 } }, "monthly_risk": { "beta_intercept_per_month": 0.0005336714911690129, "beta_to_SPY_excess_returns": 0.6724190153456988, "monthly_return_volatility_annualized": 0.13083482455433457, "months": 300, "sharpe_monthly_annualized": 0.451526454171341, "tracking_error_monthly_annualized": 0.09702707185637527 }, "phase": null, "policy": "C", "run_id": "MMIX-10bps", "signal": "mixed" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.927743564241032, "annualized_volatility": 0.16792152575038152, "cagr": -0.16156746727119387, "end_nav": 854941.5212106868, "end_session": "2001-12-31", "fee_by_category": { "entry": 3103.3601672391433, "exit": 5350.928338518565, "resize": 498.01040555705447 }, "max_cash_weight": 1.0, "max_drawdown": -0.23341261437152372, "mean_cash_weight": 0.13670620148484564, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 1019690.3004564358, "start_session": "2000-12-29", "total_return": -0.16156746727119387, "traded_notional_by_category": { "entry": 1241344.0668956572, "exit": 2140371.335407426, "resize": 199204.1622228218 }, "transaction_cost": 8952.298911314763, "transaction_cost_over_anchor_nav": 0.00877942931035778, "two_sided_turnover": 3.927743564241032 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 3.113380690696412, "annualized_volatility": 0.1670290381926895, "cagr": -0.08736770631232038, "end_nav": 780247.2414713431, "end_session": "2002-12-31", "fee_by_category": { "entry": 3513.9785346088315, "exit": 2666.5652987495932, "resize": 245.25067134503539 }, "max_cash_weight": 1.0, "max_drawdown": -0.2567000585894297, "mean_cash_weight": 0.35731975332961075, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 854941.5212106868, "start_session": "2001-12-31", "total_return": -0.08736770631232038, "traded_notional_by_category": { "entry": 1405591.4138435326, "exit": 1066626.1194998373, "resize": 98100.26853801415 }, "transaction_cost": 6425.794504703461, "transaction_cost_over_anchor_nav": 0.0075160631988067, "two_sided_turnover": 3.113380690696412 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 4.067128236067722, "annualized_volatility": 0.1007911814811611, "cagr": 0.1598984296031467, "end_nav": 905007.5500847981, "end_session": "2003-12-31", "fee_by_category": { "entry": 4710.683108059675, "exit": 3398.8559651266623, "resize": 176.51317565072938 }, "max_cash_weight": 1.0, "max_drawdown": -0.058030229801988464, "mean_cash_weight": 0.4116599404940028, "nonzero_trade_event_count": 10, "order_count": 26, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 780247.2414713431, "start_session": "2002-12-31", "total_return": 0.1598984296031467, "traded_notional_by_category": { "entry": 1884273.24322387, "exit": 1359542.3860506648, "resize": 70605.27026029176 }, "transaction_cost": 8286.052248837066, "transaction_cost_over_anchor_nav": 0.01061977769150677, "two_sided_turnover": 4.067128236067722 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 6.850470522232511, "annualized_volatility": 0.11930941486485298, "cagr": 0.12707506097159826, "end_nav": 1020011.4396915806, "end_session": "2004-12-31", "fee_by_category": { "entry": 7472.474983064825, "exit": 7479.512684002722, "resize": 457.44214066851623 }, "max_cash_weight": 1.3687930390235014e-16, "max_drawdown": -0.07805682669256975, "mean_cash_weight": 6.396066409440898e-17, "nonzero_trade_event_count": 12, "order_count": 46, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 905007.5500847981, "start_session": "2003-12-31", "total_return": 0.12707506097159826, "traded_notional_by_category": { "entry": 2988989.99322593, "exit": 2991805.0736010885, "resize": 182976.8562674065 }, "transaction_cost": 15409.429807736062, "transaction_cost_over_anchor_nav": 0.017026852213876245, "two_sided_turnover": 6.850470522232511 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 4.877001988197985, "annualized_volatility": 0.1421166217912586, "cagr": 0.07454717397560806, "end_nav": 1096050.4099433792, "end_session": "2005-12-30", "fee_by_category": { "entry": 6239.663458385032, "exit": 6188.6431577289095, "resize": 623.535098345381 }, "max_cash_weight": 1.1541919203002256e-16, "max_drawdown": -0.10268566100988019, "mean_cash_weight": 1.9571493790681614e-17, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1020011.4396915806, "start_session": "2004-12-31", "total_return": 0.07454717397560806, "traded_notional_by_category": { "entry": 2495865.383354013, "exit": 2475457.2630915637, "resize": 249414.0393381524 }, "transaction_cost": 13051.841714459322, "transaction_cost_over_anchor_nav": 0.01279577973988781, "two_sided_turnover": 4.877001988197985 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 7.501021409704651, "annualized_volatility": 0.12697447055009278, "cagr": 0.08607263653406849, "end_nav": 1190390.3585014525, "end_session": "2006-12-29", "fee_by_category": { "entry": 10521.617225931688, "exit": 10521.314621366524, "resize": 525.5406441049879 }, "max_cash_weight": 0.0, "max_drawdown": -0.12651661784456691, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 47, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1096050.4099433792, "start_session": "2005-12-30", "total_return": 0.08607263653406849, "traded_notional_by_category": { "entry": 4208646.890372675, "exit": 4208525.848546609, "resize": 210216.25764199515 }, "transaction_cost": 21568.472491403198, "transaction_cost_over_anchor_nav": 0.019678358126354243, "two_sided_turnover": 7.501021409704651 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 6.827304086152916, "annualized_volatility": 0.17221061524452339, "cagr": 0.05760358222777362, "end_nav": 1258961.1074005398, "end_session": "2007-12-31", "fee_by_category": { "entry": 10066.624762444171, "exit": 10196.540416621176, "resize": 409.69673646766825 }, "max_cash_weight": 0.0, "max_drawdown": -0.11853332179842113, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 46, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1190390.3585014525, "start_session": "2006-12-29", "total_return": 0.05760358222777362, "traded_notional_by_category": { "entry": 4026649.9049776685, "exit": 4078616.1666484703, "resize": 163878.6945870673 }, "transaction_cost": 20672.861915533016, "transaction_cost_over_anchor_nav": 0.017366456110714367, "two_sided_turnover": 6.827304086152916 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 5.88675002108018, "annualized_volatility": 0.22418165162920697, "cagr": -0.23977905652442533, "end_nav": 957088.6008670926, "end_session": "2008-12-31", "fee_by_category": { "entry": 7032.185631795555, "exit": 9326.870916731848, "resize": 851.2268849273239 }, "max_cash_weight": 1.0, "max_drawdown": -0.28773348105366237, "mean_cash_weight": 0.20051826604062656, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1258961.1074005398, "start_session": "2007-12-31", "total_return": -0.23977905652442533, "traded_notional_by_category": { "entry": 2812874.2527182223, "exit": 3730748.366692739, "resize": 340490.75397092954 }, "transaction_cost": 17210.283433454726, "transaction_cost_over_anchor_nav": 0.013670226452817066, "two_sided_turnover": 5.88675002108018 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 3.7061215826168006, "annualized_volatility": 0.11640217133843969, "cagr": 0.24769344963900908, "end_nav": 1194153.1780260354, "end_session": "2009-12-31", "fee_by_category": { "entry": 6079.839158848383, "exit": 3734.391182197486, "resize": 81.2965194198949 }, "max_cash_weight": 1.0, "max_drawdown": -0.06464769373975088, "mean_cash_weight": 0.5197341909030646, "nonzero_trade_event_count": 6, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 957088.6008670926, "start_session": "2008-12-31", "total_return": 0.24769344963900908, "traded_notional_by_category": { "entry": 2431935.6635393533, "exit": 1493756.4728789944, "resize": 32518.60776795796 }, "transaction_cost": 9895.526860465763, "transaction_cost_over_anchor_nav": 0.01033919623690087, "two_sided_turnover": 3.7061215826168006 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 5.554852610950085, "annualized_volatility": 0.18000553350303058, "cagr": 0.1083180850008687, "end_nav": 1323501.563467517, "end_session": "2010-12-31", "fee_by_category": { "entry": 7921.637087345751, "exit": 8045.0296067381805, "resize": 564.5560437419273 }, "max_cash_weight": 0.0, "max_drawdown": -0.1641196855575946, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1194153.1780260354, "start_session": "2009-12-31", "total_return": 0.1083180850008687, "traded_notional_by_category": { "entry": 3168654.834938301, "exit": 3218011.8426952725, "resize": 225822.4174967709 }, "transaction_cost": 16531.22273782586, "transaction_cost_over_anchor_nav": 0.013843469198107717, "two_sided_turnover": 5.554852610950085 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 8.78368478462129, "annualized_volatility": 0.19540846633630435, "cagr": 0.008420354501719629, "end_nav": 1334645.9158154938, "end_session": "2011-12-30", "fee_by_category": { "entry": 14844.261551470241, "exit": 14805.676924496061, "resize": 492.75820050265264 }, "max_cash_weight": 0.3379036219494391, "max_drawdown": -0.17472844518949826, "mean_cash_weight": 0.027579937544369475, "nonzero_trade_event_count": 12, "order_count": 48, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1323501.563467517, "start_session": "2010-12-31", "total_return": 0.008420354501719629, "traded_notional_by_category": { "entry": 5937704.620588096, "exit": 5922270.769798424, "resize": 197103.28020106105 }, "transaction_cost": 30142.696676468953, "transaction_cost_over_anchor_nav": 0.022774961139823958, "two_sided_turnover": 8.78368478462129 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 5.4403949837037295, "annualized_volatility": 0.1074918431835449, "cagr": 0.04133935654865728, "end_nav": 1389819.3191955998, "end_session": "2012-12-31", "fee_by_category": { "entry": 9170.620548107923, "exit": 9126.359304963113, "resize": 443.30734576149206 }, "max_cash_weight": 0.0, "max_drawdown": -0.07364568977695829, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1334645.9158154938, "start_session": "2011-12-30", "total_return": 0.04133935654865728, "traded_notional_by_category": { "entry": 3668248.2192431693, "exit": 3650543.721985245, "resize": 177322.9383045968 }, "transaction_cost": 18740.287198832528, "transaction_cost_over_anchor_nav": 0.014041392534724731, "two_sided_turnover": 5.4403949837037295 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 4.105226700701248, "annualized_volatility": 0.115071237283958, "cagr": 0.32200882811487275, "end_nav": 1837353.409461185, "end_session": "2013-12-31", "fee_by_category": { "entry": 7776.260004749581, "exit": 7747.439440286585, "resize": 490.6459537515258 }, "max_cash_weight": 1.5202014134916243e-16, "max_drawdown": -0.07019781492017896, "mean_cash_weight": 4.756630775882152e-17, "nonzero_trade_event_count": 12, "order_count": 42, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1389819.3191955998, "start_session": "2012-12-31", "total_return": 0.32200882811487275, "traded_notional_by_category": { "entry": 3110504.001899832, "exit": 3098975.776114634, "resize": 196258.38150061033 }, "transaction_cost": 16014.345398787691, "transaction_cost_over_anchor_nav": 0.011522609577809352, "two_sided_turnover": 4.105226700701248 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 6.08159141361784, "annualized_volatility": 0.1262043499860455, "cagr": 0.10610232291851163, "end_nav": 2032300.874227264, "end_session": "2014-12-31", "fee_by_category": { "entry": 14641.610238511721, "exit": 14469.387751827442, "resize": 622.1406770001954 }, "max_cash_weight": 1.3409204248567424e-16, "max_drawdown": -0.09347884654961058, "mean_cash_weight": 7.967404808431231e-17, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1837353.409461185, "start_session": "2013-12-31", "total_return": 0.10610232291851163, "traded_notional_by_category": { "entry": 5856644.095404688, "exit": 5787755.100730976, "resize": 248856.27080007817 }, "transaction_cost": 29733.138667339357, "transaction_cost_over_anchor_nav": 0.016182590956226966, "two_sided_turnover": 6.08159141361784 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4896727058545447, "annualized_volatility": 0.1492591716328635, "cagr": 0.00804073427654739, "end_nav": 2048642.0655269204, "end_session": "2015-12-31", "fee_by_category": { "entry": 8619.649324691442, "exit": 8568.376470901145, "resize": 878.8596495882612 }, "max_cash_weight": 0.3430667976582305, "max_drawdown": -0.11366754203460849, "mean_cash_weight": 0.026643928264875428, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2032300.874227264, "start_session": "2014-12-31", "total_return": 0.00804073427654739, "traded_notional_by_category": { "entry": 3447859.7298765765, "exit": 3427350.588360458, "resize": 351543.85983530444 }, "transaction_cost": 18066.885445180847, "transaction_cost_over_anchor_nav": 0.008889867476955334, "two_sided_turnover": 3.4896727058545447 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 5.542577077064507, "annualized_volatility": 0.1218977056269798, "cagr": 0.07440709953272195, "end_nav": 2201075.579603503, "end_session": "2016-12-30", "fee_by_category": { "entry": 13961.702187803869, "exit": 14136.030354251885, "resize": 924.5427845492773 }, "max_cash_weight": 0.3340229084365088, "max_drawdown": -0.08095728658986112, "mean_cash_weight": 0.02849186939663792, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2048642.0655269204, "start_session": "2015-12-31", "total_return": 0.07440709953272195, "traded_notional_by_category": { "entry": 5584680.875121547, "exit": 5654412.141700754, "resize": 369817.1138197109 }, "transaction_cost": 29022.27532660503, "transaction_cost_over_anchor_nav": 0.01416659152663663, "two_sided_turnover": 5.542577077064507 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 6.131486861668298, "annualized_volatility": 0.09211371987931276, "cagr": 0.18953900975247895, "end_nav": 2618265.265351915, "end_session": "2017-12-29", "fee_by_category": { "entry": 17751.627816007367, "exit": 17785.55189517029, "resize": 860.5040425883706 }, "max_cash_weight": 0.0, "max_drawdown": -0.04656853183078635, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2201075.579603503, "start_session": "2016-12-30", "total_return": 0.18953900975247895, "traded_notional_by_category": { "entry": 7100651.126402947, "exit": 7114220.758068116, "resize": 344201.6170353482 }, "transaction_cost": 36397.68375376603, "transaction_cost_over_anchor_nav": 0.01653631710380551, "two_sided_turnover": 6.131486861668298 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 5.446190436310489, "annualized_volatility": 0.183219227016819, "cagr": -0.06897079627866654, "end_nav": 2437681.425131819, "end_session": "2018-12-31", "fee_by_category": { "entry": 17808.379656442496, "exit": 17654.60796305832, "resize": 987.659597536893 }, "max_cash_weight": 0.0, "max_drawdown": -0.18824693866895303, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2618265.265351915, "start_session": "2017-12-29", "total_return": -0.06897079627866654, "traded_notional_by_category": { "entry": 7123351.862576998, "exit": 7061843.185223326, "resize": 395063.8390147572 }, "transaction_cost": 36450.6472170377, "transaction_cost_over_anchor_nav": 0.013921678486667186, "two_sided_turnover": 5.446190436310489 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.8461115914022828, "annualized_volatility": 0.10190410705146924, "cagr": 0.2080458177856077, "end_nav": 2944830.850724154, "end_session": "2019-12-31", "fee_by_category": { "entry": 8448.413959292764, "exit": 8338.691544057581, "resize": 1242.3686272535354 }, "max_cash_weight": 0.666585170188638, "max_drawdown": -0.048423604295609324, "mean_cash_weight": 0.07753732034009578, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2437681.425131819, "start_session": "2018-12-31", "total_return": 0.2080458177856077, "traded_notional_by_category": { "entry": 3379365.583717106, "exit": 3335476.6176230325, "resize": 496947.45090141415 }, "transaction_cost": 18029.47413060388, "transaction_cost_over_anchor_nav": 0.007396156833589905, "two_sided_turnover": 2.8461115914022828 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 5.474953261269378, "annualized_volatility": 0.3320315180743527, "cagr": 0.09531139633571484, "end_nav": 3225506.7910791645, "end_session": "2020-12-31", "fee_by_category": { "entry": 18797.791288390876, "exit": 18694.025077979222, "resize": 1192.620706365461 }, "max_cash_weight": 1.0, "max_drawdown": -0.3026968695385438, "mean_cash_weight": 0.07905138339920949, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 2944830.850724154, "start_session": "2019-12-31", "total_return": 0.09531139633571484, "traded_notional_by_category": { "entry": 7519116.51535635, "exit": 7477610.031191689, "resize": 477048.2825461844 }, "transaction_cost": 38684.437072735556, "transaction_cost_over_anchor_nav": 0.013136386785415123, "two_sided_turnover": 5.474953261269378 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 5.4351892924822485, "annualized_volatility": 0.15862940461024688, "cagr": 0.1616085233213307, "end_nav": 3746776.1805483922, "end_session": "2021-12-31", "fee_by_category": { "entry": 23593.008712000945, "exit": 23615.049786045263, "resize": 969.1333197267063 }, "max_cash_weight": 1.3455680875133036e-16, "max_drawdown": -0.07631208611108609, "mean_cash_weight": 2.205208245743887e-17, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3225506.7910791645, "start_session": "2020-12-31", "total_return": 0.1616085233213307, "traded_notional_by_category": { "entry": 9437203.484800378, "exit": 9446019.914418105, "resize": 387653.3278906825 }, "transaction_cost": 48177.19181777292, "transaction_cost_over_anchor_nav": 0.014936316969171276, "two_sided_turnover": 5.4351892924822485 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 6.883756185898825, "annualized_volatility": 0.19902273138250154, "cagr": -0.009264531700353018, "end_nav": 3712064.053849574, "end_session": "2022-12-30", "fee_by_category": { "entry": 30291.857988283642, "exit": 30182.35282386541, "resize": 2233.18342141321 }, "max_cash_weight": 0.673982693222134, "max_drawdown": -0.1381109595439538, "mean_cash_weight": 0.05577828260680775, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3746776.1805483922, "start_session": "2021-12-31", "total_return": -0.009264531700353018, "traded_notional_by_category": { "entry": 12116743.195313456, "exit": 12072941.129546164, "resize": 893273.368565284 }, "transaction_cost": 62707.39423356226, "transaction_cost_over_anchor_nav": 0.016736359796219312, "two_sided_turnover": 6.883756185898825 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 6.796123473357056, "annualized_volatility": 0.1514072856366844, "cagr": 0.008980327363769636, "end_nav": 3745399.604248425, "end_session": "2023-12-29", "fee_by_category": { "entry": 29753.81426598079, "exit": 29516.750779893882, "resize": 1532.1970456806325 }, "max_cash_weight": 1.3173024393411415e-16, "max_drawdown": -0.13595719793763705, "mean_cash_weight": 2.9715219006939013e-17, "nonzero_trade_event_count": 12, "order_count": 46, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 3712064.053849574, "start_session": "2022-12-30", "total_return": 0.008980327363769636, "traded_notional_by_category": { "entry": 11901525.706392316, "exit": 11806700.311957553, "resize": 612878.818272253 }, "transaction_cost": 60802.762091555305, "transaction_cost_over_anchor_nav": 0.01637977179529005, "two_sided_turnover": 6.796123473357056 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 7.494819139525019, "annualized_volatility": 0.13073230540639508, "cagr": 0.11745791201657774, "end_nav": 4185326.4214311615, "end_session": "2024-12-31", "fee_by_category": { "entry": 36920.8339102291, "exit": 36848.23088143512, "resize": 1862.3558988047805 }, "max_cash_weight": 1.2753794473109558e-16, "max_drawdown": -0.08317867717330651, "mean_cash_weight": 2.0628746335311754e-17, "nonzero_trade_event_count": 12, "order_count": 47, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3745399.604248425, "start_session": "2023-12-29", "total_return": 0.11745791201657774, "traded_notional_by_category": { "entry": 14768333.56409164, "exit": 14739292.352574049, "resize": 744942.3595219122 }, "transaction_cost": 75631.420690469, "transaction_cost_over_anchor_nav": 0.0201931512473809, "two_sided_turnover": 7.494819139525019 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 4.824552291672481, "annualized_volatility": 0.15362603107233344, "cagr": 0.07471873311231136, "end_nav": 4498048.709301982, "end_session": "2025-12-31", "fee_by_category": { "entry": 25728.37955373772, "exit": 25466.318354100935, "resize": 2078.4115046120587 }, "max_cash_weight": 1.2304987350316825e-16, "max_drawdown": -0.14507530911632216, "mean_cash_weight": 9.743310196352395e-18, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4185326.4214311615, "start_session": "2024-12-31", "total_return": 0.07471873311231136, "traded_notional_by_category": { "entry": 10291351.821495088, "exit": 10186527.341640374, "resize": 831364.6018448235 }, "transaction_cost": 53273.109412450714, "transaction_cost_over_anchor_nav": 0.012728543498940308, "two_sided_turnover": 4.824552291672481 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 5.483524196443581, "annualized_volatility": 0.1611466942036614, "cagr": 0.0611633317740381, "end_nav": 4498048.709301982, "end_session": "2025-12-31", "fee_by_category": { "entry": 344770.27512342355, "exit": 343863.50154011394, "resize": 21243.75709536357 }, "max_cash_weight": 1.0, "max_drawdown": -0.33155100925022885, "mean_cash_weight": 0.07694835011285804, "nonzero_trade_event_count": 292, "order_count": 1030, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 1019690.3004564358, "start_session": "2000-12-29", "total_return": 3.4111910325012964, "traded_notional_by_category": { "entry": 137908110.0493694, "exit": 137545400.61604556, "resize": 8497502.838145427 }, "transaction_cost": 709877.5337589011, "transaction_cost_over_anchor_nav": 0.6961697423630923, "two_sided_turnover": 137.08810491108952 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 4389231.563221519, "end_session": "2026-10-02", "fee_by_category": { "entry": 29277.481410396616, "exit": 29873.957457387543, "resize": 2420.9064657700465 }, "max_cash_weight": 0.0, "max_drawdown": -0.09932094253559764, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 10, "order_count": 38, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 4498048.709301982, "start_session": "2025-12-31", "total_return": -0.024192078190578226, "traded_notional_by_category": { "entry": 11710992.564158646, "exit": 11949582.982955016, "resize": 968362.5863080185 }, "transaction_cost": 61572.34533355421, "transaction_cost_over_anchor_nav": 0.013688679094608816, "two_sided_turnover": 5.599043716652663 } }, "monthly_risk": { "beta_intercept_per_month": -0.00015086941431981683, "beta_to_SPY_excess_returns": 0.671653982195903, "monthly_return_volatility_annualized": 0.13081180606411133, "months": 300, "sharpe_monthly_annualized": 0.3885933316272286, "tracking_error_monthly_annualized": 0.09717989780241842 }, "phase": null, "policy": "C", "run_id": "MMIX-25bps", "signal": "mixed" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.931047572405737, "annualized_volatility": 0.16787368068248962, "cagr": -0.15495025043029598, "end_nav": 877806.7519755287, "end_session": "2001-12-31", "fee_by_category": { "entry": 634.5096365522242, "exit": 1094.3533129233983, "resize": 102.35739211154397 }, "max_cash_weight": 1.0, "max_drawdown": -0.2300497563530407, "mean_cash_weight": 0.1367062014848456, "nonzero_trade_event_count": 12, "order_count": 38, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 248, "start_nav": 1038763.40111633, "start_session": "2000-12-29", "total_return": -0.15495025043029598, "traded_notional_by_category": { "entry": 1269019.2731044483, "exit": 2188706.6258467967, "resize": 204714.78422308795 }, "transaction_cost": 1831.2203415871666, "transaction_cost_over_anchor_nav": 0.0017628849260757603, "two_sided_turnover": 3.931047572405737 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 3.1160527950598946, "annualized_volatility": 0.1669633134929577, "cagr": -0.08166318142772255, "end_nav": 806122.2599304712, "end_session": "2002-12-31", "fee_by_category": { "entry": 723.8000132042471, "exit": 549.4532970749099, "resize": 50.625345175696694 }, "max_cash_weight": 1.0, "max_drawdown": -0.25663732878375933, "mean_cash_weight": 0.3573197533296108, "nonzero_trade_event_count": 12, "order_count": 27, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 877806.7519755287, "start_session": "2001-12-31", "total_return": -0.08166318142772255, "traded_notional_by_category": { "entry": 1447600.026408494, "exit": 1098906.5941498198, "resize": 101250.6903513934 }, "transaction_cost": 1323.8786554548537, "transaction_cost_over_anchor_nav": 0.0015081664073276126, "two_sided_turnover": 3.1160527950598946 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 4.069564828827238, "annualized_volatility": 0.10119766204472343, "cagr": 0.16938212899892413, "end_nav": 942664.9645509184, "end_session": "2003-12-31", "fee_by_category": { "entry": 978.0106293925595, "exit": 704.8832744956636, "resize": 36.0006276246935 }, "max_cash_weight": 1.0, "max_drawdown": -0.05795482205340763, "mean_cash_weight": 0.4116599404940028, "nonzero_trade_event_count": 10, "order_count": 26, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 806122.2599304712, "start_session": "2002-12-31", "total_return": 0.16938212899892413, "traded_notional_by_category": { "entry": 1956021.258785119, "exit": 1409766.5489913272, "resize": 72001.255249387 }, "transaction_cost": 1718.8945315129167, "transaction_cost_over_anchor_nav": 0.0021323000454809087, "two_sided_turnover": 4.069564828827238 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 6.8567666188249135, "annualized_volatility": 0.11929278706488268, "cagr": 0.14264442174181746, "end_nav": 1077130.863315555, "end_session": "2004-12-31", "fee_by_category": { "entry": 1568.8719294725813, "exit": 1566.9965498283473, "resize": 95.88744375124288 }, "max_cash_weight": 1.2713079506934875e-16, "max_drawdown": -0.07322806771370771, "mean_cash_weight": 3.968742887054963e-17, "nonzero_trade_event_count": 12, "order_count": 46, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 942664.9645509184, "start_session": "2003-12-31", "total_return": 0.14264442174181746, "traded_notional_by_category": { "entry": 3137743.8589451625, "exit": 3133993.099656694, "resize": 191774.88750248577 }, "transaction_cost": 3231.755923052171, "transaction_cost_over_anchor_nav": 0.0034283186970800023, "two_sided_turnover": 6.8567666188249135 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 4.878367325158799, "annualized_volatility": 0.14253897604764326, "cagr": 0.08508929844726243, "end_nav": 1168783.1728109696, "end_session": "2005-12-30", "fee_by_category": { "entry": 1325.3126564614608, "exit": 1312.6595272081433, "resize": 131.25158370527882 }, "max_cash_weight": 0.0, "max_drawdown": -0.10148604341080347, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1077130.863315555, "start_session": "2004-12-31", "total_return": 0.08508929844726243, "traded_notional_by_category": { "entry": 2650625.3129229215, "exit": 2625319.0544162863, "resize": 262503.1674105576 }, "transaction_cost": 2769.2237673748828, "transaction_cost_over_anchor_nav": 0.0025709260236503077, "two_sided_turnover": 4.878367325158799 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 7.510981007640057, "annualized_volatility": 0.12686850549007664, "cagr": 0.10250581781499069, "end_nav": 1288590.2477883578, "end_session": "2006-12-29", "fee_by_category": { "entry": 2263.14496649, "exit": 2258.9758211220606, "resize": 114.57777453109651 }, "max_cash_weight": 0.0, "max_drawdown": -0.12533312535215857, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 47, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1168783.1728109696, "start_session": "2005-12-30", "total_return": 0.10250581781499069, "traded_notional_by_category": { "entry": 4526289.93298, "exit": 4517951.642244121, "resize": 229155.54906219302 }, "transaction_cost": 4636.698562143158, "transaction_cost_over_anchor_nav": 0.003967116117005445, "two_sided_turnover": 7.510981007640057 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 6.834703442935975, "annualized_volatility": 0.17252952072935432, "cagr": 0.07216033581162584, "end_nav": 1381575.352792352, "end_session": "2007-12-31", "fee_by_category": { "entry": 2196.4714655993344, "exit": 2220.6465091041077, "resize": 90.12665092521449 }, "max_cash_weight": 0.0, "max_drawdown": -0.11376623347075032, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 46, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 1288590.2477883578, "start_session": "2006-12-29", "total_return": 0.07216033581162584, "traded_notional_by_category": { "entry": 4392942.931198669, "exit": 4441293.018208215, "resize": 180253.30185042898 }, "transaction_cost": 4507.244625628657, "transaction_cost_over_anchor_nav": 0.0034978105983376503, "two_sided_turnover": 6.834703442935975 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 5.889545961733909, "annualized_volatility": 0.22391395453044613, "cagr": -0.23076589648919832, "end_nav": 1062754.8779378445, "end_session": "2008-12-31", "fee_by_category": { "entry": 1552.129159845557, "exit": 2058.433324727875, "resize": 186.90953923636397 }, "max_cash_weight": 1.0, "max_drawdown": -0.28278273909951834, "mean_cash_weight": 0.20051826604062656, "nonzero_trade_event_count": 12, "order_count": 39, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 1381575.352792352, "start_session": "2007-12-31", "total_return": -0.23076589648919832, "traded_notional_by_category": { "entry": 3104258.319691114, "exit": 4116866.6494557504, "resize": 373819.0784727279 }, "transaction_cost": 3797.4720238097966, "transaction_cost_over_anchor_nav": 0.0027486535686487086, "two_sided_turnover": 5.889545961733909 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 3.7110629958900407, "annualized_volatility": 0.11617023224628592, "cagr": 0.2569826991359656, "end_nav": 1335864.4949902254, "end_session": "2009-12-31", "fee_by_category": { "entry": 1355.743856029537, "exit": 832.7291337943842, "resize": 18.99047144615403 }, "max_cash_weight": 1.0, "max_drawdown": -0.06277792401209437, "mean_cash_weight": 0.5197341909030646, "nonzero_trade_event_count": 6, "order_count": 21, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1062754.8779378445, "start_session": "2008-12-31", "total_return": 0.2569826991359656, "traded_notional_by_category": { "entry": 2711487.712059074, "exit": 1665458.2675887684, "resize": 37980.942892308056 }, "transaction_cost": 2207.463461270075, "transaction_cost_over_anchor_nav": 0.0020771144005976316, "two_sided_turnover": 3.7110629958900407 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 5.560331643443049, "annualized_volatility": 0.1804251423058077, "cagr": 0.12070939654918567, "end_nav": 1497115.892051978, "end_session": "2010-12-31", "fee_by_category": { "entry": 1783.55868853817, "exit": 1808.8012370264473, "resize": 128.21580432345453 }, "max_cash_weight": 0.0, "max_drawdown": -0.16178668932724294, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1335864.4949902254, "start_session": "2009-12-31", "total_return": 0.12070939654918567, "traded_notional_by_category": { "entry": 3567117.37707634, "exit": 3617602.474052895, "resize": 256431.60864690907 }, "transaction_cost": 3720.5757298880717, "transaction_cost_over_anchor_nav": 0.002785144559078423, "two_sided_turnover": 5.560331643443049 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 8.790660746500281, "annualized_volatility": 0.1945979954729176, "cagr": 0.026314369458161346, "end_nav": 1536511.5527571186, "end_session": "2011-12-30", "fee_by_category": { "entry": 3390.9065361407097, "exit": 3375.428605602212, "resize": 111.5024719581191 }, "max_cash_weight": 0.33790362194943907, "max_drawdown": -0.16796629219481263, "mean_cash_weight": 0.02757993754436951, "nonzero_trade_event_count": 12, "order_count": 48, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1497115.892051978, "start_session": "2010-12-31", "total_return": 0.026314369458161346, "traded_notional_by_category": { "entry": 6781813.072281419, "exit": 6750857.211204424, "resize": 223004.9439162382 }, "transaction_cost": 6877.83761370104, "transaction_cost_over_anchor_nav": 0.004594058249073913, "two_sided_turnover": 8.790660746500281 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 5.443106539988557, "annualized_volatility": 0.10763045624239476, "cagr": 0.052744523908904384, "end_nav": 1617554.1230878243, "end_session": "2012-12-31", "fee_by_category": { "entry": 2124.927278882699, "exit": 2111.120350380342, "resize": 101.15029995242877 }, "max_cash_weight": 1.525779758170427e-16, "max_drawdown": -0.07359767106840398, "mean_cash_weight": 3.5618553211645347e-17, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 1536511.5527571186, "start_session": "2011-12-30", "total_return": 0.052744523908904384, "traded_notional_by_category": { "entry": 4249854.557765397, "exit": 4222240.700760684, "resize": 202300.59990485752 }, "transaction_cost": 4337.197929215469, "transaction_cost_over_anchor_nav": 0.0028227564715883812, "two_sided_turnover": 5.443106539988557 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 4.109668885232568, "annualized_volatility": 0.11529391263628937, "cagr": 0.3329227243800663, "end_nav": 2156074.648578432, "end_session": "2013-12-31", "fee_by_category": { "entry": 1819.7323244365327, "exit": 1808.9607552898126, "resize": 114.67771789081226 }, "max_cash_weight": 1.3308546342805074e-16, "max_drawdown": -0.07011686328854083, "mean_cash_weight": 4.230141135343911e-17, "nonzero_trade_event_count": 12, "order_count": 42, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 1617554.1230878243, "start_session": "2012-12-31", "total_return": 0.3329227243800663, "traded_notional_by_category": { "entry": 3639464.648873065, "exit": 3617921.510579625, "resize": 229355.43578162452 }, "transaction_cost": 3743.3707976171577, "transaction_cost_over_anchor_nav": 0.002314216720285849, "two_sided_turnover": 4.109668885232568 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 6.084078237961741, "annualized_volatility": 0.12594928708207284, "cagr": 0.11965630241898717, "end_nav": 2414062.568766644, "end_session": "2014-12-31", "fee_by_category": { "entry": 3461.0507842729835, "exit": 3413.639271617121, "resize": 142.78348731460306 }, "max_cash_weight": 1.1426085787325984e-16, "max_drawdown": -0.09104333509053586, "mean_cash_weight": 8.20482948470867e-18, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2156074.648578432, "start_session": "2013-12-31", "total_return": 0.11965630241898717, "traded_notional_by_category": { "entry": 6922101.568545966, "exit": 6827278.543234242, "resize": 285566.9746292061 }, "transaction_cost": 7017.473543204707, "transaction_cost_over_anchor_nav": 0.00325474516748831, "two_sided_turnover": 6.084078237961741 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.4916203316086296, "annualized_volatility": 0.1492708142145696, "cagr": 0.015106062458801972, "end_nav": 2450529.548709889, "end_session": "2015-12-31", "fee_by_category": { "entry": 2056.372406435329, "exit": 2041.4123096968854, "resize": 209.3199707267709 }, "max_cash_weight": 0.3430667976582305, "max_drawdown": -0.11247853984680467, "mean_cash_weight": 0.026643928264875404, "nonzero_trade_event_count": 12, "order_count": 40, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2414062.568766644, "start_session": "2014-12-31", "total_return": 0.015106062458801972, "traded_notional_by_category": { "entry": 4112744.812870658, "exit": 4082824.6193937706, "resize": 418639.94145354175 }, "transaction_cost": 4307.104686858985, "transaction_cost_over_anchor_nav": 0.0017841727644447528, "two_sided_turnover": 3.4916203316086296 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 5.547309214222357, "annualized_volatility": 0.12171453473898677, "cagr": 0.08639642532980085, "end_nav": 2662246.5418834733, "end_session": "2016-12-30", "fee_by_category": { "entry": 3362.1310952481444, "exit": 3397.6926250991264, "resize": 222.29791150352335 }, "max_cash_weight": 0.3340229084365088, "max_drawdown": -0.0808666523452396, "mean_cash_weight": 0.02849186939663789, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 2450529.548709889, "start_session": "2015-12-31", "total_return": 0.08639642532980085, "traded_notional_by_category": { "entry": 6724262.190496288, "exit": 6795385.250198253, "resize": 444595.8230070467 }, "transaction_cost": 6982.121631850795, "transaction_cost_over_anchor_nav": 0.0028492297248676793, "two_sided_turnover": 5.547309214222357 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 6.138190296619479, "annualized_volatility": 0.0922890798285358, "cagr": 0.20423962434710496, "end_nav": 3205982.775517133, "end_session": "2017-12-29", "fee_by_category": { "entry": 4326.8913444596765, "exit": 4324.464040736945, "resize": 208.39214821322972 }, "max_cash_weight": 0.0, "max_drawdown": -0.046527309332223155, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 45, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 2662246.5418834733, "start_session": "2016-12-30", "total_return": 0.20423962434710496, "traded_notional_by_category": { "entry": 8653782.688919352, "exit": 8648928.08147389, "resize": 416784.29642645945 }, "transaction_cost": 8859.74753340985, "transaction_cost_over_anchor_nav": 0.003327921510658363, "two_sided_turnover": 6.138190296619479 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 5.448895662556254, "annualized_volatility": 0.1832277544733509, "cagr": -0.05876281437640385, "end_nav": 3017590.204785472, "end_session": "2018-12-31", "fee_by_category": { "entry": 4388.760310550451, "exit": 4343.575570822019, "resize": 240.60587281436298 }, "max_cash_weight": 1.6407564542984275e-16, "max_drawdown": -0.18700475576131947, "mean_cash_weight": 2.3682169824136106e-17, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 3205982.775517133, "start_session": "2017-12-29", "total_return": -0.05876281437640385, "traded_notional_by_category": { "entry": 8777520.621100903, "exit": 8687151.141644036, "resize": 481211.74562872597 }, "transaction_cost": 8972.941754186833, "transaction_cost_over_anchor_nav": 0.00279881159147509, "two_sided_turnover": 5.448895662556254 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.845907176665983, "annualized_volatility": 0.10145222206267165, "cagr": 0.2149478165384, "end_nav": 3666214.6305117724, "end_session": "2019-12-31", "fee_by_category": { "entry": 2099.166516299416, "exit": 2067.9991548362927, "resize": 306.72510540433905 }, "max_cash_weight": 0.666585170188638, "max_drawdown": -0.04840601552041868, "mean_cash_weight": 0.0775373203400958, "nonzero_trade_event_count": 12, "order_count": 37, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 3017590.204785472, "start_session": "2018-12-31", "total_return": 0.2149478165384, "traded_notional_by_category": { "entry": 4198333.032598833, "exit": 4135998.309672585, "resize": 613450.2108086781 }, "transaction_cost": 4473.890776540048, "transaction_cost_over_anchor_nav": 0.0014826038238873818, "two_sided_turnover": 2.845907176665983 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 5.477408016800366, "annualized_volatility": 0.33205360653275456, "cagr": 0.10738373105545129, "end_nav": 4059906.436386209, "end_session": "2020-12-31", "fee_by_category": { "entry": 4711.727135241827, "exit": 4675.000315062393, "resize": 295.2982639688652 }, "max_cash_weight": 1.0, "max_drawdown": -0.3026753160366754, "mean_cash_weight": 0.0790513833992095, "nonzero_trade_event_count": 12, "order_count": 41, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 253, "start_nav": 3666214.6305117724, "start_session": "2019-12-31", "total_return": 0.10738373105545129, "traded_notional_by_category": { "entry": 9423454.270483654, "exit": 9350000.630124787, "resize": 590596.5279377303 }, "transaction_cost": 9682.025714273086, "transaction_cost_over_anchor_nav": 0.0026408780418078134, "two_sided_turnover": 5.477408016800366 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 5.438982285884769, "annualized_volatility": 0.15906461058041346, "cagr": 0.17431821270155567, "end_nav": 4767622.070112595, "end_session": "2021-12-31", "fee_by_category": { "entry": 5977.521001365956, "exit": 5973.092411954569, "resize": 243.54908149377712 }, "max_cash_weight": 1.1377910258396225e-16, "max_drawdown": -0.07629064664838137, "mean_cash_weight": 8.349304150818972e-18, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4059906.436386209, "start_session": "2020-12-31", "total_return": 0.17431821270155567, "traded_notional_by_category": { "entry": 11955042.002731912, "exit": 11946184.823909137, "resize": 487098.1629875542 }, "transaction_cost": 12194.162494814302, "transaction_cost_over_anchor_nav": 0.003003557516874337, "two_sided_turnover": 5.438982285884769 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 6.890950285991315, "annualized_volatility": 0.19906133085112993, "cagr": 0.004485383848562119, "end_nav": 4789006.685141927, "end_session": "2022-12-30", "fee_by_category": { "entry": 7770.993765287361, "exit": 7725.544258534165, "resize": 575.8132441564164 }, "max_cash_weight": 0.673982693222134, "max_drawdown": -0.1381109595439538, "mean_cash_weight": 0.05577828260680771, "nonzero_trade_event_count": 12, "order_count": 44, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 251, "start_nav": 4767622.070112595, "start_session": "2021-12-31", "total_return": 0.004485383848562119, "traded_notional_by_category": { "entry": 15541987.530574722, "exit": 15451088.51706833, "resize": 1151626.4883128328 }, "transaction_cost": 16072.351267977943, "transaction_cost_over_anchor_nav": 0.0033711462510278983, "two_sided_turnover": 6.890950285991315 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 6.802250920846848, "annualized_volatility": 0.15126238687422114, "cagr": 0.02280446066879538, "end_nav": 4898217.399735844, "end_session": "2023-12-29", "fee_by_category": { "entry": 7735.634512074301, "exit": 7659.30454648014, "resize": 398.75958686712 }, "max_cash_weight": 0.0, "max_drawdown": -0.1313293206818692, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 46, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 4789006.685141927, "start_session": "2022-12-30", "total_return": 0.02280446066879538, "traded_notional_by_category": { "entry": 15471269.024148602, "exit": 15318609.09296028, "resize": 797519.17373424 }, "transaction_cost": 15793.698645421562, "transaction_cost_over_anchor_nav": 0.003297906994872675, "two_sided_turnover": 6.802250920846848 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 7.50072459542983, "annualized_volatility": 0.13035381585991915, "cagr": 0.13435134562139694, "end_nav": 5556299.498536495, "end_session": "2024-12-31", "fee_by_category": { "entry": 9738.910074662725, "exit": 9703.822330758325, "resize": 491.2978688951399 }, "max_cash_weight": 0.0, "max_drawdown": -0.08314145681236029, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 47, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 252, "start_nav": 4898217.399735844, "start_session": "2023-12-29", "total_return": 0.13435134562139694, "traded_notional_by_category": { "entry": 19477820.14932545, "exit": 19407644.66151665, "resize": 982595.7377902798 }, "transaction_cost": 19934.03027431619, "transaction_cost_over_anchor_nav": 0.004069649966004206, "two_sided_turnover": 7.50072459542983 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 4.828637442135667, "annualized_volatility": 0.15342483163717063, "cagr": 0.08514726766437741, "end_nav": 6029403.219161828, "end_session": "2025-12-31", "fee_by_category": { "entry": 6869.795633867531, "exit": 6790.655508463484, "resize": 556.5822284891941 }, "max_cash_weight": 0.0, "max_drawdown": -0.1427128996092668, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 12, "order_count": 43, "rebalance_count": 12, "scheduled_reset_count": 12, "session_count": 250, "start_nav": 5556299.498536495, "start_session": "2024-12-31", "total_return": 0.08514726766437741, "traded_notional_by_category": { "entry": 13739591.267735062, "exit": 13581311.016926967, "resize": 1113164.4569783881 }, "transaction_cost": 14217.033370820209, "transaction_cost_over_anchor_nav": 0.002558723368775372, "two_sided_turnover": 4.828637442135667 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 5.48787259321457, "annualized_volatility": 0.16111985917835242, "cagr": 0.07287792004811866, "end_nav": 6029403.219161828, "end_session": "2025-12-31", "fee_by_category": { "entry": 84216.07372081131, "exit": 83819.64404263916, "resize": 5173.697892479441 }, "max_cash_weight": 1.0, "max_drawdown": -0.32391241798919124, "mean_cash_weight": 0.07694835011285804, "nonzero_trade_event_count": 292, "order_count": 1030, "rebalance_count": 300, "scheduled_reset_count": 300, "session_count": 6287, "start_nav": 1038763.40111633, "start_session": "2000-12-29", "total_return": 4.8044047496111215, "traded_notional_by_category": { "entry": 168432147.4416226, "exit": 167639288.08527833, "resize": 10347395.784958882 }, "transaction_cost": 173209.41565592992, "transaction_cost_over_anchor_nav": 0.16674578202291937, "two_sided_turnover": 137.19681483036425 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 5949849.342492754, "end_session": "2026-10-02", "fee_by_category": { "entry": 7897.636431657336, "exit": 8047.358672060995, "resize": 655.1144296073663 }, "max_cash_weight": 0.0, "max_drawdown": -0.09557443681757016, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 10, "order_count": 38, "rebalance_count": 10, "scheduled_reset_count": 10, "session_count": 189, "start_nav": 6029403.219161828, "start_session": "2025-12-31", "total_return": -0.013194320196772913, "traded_notional_by_category": { "entry": 15795272.863314671, "exit": 16094717.344121989, "resize": 1310228.8592147327 }, "transaction_cost": 16600.109533325696, "transaction_cost_over_anchor_nav": 0.002753192800337103, "two_sided_turnover": 5.603405901849167 } }, "monthly_risk": { "beta_intercept_per_month": 0.0007620277238328203, "beta_to_SPY_excess_returns": 0.6726745713277992, "monthly_return_volatility_annualized": 0.13085105254772467, "months": 300, "sharpe_monthly_annualized": 0.47248577466886243, "tracking_error_monthly_annualized": 0.09698748875888012 }, "phase": null, "policy": "C", "run_id": "MMIX-5bps", "signal": "mixed" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6721299438874766, "annualized_volatility": 0.1755703958730504, "cagr": -0.02523122816207224, "end_nav": 868721.5137707016, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.19316305430869496, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 891207.7806234253, "start_session": "2000-12-29", "total_return": -0.02523122816207224, "traded_notional_by_category": { "entry": 1249301.5363596457, "exit": 1244921.2853643326, "resize": 9376.33808683994 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6721299438874766 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3046765066507757, "annualized_volatility": 0.1355302979085285, "cagr": -0.08876937921014272, "end_nav": 791605.644286781, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.7112103912504035, "max_drawdown": -0.17373060771778115, "mean_cash_weight": 0.45068174271325323, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 868721.5137707016, "start_session": "2001-12-31", "total_return": -0.08876937921014272, "traded_notional_by_category": { "entry": 288844.0145387035, "exit": 795545.0226359514, "resize": 25254.546580488037 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3046765066507757 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3353205617524115, "annualized_volatility": 0.10102663302789458, "cagr": 0.13555786611461484, "end_nav": 898914.0162305819, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6854814911239742, "max_drawdown": -0.05279437708509793, "mean_cash_weight": 0.3817533020051214, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 791605.644286781, "start_session": "2002-12-31", "total_return": 0.13555786611461484, "traded_notional_by_category": { "entry": 793231.6977648048, "exit": 245908.60475121572, "resize": 15367.538335853198 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3353205617524115 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.688689370580363, "annualized_volatility": 0.12600210843124462, "cagr": 0.21892787162511929, "end_nav": 1095711.348577931, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2956908851847674e-16, "max_drawdown": -0.06746587613787469, "mean_cash_weight": 1.0020928935612732e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 898914.0162305819, "start_session": "2003-12-31", "total_return": 0.21892787162511929, "traded_notional_by_category": { "entry": 1250405.770699093, "exit": 1235424.6411903468, "resize": 36788.85396356776 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.688689370580363 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3429730014182972, "annualized_volatility": 0.1421559028222441, "cagr": 0.17526997770096986, "end_nav": 1287756.6522098847, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.10436206348997212, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1095711.348577931, "start_session": "2004-12-31", "total_return": 0.17526997770096986, "traded_notional_by_category": { "entry": 792267.3350608388, "exit": 730628.8601656908, "resize": 72300.78046187578 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3429730014182972 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.080123090783797, "annualized_volatility": 0.11911085294758222, "cagr": 0.2391221200866751, "end_nav": 1595687.7530420315, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.06297184115460175, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1287756.6522098847, "start_session": "2005-12-30", "total_return": 0.2391221200866751, "traded_notional_by_category": { "entry": 1409613.899123865, "exit": 1409613.899123865, "resize": 109868.73555910902 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.080123090783797 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3462695455788953, "annualized_volatility": 0.16933163638430096, "cagr": 0.05615944450301291, "end_nav": 1685300.6908531329, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.1368985426535777, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1595687.7530420315, "start_session": "2006-12-29", "total_return": 0.05615944450301291, "traded_notional_by_category": { "entry": 2710044.394541556, "exit": 2720676.979046749, "resize": 10632.584505193168 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.3462695455788953 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6909625552924923, "annualized_volatility": 0.4342061299731619, "cagr": -0.3621405797297963, "end_nav": 1074984.921648553, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.5059495772583065e-16, "max_drawdown": -0.47986247884568756, "mean_cash_weight": 1.4954449763186337e-16, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1685300.6908531329, "start_session": "2007-12-31", "total_return": -0.3621405797297963, "traded_notional_by_category": { "entry": 2121072.841996129, "exit": 2120064.374659394, "resize": 40303.97338797781 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6909625552924923 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9999999999999998, "annualized_volatility": 0.09803591557153878, "cagr": -0.041535834687543294, "end_nav": 1030334.5256513571, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.10142594567515206, "mean_cash_weight": 0.9206349206349206, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1074984.921648553, "start_session": "2008-12-31", "total_return": -0.041535834687543294, "traded_notional_by_category": { "entry": 0.0, "exit": 1030334.5256513569, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.9999999999999998 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.333333333333333, "annualized_volatility": 0.18720025270783278, "cagr": 0.23288931724168038, "end_nav": 1270288.4298608324, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.1808586872663146, "mean_cash_weight": 0.07539682539682545, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1030334.5256513571, "start_session": "2009-12-31", "total_return": 0.23288931724168038, "traded_notional_by_category": { "entry": 1772415.676033881, "exit": 733236.5853258704, "resize": 8844.56505665346 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.333333333333333 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3761732412906302, "annualized_volatility": 0.2076346201451981, "cagr": 0.05008784197778704, "end_nav": 1333914.436001913, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.18263704535954384, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1270288.4298608324, "start_session": "2010-12-31", "total_return": 0.05008784197778704, "traded_notional_by_category": { "entry": 896783.2428043345, "exit": 879436.1671838642, "resize": 72424.14269411925 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3761732412906302 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6801308246308642, "annualized_volatility": 0.08794320737322449, "cagr": 0.11968918131117379, "end_nav": 1493569.562786138, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.61419629983262e-16, "max_drawdown": -0.0695501024272338, "mean_cash_weight": 6.451675997809875e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1333914.436001913, "start_session": "2011-12-30", "total_return": 0.11968918131117379, "traded_notional_by_category": { "entry": 452639.97269796545, "exit": 414463.6118448223, "resize": 58449.43091516057 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.6801308246308642 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.33380811936417, "annualized_volatility": 0.11566503854404324, "cagr": 0.37009514466474447, "end_nav": 2046332.4061923327, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.529963311086485e-16, "max_drawdown": -0.0547445757890318, "mean_cash_weight": 1.3063710292788402e-16, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1493569.562786138, "start_session": "2012-12-31", "total_return": 0.37009514466474447, "traded_notional_by_category": { "entry": 1154521.4328852454, "exit": 1096738.1624153587, "resize": 58538.874506723136 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.33380811936417 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.67011996709122, "annualized_volatility": 0.13743251253223143, "cagr": 0.00321405609796499, "end_nav": 2052909.4333409187, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.177820645826333e-16, "max_drawdown": -0.12068307877091711, "mean_cash_weight": 9.551276729347233e-18, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2046332.4061923327, "start_session": "2013-12-31", "total_return": 0.00321405609796499, "traded_notional_by_category": { "entry": 2774608.185243397, "exit": 2752760.5173007073, "resize": 28708.47020467557 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.67011996709122 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666666666666666, "annualized_volatility": 0.15426144910123357, "cagr": -0.025532851117346267, "end_nav": 2000492.8024220294, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2790572830567762e-16, "max_drawdown": -0.1142843848237598, "mean_cash_weight": 1.0814821649735426e-16, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2052909.4333409187, "start_session": "2014-12-31", "total_return": -0.025532851117346267, "traded_notional_by_category": { "entry": 2688153.953270749, "exit": 2596052.872900246, "resize": 92101.08037050324 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.666666666666666 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0230839220272774, "annualized_volatility": 0.1240007051810737, "cagr": 0.06540585295337231, "end_nav": 2131336.7404915243, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2482732587187847e-16, "max_drawdown": -0.09327011896609982, "mean_cash_weight": 9.207976574950965e-18, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2000492.8024220294, "start_session": "2015-12-31", "total_return": 0.06540585295337231, "traded_notional_by_category": { "entry": 2059330.6904934633, "exit": 2027354.2236461616, "resize": 79456.42553266906 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0230839220272774 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0, "annualized_volatility": 0.09055448438013697, "cagr": 0.2218459842377123, "end_nav": 2604165.237427864, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.05472316817609757, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2131336.7404915243, "start_session": "2016-12-30", "total_return": 0.2218459842377123, "traded_notional_by_category": { "entry": 2216589.1793495696, "exit": 2138424.1076315334, "resize": 78165.07171803666 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0076077478212513, "annualized_volatility": 0.19546138042828695, "cagr": -0.09153595900482803, "end_nav": 2365790.475012869, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.24520841374023672, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2604165.237427864, "start_session": "2017-12-29", "total_return": -0.09153595900482803, "traded_notional_by_category": { "entry": 2787998.8204759634, "exit": 2754402.888626371, "resize": 54575.34626580833 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0076077478212513 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0229752425636853, "annualized_volatility": 0.0986397957332104, "cagr": 0.2512687770385198, "end_nav": 2960239.7543987315, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.666585170188638, "max_drawdown": -0.04321687873260349, "mean_cash_weight": 0.32213162916856614, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2365790.475012869, "start_session": "2018-12-31", "total_return": 0.2512687770385198, "traded_notional_by_category": { "entry": 2647520.408668015, "exit": 2585986.1022789204, "resize": 61534.30638909468 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0229752425636853 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.373845269693407, "annualized_volatility": 0.3336593101823805, "cagr": 0.21626758797339196, "end_nav": 3600443.6659054914, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.30243150459353496, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2960239.7543987315, "start_session": "2019-12-31", "total_return": 0.21626758797339196, "traded_notional_by_category": { "entry": 2106549.1683956017, "exit": 1947405.4308879958, "resize": 283791.24428295484 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.373845269693407 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0, "annualized_volatility": 0.15429689504464864, "cagr": 0.2529979057136955, "end_nav": 4511348.373019721, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.06844291103178812, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3600443.6659054914, "start_session": "2020-12-31", "total_return": 0.2529979057136955, "traded_notional_by_category": { "entry": 4053392.4720265996, "exit": 3959781.5065651974, "resize": 93610.96546140243 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666666666666667, "annualized_volatility": 0.1940362575163244, "cagr": -0.035042587512830514, "end_nav": 4353259.052857312, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.17572087766211664, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4511348.373019721, "start_session": "2021-12-31", "total_return": -0.035042587512830514, "traded_notional_by_category": { "entry": 5671508.6666825935, "exit": 5546736.679812854, "resize": 124771.98686974007 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.666666666666667 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.066723083224761, "annualized_volatility": 0.13168732108014078, "cagr": 0.031443554743003865, "end_nav": 4490140.992196308, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.336737189422888e-16, "max_drawdown": -0.09842146171233701, "mean_cash_weight": 1.1016298441752724e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4353259.052857312, "start_session": "2022-12-30", "total_return": 0.031443554743003865, "traded_notional_by_category": { "entry": 4334571.354483664, "exit": 4285047.518013647, "resize": 339139.6610560934 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.066723083224761 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0084214694581415, "annualized_volatility": 0.14217918103758617, "cagr": 0.15898709440667536, "end_nav": 5204015.462021906, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.09595804954689491, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4490140.992196308, "start_session": "2023-12-29", "total_return": 0.15898709440667536, "traded_notional_by_category": { "entry": 4867837.601340143, "exit": 4780754.567284883, "resize": 127350.27745355875 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0084214694581415 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.007379055919336, "annualized_volatility": 0.16224678447171703, "cagr": 0.1075419155404127, "end_nav": 5763665.253309668, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0088899584725562e-16, "max_drawdown": -0.15117126364275113, "mean_cash_weight": 8.758324085448493e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5204015.462021906, "start_session": "2024-12-31", "total_return": 0.1075419155404127, "traded_notional_by_category": { "entry": 5406519.571354538, "exit": 5088867.206408408, "resize": 358540.4100634814 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.007379055919336 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9879231674278366, "annualized_volatility": 0.17743403634070015, "cagr": 0.07752856298507216, "end_nav": 5763665.253309668, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.47986247884568756, "mean_cash_weight": 0.0862018135548766, "nonzero_trade_event_count": 49, "order_count": 211, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 891207.7806234253, "start_session": "2000-12-29", "total_return": 5.467251945755927, "traded_notional_by_category": { "entry": 56505721.88629036, "exit": 55120566.34071574, "resize": 2239895.6097215796 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 49.69807918569592 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6797971.531799314, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4141317591301483e-16, "max_drawdown": -0.07772763690202811, "mean_cash_weight": 3.210465937720933e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 5763665.253309668, "start_session": "2025-12-31", "total_return": 0.17945287122560005, "traded_notional_by_category": { "entry": 4139565.678970229, "exit": 3947167.0447863536, "resize": 384052.7003921727 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3647262233369561 } }, "monthly_risk": { "beta_intercept_per_month": 0.0008273586704847782, "beta_to_SPY_excess_returns": 0.7249303625513975, "monthly_return_volatility_annualized": 0.1342011527510638, "months": 300, "sharpe_monthly_annualized": 0.49860243414723526, "tracking_error_monthly_annualized": 0.08837579110281468 }, "phase": [ 1, 7 ], "policy": "A", "run_id": "S12-01-07-0bps", "signal": "12-1" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.669907973231065, "annualized_volatility": 0.17548037685672718, "cagr": -0.027832462480731457, "end_nav": 864903.6026493437, "end_session": "2001-12-31", "fee_by_category": { "entry": 1244.4432615201972, "exit": 1242.1671747588916, "resize": 9.341406922530208 }, "max_cash_weight": 1.4162022465820408e-16, "max_drawdown": -0.1937051728735404, "mean_cash_weight": 6.436739133360322e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 889665.1752601862, "start_session": "2000-12-29", "total_return": -0.027832462480731457, "traded_notional_by_category": { "entry": 1244443.2615201971, "exit": 1242167.1747588916, "resize": 9341.406922530208 }, "transaction_cost": 2495.951843201619, "transaction_cost_over_anchor_nav": 0.002805495721996388, "two_sided_turnover": 2.669907973231065 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.304778099350559, "annualized_volatility": 0.13554920040117807, "cagr": -0.08995805524446998, "end_nav": 787098.5565810729, "end_session": "2002-12-31", "fee_by_category": { "entry": 287.28701038630004, "exit": 791.8121650155872, "resize": 25.506262123954542 }, "max_cash_weight": 0.7112103912504036, "max_drawdown": -0.17398243653271228, "mean_cash_weight": 0.4506817427132532, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 864903.6026493437, "start_session": "2001-12-31", "total_return": -0.08995805524446998, "traded_notional_by_category": { "entry": 287287.01038630004, "exit": 791812.1650155871, "resize": 25506.26212395454 }, "transaction_cost": 1104.6054375258416, "transaction_cost_over_anchor_nav": 0.0012771428331923365, "two_sided_turnover": 1.304778099350559 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3348756032180054, "annualized_volatility": 0.10111056167676355, "cagr": 0.13404254310807695, "end_nav": 892603.2487818964, "end_session": "2003-12-31", "fee_by_category": { "entry": 787.8395137509925, "exit": 244.50849895712346, "resize": 15.452003494355361 }, "max_cash_weight": 0.6854814911239742, "max_drawdown": -0.05279437708509793, "mean_cash_weight": 0.38175330200512136, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 787098.5565810729, "start_session": "2002-12-31", "total_return": 0.13404254310807695, "traded_notional_by_category": { "entry": 787839.5137509925, "exit": 244508.49895712346, "resize": 15452.003494355362 }, "transaction_cost": 1047.8000162024714, "transaction_cost_over_anchor_nav": 0.001331218317505002, "two_sided_turnover": 1.3348756032180054 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.686461881954377, "annualized_volatility": 0.12596438841540092, "cagr": 0.21565494505033977, "end_nav": 1085097.553349711, "end_session": "2004-12-31", "fee_by_category": { "entry": 1238.9214040183504, "exit": 1226.1262755689704, "resize": 36.45759203224426 }, "max_cash_weight": 1.2272291105991775e-16, "max_drawdown": -0.06746587613787469, "mean_cash_weight": 4.828231084902978e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 892603.2487818964, "start_session": "2003-12-31", "total_return": 0.21565494505033977, "traded_notional_by_category": { "entry": 1238921.4040183504, "exit": 1226126.2755689702, "resize": 36457.592032244254 }, "transaction_cost": 2501.505271619565, "transaction_cost_over_anchor_nav": 0.0028024828220525517, "two_sided_turnover": 2.686461881954377 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3429699374144843, "annualized_volatility": 0.14212481479229644, "cagr": 0.17369215534765137, "end_nav": 1273570.4861534855, "end_session": "2005-12-30", "fee_by_category": { "entry": 783.7829037563495, "exit": 723.3008688055731, "resize": 72.12656178947393 }, "max_cash_weight": 1.1035217401354285e-16, "max_drawdown": -0.10436206348997212, "mean_cash_weight": 8.6155522186072e-18, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1085097.553349711, "start_session": "2004-12-31", "total_return": 0.17369215534765137, "traded_notional_by_category": { "entry": 783782.9037563495, "exit": 723300.8688055731, "resize": 72126.56178947393 }, "transaction_cost": 1579.2103343513968, "transaction_cost_over_anchor_nav": 0.001455362542728396, "two_sided_turnover": 1.3429699374144843 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0780983899884657, "annualized_volatility": 0.1191938343438956, "cagr": 0.23654730070404661, "end_nav": 1574830.1469094327, "end_session": "2006-12-29", "fee_by_category": { "entry": 1391.1885076580775, "exit": 1393.9736698355707, "resize": 108.62219379841181 }, "max_cash_weight": 0.0, "max_drawdown": -0.06304689372931505, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1273570.4861534855, "start_session": "2005-12-30", "total_return": 0.23654730070404661, "traded_notional_by_category": { "entry": 1391188.5076580774, "exit": 1393973.6698355707, "resize": 108622.19379841181 }, "transaction_cost": 2893.7843712920594, "transaction_cost_over_anchor_nav": 0.002272182343069241, "two_sided_turnover": 2.0780983899884657 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.342926618959936, "annualized_volatility": 0.16912171607898618, "cagr": 0.05263161905372771, "end_nav": 1657716.0072758961, "end_session": "2007-12-31", "fee_by_category": { "entry": 2667.8449801916913, "exit": 2682.9718490455552, "resize": 9.766285738888197 }, "max_cash_weight": 0.0, "max_drawdown": -0.13862302108983415, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1574830.1469094327, "start_session": "2006-12-29", "total_return": 0.05263161905372771, "traded_notional_by_category": { "entry": 2667844.9801916913, "exit": 2682971.849045555, "resize": 9766.285738888197 }, "transaction_cost": 5360.583114976134, "transaction_cost_over_anchor_nav": 0.003403911923769146, "two_sided_turnover": 3.342926618959936 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6887343091907607, "annualized_volatility": 0.43409032139495085, "cagr": -0.36385473393759393, "end_nav": 1054548.1905044345, "end_session": "2008-12-31", "fee_by_category": { "entry": 2081.821416164664, "exit": 2084.306002781216, "resize": 39.56507619790168 }, "max_cash_weight": 0.0, "max_drawdown": -0.48022175463781036, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1657716.0072758961, "start_session": "2007-12-31", "total_return": -0.36385473393759393, "traded_notional_by_category": { "entry": 2081821.4161646636, "exit": 2084306.002781216, "resize": 39565.07619790168 }, "transaction_cost": 4205.692495143781, "transaction_cost_over_anchor_nav": 0.002537040407816863, "two_sided_turnover": 2.6887343091907607 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0, "annualized_volatility": 0.09818304342993911, "cagr": -0.04249429885285583, "end_nav": 1009735.9045424007, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 1010.7466511935942, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.10142594567515206, "mean_cash_weight": 0.9206349206349206, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1054548.1905044345, "start_session": "2008-12-31", "total_return": -0.04249429885285583, "traded_notional_by_category": { "entry": 0.0, "exit": 1010746.6511935942, "resize": 0.0 }, "transaction_cost": 1010.7466511935942, "transaction_cost_over_anchor_nav": 0.0009584641653124564, "two_sided_turnover": 1.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.33189003598867, "annualized_volatility": 0.18699900787465915, "cagr": 0.23001599659031924, "end_nav": 1241991.3149187486, "end_session": "2010-12-31", "fee_by_category": { "entry": 1734.277628801472, "exit": 717.8597364666194, "resize": 9.143268426146184 }, "max_cash_weight": 1.0, "max_drawdown": -0.1808586872663147, "mean_cash_weight": 0.07539682539682539, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1009735.9045424007, "start_session": "2009-12-31", "total_return": 0.23001599659031924, "traded_notional_by_category": { "entry": 1734277.6288014718, "exit": 717859.7364666194, "resize": 9143.268426146184 }, "transaction_cost": 2461.2806336942376, "transaction_cost_over_anchor_nav": 0.0024375488903800625, "two_sided_turnover": 2.33189003598867 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3757432296758638, "annualized_volatility": 0.20769025383116557, "cagr": 0.04864325071951625, "end_nav": 1302405.8098418028, "end_session": "2011-12-30", "fee_by_category": { "entry": 875.6001690017414, "exit": 859.8088815201421, "resize": 71.4123597744985 }, "max_cash_weight": 0.0, "max_drawdown": -0.18372649948102382, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1241991.3149187486, "start_session": "2010-12-31", "total_return": 0.04864325071951625, "traded_notional_by_category": { "entry": 875600.1690017413, "exit": 859808.8815201421, "resize": 71412.3597744985 }, "transaction_cost": 1806.8214102963818, "transaction_cost_over_anchor_nav": 0.0014547778141384062, "two_sided_turnover": 1.3757432296758638 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6803576105010309, "annualized_volatility": 0.08788118550757214, "cagr": 0.11892740231242493, "end_nav": 1457297.5495628985, "end_session": "2012-12-31", "fee_by_category": { "entry": 441.6533544478517, "exit": 404.6734943904155, "resize": 57.651642618899935 }, "max_cash_weight": 0.0, "max_drawdown": -0.06955010242723392, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1302405.8098418028, "start_session": "2011-12-30", "total_return": 0.11892740231242493, "traded_notional_by_category": { "entry": 441653.3544478517, "exit": 404673.4943904155, "resize": 57651.64261889993 }, "transaction_cost": 903.9784914571671, "transaction_cost_over_anchor_nav": 0.0006940835833394887, "two_sided_turnover": 0.6803576105010309 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3338081093030607, "annualized_volatility": 0.11558231982985638, "cagr": 0.3682683100151849, "end_nav": 1993974.0553296972, "end_session": "2013-12-31", "fee_by_category": { "entry": 1125.3262997941965, "exit": 1069.71206833092, "resize": 57.91403730490978 }, "max_cash_weight": 0.0, "max_drawdown": -0.05474457578903191, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1457297.5495628985, "start_session": "2012-12-31", "total_return": 0.3682683100151849, "traded_notional_by_category": { "entry": 1125326.2997941964, "exit": 1069712.0683309198, "resize": 57914.03730490978 }, "transaction_cost": 2252.9524054300264, "transaction_cost_over_anchor_nav": 0.0015459796841803353, "two_sided_turnover": 1.3338081093030607 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6678986662038175, "annualized_volatility": 0.1376266903651909, "cagr": 0.0005389254125351961, "end_nav": 1995048.6586200502, "end_session": "2014-12-31", "fee_by_category": { "entry": 2697.6949488993246, "exit": 2680.9483315779403, "resize": 27.973922801156295 }, "max_cash_weight": 0.0, "max_drawdown": -0.12243995573640976, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1993974.0553296972, "start_session": "2013-12-31", "total_return": 0.0005389254125351961, "traded_notional_by_category": { "entry": 2697694.948899324, "exit": 2680948.33157794, "resize": 27973.922801156295 }, "transaction_cost": 5406.617203278421, "transaction_cost_over_anchor_nav": 0.0027114782104747364, "two_sided_turnover": 2.6678986662038175 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6657780739753414, "annualized_volatility": 0.154167641545239, "cagr": -0.028128833044951174, "end_nav": 1938930.267985173, "end_session": "2015-12-31", "fee_by_category": { "entry": 2607.1516277821593, "exit": 2521.1598277735775, "resize": 91.21132278692454 }, "max_cash_weight": 1.3196683402644803e-16, "max_drawdown": -0.11664393253414851, "mean_cash_weight": 5.1626553946099516e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1995048.6586200502, "start_session": "2014-12-31", "total_return": -0.028128833044951174, "traded_notional_by_category": { "entry": 2607151.6277821595, "exit": 2521159.8277735775, "resize": 91211.32278692455 }, "transaction_cost": 5219.522778342662, "transaction_cost_over_anchor_nav": 0.0026162383337321403, "two_sided_turnover": 2.6657780739753414 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.021512006342491, "annualized_volatility": 0.12397701435787273, "cagr": 0.06325309013909819, "end_nav": 2061573.598999465, "end_session": "2016-12-30", "fee_by_category": { "entry": 1992.7555229753293, "exit": 1964.0247789868681, "resize": 76.07275161104592 }, "max_cash_weight": 1.2879068993634981e-16, "max_drawdown": -0.09388161259483663, "mean_cash_weight": 9.500336947239258e-18, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1938930.267985173, "start_session": "2015-12-31", "total_return": 0.06325309013909819, "traded_notional_by_category": { "entry": 1992755.5229753293, "exit": 1964024.7789868682, "resize": 76072.75161104591 }, "transaction_cost": 4032.8530535732434, "transaction_cost_over_anchor_nav": 0.0020799371283032045, "two_sided_turnover": 2.021512006342491 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9997779999753333, "annualized_volatility": 0.0906237756237042, "cagr": 0.21940364960451575, "end_nav": 2513890.370548264, "end_session": "2017-12-29", "fee_by_category": { "entry": 2140.6775783620883, "exit": 2067.4405766758946, "resize": 77.52264248371532 }, "max_cash_weight": 0.0, "max_drawdown": -0.05472316817609768, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2061573.598999465, "start_session": "2016-12-30", "total_return": 0.21940364960451575, "traded_notional_by_category": { "entry": 2140677.578362088, "exit": 2067440.5766758947, "resize": 77522.64248371532 }, "transaction_cost": 4285.640797521699, "transaction_cost_over_anchor_nav": 0.002078820178722521, "two_sided_turnover": 1.9997779999753333 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0069387682318407, "annualized_volatility": 0.19547637893858322, "cagr": -0.09335837451372075, "end_nav": 2279197.651848183, "end_session": "2018-12-31", "fee_by_category": { "entry": 2687.134237572317, "exit": 2657.726595134012, "resize": 53.86228378669243 }, "max_cash_weight": 0.0, "max_drawdown": -0.24520841374023672, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2513890.370548264, "start_session": "2017-12-29", "total_return": -0.09335837451372075, "traded_notional_by_category": { "entry": 2687134.237572317, "exit": 2657726.595134012, "resize": 53862.283786692424 }, "transaction_cost": 5398.723116493022, "transaction_cost_over_anchor_nav": 0.002147557101034439, "two_sided_turnover": 2.0069387682318407 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0223011421829584, "annualized_volatility": 0.09866946652412874, "cagr": 0.24873948456472572, "end_nav": 2846124.1009900332, "end_session": "2019-12-31", "fee_by_category": { "entry": 2546.031673587425, "exit": 2491.333663854611, "resize": 59.795170240495004 }, "max_cash_weight": 0.666585170188638, "max_drawdown": -0.04387649659845161, "mean_cash_weight": 0.3221316291685661, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2279197.651848183, "start_session": "2018-12-31", "total_return": 0.24873948456472572, "traded_notional_by_category": { "entry": 2546031.6735874247, "exit": 2491333.663854611, "resize": 59795.170240495005 }, "transaction_cost": 5097.160507682531, "transaction_cost_over_anchor_nav": 0.002236383713167344, "two_sided_turnover": 2.0223011421829584 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.373414481829358, "annualized_volatility": 0.33363179142384647, "cagr": 0.21459721415210398, "end_nav": 3456894.404193656, "end_session": "2020-12-31", "fee_by_category": { "entry": 2022.56130302601, "exit": 1872.258119770242, "resize": 274.23472812737737 }, "max_cash_weight": 0.0, "max_drawdown": -0.30243150459353507, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2846124.1009900332, "start_session": "2019-12-31", "total_return": 0.21459721415210398, "traded_notional_by_category": { "entry": 2022561.3030260098, "exit": 1872258.119770242, "resize": 274234.72812737734 }, "transaction_cost": 4169.054150923629, "transaction_cost_over_anchor_nav": 0.001464818118603265, "two_sided_turnover": 1.373414481829358 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9997779999753331, "annualized_volatility": 0.15427555956737452, "cagr": 0.25049330184387375, "end_nav": 4322823.297625735, "end_session": "2021-12-31", "fee_by_category": { "entry": 3885.5625695208837, "exit": 3800.1125410996046, "resize": 93.22893246436445 }, "max_cash_weight": 0.0, "max_drawdown": -0.06844291103178812, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3456894.404193656, "start_session": "2020-12-31", "total_return": 0.25049330184387375, "traded_notional_by_category": { "entry": 3885562.569520884, "exit": 3800112.541099605, "resize": 93228.93246436445 }, "transaction_cost": 7778.904043084853, "transaction_cost_over_anchor_nav": 0.0022502579290961406, "two_sided_turnover": 1.9997779999753331 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6657780739753414, "annualized_volatility": 0.1939943797036365, "cagr": -0.037613235488595964, "end_nav": 4160227.9269565498, "end_session": "2022-12-30", "fee_by_category": { "entry": 5423.727592720448, "exit": 5311.47865099593, "resize": 123.10725522345817 }, "max_cash_weight": 1.2840289679150632e-16, "max_drawdown": -0.17791675846460953, "mean_cash_weight": 4.945793371873262e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4322823.297625735, "start_session": "2021-12-31", "total_return": -0.037613235488595964, "traded_notional_by_category": { "entry": 5423727.592720448, "exit": 5311478.650995931, "resize": 123107.25522345817 }, "transaction_cost": 10858.313498939837, "transaction_cost_over_anchor_nav": 0.0025118568933649565, "two_sided_turnover": 2.6657780739753414 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0651442491712606, "annualized_volatility": 0.13172043445740034, "cagr": 0.029314479985467434, "end_nav": 4282182.845256301, "end_session": "2023-12-29", "fee_by_category": { "entry": 4135.664044802825, "exit": 4093.0224952289195, "resize": 322.2544998066998 }, "max_cash_weight": 1.1353763881838285e-16, "max_drawdown": -0.09907913196538787, "mean_cash_weight": 8.94387564218038e-18, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4160227.9269565498, "start_session": "2022-12-30", "total_return": 0.029314479985467434, "traded_notional_by_category": { "entry": 4135664.044802825, "exit": 4093022.495228919, "resize": 322254.4998066998 }, "transaction_cost": 8550.941039838444, "transaction_cost_over_anchor_nav": 0.002055402057284385, "two_sided_turnover": 2.0651442491712606 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.006861745532347, "annualized_volatility": 0.14227646957026677, "cagr": 0.15666220619067794, "end_nav": 4953039.057106027, "end_session": "2024-12-31", "fee_by_category": { "entry": 4634.9991904273575, "exit": 4557.183387810039, "resize": 119.30853477881942 }, "max_cash_weight": 0.0, "max_drawdown": -0.09716598973359936, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4282182.845256301, "start_session": "2023-12-29", "total_return": 0.15666220619067794, "traded_notional_by_category": { "entry": 4634999.190427357, "exit": 4557183.387810038, "resize": 119308.53477881942 }, "transaction_cost": 9311.491113016216, "transaction_cost_over_anchor_nav": 0.002174473031512716, "two_sided_turnover": 2.006861745532347 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0067101525351583, "annualized_volatility": 0.16232920426522118, "cagr": 0.10532039464940612, "end_nav": 5474695.085314357, "end_session": "2025-12-31", "fee_by_category": { "entry": 5137.73519209195, "exit": 4841.281263636219, "resize": 343.2745323808473 }, "max_cash_weight": 0.0, "max_drawdown": -0.15117126364275124, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4953039.057106027, "start_session": "2024-12-31", "total_return": 0.10532039464940612, "traded_notional_by_category": { "entry": 5137735.192091949, "exit": 4841281.263636218, "resize": 343274.53238084726 }, "transaction_cost": 10322.290988109016, "transaction_cost_over_anchor_nav": 0.002084031817455554, "two_sided_turnover": 2.0067101525351583 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9868978063482745, "annualized_volatility": 0.17741563897229162, "cagr": 0.07538836603077304, "end_nav": 5474695.085314357, "end_session": "2025-12-31", "fee_by_category": { "entry": 54571.68193126, "exit": 53309.93756921404, "resize": 2174.8052667138104 }, "max_cash_weight": 1.0, "max_drawdown": -0.48022175463781036, "mean_cash_weight": 0.08620181355487659, "nonzero_trade_event_count": 49, "order_count": 211, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 889665.1752601862, "start_session": "2000-12-29", "total_return": 5.153657845169965, "traded_notional_by_category": { "entry": 54571681.93126, "exit": 53309937.56921404, "resize": 2174805.26671381 }, "transaction_cost": 110056.42476718784, "transaction_cost_over_anchor_nav": 0.12370544315731072, "two_sided_turnover": 49.672445158706864 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6448338.543423826, "end_session": "2026-10-02", "fee_by_category": { "entry": 3927.9173465928716, "exit": 3747.9482432507957, "resize": 364.6479041473053 }, "max_cash_weight": 0.0, "max_drawdown": -0.07772763690202822, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 5474695.085314357, "start_session": "2025-12-31", "total_return": 0.1778443261107321, "traded_notional_by_category": { "entry": 3927917.3465928715, "exit": 3747948.2432507956, "resize": 364647.9041473053 }, "transaction_cost": 8040.513493990973, "transaction_cost_over_anchor_nav": 0.001468668732905202, "two_sided_turnover": 1.3642714661815627 } }, "monthly_risk": { "beta_intercept_per_month": 0.0006549718224965985, "beta_to_SPY_excess_returns": 0.7257609160071835, "monthly_return_volatility_annualized": 0.1341773512547867, "months": 300, "sharpe_monthly_annualized": 0.4837643082770567, "tracking_error_monthly_annualized": 0.08812939500059105 }, "phase": [ 1, 7 ], "policy": "A", "run_id": "S12-01-07-10bps", "signal": "12-1" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6665827707970995, "annualized_volatility": 0.17539419463545264, "cagr": -0.031721319777366475, "end_nav": 859209.7786889932, "end_session": "2001-12-31", "fee_by_category": { "entry": 3092.9844027440895, "exit": 3095.128640822539, "resize": 23.223178610095783 }, "max_cash_weight": 1.5200875322891853e-16, "max_drawdown": -0.19451767363683947, "mean_cash_weight": 6.713355175971389e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 887357.9437806454, "start_session": "2000-12-29", "total_return": -0.031721319777366475, "traded_notional_by_category": { "entry": 1237193.7610976356, "exit": 1238051.4563290158, "resize": 9289.271444038313 }, "transaction_cost": 6211.336222176725, "transaction_cost_over_anchor_nav": 0.006999809113910593, "two_sided_turnover": 2.6665827707970995 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.304930615497023, "annualized_volatility": 0.13559258518798936, "cagr": -0.09174037440904714, "end_nav": 780385.5518961505, "end_session": "2002-12-31", "fee_by_category": { "entry": 712.418058833362, "exit": 1965.6175776211944, "resize": 64.69656502814337 }, "max_cash_weight": 0.7112103912504035, "max_drawdown": -0.17436049480366844, "mean_cash_weight": 0.45068174271325323, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 859209.7786889932, "start_session": "2001-12-31", "total_return": -0.09174037440904714, "traded_notional_by_category": { "entry": 284967.2235333448, "exit": 786247.0310484779, "resize": 25878.62601125735 }, "transaction_cost": 2742.7322014826996, "transaction_cost_over_anchor_nav": 0.003192156641498702, "two_sided_turnover": 1.304930615497023 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3342087211514517, "annualized_volatility": 0.10125246181766547, "cagr": 0.13177334421902454, "end_nav": 883219.5658497153, "end_session": "2003-12-31", "fee_by_category": { "entry": 1949.5489977755697, "exit": 606.0578383308856, "resize": 38.93826889491771 }, "max_cash_weight": 0.6854814911239742, "max_drawdown": -0.05279437708509804, "mean_cash_weight": 0.3817533020051215, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 780385.5518961505, "start_session": "2002-12-31", "total_return": 0.13177334421902454, "traded_notional_by_category": { "entry": 779819.5991102278, "exit": 242423.13533235423, "resize": 15575.307557967084 }, "transaction_cost": 2594.5451050013726, "transaction_cost_over_anchor_nav": 0.0033246964896995438, "two_sided_turnover": 1.3342087211514517 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6831284094577685, "annualized_volatility": 0.12597439409721028, "cagr": 0.2107619800217626, "end_nav": 1069368.6703421627, "end_session": "2004-12-31", "fee_by_category": { "entry": 3054.729537567827, "exit": 3030.777028547629, "resize": 89.9156565839755 }, "max_cash_weight": 1.322662423248228e-16, "max_drawdown": -0.06746587613787458, "mean_cash_weight": 1.214117708676905e-16, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 883219.5658497153, "start_session": "2003-12-31", "total_return": 0.2107619800217626, "traded_notional_by_category": { "entry": 1221891.8150271308, "exit": 1212310.8114190514, "resize": 35966.2626335902 }, "transaction_cost": 6175.422222699432, "transaction_cost_over_anchor_nav": 0.006991944541851572, "two_sided_turnover": 2.6831284094577685 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3429659009767687, "annualized_volatility": 0.14209018198737045, "cagr": 0.17132742078591368, "end_nav": 1252580.8465011474, "end_session": "2005-12-30", "fee_by_category": { "entry": 1928.0632680664517, "exit": 1781.1154324500567, "resize": 179.64539142618102 }, "max_cash_weight": 1.1197529659308523e-16, "max_drawdown": -0.10436206348997223, "mean_cash_weight": 8.742274663962301e-18, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1069368.6703421627, "start_session": "2004-12-31", "total_return": 0.17132742078591368, "traded_notional_by_category": { "entry": 771225.3072265807, "exit": 712446.1729800226, "resize": 71858.1565704724 }, "transaction_cost": 3888.824091942689, "transaction_cost_over_anchor_nav": 0.0036365607108149087, "two_sided_turnover": 1.3429659009767687 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.075068845964114, "annualized_volatility": 0.11938034198420294, "cagr": 0.2326951977204228, "end_nav": 1544050.3942385465, "end_session": "2006-12-29", "fee_by_category": { "entry": 3409.9949888645406, "exit": 3427.0876955756407, "resize": 266.94656585417397 }, "max_cash_weight": 0.0, "max_drawdown": -0.0631593788537812, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1252580.8465011474, "start_session": "2005-12-30", "total_return": 0.2326951977204228, "traded_notional_by_category": { "entry": 1363997.9955458161, "exit": 1370835.0782302562, "resize": 106778.62634166959 }, "transaction_cost": 7104.029250294355, "transaction_cost_over_anchor_nav": 0.005671513555502741, "two_sided_turnover": 2.075068845964114 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.337924733744534, "annualized_volatility": 0.16887283286765606, "cagr": 0.047363677577683116, "end_nav": 1617182.2992749554, "end_session": "2007-12-31", "fee_by_category": { "entry": 6514.444867955921, "exit": 6568.4763969571395, "resize": 21.271048218390497 }, "max_cash_weight": 0.0, "max_drawdown": -0.14120328807675164, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1544050.3942385465, "start_session": "2006-12-29", "total_return": 0.047363677577683116, "traded_notional_by_category": { "entry": 2605777.9471823685, "exit": 2627390.558782856, "resize": 8508.419287356199 }, "transaction_cost": 13104.19231313145, "transaction_cost_over_anchor_nav": 0.008486894185596724, "two_sided_turnover": 3.337924733744534 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.68539970142659, "annualized_volatility": 0.43393708473954257, "cagr": -0.3664173575739059, "end_nav": 1024618.6344593328, "end_session": "2008-12-31", "fee_by_category": { "entry": 5060.752861361537, "exit": 5079.494556989398, "resize": 96.20507344453887 }, "max_cash_weight": 0.0, "max_drawdown": -0.48076021960518867, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1617182.2992749554, "start_session": "2007-12-31", "total_return": -0.3664173575739059, "traded_notional_by_category": { "entry": 2024301.1445446145, "exit": 2031797.8227957592, "resize": 38482.02937781555 }, "transaction_cost": 10236.452491795471, "transaction_cost_over_anchor_nav": 0.006329807404140439, "two_sided_turnover": 2.68539970142659 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0, "annualized_volatility": 0.0984218363217763, "cagr": -0.04393199510082446, "end_nav": 979605.0936300519, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 2455.1506106016336, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.10142594567515217, "mean_cash_weight": 0.9206349206349206, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1024618.6344593328, "start_session": "2008-12-31", "total_return": -0.04393199510082446, "traded_notional_by_category": { "entry": 0.0, "exit": 982060.2442406535, "resize": 0.0 }, "transaction_cost": 2455.1506106016336, "transaction_cost_over_anchor_nav": 0.0023961604132811416, "two_sided_turnover": 1.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3297293817911506, "annualized_volatility": 0.1867258493951544, "cagr": 0.2257188109977275, "end_nav": 1200720.3906115447, "end_session": "2010-12-31", "fee_by_category": { "entry": 4196.507148189716, "exit": 1738.4913547927263, "resize": 23.900306345178542 }, "max_cash_weight": 1.0, "max_drawdown": -0.1808586872663147, "mean_cash_weight": 0.07539682539682539, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 979605.0936300519, "start_session": "2009-12-31", "total_return": 0.2257188109977275, "traded_notional_by_category": { "entry": 1678602.8592758863, "exit": 695396.5419170905, "resize": 9560.122538071417 }, "transaction_cost": 5958.89880932762, "transaction_cost_over_anchor_nav": 0.006082960213330617, "two_sided_turnover": 2.3297293817911506 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3750987850325287, "annualized_volatility": 0.2077893656631355, "cagr": 0.04647828056939862, "end_nav": 1256527.809811786, "end_session": "2011-12-30", "fee_by_category": { "entry": 2111.891613030016, "exit": 2077.9606550201956, "resize": 174.77728479749524 }, "max_cash_weight": 0.0, "max_drawdown": -0.1853593199794954, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1200720.3906115447, "start_session": "2010-12-31", "total_return": 0.04647828056939862, "traded_notional_by_category": { "entry": 844756.6452120064, "exit": 831184.2620080783, "resize": 69910.91391899809 }, "transaction_cost": 4364.629552847707, "transaction_cost_over_anchor_nav": 0.003635009105346113, "two_sided_turnover": 1.3750987850325287 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6806980730250517, "annualized_volatility": 0.08779775372515251, "cagr": 0.11778381856103315, "end_nav": 1404526.4533795498, "end_session": "2012-12-31", "fee_by_category": { "entry": 1064.172451928073, "exit": 976.0465896129448, "resize": 141.16251089485783 }, "max_cash_weight": 0.0, "max_drawdown": -0.0695501024272338, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1256527.809811786, "start_session": "2011-12-30", "total_return": 0.11778381856103315, "traded_notional_by_category": { "entry": 425668.98077122925, "exit": 390418.6358451779, "resize": 56465.00435794314 }, "transaction_cost": 2181.381552435876, "transaction_cost_over_anchor_nav": 0.001736039214892206, "two_sided_turnover": 0.6806980730250517 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3344453711426187, "annualized_volatility": 0.11547268680346712, "cagr": 0.3655281640260042, "end_nav": 1917920.4292093317, "end_session": "2013-12-31", "fee_by_category": { "entry": 2707.2583691487644, "exit": 2576.0248178231, "resize": 144.80376871488073 }, "max_cash_weight": 0.0, "max_drawdown": -0.0547445757890318, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1404526.4533795498, "start_session": "2012-12-31", "total_return": 0.3655281640260042, "traded_notional_by_category": { "entry": 1082903.3476595057, "exit": 1030409.92712924, "resize": 57921.50748595229 }, "transaction_cost": 5428.086955686745, "transaction_cost_over_anchor_nav": 0.003864709662552646, "two_sided_turnover": 1.3344453711426187 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664574467586851, "annualized_volatility": 0.13797625139811276, "cagr": -0.003460414814150381, "end_nav": 1911283.628943734, "end_session": "2014-12-31", "fee_by_category": { "entry": 6465.711145369334, "exit": 6441.761433782842, "resize": 67.26737226351601 }, "max_cash_weight": 1.2836719727898079e-16, "max_drawdown": -0.12506869932567566, "mean_cash_weight": 5.887476597528364e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1917920.4292093317, "start_session": "2013-12-31", "total_return": -0.003460414814150381, "traded_notional_by_category": { "entry": 2586284.4581477335, "exit": 2576704.5735131367, "resize": 26906.948905406403 }, "transaction_cost": 12974.739951415691, "transaction_cost_over_anchor_nav": 0.00676500430039455, "two_sided_turnover": 2.664574467586851 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6644462947543714, "annualized_volatility": 0.15407047282837788, "cagr": -0.03201308018823734, "end_nav": 1850097.5528678931, "end_session": "2015-12-31", "fee_by_category": { "entry": 6225.437703174335, "exit": 6032.075094254906, "resize": 224.56781043909956 }, "max_cash_weight": 0.0, "max_drawdown": -0.12017441414346375, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1911283.628943734, "start_session": "2014-12-31", "total_return": -0.03201308018823734, "traded_notional_by_category": { "entry": 2490175.0812697336, "exit": 2412830.037701962, "resize": 89827.12417563982 }, "transaction_cost": 12482.080607868342, "transaction_cost_over_anchor_nav": 0.006530731712888961, "two_sided_turnover": 2.6644462947543714 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.019159452672025, "annualized_volatility": 0.12397575676370906, "cagr": 0.06003382956873726, "end_nav": 1961165.994042302, "end_session": "2016-12-30", "fee_by_category": { "entry": 4742.216433748784, "exit": 4681.7441564186975, "resize": 178.12437703027825 }, "max_cash_weight": 1.3902728703366903e-16, "max_drawdown": -0.09479808930734823, "mean_cash_weight": 6.262489536682192e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1850097.5528678931, "start_session": "2015-12-31", "total_return": 0.06003382956873726, "traded_notional_by_category": { "entry": 1896886.5734995133, "exit": 1872697.6625674788, "resize": 71249.7508121113 }, "transaction_cost": 9602.08496719776, "transaction_cost_over_anchor_nav": 0.005190042520900193, "two_sided_turnover": 2.019159452672025 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9994458329484952, "annualized_volatility": 0.0907731442255882, "cagr": 0.21574523512145038, "end_nav": 2384278.2125391513, "end_session": "2017-12-29", "fee_by_category": { "entry": 5079.07704096004, "exit": 4913.3450016422785, "resize": 191.19107210452728 }, "max_cash_weight": 0.0, "max_drawdown": -0.05472316817609768, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1961165.994042302, "start_session": "2016-12-30", "total_return": 0.21574523512145038, "traded_notional_by_category": { "entry": 2031630.8163840158, "exit": 1965338.0006569114, "resize": 76476.4288418109 }, "transaction_cost": 10183.613114706846, "transaction_cost_over_anchor_nav": 0.00519263190655099, "two_sided_turnover": 1.9994458329484952 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.005936134375938, "annualized_volatility": 0.19552017296560584, "cagr": -0.09608666500127305, "end_nav": 2155180.870661068, "end_session": "2018-12-31", "fee_by_category": { "entry": 6356.503147994852, "exit": 6297.5053673365, "resize": 131.89505738513662 }, "max_cash_weight": 0.0, "max_drawdown": -0.2452084137402366, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2384278.2125391513, "start_session": "2017-12-29", "total_return": -0.09608666500127305, "traded_notional_by_category": { "entry": 2542601.259197941, "exit": 2519002.1469346, "resize": 52758.02295405464 }, "transaction_cost": 12785.903572716488, "transaction_cost_over_anchor_nav": 0.0053625887723480325, "two_sided_turnover": 2.005936134375938 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.021290833535739, "annualized_volatility": 0.09875650589495992, "cagr": 0.24495301085665755, "end_nav": 2683098.913870169, "end_session": "2019-12-31", "fee_by_category": { "entry": 6002.512313007223, "exit": 5889.435093989661, "resize": 143.16500003514346 }, "max_cash_weight": 0.666585170188638, "max_drawdown": -0.04486509956142215, "mean_cash_weight": 0.32213162916856614, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2155180.870661068, "start_session": "2018-12-31", "total_return": 0.24495301085665755, "traded_notional_by_category": { "entry": 2401004.9252028894, "exit": 2355774.0375958644, "resize": 57266.00001405738 }, "transaction_cost": 12035.11240703203, "transaction_cost_over_anchor_nav": 0.005584270244260496, "two_sided_turnover": 2.021290833535739 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3727688718409792, "annualized_volatility": 0.3336006484994523, "cagr": 0.21209386287347232, "end_nav": 3252167.726984511, "end_session": "2020-12-31", "fee_by_category": { "entry": 4756.949321021583, "exit": 4412.270789841081, "resize": 651.2031372285146 }, "max_cash_weight": 0.0, "max_drawdown": -0.30243150459353496, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2683098.913870169, "start_session": "2019-12-31", "total_return": 0.21209386287347232, "traded_notional_by_category": { "entry": 1902779.7284086333, "exit": 1764908.3159364322, "resize": 260481.2548914058 }, "transaction_cost": 9820.42324809118, "transaction_cost_over_anchor_nav": 0.0036601048128806985, "two_sided_turnover": 1.3727688718409792 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9994458329484952, "annualized_volatility": 0.15427023677873972, "cagr": 0.24674161321482435, "end_nav": 4054612.8383858576, "end_session": "2021-12-31", "fee_by_category": { "entry": 9116.697498080166, "exit": 8931.318244981467, "resize": 231.07698491865074 }, "max_cash_weight": 1.2643770835242634e-16, "max_drawdown": -0.06844291103178812, "mean_cash_weight": 5.058274841032048e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3252167.726984511, "start_session": "2020-12-31", "total_return": 0.24674161321482435, "traded_notional_by_category": { "entry": 3646678.999232066, "exit": 3572527.297992587, "resize": 92430.79396746028 }, "transaction_cost": 18279.092727980285, "transaction_cost_over_anchor_nav": 0.005620587332046709, "two_sided_turnover": 1.9994458329484952 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6644462947543714, "annualized_volatility": 0.19396614938516968, "cagr": -0.0414595766168151, "end_nav": 3886510.306761277, "end_session": "2022-12-30", "fee_by_category": { "entry": 12680.205558557214, "exit": 12442.639647096694, "resize": 301.1258390723349 }, "max_cash_weight": 1.2185025481147462e-16, "max_drawdown": -0.18120235288396191, "mean_cash_weight": 9.283323937193435e-18, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4054612.8383858576, "start_session": "2021-12-31", "total_return": -0.0414595766168151, "traded_notional_by_category": { "entry": 5072082.223422885, "exit": 4977055.858838677, "resize": 120450.33562893397 }, "transaction_cost": 25423.97104472624, "transaction_cost_over_anchor_nav": 0.006270381922543197, "two_sided_turnover": 2.6644462947543714 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0627812980871267, "annualized_volatility": 0.13180298242434987, "cagr": 0.026130717074103638, "end_nav": 3988067.6079928437, "end_session": "2023-12-29", "fee_by_category": { "entry": 9635.482084033294, "exit": 9552.250932753817, "resize": 746.1872017055488 }, "max_cash_weight": 1.3132701649806269e-16, "max_drawdown": -0.1015704043883553, "mean_cash_weight": 5.2241784856649464e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 3886510.306761277, "start_session": "2022-12-30", "total_return": 0.026130717074103638, "traded_notional_by_category": { "entry": 3854192.8336133175, "exit": 3820900.373101527, "resize": 298474.8806822195 }, "transaction_cost": 19933.92021849266, "transaction_cost_over_anchor_nav": 0.005129002278422897, "two_sided_turnover": 2.0627812980871267 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0045274369581976, "annualized_volatility": 0.14245034634581344, "cagr": 0.15318551942670644, "end_nav": 4598981.81603205, "end_session": "2024-12-31", "fee_by_category": { "entry": 10765.899213435545, "exit": 10602.935890658238, "resize": 270.32978545242395 }, "max_cash_weight": 1.1995740325633913e-16, "max_drawdown": -0.09897338153415436, "mean_cash_weight": 6.36131456051102e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3988067.6079928437, "start_session": "2023-12-29", "total_return": 0.15318551942670644, "traded_notional_by_category": { "entry": 4306359.685374217, "exit": 4241174.356263295, "resize": 108131.91418096959 }, "transaction_cost": 21639.164889546206, "transaction_cost_over_anchor_nav": 0.005425977444860066, "two_sided_turnover": 2.0045274369581976 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0057076328919266, "annualized_volatility": 0.16247826974151044, "cagr": 0.10199461311622127, "end_nav": 5068053.187086776, "end_session": "2025-12-31", "fee_by_category": { "entry": 11898.224640472485, "exit": 11230.507340335145, "resize": 803.8879325851501 }, "max_cash_weight": 0.0, "max_drawdown": -0.15121780906935534, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4598981.81603205, "start_session": "2024-12-31", "total_return": 0.10199461311622127, "traded_notional_by_category": { "entry": 4759289.856188994, "exit": 4492202.936134059, "resize": 321555.17303406005 }, "transaction_cost": 23932.61991339278, "transaction_cost_over_anchor_nav": 0.0052038953122109915, "two_sided_turnover": 2.0057076328919266 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9853884677344487, "annualized_volatility": 0.1774152719454439, "cagr": 0.07218491556451356, "end_nav": 5068053.187086776, "end_session": "2025-12-31", "fee_by_category": { "entry": 129527.68266532072, "exit": 126805.21818823641, "resize": 5205.507189033154 }, "max_cash_weight": 1.0, "max_drawdown": -0.4823612582110678, "mean_cash_weight": 0.0862018135548766, "nonzero_trade_event_count": 49, "order_count": 211, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 887357.9437806454, "start_session": "2000-12-29", "total_return": 4.7113966495797746, "traded_notional_by_category": { "entry": 51811073.066128284, "exit": 50722087.275294565, "resize": 2082202.8756132612 }, "transaction_cost": 261538.40804259028, "transaction_cost_over_anchor_nav": 0.2947383407966002, "two_sided_turnover": 49.63471169336122 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 5957170.000140004, "end_session": "2026-10-02", "fee_by_category": { "entry": 9076.182507388621, "exit": 8669.324316392867, "resize": 843.388378196322 }, "max_cash_weight": 0.0, "max_drawdown": -0.07772763690202822, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 5068053.187086776, "start_session": "2025-12-31", "total_return": 0.1754355726413186, "traded_notional_by_category": { "entry": 3630473.0029554483, "exit": 3467729.7265571468, "resize": 337355.3512785288 }, "transaction_cost": 18588.89520197781, "transaction_cost_over_anchor_nav": 0.0036678571664049762, "two_sided_turnover": 1.3635898984216053 } }, "monthly_risk": { "beta_intercept_per_month": 0.00039672069336138885, "beta_to_SPY_excess_returns": 0.7270050752401491, "monthly_return_volatility_annualized": 0.13417377515016393, "months": 300, "sharpe_monthly_annualized": 0.46141650092059655, "tracking_error_monthly_annualized": 0.08780801463867335 }, "phase": [ 1, 7 ], "policy": "A", "run_id": "S12-01-07-25bps", "signal": "12-1" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.671018440647452, "annualized_volatility": 0.17552212066707665, "cagr": -0.026532713477177783, "end_nav": 866810.3477989617, "end_session": "2001-12-31", "fee_by_category": { "entry": 623.4349316955468, "exit": 621.771598754673, "resize": 4.679427516410739 }, "max_cash_weight": 0.0, "max_drawdown": -0.1934341587601366, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 890436.0319032045, "start_session": "2000-12-29", "total_return": -0.026532713477177783, "traded_notional_by_category": { "entry": 1246869.8633910934, "exit": 1243543.1975093463, "resize": 9358.855032821477 }, "transaction_cost": 1249.8859579666307, "transaction_cost_over_anchor_nav": 0.001403678549816929, "two_sided_turnover": 2.671018440647452 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.304727294533198, "annualized_volatility": 0.13553874685880668, "cagr": -0.08936376352221176, "end_nav": 789348.9128596492, "end_session": "2002-12-31", "fee_by_category": { "entry": 144.03223026294458, "exit": 396.83815443254235, "resize": 12.690376691423939 }, "max_cash_weight": 0.7112103912504036, "max_drawdown": -0.17385650113601403, "mean_cash_weight": 0.45068174271325323, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 866810.3477989617, "start_session": "2001-12-31", "total_return": -0.08936376352221176, "traded_notional_by_category": { "entry": 288064.4605258892, "exit": 793676.3088650847, "resize": 25380.753382847877 }, "transaction_cost": 553.5607613869108, "transaction_cost_over_anchor_nav": 0.0006386180815590558, "two_sided_turnover": 1.304727294533198 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3350980454115096, "annualized_volatility": 0.10106752690345462, "cagr": 0.13479995198422956, "end_nav": 895753.1084119336, "end_session": "2003-12-31", "fee_by_category": { "entry": 395.26551358415736, "exit": 122.60378082453667, "resize": 7.70499942620995 }, "max_cash_weight": 0.6854814911239742, "max_drawdown": -0.05279437708509793, "mean_cash_weight": 0.3817533020051214, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 789348.9128596492, "start_session": "2002-12-31", "total_return": 0.13479995198422956, "traded_notional_by_category": { "entry": 790531.0271683147, "exit": 245207.56164907332, "resize": 15409.9988524199 }, "transaction_cost": 525.574293834904, "transaction_cost_over_anchor_nav": 0.0006658326695236156, "two_sided_turnover": 1.3350980454115096 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.687575107895797, "annualized_volatility": 0.12597879428222264, "cagr": 0.21729031097373408, "end_nav": 1090391.5798944517, "end_session": "2004-12-31", "fee_by_category": { "entry": 622.3251873928834, "exit": 615.383303271631, "resize": 18.311424917570783 }, "max_cash_weight": 1.2989492708587507e-16, "max_drawdown": -0.06746587613787469, "mean_cash_weight": 6.110479237681506e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 895753.1084119336, "start_session": "2003-12-31", "total_return": 0.21729031097373408, "traded_notional_by_category": { "entry": 1244650.374785767, "exit": 1230766.606543262, "resize": 36622.84983514156 }, "transaction_cost": 1256.0199155820853, "transaction_cost_over_anchor_nav": 0.0014021943142445389, "two_sided_turnover": 2.687575107895797 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.342971432111712, "annualized_volatility": 0.14213955914671525, "cagr": 0.17448093317219282, "end_nav": 1280644.1202775373, "end_session": "2005-12-30", "fee_by_category": { "entry": 394.0068842006651, "exit": 363.4778247895469, "resize": 36.10707534900561 }, "max_cash_weight": 0.0, "max_drawdown": -0.10436206348997212, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1090391.5798944517, "start_session": "2004-12-31", "total_return": 0.17448093317219282, "traded_notional_by_category": { "entry": 788013.7684013303, "exit": 726955.6495790938, "resize": 72214.15069801122 }, "transaction_cost": 793.5917843392176, "transaction_cost_over_anchor_nav": 0.0007278043952027181, "two_sided_turnover": 1.342971432111712 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0791102389107285, "annualized_volatility": 0.1191481844011867, "cagr": 0.2378340339511802, "end_nav": 1585224.8774590043, "end_session": "2006-12-29", "fee_by_category": { "entry": 700.1855520427367, "exit": 700.8860878626895, "resize": 54.62185087690177 }, "max_cash_weight": 0.0, "max_drawdown": -0.06300937369529735, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1280644.1202775373, "start_session": "2005-12-30", "total_return": 0.2378340339511802, "traded_notional_by_category": { "entry": 1400371.1040854733, "exit": 1401772.1757253788, "resize": 109243.70175380353 }, "transaction_cost": 1455.693490782328, "transaction_cost_over_anchor_nav": 0.001136688536442782, "two_sided_turnover": 2.0791102389107285 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.344597246955418, "annualized_volatility": 0.16922226882231123, "cagr": 0.054393940745040226, "end_nav": 1671451.5055110732, "end_session": "2007-12-31", "fee_by_category": { "entry": 1344.4308383256302, "exit": 1350.8793549796626, "resize": 5.098312401178817 }, "max_cash_weight": 1.5332537980778444e-16, "max_drawdown": -0.13776121277586273, "mean_cash_weight": 5.958599794599575e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1585224.8774590043, "start_session": "2006-12-29", "total_return": 0.054393940745040226, "traded_notional_by_category": { "entry": 2688861.676651261, "exit": 2701758.7099593254, "resize": 10196.624802357634 }, "transaction_cost": 2700.408505706472, "transaction_cost_over_anchor_nav": 0.0017034860757642303, "two_sided_turnover": 3.344597246955418 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6898479138069407, "annualized_volatility": 0.4341468562338389, "cagr": -0.3629982319235996, "end_nav": 1064717.564264515, "end_session": "2008-12-31", "fee_by_category": { "entry": 1050.677768819946, "exit": 1051.0545166032412, "resize": 19.96640863316314 }, "max_cash_weight": 1.5911960191748236e-16, "max_drawdown": -0.4800421466764092, "mean_cash_weight": 1.2509320123695074e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1671451.5055110732, "start_session": "2007-12-31", "total_return": -0.3629982319235996, "traded_notional_by_category": { "entry": 2101355.537639892, "exit": 2102109.033206482, "resize": 39932.81726632628 }, "transaction_cost": 2121.69869405635, "transaction_cost_over_anchor_nav": 0.001269374963653287, "two_sided_turnover": 2.6898479138069407 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0, "annualized_volatility": 0.09810826902234164, "cagr": -0.042015066770199616, "end_nav": 1019983.384710537, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 510.2468157631501, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.10142594567515217, "mean_cash_weight": 0.9206349206349206, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1064717.564264515, "start_session": "2008-12-31", "total_return": -0.042015066770199616, "traded_notional_by_category": { "entry": 0.0, "exit": 1020493.6315263002, "resize": 0.0 }, "transaction_cost": 510.2468157631501, "transaction_cost_over_anchor_nav": 0.0004792320826562283, "two_sided_turnover": 1.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.332611398017039, "annualized_volatility": 0.1870977159275982, "cagr": 0.23145180209401328, "end_nav": 1256060.377207742, "end_session": "2010-12-31", "fee_by_category": { "entry": 876.6215045234172, "exit": 362.7537259966661, "resize": 4.498022798141727 }, "max_cash_weight": 1.0, "max_drawdown": -0.1808586872663147, "mean_cash_weight": 0.07539682539682545, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1019983.384710537, "start_session": "2009-12-31", "total_return": 0.23145180209401328, "traded_notional_by_category": { "entry": 1753243.0090468344, "exit": 725507.4519933322, "resize": 8996.045596283453 }, "transaction_cost": 1243.8732533182251, "transaction_cost_over_anchor_nav": 0.0012195034467852887, "two_sided_turnover": 2.332611398017039 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3759581972741286, "annualized_volatility": 0.20766139090330432, "cagr": 0.04936541848599596, "end_nav": 1318066.3233722802, "end_session": "2011-12-30", "fee_by_category": { "entry": 443.0643224942521, "exit": 434.7836416351985, "resize": 35.958590064336164 }, "max_cash_weight": 0.0, "max_drawdown": -0.18318186319299856, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1256060.377207742, "start_session": "2010-12-31", "total_return": 0.04936541848599596, "traded_notional_by_category": { "entry": 886128.6449885042, "exit": 869567.283270397, "resize": 71917.18012867233 }, "transaction_cost": 913.8065541937867, "transaction_cost_over_anchor_nav": 0.0007275180164708361, "two_sided_turnover": 1.3759581972741286 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6802441986639747, "annualized_volatility": 0.08791155810138736, "cagr": 0.11930835278967677, "end_nav": 1475322.6452813724, "end_session": "2012-12-31", "fee_by_category": { "entry": 223.5565436369221, "exit": 204.76970422228692, "resize": 29.024941413473222 }, "max_cash_weight": 0.0, "max_drawdown": -0.0695501024272338, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1318066.3233722802, "start_session": "2011-12-30", "total_return": 0.11930835278967677, "traded_notional_by_category": { "entry": 447113.08727384417, "exit": 409539.4084445738, "resize": 58049.88282694644 }, "transaction_cost": 457.3511892726822, "transaction_cost_over_anchor_nav": 0.0003469864764487318, "two_sided_turnover": 0.6802441986639747 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3338080772833893, "annualized_volatility": 0.1156227145422414, "cagr": 0.36918157502065907, "end_nav": 2019984.5831299946, "end_session": "2013-12-31", "fee_by_category": { "entry": 569.915439710365, "exit": 541.570609858867, "resize": 29.11355198281401 }, "max_cash_weight": 0.0, "max_drawdown": -0.054744575789032024, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1475322.6452813724, "start_session": "2012-12-31", "total_return": 0.36918157502065907, "traded_notional_by_category": { "entry": 1139830.8794207298, "exit": 1083141.2197177338, "resize": 58227.10396562802 }, "transaction_cost": 1140.599601552046, "transaction_cost_over_anchor_nav": 0.0007731187514813153, "two_sided_turnover": 1.3338080772833893 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6690087987915048, "annualized_volatility": 0.13752568852409797, "cagr": 0.0018755984394818181, "end_nav": 2023773.2630618906, "end_session": "2014-12-31", "fee_by_category": { "entry": 1367.9411949630353, "exit": 1358.30922357174, "resize": 14.16941525316413 }, "max_cash_weight": 1.2226833171975594e-16, "max_drawdown": -0.12156195625340505, "mean_cash_weight": 4.758341604818793e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2019984.5831299946, "start_session": "2013-12-31", "total_return": 0.0018755984394818181, "traded_notional_by_category": { "entry": 2735882.389926071, "exit": 2716618.4471434797, "resize": 28338.83050632826 }, "transaction_cost": 2740.4198337879393, "transaction_cost_over_anchor_nav": 0.0013566538362097893, "two_sided_turnover": 2.6690087987915048 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6662222962839524, "annualized_volatility": 0.15421164170526344, "cagr": -0.02683149118483863, "end_nav": 1969472.4085939333, "end_session": "2015-12-31", "fee_by_category": { "entry": 1323.672295366775, "exit": 1279.1667834531454, "resize": 45.82984637622751 }, "max_cash_weight": 1.2171053932722334e-16, "max_drawdown": -0.1154647486642345, "mean_cash_weight": 6.833018296488932e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2023773.2630618906, "start_session": "2014-12-31", "total_return": -0.02683149118483863, "traded_notional_by_category": { "entry": 2647344.59073355, "exit": 2558333.566906291, "resize": 91659.69275245501 }, "transaction_cost": 2648.668925196148, "transaction_cost_over_anchor_nav": 0.0013087775066208823, "two_sided_turnover": 2.6662222962839524 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.02229760884375, "annualized_volatility": 0.12398656714653788, "cagr": 0.06432881123748002, "end_nav": 2096166.2274037977, "end_session": "2016-12-30", "fee_by_category": { "entry": 1012.8854125191976, "exit": 997.7198392827408, "resize": 38.873651818251474 }, "max_cash_weight": 1.3042438628567486e-16, "max_drawdown": -0.09357591672977883, "mean_cash_weight": 5.87497153882051e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1969472.4085939333, "start_session": "2015-12-31", "total_return": 0.06432881123748002, "traded_notional_by_category": { "entry": 2025770.8250383951, "exit": 1995439.6785654817, "resize": 77747.30363650294 }, "transaction_cost": 2049.47890362019, "transaction_cost_over_anchor_nav": 0.0010406233134707258, "two_sided_turnover": 2.02229760884375 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998889444413592, "annualized_volatility": 0.09058609335532516, "cagr": 0.2206244776212063, "end_nav": 2558631.8063319754, "end_session": "2017-12-29", "fee_by_category": { "entry": 1089.1521683617145, "exit": 1051.3170313362775, "resize": 38.924834042307225 }, "max_cash_weight": 0.0, "max_drawdown": -0.05472316817609768, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2096166.2274037977, "start_session": "2016-12-30", "total_return": 0.2206244776212063, "traded_notional_by_category": { "entry": 2178304.336723429, "exit": 2102634.062672555, "resize": 77849.66808461444 }, "transaction_cost": 2179.394033740299, "transaction_cost_over_anchor_nav": 0.0010397047740052482, "two_sided_turnover": 1.9998889444413592 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0072732022875366, "annualized_volatility": 0.19546745773753782, "cagr": -0.09244752265055167, "end_nav": 2322092.634461678, "end_session": "2018-12-31", "fee_by_category": { "entry": 1368.5521402112324, "exit": 1352.817588973218, "resize": 27.110656228040988 }, "max_cash_weight": 0.0, "max_drawdown": -0.24520841374023672, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2558631.8063319754, "start_session": "2017-12-29", "total_return": -0.09244752265055167, "traded_notional_by_category": { "entry": 2737104.280422465, "exit": 2705635.177946436, "resize": 54221.31245608197 }, "transaction_cost": 2748.4803854124916, "transaction_cost_over_anchor_nav": 0.0010741992570446003, "two_sided_turnover": 2.0072732022875366 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.022638136207651, "annualized_volatility": 0.09865178943767862, "cagr": 0.250003632611584, "end_nav": 2902624.2283377005, "end_session": "2019-12-31", "fee_by_category": { "entry": 1298.141440119748, "exit": 1269.1105455755712, "resize": 30.329685379714125 }, "max_cash_weight": 0.666585170188638, "max_drawdown": -0.04354674262452318, "mean_cash_weight": 0.3221316291685661, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2322092.634461678, "start_session": "2018-12-31", "total_return": 0.250003632611584, "traded_notional_by_category": { "entry": 2596282.880239496, "exit": 2538221.0911511425, "resize": 60659.370759428246 }, "transaction_cost": 2597.5816710750337, "transaction_cost_over_anchor_nav": 0.0011186382629723216, "two_sided_turnover": 2.022638136207651 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3736298376169622, "annualized_volatility": 0.3336448743242755, "cagr": 0.21543225367316077, "end_nav": 3527943.1074148105, "end_session": "2020-12-31", "fee_by_category": { "entry": 1032.0652548250066, "exit": 954.7320719547282, "resize": 139.48668941769608 }, "max_cash_weight": 0.0, "max_drawdown": -0.30243150459353496, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2902624.2283377005, "start_session": "2019-12-31", "total_return": 0.21543225367316077, "traded_notional_by_category": { "entry": 2064130.509650013, "exit": 1909464.1439094564, "resize": 278973.3788353922 }, "transaction_cost": 2126.284016197431, "transaction_cost_over_anchor_nav": 0.0007325385061693395, "two_sided_turnover": 1.3736298376169622 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998889444413597, "annualized_volatility": 0.1542844475429474, "cagr": 0.25174525582815965, "end_nav": 4416086.0475381445, "end_session": "2021-12-31", "fee_by_category": { "entry": 1984.2978139251609, "exit": 1939.5651866983726, "resize": 46.71791768594284 }, "max_cash_weight": 0.0, "max_drawdown": -0.06844291103178801, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3527943.1074148105, "start_session": "2020-12-31", "total_return": 0.25174525582815965, "traded_notional_by_category": { "entry": 3968595.627850321, "exit": 3879130.373396745, "resize": 93435.83537188568 }, "transaction_cost": 3970.580918309476, "transaction_cost_over_anchor_nav": 0.0011254662553838687, "two_sided_turnover": 1.9998889444413597 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666222296283953, "annualized_volatility": 0.19401301055309508, "cagr": -0.036328554269858926, "end_nav": 4255656.025899788, "end_session": "2022-12-30", "fee_by_category": { "entry": 2773.1214448257288, "exit": 2713.9203728506163, "resize": 61.97558067428659 }, "max_cash_weight": 0.0, "max_drawdown": -0.17681936712509405, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4416086.0475381445, "start_session": "2021-12-31", "total_return": -0.036328554269858926, "traded_notional_by_category": { "entry": 5546242.889651457, "exit": 5427840.745701233, "resize": 123951.16134857317 }, "transaction_cost": 5549.017398350632, "transaction_cost_over_anchor_nav": 0.0012565464845151891, "two_sided_turnover": 2.666222296283953 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0659333121856003, "annualized_volatility": 0.13170167705691121, "cagr": 0.030378359352730033, "end_nav": 4384935.873936183, "end_session": "2023-12-29", "fee_by_category": { "entry": 2116.97805940093, "exit": 2093.970629789581, "resize": 165.29518098032682 }, "max_cash_weight": 0.0, "max_drawdown": -0.09875035163558388, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4255656.025899788, "start_session": "2022-12-30", "total_return": 0.030378359352730033, "traded_notional_by_category": { "entry": 4233956.118801859, "exit": 4187941.259579162, "resize": 330590.3619606537 }, "transaction_cost": 4376.243870170838, "transaction_cost_over_anchor_nav": 0.001028335900161375, "two_sided_turnover": 2.0659333121856003 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0076412549957885, "annualized_volatility": 0.14222595314384473, "cagr": 0.1578239390891969, "end_nav": 5076983.726214321, "end_session": "2024-12-31", "fee_by_category": { "entry": 2374.999246646543, "exit": 2333.818779897974, "resize": 61.6339999567736 }, "max_cash_weight": 0.0, "max_drawdown": -0.0965623214743766, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4384935.873936183, "start_session": "2023-12-29", "total_return": 0.1578239390891969, "traded_notional_by_category": { "entry": 4749998.493293086, "exit": 4667637.559795948, "resize": 123267.99991354719 }, "transaction_cost": 4770.45202650129, "transaction_cost_over_anchor_nav": 0.0010879183102440776, "two_sided_turnover": 2.0076412549957885 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0070445484945876, "annualized_volatility": 0.16228629450986617, "cagr": 0.10643072132020803, "end_nav": 5617330.766326269, "end_session": "2025-12-31", "fee_by_category": { "entry": 2635.2110377863637, "exit": 2481.7688044743736, "resize": 175.41332201043343 }, "max_cash_weight": 0.0, "max_drawdown": -0.15117126364275124, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5076983.726214321, "start_session": "2024-12-31", "total_return": 0.10643072132020803, "traded_notional_by_category": { "entry": 5270422.075572727, "exit": 4963537.608948747, "resize": 350826.64402086684 }, "transaction_cost": 5292.3931642711705, "transaction_cost_over_anchor_nav": 0.0010424286248830407, "two_sided_turnover": 2.0070445484945876 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9874102708954118, "annualized_volatility": 0.17742301791124807, "cagr": 0.07645800292230831, "end_nav": 5617330.766326269, "end_session": "2025-12-31", "fee_by_category": { "entry": 27764.534225640902, "exit": 27103.23597685303, "resize": 1103.5357618937946 }, "max_cash_weight": 1.0, "max_drawdown": -0.4800421466764092, "mean_cash_weight": 0.08620181355487659, "nonzero_trade_event_count": 49, "order_count": 211, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 890436.0319032045, "start_session": "2000-12-29", "total_return": 5.308516912012053, "traded_notional_by_category": { "entry": 55529068.4512818, "exit": 54206471.95370606, "resize": 2207071.5237875893 }, "transaction_cost": 55971.30596438773, "transaction_cost_over_anchor_nav": 0.06285831206173846, "two_sided_turnover": 49.685256772385294 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6620857.512460055, "end_session": "2026-10-02", "fee_by_category": { "entry": 2016.1795835442663, "exit": 1923.1368886127436, "resize": 187.1125534829779 }, "max_cash_weight": 0.0, "max_drawdown": -0.07772763690202822, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 5617330.766326269, "start_session": "2025-12-31", "total_return": 0.17864832744931824, "traded_notional_by_category": { "entry": 4032359.167088533, "exit": 3846273.777225487, "resize": 374225.1069659558 }, "transaction_cost": 4126.429025639988, "transaction_cost_over_anchor_nav": 0.0007345889350821814, "two_sided_turnover": 1.364498806869145 } }, "monthly_risk": { "beta_intercept_per_month": 0.000741142913115775, "beta_to_SPY_excess_returns": 0.7253457496899319, "monthly_return_volatility_annualized": 0.13418710479456175, "months": 300, "sharpe_monthly_annualized": 0.49118986956742666, "tracking_error_monthly_annualized": 0.0882493869492812 }, "phase": [ 1, 7 ], "policy": "A", "run_id": "S12-01-07-5bps", "signal": "12-1" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6688119732231077, "annualized_volatility": 0.20738803152858867, "cagr": -0.06963641993941738, "end_nav": 855496.7214005563, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.26424469381442406, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 919529.4611004107, "start_session": "2000-12-29", "total_return": -0.06963641993941738, "traded_notional_by_category": { "entry": 1151014.3194633413, "exit": 1091792.9246592382, "resize": 61032.43252984737 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6688119732231077 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9648375233989057, "annualized_volatility": 0.13298551717794188, "cagr": -0.06930413905317323, "end_nav": 796207.2576610784, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.17098750446505795, "mean_cash_weight": 0.5079743901465099, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 855496.7214005563, "start_session": "2001-12-31", "total_return": -0.06930413905317323, "traded_notional_by_category": { "entry": 0.0, "exit": 763241.7345818868, "resize": 32965.52307919151 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.9648375233989057 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9999999999999999, "annualized_volatility": 0.08552084541752338, "cagr": 0.1165773293152359, "end_nav": 889026.9733406148, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.05601590420816949, "mean_cash_weight": 0.6626984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 796207.2576610784, "start_session": "2002-12-31", "total_return": 0.1165773293152359, "traded_notional_by_category": { "entry": 796207.2576610782, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.9999999999999999 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0, "annualized_volatility": 0.1256169720233027, "cagr": 0.18057806701039736, "end_nav": 1049565.745706567, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.335964170964832e-16, "max_drawdown": -0.08555770744820479, "mean_cash_weight": 2.0070708059773718e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 889026.9733406148, "start_session": "2003-12-31", "total_return": 0.18057806701039736, "traded_notional_by_category": { "entry": 911211.2607265525, "exit": 888164.1617142634, "resize": 23047.09901228908 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7519346640459964, "annualized_volatility": 0.14474638459526928, "cagr": 0.1595682764992481, "end_nav": 1217043.142821612, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.10346025169436257, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1049565.745706567, "start_session": "2004-12-31", "total_return": 0.1595682764992481, "traded_notional_by_category": { "entry": 412445.2780760261, "exit": 364120.5065039369, "resize": 144973.636087398 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.7519346640459964 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0222998028042154, "annualized_volatility": 0.12118768029116142, "cagr": 0.19790880822885182, "end_nav": 1457906.7007805335, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.07662510992093141, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1217043.142821612, "start_session": "2005-12-30", "total_return": 0.19790880822885182, "traded_notional_by_category": { "entry": 1316531.8305147924, "exit": 1324707.6873540767, "resize": 21556.643826492073 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0222998028042154 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.374314174823757, "annualized_volatility": 0.16225760468352704, "cagr": 0.0580528262826161, "end_nav": 1542542.3052172079, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.10150823930939301, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1457906.7007805335, "start_session": "2006-12-29", "total_return": 0.0580528262826161, "traded_notional_by_category": { "entry": 2460499.4247247977, "exit": 2490399.5931452727, "resize": 29900.1684204748 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.374314174823757 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0516986263983124, "annualized_volatility": 0.3851079502844472, "cagr": -0.35370584673058725, "end_nav": 996936.0730326034, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.4472742146370121, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1542542.3052172079, "start_session": "2007-12-31", "total_return": -0.35370584673058725, "traded_notional_by_category": { "entry": 1410720.2848588803, "exit": 1419761.0781377892, "resize": 64071.868468877336 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0516986263983124 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0, "annualized_volatility": 0.13235018678137017, "cagr": -0.15932213941175788, "end_nav": 838102.0850202926, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.1962944744481293, "mean_cash_weight": 0.8452380952380952, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 996936.0730326034, "start_session": "2008-12-31", "total_return": -0.15932213941175788, "traded_notional_by_category": { "entry": 0.0, "exit": 838102.0850202926, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.666666666666667, "annualized_volatility": 0.15597144216048117, "cagr": 0.1802177100068698, "end_nav": 989142.9235346325, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.14440636799666118, "mean_cash_weight": 0.1507936507936508, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 838102.0850202926, "start_session": "2009-12-31", "total_return": 0.1802177100068698, "traded_notional_by_category": { "entry": 1114638.0731342337, "exit": 270540.1194660907, "resize": 5995.868647850759 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.666666666666667 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3543528645614136, "annualized_volatility": 0.24446524340780867, "cagr": -0.010566527747691734, "end_nav": 978691.1173866709, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.1732728012278028e-16, "max_drawdown": -0.21644597113340913, "mean_cash_weight": 1.7778610819746147e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 989142.9235346325, "start_session": "2010-12-31", "total_return": -0.010566527747691734, "traded_notional_by_category": { "entry": 657987.8874084655, "exit": 617290.0962182393, "resize": 60408.36700163403 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3543528645614136 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.025225731030578, "annualized_volatility": 0.09149253754292005, "cagr": 0.130300825552377, "end_nav": 1106215.3779429323, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.08147235701516864, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 978691.1173866709, "start_session": "2011-12-30", "total_return": 0.130300825552377, "traded_notional_by_category": { "entry": 1076438.0981405969, "exit": 1087709.226367362, "resize": 15958.346792610944 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.025225731030578 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0, "annualized_volatility": 0.11437967442989977, "cagr": 0.35189615508446037, "end_nav": 1495488.3161363534, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.967355290990492e-16, "max_drawdown": -0.05355525566372399, "mean_cash_weight": 1.467238728412651e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1106215.3779429323, "start_session": "2012-12-31", "total_return": 0.35189615508446037, "traded_notional_by_category": { "entry": 1221101.4892802318, "exit": 1176521.3562820319, "resize": 44580.13299820025 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.001516556770574, "annualized_volatility": 0.12749694608376402, "cagr": 0.10970824622009179, "end_nav": 1659555.716542311, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6427597036578385e-16, "max_drawdown": -0.08164880104250904, "mean_cash_weight": 2.4877473419883453e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1495488.3161363534, "start_session": "2013-12-31", "total_return": 0.10970824622009179, "traded_notional_by_category": { "entry": 1580405.273373504, "exit": 1546791.1849481547, "resize": 35905.61661492521 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.001516556770574 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.005232915344794, "annualized_volatility": 0.1478871296827204, "cagr": 0.07596083487604344, "end_nav": 1785616.9542941754, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.10181234763293023, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1659555.716542311, "start_session": "2014-12-31", "total_return": 0.07596083487604344, "traded_notional_by_category": { "entry": 1719323.0789873418, "exit": 1688735.5618963207, "resize": 39250.68045201979 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.005232915344794 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3483039825910976, "annualized_volatility": 0.11520289215147475, "cagr": 0.017167315417301765, "end_nav": 1816271.203763025, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.33402290843650884, "max_drawdown": -0.08708647086326526, "mean_cash_weight": 0.1633282191529575, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1785616.9542941754, "start_session": "2015-12-31", "total_return": 0.017167315417301765, "traded_notional_by_category": { "entry": 1178418.6849920568, "exit": 1109134.9754295321, "resize": 69283.7095625248 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3483039825910976 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.379376897216736, "annualized_volatility": 0.08432780981922006, "cagr": 0.258113671889018, "end_nav": 2285075.633312586, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.279249153951189e-16, "max_drawdown": -0.046331254047859094, "mean_cash_weight": 1.9377321752754134e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1816271.203763025, "start_session": "2016-12-30", "total_return": 0.258113671889018, "traded_notional_by_category": { "entry": 1294249.6760902912, "exit": 1259838.7596234956, "resize": 128780.32767592964 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.379376897216736 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0044009832227543, "annualized_volatility": 0.1956093895480164, "cagr": -0.048444711667686824, "end_nav": 2174375.803117901, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.24630106185371514, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2285075.633312586, "start_session": "2017-12-29", "total_return": -0.048444711667686824, "traded_notional_by_category": { "entry": 2465143.7810133793, "exit": 2455571.455371731, "resize": 21229.132498080377 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0044009832227543 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666666666666667, "annualized_volatility": 0.1132013932177651, "cagr": 0.3170358613221895, "end_nav": 2863730.9086975125, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.048102923647614815, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2174375.803117901, "start_session": "2018-12-31", "total_return": 0.3170358613221895, "traded_notional_by_category": { "entry": 3400112.758905133, "exit": 3334940.539060735, "resize": 65172.219844398904 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.666666666666667 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3984489239120546, "annualized_volatility": 0.33369246551634096, "cagr": 0.18554430685995715, "end_nav": 3395079.875185228, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.30314156449897955, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2863730.9086975125, "start_session": "2019-12-31", "total_return": 0.18554430685995715, "traded_notional_by_category": { "entry": 2135299.6345186858, "exit": 1925744.8295191661, "resize": 388175.53492599237 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3984489239120546 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.668081092891729, "annualized_volatility": 0.1447044988629568, "cagr": 0.21553499790165742, "end_nav": 4126838.408959235, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.07198622877022387, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3395079.875185228, "start_session": "2020-12-31", "total_return": 0.21553499790165742, "traded_notional_by_category": { "entry": 5150395.145608563, "exit": 5134649.034181096, "resize": 20608.553941776045 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.668081092891729 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0364655241609166, "annualized_volatility": 0.1989053920494609, "cagr": 0.016937667208065, "end_nav": 4196737.424551647, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2719280848886696e-16, "max_drawdown": -0.1527137867569609, "mean_cash_weight": 3.855537859949987e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4126838.408959235, "start_session": "2021-12-31", "total_return": 0.016937667208065, "traded_notional_by_category": { "entry": 3940365.071259473, "exit": 3876190.531547675, "resize": 209900.8325525506 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0364655241609166 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0686298198145274, "annualized_volatility": 0.13874917085954538, "cagr": 0.06438133850935412, "end_nav": 4466928.997316582, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2167091507174233e-16, "max_drawdown": -0.11301044309728159, "mean_cash_weight": 7.622479940694813e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4196737.424551647, "start_session": "2022-12-30", "total_return": 0.06438133850935412, "traded_notional_by_category": { "entry": 4130622.745372315, "exit": 4105717.667410736, "resize": 297655.9370439374 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0686298198145274 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6666666666666665, "annualized_volatility": 0.13804206149569712, "cagr": 0.10010467307735804, "end_nav": 4914089.464252729, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.1039059730468358, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4466928.997316582, "start_session": "2023-12-29", "total_return": 0.10010467307735804, "traded_notional_by_category": { "entry": 6449787.892256286, "exit": 6310266.287532067, "resize": 139521.60472421953 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0142228891028555, "annualized_volatility": 0.16266945479594844, "cagr": 0.16488000958062599, "end_nav": 5724324.582198773, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.13616660512414658, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4914089.464252729, "start_session": "2024-12-31", "total_return": 0.16488000958062599, "traded_notional_by_category": { "entry": 5348705.436379422, "exit": 5185549.239211062, "resize": 242026.45831090538 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0142228891028555 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.885526197812573, "annualized_volatility": 0.17475196162046897, "cagr": 0.07588621760405578, "end_nav": 5724324.582198773, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.5079219618434856, "mean_cash_weight": 0.09339402855789182, "nonzero_trade_event_count": 48, "order_count": 206, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 919529.4611004107, "start_session": "2000-12-29", "total_return": 5.225275887678914, "traded_notional_by_category": { "entry": 51321624.38274545, "exit": 50265480.635182254, "resize": 2162000.695012126 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 47.13815494531433 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6606391.0039983345, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.649726380521156e-16, "max_drawdown": -0.07730447713470412, "mean_cash_weight": 1.1473498197258496e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 5724324.582198773, "start_session": "2025-12-31", "total_return": 0.1540909166022082, "traded_notional_by_category": { "entry": 6379899.487279646, "exit": 5583389.695055428, "resize": 796509.7922242181 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.9999999999999996 } }, "monthly_risk": { "beta_intercept_per_month": 0.0004528761270230089, "beta_to_SPY_excess_returns": 0.7721296684087346, "monthly_return_volatility_annualized": 0.13987357590620156, "months": 300, "sharpe_monthly_annualized": 0.4727065283161027, "tracking_error_monthly_annualized": 0.0850267357263973 }, "phase": [ 2, 8 ], "policy": "A", "run_id": "S12-02-08-0bps", "signal": "12-1" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6670335323820513, "annualized_volatility": 0.2074117146948828, "cagr": -0.07211607637029216, "end_nav": 851112.1111701827, "end_session": "2001-12-31", "fee_by_category": { "entry": 1145.8969123161683, "exit": 1088.3504822455216, "resize": 60.89774423431605 }, "max_cash_weight": 0.0, "max_drawdown": -0.26620566951858293, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 917261.404681732, "start_session": "2000-12-29", "total_return": -0.07211607637029216, "traded_notional_by_category": { "entry": 1145896.9123161682, "exit": 1088350.4822455216, "resize": 60897.74423431605 }, "transaction_cost": 2295.145138796006, "transaction_cost_over_anchor_nav": 0.0025021712753654636, "two_sided_turnover": 2.6670335323820513 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9650598938681074, "annualized_volatility": 0.1330016212022644, "cagr": -0.0702021202584876, "end_nav": 791362.2363883583, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 759.1630966225567, "resize": 32.99129415658064 }, "max_cash_weight": 1.0, "max_drawdown": -0.17098750446505795, "mean_cash_weight": 0.5079743901465098, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 851112.1111701827, "start_session": "2001-12-31", "total_return": -0.0702021202584876, "traded_notional_by_category": { "entry": 0.0, "exit": 759163.0966225567, "resize": 32991.29415658064 }, "transaction_cost": 792.1543907791373, "transaction_cost_over_anchor_nav": 0.0009307286083498622, "two_sided_turnover": 0.9650598938681074 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9990009990009989, "annualized_volatility": 0.08544619438550984, "cagr": 0.1154618674477883, "end_nav": 882734.3980294162, "end_session": "2003-12-31", "fee_by_category": { "entry": 790.5716647236346, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.05601590420816949, "mean_cash_weight": 0.6626984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 791362.2363883583, "start_session": "2002-12-31", "total_return": 0.1154618674477883, "traded_notional_by_category": { "entry": 790571.6647236346, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 790.5716647236346, "transaction_cost_over_anchor_nav": 0.000999000999000999, "two_sided_turnover": 0.9990009990009989 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9997779999753331, "annualized_volatility": 0.1255402624856514, "cagr": 0.17821822236757967, "end_nav": 1040053.7532689343, "end_session": "2004-12-31", "fee_by_category": { "entry": 903.3511579277256, "exit": 881.482407123501, "resize": 23.677261630906372 }, "max_cash_weight": 1.406058330946004e-16, "max_drawdown": -0.08677655755490465, "mean_cash_weight": 8.723101355640998e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 882734.3980294162, "start_session": "2003-12-31", "total_return": 0.17821822236757967, "traded_notional_by_category": { "entry": 903351.1579277255, "exit": 881482.4071235011, "resize": 23677.261630906374 }, "transaction_cost": 1808.510826682133, "transaction_cost_over_anchor_nav": 0.002048759888273739, "two_sided_turnover": 1.9997779999753331 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7521285471722641, "annualized_volatility": 0.14472302152059519, "cagr": 0.15869619801214818, "end_nav": 1205106.329640979, "end_session": "2005-12-30", "fee_by_category": { "entry": 408.39999647638325, "exit": 360.7898031471354, "resize": 144.1688535501712 }, "max_cash_weight": 0.0, "max_drawdown": -0.10346025169436268, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1040053.7532689343, "start_session": "2004-12-31", "total_return": 0.15869619801214818, "traded_notional_by_category": { "entry": 408399.99647638324, "exit": 360789.80314713536, "resize": 144168.8535501712 }, "transaction_cost": 913.3586531736898, "transaction_cost_over_anchor_nav": 0.0008781840845273274, "two_sided_turnover": 0.7521285471722641 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.020725439904356, "annualized_volatility": 0.12108391044937579, "cagr": 0.1954892471438845, "end_nav": 1440691.658750824, "end_session": "2006-12-29", "fee_by_category": { "entry": 1301.5472468689616, "exit": 1311.1117265255311, "resize": 20.737077792807366 }, "max_cash_weight": 0.0, "max_drawdown": -0.0766251099209313, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1205106.329640979, "start_session": "2005-12-30", "total_return": 0.1954892471438845, "traded_notional_by_category": { "entry": 1301547.2468689615, "exit": 1311111.7265255312, "resize": 20737.077792807366 }, "transaction_cost": 2633.3960511873, "transaction_cost_over_anchor_nav": 0.002185198091169127, "two_sided_turnover": 2.020725439904356 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3709432315921646, "annualized_volatility": 0.16219888048417605, "cagr": 0.05448909265551083, "end_nav": 1519193.6400325191, "end_session": "2007-12-31", "fee_by_category": { "entry": 2425.1742209055856, "exit": 2458.974437066395, "resize": 28.887180322514965 }, "max_cash_weight": 0.0, "max_drawdown": -0.10150823930939301, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1440691.658750824, "start_session": "2006-12-29", "total_return": 0.05448909265551083, "traded_notional_by_category": { "entry": 2425174.220905585, "exit": 2458974.437066395, "resize": 28887.180322514963 }, "transaction_cost": 4913.035838294495, "transaction_cost_over_anchor_nav": 0.0034101924644683694, "two_sided_turnover": 3.3709432315921646 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.050116720541256, "annualized_volatility": 0.3850711992510822, "cagr": -0.3550302134100507, "end_nav": 979833.9978005821, "end_session": "2008-12-31", "fee_by_category": { "entry": 1387.1680476989031, "exit": 1397.6466127188853, "resize": 62.40900015082292 }, "max_cash_weight": 0.0, "max_drawdown": -0.44766240296286497, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1519193.6400325191, "start_session": "2007-12-31", "total_return": -0.3550302134100507, "traded_notional_by_category": { "entry": 1387168.0476989034, "exit": 1397646.6127188853, "resize": 62409.00015082292 }, "transaction_cost": 2847.2236605686116, "transaction_cost_over_anchor_nav": 0.0018741677068287788, "two_sided_turnover": 2.050116720541256 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0, "annualized_volatility": 0.13247536016918846, "cagr": -0.16016281727234605, "end_nav": 822901.0242536152, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 823.7247490026177, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.19709817997368118, "mean_cash_weight": 0.8452380952380952, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 979833.9978005821, "start_session": "2008-12-31", "total_return": -0.16016281727234605, "traded_notional_by_category": { "entry": 0.0, "exit": 823724.7490026177, "resize": 0.0 }, "transaction_cost": 823.7247490026177, "transaction_cost_over_anchor_nav": 0.0008406778605882421, "two_sided_turnover": 1.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6658899619886616, "annualized_volatility": 0.15580318314996133, "cagr": 0.17825238345868533, "end_nav": 969585.0931774154, "end_session": "2010-12-31", "fee_by_category": { "entry": 1093.1471250656246, "exit": 265.3678353143367, "resize": 6.2430234815340375 }, "max_cash_weight": 1.0, "max_drawdown": -0.14440636799666107, "mean_cash_weight": 0.15079365079365087, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 822901.0242536152, "start_session": "2009-12-31", "total_return": 0.17825238345868533, "traded_notional_by_category": { "entry": 1093147.1250656245, "exit": 265367.83531433664, "resize": 6243.023481534037 }, "transaction_cost": 1364.7579838614952, "transaction_cost_over_anchor_nav": 0.0016584716067152222, "two_sided_turnover": 1.6658899619886616 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.354346008533894, "annualized_volatility": 0.24454277748492378, "cagr": -0.011906109408334586, "end_nav": 958041.1069773549, "end_session": "2011-12-30", "fee_by_category": { "entry": 644.337199001865, "exit": 604.8859150971191, "resize": 59.64713160741836 }, "max_cash_weight": 1.3964674231868814e-16, "max_drawdown": -0.21698463087111963, "mean_cash_weight": 6.070485947248856e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 969585.0931774154, "start_session": "2010-12-31", "total_return": -0.011906109408334586, "traded_notional_by_category": { "entry": 644337.199001865, "exit": 604885.915097119, "resize": 59647.131607418356 }, "transaction_cost": 1308.8702457064023, "transaction_cost_over_anchor_nav": 0.0013499281856913866, "two_sided_turnover": 1.354346008533894 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.023652623420831, "annualized_volatility": 0.09143011189548396, "cagr": 0.1280145189018651, "end_nav": 1080684.2783752712, "end_session": "2012-12-31", "fee_by_category": { "entry": 1052.0568977863736, "exit": 1064.2587809580373, "resize": 15.14958840834879 }, "max_cash_weight": 1.140363865648071e-16, "max_drawdown": -0.08147235701516864, "mean_cash_weight": 5.612851900743282e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 958041.1069773549, "start_session": "2011-12-30", "total_return": 0.1280145189018651, "traded_notional_by_category": { "entry": 1052056.8977863735, "exit": 1064258.7809580374, "resize": 15149.58840834879 }, "transaction_cost": 2131.4652671527597, "transaction_cost_over_anchor_nav": 0.0022248160873572422, "two_sided_turnover": 2.023652623420831 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9997779999753331, "annualized_volatility": 0.11431650887772123, "cagr": 0.3491938645808761, "end_nav": 1458052.5979329275, "end_session": "2013-12-31", "fee_by_category": { "entry": 1191.0425556808796, "exit": 1148.8289214484223, "resize": 44.59810381339991 }, "max_cash_weight": 0.0, "max_drawdown": -0.053555255663723766, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1080684.2783752712, "start_session": "2012-12-31", "total_return": 0.3491938645808761, "traded_notional_by_category": { "entry": 1191042.5556808794, "exit": 1148828.9214484221, "resize": 44598.10381339991 }, "transaction_cost": 2384.4695809427017, "transaction_cost_over_anchor_nav": 0.0022064442211813936, "two_sided_turnover": 1.9997779999753331 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.000849606901607, "annualized_volatility": 0.12756140977394548, "cagr": 0.10748887490433945, "end_nav": 1614777.0312360872, "end_session": "2014-12-31", "fee_by_category": { "entry": 1538.4163443209486, "exit": 1507.3798101307536, "resize": 35.696173400030936 }, "max_cash_weight": 0.0, "max_drawdown": -0.08164880104250904, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1458052.5979329275, "start_session": "2013-12-31", "total_return": 0.10748887490433945, "traded_notional_by_category": { "entry": 1538416.3443209485, "exit": 1507379.8101307536, "resize": 35696.17340003094 }, "transaction_cost": 3081.4923278517326, "transaction_cost_over_anchor_nav": 0.0021134301548657065, "two_sided_turnover": 2.000849606901607 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0045647271024265, "annualized_volatility": 0.14800415144914233, "cagr": 0.07380496501326461, "end_nav": 1733955.5935306898, "end_session": "2015-12-31", "fee_by_category": { "entry": 1670.3417241935738, "exit": 1642.4540763063653, "resize": 38.937207954749816 }, "max_cash_weight": 1.47367985617654e-16, "max_drawdown": -0.10241563844418644, "mean_cash_weight": 1.1601872803093506e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1614777.0312360872, "start_session": "2014-12-31", "total_return": 0.07380496501326461, "traded_notional_by_category": { "entry": 1670341.7241935737, "exit": 1642454.0763063654, "resize": 38937.207954749814 }, "transaction_cost": 3351.7330084546893, "transaction_cost_over_anchor_nav": 0.0020756630442588034, "two_sided_turnover": 2.0045647271024265 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3484201226319747, "annualized_volatility": 0.11517025132184423, "cagr": 0.015796100942670366, "end_nav": 1761345.3311162086, "end_session": "2016-12-30", "fee_by_category": { "entry": 1142.976694304993, "exit": 1077.045549999701, "resize": 68.21938593553182 }, "max_cash_weight": 0.33402290843650884, "max_drawdown": -0.08708647086326538, "mean_cash_weight": 0.16332821915295753, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1733955.5935306898, "start_session": "2015-12-31", "total_return": 0.015796100942670366, "traded_notional_by_category": { "entry": 1142976.694304993, "exit": 1077045.549999701, "resize": 68219.38593553181 }, "transaction_cost": 2288.2416302402257, "transaction_cost_over_anchor_nav": 0.0013196656470197692, "two_sided_turnover": 1.3484201226319747 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3789172581306923, "annualized_volatility": 0.08425782483712949, "cagr": 0.256378914420077, "end_nav": 2212917.1350266533, "end_session": "2017-12-29", "fee_by_category": { "entry": 1253.4373381161301, "exit": 1221.7399651685503, "resize": 125.56990756068006 }, "max_cash_weight": 1.3191413175560078e-16, "max_drawdown": -0.04633125404785887, "mean_cash_weight": 1.9981585032660565e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1761345.3311162086, "start_session": "2016-12-30", "total_return": 0.256378914420077, "traded_notional_by_category": { "entry": 1253437.33811613, "exit": 1221739.9651685501, "resize": 125569.90756068006 }, "transaction_cost": 2600.7472108453608, "transaction_cost_over_anchor_nav": 0.0014765686006600433, "two_sided_turnover": 1.3789172581306923 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0037330721986883, "annualized_volatility": 0.1957189354174323, "cagr": -0.0503505236256393, "end_nav": 2101495.5985379117, "end_session": "2018-12-31", "fee_by_category": { "entry": 2383.544239578601, "exit": 2376.8937788481826, "resize": 21.56048592364008 }, "max_cash_weight": 0.0, "max_drawdown": -0.24630106185371514, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2212917.1350266533, "start_session": "2017-12-29", "total_return": -0.0503505236256393, "traded_notional_by_category": { "entry": 2383544.2395786005, "exit": 2376893.7788481824, "resize": 21560.48592364008 }, "transaction_cost": 4781.998504350424, "transaction_cost_over_anchor_nav": 0.0021609478405945045, "two_sided_turnover": 2.0037330721986883 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6657780739753414, "annualized_volatility": 0.11306620748659112, "cagr": 0.3135272758373737, "end_nav": 2760371.7887317343, "end_session": "2019-12-31", "fee_by_category": { "entry": 3279.5187764770576, "exit": 3220.966510845012, "resize": 65.1178687881556 }, "max_cash_weight": 0.0, "max_drawdown": -0.048102923647614815, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2101495.5985379117, "start_session": "2018-12-31", "total_return": 0.3135272758373737, "traded_notional_by_category": { "entry": 3279518.7764770575, "exit": 3220966.510845012, "resize": 65117.86878815561 }, "transaction_cost": 6565.603156110225, "transaction_cost_over_anchor_nav": 0.003124252632590884, "two_sided_turnover": 2.6657780739753414 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3979829296021873, "annualized_volatility": 0.33366063489676223, "cagr": 0.18388703901798475, "end_nav": 3267968.383550391, "end_session": "2020-12-31", "fee_by_category": { "entry": 2055.3542041873347, "exit": 1856.1191134561236, "resize": 375.4664085094745 }, "max_cash_weight": 0.0, "max_drawdown": -0.30318692572714756, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2760371.7887317343, "start_session": "2019-12-31", "total_return": 0.18388703901798475, "traded_notional_by_category": { "entry": 2055354.2041873347, "exit": 1856119.1134561235, "resize": 375466.4085094745 }, "transaction_cost": 4286.939726152933, "transaction_cost_over_anchor_nav": 0.0015530298286820948, "two_sided_turnover": 1.3979829296021873 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6658604714025933, "annualized_volatility": 0.14464758222650156, "cagr": 0.21229617318785232, "end_nav": 3961745.5654770304, "end_session": "2021-12-31", "fee_by_category": { "entry": 4946.557595089442, "exit": 4939.833931540113, "resize": 19.836971496507758 }, "max_cash_weight": 1.459113299477271e-16, "max_drawdown": -0.0726060106307721, "mean_cash_weight": 6.628269776547092e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3267968.383550391, "start_session": "2020-12-31", "total_return": 0.21229617318785232, "traded_notional_by_category": { "entry": 4946557.595089441, "exit": 4939833.931540113, "resize": 19836.97149650776 }, "transaction_cost": 9906.228498126064, "transaction_cost_over_anchor_nav": 0.003031310996761763, "two_sided_turnover": 2.6658604714025933 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.034894061836164, "annualized_volatility": 0.19896423566306257, "cagr": 0.014869253883761147, "end_nav": 4020653.766112973, "end_session": "2022-12-30", "fee_by_category": { "entry": 3776.770550897707, "exit": 3719.5022605161075, "resize": 199.58159012384618 }, "max_cash_weight": 0.0, "max_drawdown": -0.15330277573937656, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3961745.5654770304, "start_session": "2021-12-31", "total_return": 0.014869253883761147, "traded_notional_by_category": { "entry": 3776770.5508977063, "exit": 3719502.260516107, "resize": 199581.5901238462 }, "transaction_cost": 7695.85440153766, "transaction_cost_over_anchor_nav": 0.0019425413051761715, "two_sided_turnover": 2.034894061836164 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0679405063124237, "annualized_volatility": 0.1386860789900059, "cagr": 0.06218130404443767, "end_nav": 4270663.260401057, "end_session": "2023-12-29", "fee_by_category": { "entry": 3950.823875730507, "exit": 3931.5050414425255, "resize": 286.92927120149744 }, "max_cash_weight": 1.284873761511799e-16, "max_drawdown": -0.11419270175359941, "mean_cash_weight": 3.9490911407055893e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4020653.766112973, "start_session": "2022-12-30", "total_return": 0.06218130404443767, "traded_notional_by_category": { "entry": 3950823.875730507, "exit": 3931505.041442525, "resize": 286929.2712014974 }, "transaction_cost": 8169.25818837453, "transaction_cost_over_anchor_nav": 0.002031823346050581, "two_sided_turnover": 2.0679405063124237 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6657780739753414, "annualized_volatility": 0.1380746610254218, "cagr": 0.09717399259925585, "end_nav": 4685660.660461184, "end_session": "2024-12-31", "fee_by_category": { "entry": 6153.970373509497, "exit": 6028.863732768727, "resize": 137.426901748796 }, "max_cash_weight": 1.1214880420563706e-16, "max_drawdown": -0.10390597304683591, "mean_cash_weight": 1.759948068448562e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4270663.260401057, "start_session": "2023-12-29", "total_return": 0.09717399259925585, "traded_notional_by_category": { "entry": 6153970.373509497, "exit": 6028863.732768727, "resize": 137426.901748796 }, "transaction_cost": 12320.26100802702, "transaction_cost_over_anchor_nav": 0.002884858921625684, "two_sided_turnover": 2.6657780739753414 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.013551705201122, "annualized_volatility": 0.16278080513144919, "cagr": 0.16253552028581586, "end_nav": 5447246.953792022, "end_session": "2025-12-31", "fee_by_category": { "entry": 5092.077833882461, "exit": 4942.147349724635, "resize": 232.90524189777489 }, "max_cash_weight": 0.0, "max_drawdown": -0.13731799918596066, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4685660.660461184, "start_session": "2024-12-31", "total_return": 0.16253552028581586, "traded_notional_by_category": { "entry": 5092077.833882461, "exit": 4942147.3497246355, "resize": 232905.24189777486 }, "transaction_cost": 10267.13042550487, "transaction_cost_over_anchor_nav": 0.0021911809602734515, "two_sided_turnover": 2.013551705201122 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.8846689427050325, "annualized_volatility": 0.1747462955243624, "cagr": 0.07385923854370047, "end_nav": 5447246.953792022, "end_session": "2025-12-31", "fee_by_category": { "entry": 49586.48257474036, "exit": 48629.03588801686, "resize": 2106.6536736895055 }, "max_cash_weight": 1.0, "max_drawdown": -0.509911471679864, "mean_cash_weight": 0.09339402855789183, "nonzero_trade_event_count": 48, "order_count": 206, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 917261.404681732, "start_session": "2000-12-29", "total_return": 4.938598229456834, "traded_notional_by_category": { "entry": 49586482.57474036, "exit": 48629035.88801686, "resize": 2106653.6736895056 }, "transaction_cost": 100322.17213644672, "transaction_cost_over_anchor_nav": 0.1093714088747211, "two_sided_turnover": 47.11672356762581 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6274051.977135818, "end_session": "2026-10-02", "fee_by_category": { "entry": 6061.5128028411145, "exit": 5310.703596454275, "resize": 762.9443671532879 }, "max_cash_weight": 0.0, "max_drawdown": -0.07730447713470412, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 5447246.953792022, "start_session": "2025-12-31", "total_return": 0.1517840168359228, "traded_notional_by_category": { "entry": 6061512.802841114, "exit": 5310703.596454274, "resize": 762944.3671532879 }, "transaction_cost": 12135.160766448676, "transaction_cost_over_anchor_nav": 0.002227760347454224, "two_sided_turnover": 1.9997779999753333 } }, "monthly_risk": { "beta_intercept_per_month": 0.0002921501215531067, "beta_to_SPY_excess_returns": 0.7727122249647614, "monthly_return_volatility_annualized": 0.13996446532531442, "months": 300, "sharpe_monthly_annualized": 0.4589543251466145, "tracking_error_monthly_annualized": 0.08502444534327903 }, "phase": [ 2, 8 ], "policy": "A", "run_id": "S12-02-08-10bps", "signal": "12-1" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664446294754372, "annualized_volatility": 0.20747965607670646, "cagr": -0.0758233592579155, "end_nav": 844579.9492400507, "end_session": "2001-12-31", "fee_by_category": { "entry": 2845.6677504207883, "exit": 2708.026872326342, "resize": 151.90487684342224 }, "max_cash_weight": 0.0, "max_drawdown": -0.269137483612082, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 913872.8593722947, "start_session": "2000-12-29", "total_return": -0.0758233592579155, "traded_notional_by_category": { "entry": 1138267.1001683152, "exit": 1083210.7489305367, "resize": 60761.9507373689 }, "transaction_cost": 5705.599499590553, "transaction_cost_over_anchor_nav": 0.006243318686047331, "two_sided_turnover": 2.664446294754372 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9653940064261732, "annualized_volatility": 0.1330328021483405, "cagr": -0.07154913306905075, "end_nav": 784150.9860644222, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 1882.7196345651273, "resize": 82.57105732565469 }, "max_cash_weight": 1.0, "max_drawdown": -0.17098750446505795, "mean_cash_weight": 0.5079743901465099, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 844579.9492400507, "start_session": "2001-12-31", "total_return": -0.07154913306905075, "traded_notional_by_category": { "entry": 0.0, "exit": 753087.8538260509, "resize": 33028.42293026188 }, "transaction_cost": 1965.2906918907818, "transaction_cost_over_anchor_nav": 0.002326944528648995, "two_sided_turnover": 0.9653940064261732 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9975062344139652, "annualized_volatility": 0.08535653205559016, "cagr": 0.11379284719724314, "end_nav": 873381.7594012185, "end_session": "2003-12-31", "fee_by_category": { "entry": 1955.4887433027989, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.05601590420816949, "mean_cash_weight": 0.6626984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 784150.9860644222, "start_session": "2002-12-31", "total_return": 0.11379284719724314, "traded_notional_by_category": { "entry": 782195.4973211195, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 1955.4887433027989, "transaction_cost_over_anchor_nav": 0.002493765586034913, "two_sided_turnover": 0.9975062344139652 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9994458329484948, "annualized_volatility": 0.12545867119755122, "cagr": 0.17468337104060527, "end_nav": 1025947.0293387983, "end_session": "2004-12-31", "fee_by_category": { "entry": 2229.222475916218, "exit": 2178.892186453909, "resize": 61.50433696063629 }, "max_cash_weight": 0.0, "max_drawdown": -0.0886033104209002, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 873381.7594012185, "start_session": "2003-12-31", "total_return": 0.17468337104060527, "traded_notional_by_category": { "entry": 891688.9903664873, "exit": 871556.8745815635, "resize": 24601.734784254513 }, "transaction_cost": 4469.6189993307635, "transaction_cost_over_anchor_nav": 0.005117600580982007, "two_sided_turnover": 1.9994458329484948 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7524196854507397, "annualized_volatility": 0.14469386800257317, "cagr": 0.15738748348014808, "end_nav": 1187418.2504703654, "end_session": "2005-12-30", "fee_by_category": { "entry": 1006.0141528187029, "exit": 889.6269391407345, "resize": 357.41809419084996 }, "max_cash_weight": 0.0, "max_drawdown": -0.10346025169436257, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1025947.0293387983, "start_session": "2004-12-31", "total_return": 0.15738748348014808, "traded_notional_by_category": { "entry": 402405.66112748114, "exit": 355850.7756562938, "resize": 142967.23767633998 }, "transaction_cost": 2253.0591861502876, "transaction_cost_over_anchor_nav": 0.002196077498857166, "two_sided_turnover": 0.7524196854507397 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.018369228594241, "annualized_volatility": 0.12096411391326027, "cagr": 0.19187101226327652, "end_nav": 1415249.3921680031, "end_session": "2006-12-29", "fee_by_category": { "entry": 3198.474368338482, "exit": 3227.4425249739515, "resize": 48.84397770996409 }, "max_cash_weight": 0.0, "max_drawdown": -0.0766251099209313, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1187418.2504703654, "start_session": "2005-12-30", "total_return": 0.19187101226327652, "traded_notional_by_category": { "entry": 1279389.7473353925, "exit": 1290977.0099895806, "resize": 19537.591083985637 }, "transaction_cost": 6474.760871022398, "transaction_cost_over_anchor_nav": 0.005452805587633158, "two_sided_turnover": 2.018369228594241 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3658994262581112, "annualized_volatility": 0.16217943985954825, "cagr": 0.0491676634513476, "end_nav": 1484833.8979818437, "end_session": "2007-12-31", "fee_by_category": { "entry": 5932.857407957504, "exit": 6031.457133227274, "resize": 68.51764480479571 }, "max_cash_weight": 0.0, "max_drawdown": -0.10150823930939301, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1415249.3921680031, "start_session": "2006-12-29", "total_return": 0.0491676634513476, "traded_notional_by_category": { "entry": 2373142.9631830016, "exit": 2412582.85329091, "resize": 27407.057921918284 }, "transaction_cost": 12032.832185989573, "transaction_cost_over_anchor_nav": 0.008502269813772275, "two_sided_turnover": 3.3658994262581112 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0477491957912815, "annualized_volatility": 0.38502760458435764, "cagr": -0.35701065162458157, "end_nav": 954732.3805090782, "end_session": "2008-12-31", "fee_by_category": { "entry": 3381.448631842979, "exit": 3412.8073950813528, "resize": 149.9599187902322 }, "max_cash_weight": 0.0, "max_drawdown": -0.44824420062026304, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1484833.8979818437, "start_session": "2007-12-31", "total_return": -0.35701065162458157, "traded_notional_by_category": { "entry": 1352579.4527371917, "exit": 1365122.9580325412, "resize": 59983.967516092875 }, "transaction_cost": 6944.215945714564, "transaction_cost_over_anchor_nav": 0.004676762805020146, "two_sided_turnover": 2.0477491957912815 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0, "annualized_volatility": 0.13267655639007042, "cagr": -0.16142383406322824, "end_nav": 800615.8191429898, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 2006.5559377017287, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.19830373826200887, "mean_cash_weight": 0.8452380952380952, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 954732.3805090782, "start_session": "2008-12-31", "total_return": -0.16142383406322824, "traded_notional_by_category": { "entry": 0.0, "exit": 802622.3750806914, "resize": 0.0 }, "transaction_cost": 2006.5559377017287, "transaction_cost_over_anchor_nav": 0.0021016946514706056, "two_sided_turnover": 1.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6647289199852746, "annualized_volatility": 0.1555682264501328, "cagr": 0.1753107630242352, "end_nav": 940972.3892862205, "end_session": "2010-12-31", "fee_by_category": { "entry": 2654.2203986571285, "exit": 644.487577458174, "resize": 16.481246397762444 }, "max_cash_weight": 1.0, "max_drawdown": -0.14440636799666107, "mean_cash_weight": 0.15079365079365079, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 800615.8191429898, "start_session": "2009-12-31", "total_return": 0.1753107630242352, "traded_notional_by_category": { "entry": 1061688.1594628512, "exit": 257795.03098326956, "resize": 6592.498559104977 }, "transaction_cost": 3315.189222513065, "transaction_cost_over_anchor_nav": 0.004140799048989279, "two_sided_turnover": 1.6647289199852746 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3543362887967019, "annualized_volatility": 0.2446658864136503, "cagr": -0.013913756805515765, "end_nav": 927879.928300987, "end_session": "2011-12-30", "fee_by_category": { "entry": 1560.9757819755266, "exit": 1466.864797451588, "resize": 146.29515977213538 }, "max_cash_weight": 0.0, "max_drawdown": -0.21779194771364985, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 940972.3892862205, "start_session": "2010-12-31", "total_return": -0.013913756805515765, "traded_notional_by_category": { "entry": 624390.3127902106, "exit": 586745.9189806352, "resize": 58518.06390885415 }, "transaction_cost": 3174.13573919925, "transaction_cost_over_anchor_nav": 0.00337325066637397, "two_sided_turnover": 1.3543362887967019 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.021298285139574, "annualized_volatility": 0.09138367026321555, "cagr": 0.12459555979055192, "end_nav": 1043489.6473860657, "end_session": "2012-12-31", "fee_by_category": { "entry": 2541.2955441701806, "exit": 2575.071961518641, "resize": 34.97145896566974 }, "max_cash_weight": 1.1798144918470058e-16, "max_drawdown": -0.08147235701516886, "mean_cash_weight": 5.807027224003253e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 927879.928300987, "start_session": "2011-12-30", "total_return": 0.12459555979055192, "traded_notional_by_category": { "entry": 1016518.2176680722, "exit": 1030028.7846074563, "resize": 13988.583586267894 }, "transaction_cost": 5151.338964654491, "transaction_cost_over_anchor_nav": 0.0055517301404363305, "two_sided_turnover": 2.021298285139574 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9994458329484952, "annualized_volatility": 0.11425843210395664, "cagr": 0.34514605778921426, "end_nav": 1403645.9855252234, "end_session": "2013-12-31", "fee_by_category": { "entry": 2868.3375579904196, "exit": 2771.2733201573774, "resize": 111.44186970266804 }, "max_cash_weight": 0.0, "max_drawdown": -0.05355525566372388, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1043489.6473860657, "start_session": "2012-12-31", "total_return": 0.34514605778921426, "traded_notional_by_category": { "entry": 1147335.0231961678, "exit": 1108509.328062951, "resize": 44576.74788106722 }, "transaction_cost": 5751.052747850465, "transaction_cost_over_anchor_nav": 0.005511365409572401, "two_sided_turnover": 1.9994458329484952 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998500150913316, "annualized_volatility": 0.1276903129892022, "cagr": 0.10416628987240006, "end_nav": 1549858.5801316744, "end_session": "2014-12-31", "fee_by_category": { "entry": 3693.7796404699156, "exit": 3625.337435273015, "resize": 88.3928254639593 }, "max_cash_weight": 0.0, "max_drawdown": -0.08164880104250904, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1403645.9855252234, "start_session": "2013-12-31", "total_return": 0.10416628987240006, "traded_notional_by_category": { "entry": 1477511.8561879664, "exit": 1450134.974109206, "resize": 35357.13018558372 }, "transaction_cost": 7407.509901206891, "transaction_cost_over_anchor_nav": 0.005277334867619852, "two_sided_turnover": 1.9998500150913316 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0035632792787283, "annualized_volatility": 0.14820712583577664, "cagr": 0.07057746028132428, "end_nav": 1659243.6625125874, "end_session": "2015-12-31", "fee_by_category": { "entry": 3998.6635782780077, "exit": 3938.4843629820084, "resize": 96.11093184192491 }, "max_cash_weight": 0.0, "max_drawdown": -0.10331982117546135, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1549858.5801316744, "start_session": "2014-12-31", "total_return": 0.07057746028132428, "traded_notional_by_category": { "entry": 1599465.4313112032, "exit": 1575393.7451928034, "resize": 38444.37273676996 }, "transaction_cost": 8033.2588731019405, "transaction_cost_over_anchor_nav": 0.005183220569982226, "two_sided_turnover": 2.0035632792787283 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3485944779894221, "annualized_volatility": 0.11513964338033486, "cagr": 0.013740165973577412, "end_nav": 1682041.9458261167, "end_session": "2016-12-30", "fee_by_category": { "entry": 2729.4853556728094, "exit": 2576.5956892753, "resize": 166.57129725301115 }, "max_cash_weight": 0.33402290843650884, "max_drawdown": -0.08708647086326549, "mean_cash_weight": 0.16332821915295748, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1659243.6625125874, "start_session": "2015-12-31", "total_return": 0.013740165973577412, "traded_notional_by_category": { "entry": 1091794.1422691238, "exit": 1030638.2757101201, "resize": 66628.51890120446 }, "transaction_cost": 5472.6523422011205, "transaction_cost_over_anchor_nav": 0.0032982812987900163, "two_sided_turnover": 1.3485944779894221 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3782283735720926, "annualized_volatility": 0.08419301598103675, "cagr": 0.25377923391966917, "end_nav": 2108909.262258618, "end_session": "2017-12-29", "fee_by_category": { "entry": 2986.519405416521, "exit": 2916.8298686256553, "resize": 302.23845050000295 }, "max_cash_weight": 1.25203120978128e-16, "max_drawdown": -0.04633125404785898, "mean_cash_weight": 3.845908854020402e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1682041.9458261167, "start_session": "2016-12-30", "total_return": 0.25377923391966917, "traded_notional_by_category": { "entry": 1194607.7621666084, "exit": 1166731.947450262, "resize": 120895.38020000118 }, "transaction_cost": 6205.587724542178, "transaction_cost_over_anchor_nav": 0.0036893180576982403, "two_sided_turnover": 1.3782283735720926 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.002732039856207, "annualized_volatility": 0.1959038047472131, "cagr": -0.05320367486814248, "end_nav": 1996707.5395429963, "end_session": "2018-12-31", "fee_by_category": { "entry": 5665.3912912040005, "exit": 5658.893708620072, "resize": 54.94479130340537 }, "max_cash_weight": 1.1390209441418157e-16, "max_drawdown": -0.24630106185371514, "mean_cash_weight": 1.6981643158487457e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2108909.262258618, "start_session": "2017-12-29", "total_return": -0.05320367486814248, "traded_notional_by_category": { "entry": 2266156.5164816002, "exit": 2263557.4834480286, "resize": 21977.916521362145 }, "transaction_cost": 11379.229791127476, "transaction_cost_over_anchor_nav": 0.005395789185799511, "two_sided_turnover": 2.002732039856207 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664446294754372, "annualized_volatility": 0.11292287291646647, "cagr": 0.308277542392986, "end_nav": 2612247.6327108573, "end_session": "2019-12-31", "fee_by_category": { "entry": 7766.399957701441, "exit": 7643.082321389667, "resize": 162.2469594080228 }, "max_cash_weight": 0.0, "max_drawdown": -0.048102923647614926, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1996707.5395429963, "start_session": "2018-12-31", "total_return": 0.308277542392986, "traded_notional_by_category": { "entry": 3106559.983080576, "exit": 3057232.9285558667, "resize": 64898.783763209125 }, "transaction_cost": 15571.72923849913, "transaction_cost_over_anchor_nav": 0.007798703080002976, "two_sided_turnover": 2.664446294754372 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3972845201452673, "annualized_volatility": 0.3336230088673326, "cagr": 0.1814035923311197, "end_nav": 3086118.73734307, "end_session": "2020-12-31", "fee_by_category": { "entry": 4852.454473969042, "exit": 4390.866583442419, "resize": 892.9089418424351 }, "max_cash_weight": 0.0, "max_drawdown": -0.3032549109150764, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2612247.6327108573, "start_session": "2019-12-31", "total_return": 0.1814035923311197, "traded_notional_by_category": { "entry": 1940981.7895876162, "exit": 1756346.6333769672, "resize": 357163.57673697395 }, "transaction_cost": 10136.229999253896, "transaction_cost_over_anchor_nav": 0.0038802714843443205, "two_sided_turnover": 1.3972845201452673 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.662537291034487, "annualized_volatility": 0.14461934032171475, "cagr": 0.20745409695476158, "end_nav": 3726346.7130937455, "end_session": "2021-12-31", "fee_by_category": { "entry": 11639.395607681938, "exit": 11653.269953063154, "resize": 46.832804239834076 }, "max_cash_weight": 0.0, "max_drawdown": -0.07353490933933748, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3086118.73734307, "start_session": "2020-12-31", "total_return": 0.20745409695476158, "traded_notional_by_category": { "entry": 4655758.243072775, "exit": 4661307.981225261, "resize": 18733.12169593363 }, "transaction_cost": 23339.498364984927, "transaction_cost_over_anchor_nav": 0.007562735057005158, "two_sided_turnover": 2.662537291034487 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.032542169273112, "annualized_volatility": 0.19907341671222906, "cagr": 0.011776153017811763, "end_nav": 3770228.742184557, "end_session": "2022-12-30", "fee_by_category": { "entry": 8859.936844807207, "exit": 8740.533893656335, "resize": 462.54400806628576 }, "max_cash_weight": 0.0, "max_drawdown": -0.15418552358979176, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3726346.7130937455, "start_session": "2021-12-31", "total_return": 0.011776153017811763, "traded_notional_by_category": { "entry": 3543974.7379228827, "exit": 3496213.5574625335, "resize": 185017.6032265143 }, "transaction_cost": 18063.014746529825, "transaction_cost_over_anchor_nav": 0.004847378984639159, "two_sided_turnover": 2.032542169273112 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0669073969837077, "annualized_volatility": 0.13862326304133457, "cagr": 0.05888790546403122, "end_nav": 3992249.6159320944, "end_session": "2023-12-29", "fee_by_category": { "entry": 9239.093733605288, "exit": 9209.737552219402, "resize": 678.8247688427532 }, "max_cash_weight": 1.3744789768764511e-16, "max_drawdown": -0.1159646131452502, "mean_cash_weight": 1.0773482972392528e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 3770228.742184557, "start_session": "2022-12-30", "total_return": 0.05888790546403122, "traded_notional_by_category": { "entry": 3695637.493442116, "exit": 3683895.0208877604, "resize": 271529.9075371013 }, "transaction_cost": 19127.656054667445, "transaction_cost_over_anchor_nav": 0.005073340999353912, "two_sided_turnover": 2.0669073969837077 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664446294754371, "annualized_volatility": 0.1381714108359704, "cagr": 0.09278895156568612, "end_nav": 4362686.272182946, "end_session": "2024-12-31", "fee_by_category": { "entry": 14338.461894418193, "exit": 14075.054218297679, "resize": 335.2796655662131 }, "max_cash_weight": 1.199698976505763e-16, "max_drawdown": -0.10390597304683591, "mean_cash_weight": 1.882684270578166e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3992249.6159320944, "start_session": "2023-12-29", "total_return": 0.09278895156568612, "traded_notional_by_category": { "entry": 5735384.757767277, "exit": 5630021.687319071, "resize": 134111.86622648523 }, "transaction_cost": 28748.795778282085, "transaction_cost_over_anchor_nav": 0.0072011518677471105, "two_sided_turnover": 2.664446294754371 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.012545767629831, "annualized_volatility": 0.16297300627113023, "cagr": 0.1590256723675849, "end_nav": 5056465.389945672, "end_session": "2025-12-31", "fee_by_category": { "entry": 11824.843868214466, "exit": 11495.520785041372, "resize": 549.5568661767447 }, "max_cash_weight": 0.0, "max_drawdown": -0.1390436522344739, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4362686.272182946, "start_session": "2024-12-31", "total_return": 0.1590256723675849, "traded_notional_by_category": { "entry": 4729937.547285786, "exit": 4598208.314016549, "resize": 219822.74647069792 }, "transaction_cost": 23869.92151943258, "transaction_cost_over_anchor_nav": 0.005471381628248242, "two_sided_turnover": 2.012545767629831 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.883388686074814, "annualized_volatility": 0.17476169990634524, "cagr": 0.07082487299421736, "end_nav": 5056465.389945672, "end_session": "2025-12-31", "fee_by_category": { "entry": 117768.42846482956, "exit": 115719.43265194228, "resize": 5066.361951968383 }, "max_cash_weight": 1.0, "max_drawdown": -0.5128798922675752, "mean_cash_weight": 0.09339402855789182, "nonzero_trade_event_count": 48, "order_count": 206, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 913872.8593722947, "start_session": "2000-12-29", "total_return": 4.533007505462817, "traded_notional_by_category": { "entry": 47107371.38593182, "exit": 46287773.06077691, "resize": 2026544.7807873532 }, "transaction_cost": 238554.22306874022, "transaction_cost_over_anchor_nav": 0.2610365551643521, "two_sided_turnover": 47.08471715187035 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 5806483.177676335, "end_session": "2026-10-02", "fee_by_category": { "entry": 14033.360021567474, "exit": 12315.827292614409, "resize": 1787.8753857027727 }, "max_cash_weight": 0.0, "max_drawdown": -0.07808875246002456, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 5056465.389945672, "start_session": "2025-12-31", "total_return": 0.1483284725377545, "traded_notional_by_category": { "entry": 5613344.00862699, "exit": 4926330.917045764, "resize": 715150.1542811091 }, "transaction_cost": 28137.062699884656, "transaction_cost_over_anchor_nav": 0.00556457140116744, "two_sided_turnover": 1.9994458329484952 } }, "monthly_risk": { "beta_intercept_per_month": 5.133614347339194e-05, "beta_to_SPY_excess_returns": 0.7735846915939172, "monthly_return_volatility_annualized": 0.1401264280394307, "months": 300, "sharpe_monthly_annualized": 0.43830309529598716, "tracking_error_monthly_annualized": 0.0850637676852539 }, "phase": [ 2, 8 ], "policy": "A", "run_id": "S12-02-08-25bps", "signal": "12-1" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6679223824146145, "annualized_volatility": 0.20739770529140933, "cagr": -0.07087707496465845, "end_nav": 853301.40999773, "end_session": "2001-12-31", "fee_by_category": { "entry": 574.2262554395857, "exit": 545.0350516661352, "resize": 30.482426032845456 }, "max_cash_weight": 1.4802341222839774e-16, "max_drawdown": -0.26522583552883583, "mean_cash_weight": 6.980286314865134e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 918394.5277911129, "start_session": "2000-12-29", "total_return": -0.07087707496465845, "traded_notional_by_category": { "entry": 1148452.5108791713, "exit": 1090070.1033322704, "resize": 60964.85206569091 }, "transaction_cost": 1149.7437331385663, "transaction_cost_over_anchor_nav": 0.0012519061235086904, "two_sided_turnover": 2.6679223824146145 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9649486715594037, "annualized_volatility": 0.13299310101348638, "cagr": -0.06975312692597013, "end_nav": 793780.9684400491, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 380.59977339875286, "resize": 16.489255335638823 }, "max_cash_weight": 1.0, "max_drawdown": -0.17098750446505806, "mean_cash_weight": 0.5079743901465099, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 853301.40999773, "start_session": "2001-12-31", "total_return": -0.06975312692597013, "traded_notional_by_category": { "entry": 0.0, "exit": 761199.5467975057, "resize": 32978.51067127765 }, "transaction_cost": 397.08902873439166, "transaction_cost_over_anchor_nav": 0.000465356114594312, "two_sided_turnover": 0.9649486715594037 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9995002498750627, "annualized_volatility": 0.08548202873888658, "cagr": 0.11601931965540846, "end_nav": 885874.8963538748, "end_session": "2003-12-31", "fee_by_category": { "entry": 396.6921381509492, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.05601590420816949, "mean_cash_weight": 0.6626984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 793780.9684400491, "start_session": "2002-12-31", "total_return": 0.11601931965540846, "traded_notional_by_category": { "entry": 793384.2763018983, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 396.6921381509492, "transaction_cost_over_anchor_nav": 0.0004997501249375313, "two_sided_turnover": 0.9995002498750627 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998889444413597, "annualized_volatility": 0.12557638633088172, "cagr": 0.17939781684895428, "end_nav": 1044798.9187610537, "end_session": "2004-12-31", "fee_by_category": { "entry": 453.6363071286911, "exit": 442.4083822502106, "resize": 11.6817881172286 }, "max_cash_weight": 1.256248940466199e-16, "max_drawdown": -0.08616723405547133, "mean_cash_weight": 3.959539536289916e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 885874.8963538748, "start_session": "2003-12-31", "total_return": 0.17939781684895428, "traded_notional_by_category": { "entry": 907272.6142573821, "exit": 884816.7645004212, "resize": 23363.5762344572 }, "transaction_cost": 907.7264774961302, "transaction_cost_over_anchor_nav": 0.0010246666670792831, "two_sided_turnover": 1.9998889444413597 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7520315847139774, "annualized_volatility": 0.14473431094661243, "cagr": 0.15913227699397936, "end_nav": 1211060.1497043478, "end_session": "2005-12-30", "fee_by_category": { "entry": 205.20884701489052, "exit": 181.22566232046682, "resize": 72.28543657041126 }, "max_cash_weight": 1.1556877722099907e-16, "max_drawdown": -0.10346025169436268, "mean_cash_weight": 1.7013732025297925e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1044798.9187610537, "start_session": "2004-12-31", "total_return": 0.15913227699397936, "traded_notional_by_category": { "entry": 410417.69402978104, "exit": 362451.32464093366, "resize": 144570.8731408225 }, "transaction_cost": 458.71994590576867, "transaction_cost_over_anchor_nav": 0.000439050938576515, "two_sided_turnover": 0.7520315847139774 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.021512265132352, "annualized_volatility": 0.12113340023164512, "cagr": 0.19669828566487313, "end_nav": 1449273.6049882376, "end_session": "2006-12-29", "fee_by_category": { "entry": 654.5090326753344, "exit": 658.9461447747717, "resize": 10.572423982647365 }, "max_cash_weight": 0.0, "max_drawdown": -0.07662510992093163, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1211060.1497043478, "start_session": "2005-12-30", "total_return": 0.19669828566487313, "traded_notional_by_category": { "entry": 1309018.0653506687, "exit": 1317892.2895495433, "resize": 21144.847965294728 }, "transaction_cost": 1324.0276014327533, "transaction_cost_over_anchor_nav": 0.001093279802622507, "two_sided_turnover": 2.021512265132352 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.37262786089331, "annualized_volatility": 0.16222365019891935, "cagr": 0.05626934338450229, "end_nav": 1530823.2791254164, "end_session": "2007-12-31", "fee_by_category": { "entry": 1221.3861953675291, "exit": 1237.3184046464899, "resize": 14.695509224341338 }, "max_cash_weight": 0.0, "max_drawdown": -0.10150823930939312, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1449273.6049882376, "start_session": "2006-12-29", "total_return": 0.05626934338450229, "traded_notional_by_category": { "entry": 2442772.390735058, "exit": 2474636.8092929795, "resize": 29391.018448682677 }, "transaction_cost": 2473.4001092383605, "transaction_cost_over_anchor_nav": 0.001706648144784528, "two_sided_turnover": 3.37262786089331 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0509073171825336, "annualized_volatility": 0.3850888034657679, "cagr": -0.35436843839001575, "end_nav": 988347.8242506594, "end_session": "2008-12-31", "fee_by_category": { "entry": 699.4471329839068, "exit": 704.330081368377, "resize": 31.61787535791521 }, "max_cash_weight": 0.0, "max_drawdown": -0.44746834114357503, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1530823.2791254164, "start_session": "2007-12-31", "total_return": -0.35436843839001575, "traded_notional_by_category": { "entry": 1398894.2659678136, "exit": 1408660.162736754, "resize": 63235.75071583042 }, "transaction_cost": 1435.395089710199, "transaction_cost_over_anchor_nav": 0.0009376621777859709, "two_sided_turnover": 2.0509073171825336 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0, "annualized_volatility": 0.13241187599064178, "cagr": -0.15974247834205169, "end_nav": 830466.6933408845, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 415.4410672040442, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.19669632721090513, "mean_cash_weight": 0.8452380952380952, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 988347.8242506594, "start_session": "2008-12-31", "total_return": -0.15974247834205169, "traded_notional_by_category": { "entry": 0.0, "exit": 830882.1344080884, "resize": 0.0 }, "transaction_cost": 415.4410672040442, "transaction_cost_over_anchor_nav": 0.0004203389302941211, "two_sided_turnover": 1.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.666278046174446, "annualized_volatility": 0.15588615022122979, "cagr": 0.17923462121434697, "end_nav": 979315.0765529693, "end_session": "2010-12-31", "fee_by_category": { "entry": 551.9200357571112, "exit": 133.97071866547728, "resize": 3.060446021413634 }, "max_cash_weight": 1.0, "max_drawdown": -0.14440636799666107, "mean_cash_weight": 0.15079365079365084, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 830466.6933408845, "start_session": "2009-12-31", "total_return": 0.17923462121434697, "traded_notional_by_category": { "entry": 1103840.0715142223, "exit": 267941.43733095453, "resize": 6120.892042827269 }, "transaction_cost": 688.9512004440021, "transaction_cost_over_anchor_nav": 0.0008295952215403369, "two_sided_turnover": 1.666278046174446 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3543493989270257, "annualized_volatility": 0.2445035562761965, "cagr": -0.011236433658609934, "end_nav": 968311.0676644053, "end_session": "2011-12-30", "fee_by_category": { "entry": 325.56338095215955, "exit": 305.5282440905983, "resize": 30.013449036397475 }, "max_cash_weight": 1.185047097196778e-16, "max_drawdown": -0.2167153458830957, "mean_cash_weight": 1.7957026807477096e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 979315.0765529693, "start_session": "2010-12-31", "total_return": -0.011236433658609934, "traded_notional_by_category": { "entry": 651126.761904319, "exit": 611056.4881811966, "resize": 60026.89807279495 }, "transaction_cost": 661.1050740791553, "transaction_cost_over_anchor_nav": 0.0006750688209622365, "two_sided_turnover": 1.3543493989270257 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0244388216657434, "annualized_volatility": 0.09145817079404853, "cagr": 0.129156970683312, "end_nav": 1093375.1918430636, "end_session": "2012-12-31", "fee_by_category": { "entry": 532.0887735731565, "exit": 537.9600101676682, "resize": 7.775210372932343 }, "max_cash_weight": 1.1275086103517286e-16, "max_drawdown": -0.08147235701516875, "mean_cash_weight": 5.5495785488788666e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 968311.0676644053, "start_session": "2011-12-30", "total_return": 0.129156970683312, "traded_notional_by_category": { "entry": 1064177.547146313, "exit": 1075920.0203353362, "resize": 15550.420745864685 }, "transaction_cost": 1077.823994113757, "transaction_cost_over_anchor_nav": 0.0011130968447086948, "two_sided_turnover": 2.0244388216657434 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998889444413595, "annualized_volatility": 0.1143456472030866, "cagr": 0.3505446344185439, "end_nav": 1476651.9987499956, "end_session": "2013-12-31", "fee_by_category": { "entry": 602.9892056137423, "exit": 581.2962752678513, "resize": 22.296221196929956 }, "max_cash_weight": 0.0, "max_drawdown": -0.05355525566372388, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1093375.1918430636, "start_session": "2012-12-31", "total_return": 0.3505446344185439, "traded_notional_by_category": { "entry": 1205978.4112274845, "exit": 1162592.5505357026, "resize": 44592.44239385991 }, "transaction_cost": 1206.5817020785237, "transaction_cost_over_anchor_nav": 0.0011035385758521117, "two_sided_turnover": 1.9998889444413595 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0011830262661965, "annualized_volatility": 0.127527025414517, "cagr": 0.10859812864731411, "end_nav": 1637013.6424775613, "end_session": "2014-12-31", "fee_by_category": { "entry": 779.6348497845154, "exit": 763.4792535963353, "resize": 17.901312131102138 }, "max_cash_weight": 0.0, "max_drawdown": -0.08164880104250916, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1476651.9987499956, "start_session": "2013-12-31", "total_return": 0.10859812864731411, "traded_notional_by_category": { "entry": 1559269.6995690307, "exit": 1526958.5071926704, "resize": 35802.62426220428 }, "transaction_cost": 1561.0154155119528, "transaction_cost_over_anchor_nav": 0.0010571315495007435, "two_sided_turnover": 2.0011830262661965 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0048987655505357, "annualized_volatility": 0.14794380557595538, "cagr": 0.07488247950013727, "end_nav": 1759597.2830018322, "end_session": "2015-12-31", "fee_by_category": { "entry": 847.3279979963853, "exit": 832.7172077996909, "resize": 19.547764308429265 }, "max_cash_weight": 0.0, "max_drawdown": -0.10211404330441498, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1637013.6424775613, "start_session": "2014-12-31", "total_return": 0.07488247950013727, "traded_notional_by_category": { "entry": 1694655.9959927704, "exit": 1665434.4155993816, "resize": 39095.52861685853 }, "transaction_cost": 1699.5929701045054, "transaction_cost_over_anchor_nav": 0.001038227737389062, "two_sided_turnover": 2.0048987655505357 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3483620429315861, "annualized_volatility": 0.11518534894640244, "cagr": 0.016481649103213147, "end_nav": 1788598.3479832355, "end_session": "2016-12-30", "fee_by_category": { "entry": 580.281481515149, "exit": 546.4864355579431, "resize": 34.375617724604794 }, "max_cash_weight": 0.3340229084365088, "max_drawdown": -0.08708647086326549, "mean_cash_weight": 0.16332821915295748, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1759597.2830018322, "start_session": "2015-12-31", "total_return": 0.016481649103213147, "traded_notional_by_category": { "entry": 1160562.9630302982, "exit": 1092972.8711158861, "resize": 68751.23544920958 }, "transaction_cost": 1161.143534797697, "transaction_cost_over_anchor_nav": 0.0006598916388509153, "two_sided_turnover": 1.3483620429315861 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.37914703937684, "annualized_volatility": 0.08429013961464266, "cagr": 0.25724612931903623, "end_nav": 2248708.3499083454, "end_session": "2017-12-29", "fee_by_category": { "entry": 636.8404187158663, "exit": 620.3218769089274, "resize": 63.58278651487379 }, "max_cash_weight": 1.1741941613069674e-16, "max_drawdown": -0.04633125404785898, "mean_cash_weight": 3.606814020313765e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1788598.3479832355, "start_session": "2016-12-30", "total_return": 0.25724612931903623, "traded_notional_by_category": { "entry": 1273680.8374317326, "exit": 1240643.7538178547, "resize": 127165.57302974758 }, "transaction_cost": 1320.7450821396676, "transaction_cost_over_anchor_nav": 0.0007384246349265033, "two_sided_turnover": 1.37914703937684 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0040669720607442, "annualized_volatility": 0.19566278899137157, "cagr": -0.0493979891486811, "end_nav": 2137626.6792410244, "end_session": "2018-12-31", "fee_by_category": { "entry": 1212.001200733429, "exit": 1207.9569076000314, "resize": 10.70015948383318 }, "max_cash_weight": 1.0682095875639622e-16, "max_drawdown": -0.24630106185371514, "mean_cash_weight": 1.592591789271587e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2248708.3499083454, "start_session": "2017-12-29", "total_return": -0.0493979891486811, "traded_notional_by_category": { "entry": 2424002.401466858, "exit": 2415913.815200063, "resize": 21400.31896766636 }, "transaction_cost": 2430.6582678172936, "transaction_cost_over_anchor_nav": 0.0010809130796869963, "two_sided_turnover": 2.0040669720607442 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6662222962839524, "annualized_volatility": 0.11312984048444498, "cagr": 0.31528069128716263, "end_nav": 2811579.0963860163, "end_session": "2019-12-31", "fee_by_category": { "entry": 1669.6371129659851, "exit": 1638.7302575120557, "resize": 32.57732780307025 }, "max_cash_weight": 0.0, "max_drawdown": -0.048102923647614815, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2137626.6792410244, "start_session": "2018-12-31", "total_return": 0.31528069128716263, "traded_notional_by_category": { "entry": 3339274.2259319704, "exit": 3277460.515024111, "resize": 65154.6556061405 }, "transaction_cost": 3340.9446982811105, "transaction_cost_over_anchor_nav": 0.0015629224367031808, "two_sided_turnover": 2.6662222962839524 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3982158879307331, "annualized_volatility": 0.33367587476608107, "cagr": 0.18471550914100598, "end_nav": 3330921.360665169, "end_session": "2020-12-31", "fee_by_category": { "entry": 1047.4739071714441, "exit": 945.306634813033, "resize": 190.88457987277837 }, "max_cash_weight": 0.0, "max_drawdown": -0.3031642488925358, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2811579.0963860163, "start_session": "2019-12-31", "total_return": 0.18471550914100598, "traded_notional_by_category": { "entry": 2094947.814342888, "exit": 1890613.269626066, "resize": 381769.15974555677 }, "transaction_cost": 2183.6651218572556, "transaction_cost_over_anchor_nav": 0.0007766685720007391, "two_sided_turnover": 1.3982158879307331 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6669702643477544, "annualized_volatility": 0.14467221969384989, "cagr": 0.21391450582174798, "end_nav": 4043453.757462963, "end_session": "2021-12-31", "fee_by_category": { "entry": 2523.726193939, "exit": 2518.1524270461423, "resize": 10.109551919354475 }, "max_cash_weight": 0.0, "max_drawdown": -0.0722961713403798, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3330921.360665169, "start_session": "2020-12-31", "total_return": 0.21391450582174798, "traded_notional_by_category": { "entry": 5047452.387878, "exit": 5036304.854092285, "resize": 20219.10383870895 }, "transaction_cost": 5051.988172904496, "transaction_cost_over_anchor_nav": 0.0015166939191550409, "two_sided_turnover": 2.6669702643477544 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.035679438922873, "annualized_volatility": 0.19893341376138254, "cagr": 0.0159028245899564, "end_nav": 4107756.0933054965, "end_session": "2022-12-30", "fee_by_category": { "entry": 1928.852153636054, "exit": 1898.520965821324, "resize": 102.33913223389082 }, "max_cash_weight": 1.2626939197913705e-16, "max_drawdown": -0.15300833032240468, "mean_cash_weight": 5.965082286971008e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4043453.757462963, "start_session": "2021-12-31", "total_return": 0.0159028245899564, "traded_notional_by_category": { "entry": 3857704.3072721073, "exit": 3797041.931642648, "resize": 204678.26446778164 }, "transaction_cost": 3929.7122516912686, "transaction_cost_over_anchor_nav": 0.0009718702098269919, "two_sided_turnover": 2.035679438922873 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0682851056302556, "annualized_volatility": 0.13871550230982257, "cagr": 0.0632808772664617, "end_nav": 4367698.502486521, "end_session": "2023-12-29", "fee_by_category": { "entry": 2019.8635470277843, "exit": 2008.8354816186757, "resize": 146.12277164963075 }, "max_cash_weight": 1.2435223459387974e-16, "max_drawdown": -0.11360167093057738, "mean_cash_weight": 6.00203480337507e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4107756.0933054965, "start_session": "2022-12-30", "total_return": 0.0632808772664617, "traded_notional_by_category": { "entry": 4039727.0940555683, "exit": 4017670.963237351, "resize": 292245.5432992615 }, "transaction_cost": 4174.82180029609, "transaction_cost_over_anchor_nav": 0.0010163266039821333, "two_sided_turnover": 2.0682851056302556 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6662222962839524, "annualized_volatility": 0.13805516486988834, "cagr": 0.0986386000460282, "end_nav": 4798522.168194925, "end_session": "2024-12-31", "fee_by_category": { "entry": 3150.0752823381226, "exit": 3083.983494311932, "resize": 69.2434391340816 }, "max_cash_weight": 0.0, "max_drawdown": -0.1039059730468358, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4367698.502486521, "start_session": "2023-12-29", "total_return": 0.0986386000460282, "traded_notional_by_category": { "entry": 6300150.564676245, "exit": 6167966.988623865, "resize": 138486.8782681632 }, "transaction_cost": 6303.302215784136, "transaction_cost_over_anchor_nav": 0.001443163307219049, "two_sided_turnover": 2.6662222962839524 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0138872412293174, "annualized_volatility": 0.16272344689209672, "cagr": 0.16370730538296896, "end_nav": 5584075.302170558, "end_session": "2025-12-31", "fee_by_category": { "entry": 2609.4108492541504, "exit": 2531.1960545131838, "resize": 118.7125214378949 }, "max_cash_weight": 0.0, "max_drawdown": -0.13674239808856958, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4798522.168194925, "start_session": "2024-12-31", "total_return": 0.16370730538296896, "traded_notional_by_category": { "entry": 5218821.698508301, "exit": 5062392.109026368, "resize": 237425.0428757898 }, "transaction_cost": 5259.319425205229, "transaction_cost_over_anchor_nav": 0.0010960289941066674, "two_sided_turnover": 2.0138872412293174 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.8850973945694371, "annualized_volatility": 0.17474753153782413, "cagr": 0.0748723200752015, "end_nav": 5584075.302170558, "end_session": "2025-12-31", "fee_by_category": { "entry": 25222.79229973494, "exit": 24719.74681292012, "resize": 1067.0670054622458 }, "max_cash_weight": 1.0, "max_drawdown": -0.5089177764298518, "mean_cash_weight": 0.09339402855789182, "nonzero_trade_event_count": 48, "order_count": 206, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 918394.5277911129, "start_session": "2000-12-29", "total_return": 5.080257594305533, "traded_notional_by_category": { "entry": 50445584.599469885, "exit": 49439493.62584023, "resize": 2134134.0109244916 }, "transaction_cost": 51009.606118117306, "transaction_cost_over_anchor_nav": 0.055542149451612746, "two_sided_turnover": 47.12743486423593 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6438087.843242334, "end_session": "2026-10-02", "fee_by_category": { "entry": 3109.3392184667473, "exit": 2722.6739888696397, "resize": 389.7761242629077 }, "max_cash_weight": 1.480443687774229e-16, "max_drawdown": -0.07730447713470412, "mean_cash_weight": 1.777304694266872e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 5584075.302170558, "start_session": "2025-12-31", "total_return": 0.15293714623436716, "traded_notional_by_category": { "entry": 6218678.436933494, "exit": 5445347.977739279, "resize": 779552.2485258153 }, "transaction_cost": 6221.789331599295, "transaction_cost_over_anchor_nav": 0.0011142022617748107, "two_sided_turnover": 1.9998889444413597 } }, "monthly_risk": { "beta_intercept_per_month": 0.00037249470902931715, "beta_to_SPY_excess_returns": 0.7724210397988213, "monthly_return_volatility_annualized": 0.13991730613860795, "months": 300, "sharpe_monthly_annualized": 0.46583230632615547, "tracking_error_monthly_annualized": 0.08502273310747667 }, "phase": [ 2, 8 ], "policy": "A", "run_id": "S12-02-08-5bps", "signal": "12-1" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6666666666666665, "annualized_volatility": 0.18396198622802226, "cagr": -0.036932526166604474, "end_nav": 896254.0037855217, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.22919666028921737, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 930624.3104837408, "start_session": "2000-12-29", "total_return": -0.036932526166604474, "traded_notional_by_category": { "entry": 1076433.8393745744, "exit": 1020594.3738516986, "resize": 55839.46552287578 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7522866940204221, "annualized_volatility": 0.2300336965455147, "cagr": -0.13978210065427976, "end_nav": 770973.7364165727, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.28161725265851034, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 896254.0037855217, "start_session": "2001-12-31", "total_return": -0.13978210065427976, "traded_notional_by_category": { "entry": 242503.1788589654, "exit": 242829.14032911026, "resize": 79766.92556161742 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.7522866940204221 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0, "annualized_volatility": 0.135696654931616, "cagr": 0.1305989871709834, "end_nav": 871662.1255280058, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.12978543476237603, "mean_cash_weight": 0.503968253968254, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 770973.7364165727, "start_session": "2002-12-31", "total_return": 0.1305989871709834, "traded_notional_by_category": { "entry": 753215.0431666014, "exit": 753215.0431666014, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666666666666667, "annualized_volatility": 0.12761165672411046, "cagr": 0.11505644018246519, "end_nav": 971952.4667331392, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.30931345639247e-16, "max_drawdown": -0.10905296426654465, "mean_cash_weight": 3.155637411627934e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 871662.1255280058, "start_session": "2003-12-31", "total_return": 0.11505644018246519, "traded_notional_by_category": { "entry": 1175116.694790467, "exit": 1155556.1662415832, "resize": 19560.528548883914 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.666666666666667 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.715501848203479, "annualized_volatility": 0.14000603236334266, "cagr": 0.18261615859740354, "end_nav": 1149446.6925472158, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2419416070280002e-16, "max_drawdown": -0.10054188647662277, "mean_cash_weight": 2.804313609010606e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 971952.4667331392, "start_session": "2004-12-31", "total_return": 0.18261615859740354, "traded_notional_by_category": { "entry": 398820.0509641571, "exit": 349418.7569155675, "resize": 100685.37523277773 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.715501848203479 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6666666666666665, "annualized_volatility": 0.10848399180326863, "cagr": 0.14934506925501223, "end_nav": 1321110.8884506247, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8957435375743018e-16, "max_drawdown": -0.1021840819441786, "mean_cash_weight": 4.556525710905728e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1149446.6925472158, "start_session": "2005-12-30", "total_return": 0.14934506925501223, "traded_notional_by_category": { "entry": 1609514.4711130615, "exit": 1579249.2441989249, "resize": 30265.226914136496 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3591673836402274, "annualized_volatility": 0.16388171418004813, "cagr": 0.05192550203273738, "end_nav": 1389710.2345743391, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7783291712957196e-16, "max_drawdown": -0.09794209160718959, "mean_cash_weight": 4.1942163820595423e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1321110.8884506247, "start_session": "2006-12-29", "total_return": 0.05192550203273738, "traded_notional_by_category": { "entry": 2293971.1290412825, "exit": 2311566.0955977147, "resize": 17594.966556432424 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.3591673836402274 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0, "annualized_volatility": 0.22909020514091025, "cagr": -0.21831759050451371, "end_nav": 1086312.044662607, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.7150648921533194, "max_drawdown": -0.26243194687757887, "mean_cash_weight": 0.17639597726569642, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1389710.2345743391, "start_session": "2007-12-31", "total_return": -0.21831759050451371, "traded_notional_by_category": { "entry": 852016.4379521273, "exit": 1531471.2019143598, "resize": 76382.96595693612 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.612224462988221, "annualized_volatility": 0.044300601154707894, "cagr": -0.0003975141352310363, "end_nav": 1085880.2202695818, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06210085714019087, "mean_cash_weight": 0.8439701510019979, "nonzero_trade_event_count": 2, "order_count": 2, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1086312.044662607, "start_session": "2008-12-31", "total_return": -0.0003975141352310363, "traded_notional_by_category": { "entry": 349386.7851777757, "exit": 292322.6256141583, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.612224462988221 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0298966192833596, "annualized_volatility": 0.16248363036601582, "cagr": 0.08382999546454672, "end_nav": 1176909.5542098219, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.664907070835184, "max_drawdown": -0.15344981370987243, "mean_cash_weight": 0.15743314463723423, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1085880.2202695818, "start_session": "2009-12-31", "total_return": 0.08382999546454672, "traded_notional_by_category": { "entry": 1459982.4487758009, "exit": 759904.7892313746, "resize": 5415.654981561296 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0298966192833596 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7567004719152846, "annualized_volatility": 0.2288928823753947, "cagr": -0.015199036687833956, "end_nav": 1159021.6627171244, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.1577651147494767e-16, "max_drawdown": -0.1961365698105102, "mean_cash_weight": 2.6137785716380007e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1176909.5542098219, "start_session": "2010-12-31", "total_return": -0.015199036687833956, "traded_notional_by_category": { "entry": 1497927.8048638208, "exit": 1515901.3994317506, "resize": 74232.55739172787 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.7567004719152846 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3911122237812186, "annualized_volatility": 0.09333726185929538, "cagr": 0.09698589694958892, "end_nav": 1271430.4182597487, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0162209716463936e-16, "max_drawdown": -0.06078456642939645, "mean_cash_weight": 2.454360209916102e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1159021.6627171244, "start_session": "2011-12-30", "total_return": 0.09698589694958892, "traded_notional_by_category": { "entry": 820426.460386955, "exit": 846382.5813294712, "resize": 42920.42559131433 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3911122237812186 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0079940282062756, "annualized_volatility": 0.11237684319516439, "cagr": 0.30088435109243505, "end_nav": 1653983.9346170165, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.07026504304509695, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1271430.4182597487, "start_session": "2012-12-31", "total_return": 0.30088435109243505, "traded_notional_by_category": { "entry": 1483337.4792983788, "exit": 1446431.845262022, "resize": 48498.61446737428 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0079940282062756 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.028141613697881, "annualized_volatility": 0.12752136740560788, "cagr": 0.10952245274715544, "end_nav": 1835132.3119406628, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4040175949258243e-16, "max_drawdown": -0.08592896984832821, "mean_cash_weight": 3.290996191932016e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1653983.9346170165, "start_session": "2013-12-31", "total_return": 0.10952245274715544, "traded_notional_by_category": { "entry": 1745773.377966478, "exit": 1720465.217044087, "resize": 72850.79850090621 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.028141613697881 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3627718794649066, "annualized_volatility": 0.15470274678271134, "cagr": 0.05398360875781849, "end_nav": 1934199.3766872983, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3242954304489122e-16, "max_drawdown": -0.11537526357914563, "mean_cash_weight": 1.2249133025802637e-16, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1835132.3119406628, "start_session": "2014-12-31", "total_return": 0.05398360875781849, "traded_notional_by_category": { "entry": 1228709.6269357374, "exit": 1193796.549951288, "resize": 88465.2986507006 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3627718794649066 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0138165786704256, "annualized_volatility": 0.11518303600013247, "cagr": 0.06583177063370949, "end_nav": 2061531.1464132403, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3195240264634126e-16, "max_drawdown": -0.08773377267346394, "mean_cash_weight": 5.907349026387607e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1934199.3766872983, "start_session": "2015-12-31", "total_return": 0.06583177063370949, "traded_notional_by_category": { "entry": 1960282.2583653126, "exit": 1905445.227544019, "resize": 82619.16641330614 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0138165786704256 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6752467929606409, "annualized_volatility": 0.08175749591706513, "cagr": 0.2812898123082386, "end_nav": 2641418.8556554085, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.1224492921246882e-16, "max_drawdown": -0.031253624203608554, "mean_cash_weight": 2.6616620200244918e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2061531.1464132403, "start_session": "2016-12-30", "total_return": 0.2812898123082386, "traded_notional_by_category": { "entry": 737638.7338402476, "exit": 698491.4733601653, "resize": 60120.83271237882 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.6752467929606409 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3492282957354291, "annualized_volatility": 0.19479208595857178, "cagr": -0.02012966871738142, "end_nav": 2588247.9691472203, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.19908286425515387, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2641418.8556554085, "start_session": "2017-12-29", "total_return": -0.02012966871738142, "traded_notional_by_category": { "entry": 1884973.1175978708, "exit": 1828194.3965681246, "resize": 98714.57815919176 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3492282957354291 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0070504076028923, "annualized_volatility": 0.11368040371119251, "cagr": 0.28480073188269217, "end_nav": 3325382.88505424, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.04796143151151022, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2588247.9691472203, "start_session": "2018-12-31", "total_return": 0.28480073188269217, "traded_notional_by_category": { "entry": 3079824.1062594824, "exit": 3022806.631363104, "resize": 77917.95526604191 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0070504076028923 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3882114739588682, "annualized_volatility": 0.3341788582627896, "cagr": 0.19294717506385206, "end_nav": 3967006.118731138, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3388862597026163e-16, "max_drawdown": -0.3034308536452538, "mean_cash_weight": 3.127724620706981e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3325382.88505424, "start_session": "2019-12-31", "total_return": 0.19294717506385206, "traded_notional_by_category": { "entry": 2432580.7730264473, "exit": 2216332.023621927, "resize": 370141.6131078657 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3882114739588682 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6666666666666665, "annualized_volatility": 0.14474371033109168, "cagr": 0.19789839526016428, "end_nav": 4752070.263615283, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2062853393475501e-16, "max_drawdown": -0.07601731845749049, "mean_cash_weight": 2.7788616563091695e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3967006.118731138, "start_session": "2020-12-31", "total_return": 0.19789839526016428, "traded_notional_by_category": { "entry": 5790088.377690256, "exit": 5764702.13529923, "resize": 25386.242391025648 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.024262078513293, "annualized_volatility": 0.2016575304017987, "cagr": 0.027377215345918193, "end_nav": 4882168.714561213, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.130475755711443, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4752070.263615283, "start_session": "2021-12-31", "total_return": 0.027377215345918193, "traded_notional_by_category": { "entry": 4564453.079889009, "exit": 4471629.016729775, "resize": 198297.4099762512 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.024262078513293 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0136600251983428, "annualized_volatility": 0.111514539738387, "cagr": 0.14915630244909117, "end_nav": 5610374.947957796, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6926935052909013, "max_drawdown": -0.08955556589030433, "mean_cash_weight": 0.33516239167547746, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4882168.714561213, "start_session": "2022-12-30", "total_return": 0.14915630244909117, "traded_notional_by_category": { "entry": 4934516.13703353, "exit": 4834191.00786072, "resize": 100325.12917280942 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0136600251983428 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.334071444288773, "annualized_volatility": 0.13393161001957388, "cagr": 0.18810816983876166, "end_nav": 6665732.311527375, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7074467509377997e-16, "max_drawdown": -0.09259074113434917, "mean_cash_weight": 3.904418233684981e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 5610374.947957796, "start_session": "2023-12-29", "total_return": 0.18810816983876166, "traded_notional_by_category": { "entry": 4268587.923793054, "exit": 4202823.005175573, "resize": 70675.16764008021 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.334071444288773 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0179783531590876, "annualized_volatility": 0.14435656072057956, "cagr": 0.10045818345387048, "end_nav": 7335359.670933184, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4905766934360173e-16, "max_drawdown": -0.11386723476696115, "mean_cash_weight": 1.0018304616114028e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 6665732.311527375, "start_session": "2024-12-31", "total_return": 0.10045818345387048, "traded_notional_by_category": { "entry": 7102366.817987346, "exit": 6923847.793425387, "resize": 301268.1677308241 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0179783531590876 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.8602395736782278, "annualized_volatility": 0.16360595638530476, "cagr": 0.08609016450322837, "end_nav": 7335359.670933184, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.32610125657387146, "mean_cash_weight": 0.08076545421793817, "nonzero_trade_event_count": 50, "order_count": 207, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 930624.3104837408, "start_session": "2000-12-29", "total_return": 6.8821921889406115, "traded_notional_by_category": { "entry": 53742446.154148735, "exit": 52587567.741027735, "resize": 2097945.0664470196 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 46.5059893419557 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 8027488.009033416, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3668143303385407e-16, "max_drawdown": -0.10216380227513855, "mean_cash_weight": 1.201580892487841e-16, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 7335359.670933184, "start_session": "2025-12-31", "total_return": 0.0943550649387832, "traded_notional_by_category": { "entry": 10011166.221798126, "exit": 8962775.389317956, "resize": 1048390.8324801703 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 } }, "monthly_risk": { "beta_intercept_per_month": 0.0015010458207243768, "beta_to_SPY_excess_returns": 0.7186794364714, "monthly_return_volatility_annualized": 0.1320313197061748, "months": 300, "sharpe_monthly_annualized": 0.5640739943320834, "tracking_error_monthly_annualized": 0.0867579035450744 }, "phase": [ 3, 9 ], "policy": "A", "run_id": "S12-03-09-0bps", "signal": "12-1" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6657780739753414, "annualized_volatility": 0.18399411449051012, "cagr": -0.039498139342997396, "end_nav": 892227.6985674568, "end_session": "2001-12-31", "fee_by_category": { "entry": 1072.3236027597613, "exit": 1018.0363138668127, "resize": 56.434082892467266 }, "max_cash_weight": 1.456268248596584e-16, "max_drawdown": -0.23022405561039105, "mean_cash_weight": 3.2400089402879654e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 928918.2406759266, "start_session": "2000-12-29", "total_return": -0.039498139342997396, "traded_notional_by_category": { "entry": 1072323.6027597613, "exit": 1018036.3138668127, "resize": 56434.08289246727 }, "transaction_cost": 2146.793999519041, "transaction_cost_over_anchor_nav": 0.002311068838477031, "two_sided_turnover": 2.6657780739753414 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7520912100487811, "annualized_volatility": 0.22992036920193884, "cagr": -0.1404290152942279, "end_nav": 766933.0414393937, "end_session": "2002-12-31", "fee_by_category": { "entry": 241.2322128967268, "exit": 241.718241138592, "resize": 79.43434382434067 }, "max_cash_weight": 1.631682482351016e-16, "max_drawdown": -0.2821575021891176, "mean_cash_weight": 6.987516539311367e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 892227.6985674568, "start_session": "2001-12-31", "total_return": -0.1404290152942279, "traded_notional_by_category": { "entry": 241232.2128967268, "exit": 241718.24113859198, "resize": 79434.34382434067 }, "transaction_cost": 562.3847978596594, "transaction_cost_over_anchor_nav": 0.0006303153317954749, "two_sided_turnover": 0.7520912100487811 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.999000999000999, "annualized_volatility": 0.13557800495196234, "cagr": 0.12834004813567668, "end_nav": 865361.2648945664, "end_session": "2003-12-31", "fee_by_category": { "entry": 747.770384192658, "exit": 749.2674219988494, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.12978543476237603, "mean_cash_weight": 0.503968253968254, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 766933.0414393937, "start_session": "2002-12-31", "total_return": 0.12834004813567668, "traded_notional_by_category": { "entry": 747770.3841926579, "exit": 749267.4219988494, "resize": 0.0 }, "transaction_cost": 1497.0378061915073, "transaction_cost_over_anchor_nav": 0.0019519798017592774, "two_sided_turnover": 1.999000999000999 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778073975342, "annualized_volatility": 0.12742696702655298, "cagr": 0.11208592817465446, "end_nav": 962356.0854766668, "end_session": "2004-12-31", "fee_by_category": { "entry": 1164.2815587297546, "exit": 1146.4246980912505, "resize": 20.18775464997528 }, "max_cash_weight": 0.0, "max_drawdown": -0.1102404978030106, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 865361.2648945664, "start_session": "2003-12-31", "total_return": 0.11208592817465446, "traded_notional_by_category": { "entry": 1164281.5587297548, "exit": 1146424.6980912504, "resize": 20187.75464997528 }, "transaction_cost": 2330.8940114709803, "transaction_cost_over_anchor_nav": 0.002693550203861934, "two_sided_turnover": 2.665778073975342 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.715740428346261, "annualized_volatility": 0.13999266671909513, "cagr": 0.18176975092934455, "end_nav": 1137283.3114390995, "end_session": "2005-12-30", "fee_by_category": { "entry": 394.5997593187173, "exit": 345.95193855160267, "resize": 100.23247974064702 }, "max_cash_weight": 1.182065547740335e-16, "max_drawdown": -0.10114172516520081, "mean_cash_weight": 5.502641663165377e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 962356.0854766668, "start_session": "2004-12-31", "total_return": 0.18176975092934455, "traded_notional_by_category": { "entry": 394599.7593187173, "exit": 345951.93855160265, "resize": 100232.47974064702 }, "transaction_cost": 840.784177610967, "transaction_cost_over_anchor_nav": 0.0008736726356279197, "two_sided_turnover": 0.715740428346261 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778073975342, "annualized_volatility": 0.10847260879594063, "cagr": 0.14628321228857777, "end_nav": 1303648.767518602, "end_session": "2006-12-29", "fee_by_category": { "entry": 1589.2829970402563, "exit": 1561.480798059875, "resize": 30.983946722203225 }, "max_cash_weight": 0.0, "max_drawdown": -0.10338077093858822, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1137283.3114390995, "start_session": "2005-12-30", "total_return": 0.14628321228857777, "traded_notional_by_category": { "entry": 1589282.9970402562, "exit": 1561480.798059875, "resize": 30983.946722203225 }, "transaction_cost": 3181.7477418223343, "transaction_cost_over_anchor_nav": 0.00279767381603112, "two_sided_turnover": 2.665778073975342 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.35581157206816, "annualized_volatility": 0.16367355927727806, "cagr": 0.0483982920353232, "end_nav": 1366743.1412804567, "end_session": "2007-12-31", "fee_by_category": { "entry": 2257.8477140483355, "exit": 2279.155505968659, "resize": 16.7540346656412 }, "max_cash_weight": 0.0, "max_drawdown": -0.09974440511047178, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1303648.767518602, "start_session": "2006-12-29", "total_return": 0.0483982920353232, "traded_notional_by_category": { "entry": 2257847.7140483353, "exit": 2279155.5059686587, "resize": 16754.0346656412 }, "transaction_cost": 4553.757254682636, "transaction_cost_over_anchor_nav": 0.0034930859968903836, "two_sided_turnover": 3.35581157206816 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9997779999753331, "annualized_volatility": 0.22896171100635862, "cagr": -0.21988008696110473, "end_nav": 1066223.5405222164, "end_session": "2008-12-31", "fee_by_category": { "entry": 836.8186842916214, "exit": 1505.227928351994, "resize": 75.86915683793667 }, "max_cash_weight": 0.7150648921533194, "max_drawdown": -0.2629238228716585, "mean_cash_weight": 0.17639597726569642, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1366743.1412804567, "start_session": "2007-12-31", "total_return": -0.21988008696110473, "traded_notional_by_category": { "entry": 836818.6842916213, "exit": 1505227.9283519941, "resize": 75869.15683793667 }, "transaction_cost": 2417.915769481552, "transaction_cost_over_anchor_nav": 0.0017691076665775592, "two_sided_turnover": 1.9997779999753331 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6121133889018054, "annualized_volatility": 0.044374378685427866, "cagr": -0.0010092913046181318, "end_nav": 1065147.410373988, "end_session": "2009-12-31", "fee_by_category": { "entry": 342.7159114829542, "exit": 286.91688211363066, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06210085714019098, "mean_cash_weight": 0.8439701510019979, "nonzero_trade_event_count": 2, "order_count": 2, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1066223.5405222164, "start_session": "2008-12-31", "total_return": -0.0010092913046181318, "traded_notional_by_category": { "entry": 342715.91148295416, "exit": 286916.88211363065, "resize": 0.0 }, "transaction_cost": 629.6327935965849, "transaction_cost_over_anchor_nav": 0.0005905260666897324, "two_sided_turnover": 0.6121133889018054 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0283150759994113, "annualized_volatility": 0.16246178839136197, "cagr": 0.08163263322489334, "end_nav": 1152098.1982554928, "end_session": "2010-12-31", "fee_by_category": { "entry": 1429.9196238792897, "exit": 744.9060377204638, "resize": 5.305038511814317 }, "max_cash_weight": 0.6649070708351839, "max_drawdown": -0.15344981370987243, "mean_cash_weight": 0.15743314463723412, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1065147.410373988, "start_session": "2009-12-31", "total_return": 0.08163263322489334, "traded_notional_by_category": { "entry": 1429919.6238792897, "exit": 744906.0377204638, "resize": 5305.038511814317 }, "transaction_cost": 2180.130700111568, "transaction_cost_over_anchor_nav": 0.0020467877768637617, "two_sided_turnover": 2.0283150759994113 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7548342303762334, "annualized_volatility": 0.22905903898267813, "cagr": -0.017910133603174616, "end_nav": 1131463.9656007602, "end_session": "2011-12-30", "fee_by_category": { "entry": 1463.4452280852838, "exit": 1482.99248731922, "resize": 72.66471279215138 }, "max_cash_weight": 0.0, "max_drawdown": -0.19727961955120898, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1152098.1982554928, "start_session": "2010-12-31", "total_return": -0.017910133603174616, "traded_notional_by_category": { "entry": 1463445.2280852837, "exit": 1482992.4873192199, "resize": 72664.71279215137 }, "transaction_cost": 3019.1024281966547, "transaction_cost_over_anchor_nav": 0.0026205252579755613, "two_sided_turnover": 2.7548342303762334 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3906486742231443, "annualized_volatility": 0.09328709079335896, "cagr": 0.09546090453324374, "end_nav": 1239474.5392037798, "end_session": "2012-12-31", "fee_by_category": { "entry": 800.0645036625133, "exit": 825.9618614847727, "resize": 41.89581534303579 }, "max_cash_weight": 0.0, "max_drawdown": -0.06078456642939656, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1131463.9656007602, "start_session": "2011-12-30", "total_return": 0.09546090453324374, "traded_notional_by_category": { "entry": 800064.5036625132, "exit": 825961.8614847728, "resize": 41895.81534303579 }, "transaction_cost": 1667.9221804903218, "transaction_cost_over_anchor_nav": 0.0014741275296422938, "two_sided_turnover": 1.3906486742231443 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0073249198996423, "annualized_volatility": 0.1122892002011723, "cagr": 0.2982742229442181, "end_nav": 1609177.84424393, "end_session": "2013-12-31", "fee_by_category": { "entry": 1443.781869858745, "exit": 1409.4443575965265, "resize": 47.90458936227212 }, "max_cash_weight": 0.0, "max_drawdown": -0.07026504304509706, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1239474.5392037798, "start_session": "2012-12-31", "total_return": 0.2982742229442181, "traded_notional_by_category": { "entry": 1443781.869858745, "exit": 1409444.3575965264, "resize": 47904.58936227212 }, "transaction_cost": 2901.1308168175437, "transaction_cost_over_anchor_nav": 0.0023406134818075306, "two_sided_turnover": 2.0073249198996423 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.027465791767292, "annualized_volatility": 0.12766066558469846, "cagr": 0.10727396111795628, "end_nav": 1781800.7257392302, "end_session": "2014-12-31", "fee_by_category": { "entry": 1695.7684475733583, "exit": 1673.0782774130912, "resize": 71.6242682885843 }, "max_cash_weight": 1.44604164638705e-16, "max_drawdown": -0.08714732510344503, "mean_cash_weight": 3.389499938486385e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1609177.84424393, "start_session": "2013-12-31", "total_return": 0.10727396111795628, "traded_notional_by_category": { "entry": 1695768.4475733582, "exit": 1673078.2774130912, "resize": 71624.26828858431 }, "transaction_cost": 3440.470993275034, "transaction_cost_over_anchor_nav": 0.0021380303026055734, "two_sided_turnover": 2.027465791767292 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.362317773540393, "annualized_volatility": 0.15469417828258866, "cagr": 0.05254823710736334, "end_nav": 1875431.2127534472, "end_session": "2015-12-31", "fee_by_category": { "entry": 1191.797339087329, "exit": 1158.7084941923436, "resize": 85.86985944601102 }, "max_cash_weight": 1.3648517086516533e-16, "max_drawdown": -0.11537526357914574, "mean_cash_weight": 9.435149801130707e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1781800.7257392302, "start_session": "2014-12-31", "total_return": 0.05254823710736334, "traded_notional_by_category": { "entry": 1191797.339087329, "exit": 1158708.4941923437, "resize": 85869.85944601102 }, "transaction_cost": 2436.3756927256836, "transaction_cost_over_anchor_nav": 0.0013673671008944531, "two_sided_turnover": 1.362317773540393 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0131455301603722, "annualized_volatility": 0.11511942994672958, "cagr": 0.0636870625652668, "end_nav": 1994871.91773693, "end_session": "2016-12-30", "fee_by_category": { "entry": 1897.7466419863222, "exit": 1846.7101618725617, "resize": 80.8809103281782 }, "max_cash_weight": 1.280387298869842e-16, "max_drawdown": -0.08773377267346394, "mean_cash_weight": 9.162551256963643e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1875431.2127534472, "start_session": "2015-12-31", "total_return": 0.0636870625652668, "traded_notional_by_category": { "entry": 1897746.6419863224, "exit": 1846710.1618725616, "resize": 80880.9103281782 }, "transaction_cost": 3825.3377141870615, "transaction_cost_over_anchor_nav": 0.0020397110212167285, "two_sided_turnover": 2.0131455301603722 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6754662301925688, "annualized_volatility": 0.08178285965823104, "cagr": 0.28042435163802093, "end_nav": 2554282.581869204, "end_session": "2017-12-29", "fee_by_category": { "entry": 713.3113048003909, "exit": 675.9058806408036, "resize": 59.108577326784726 }, "max_cash_weight": 1.159956263562826e-16, "max_drawdown": -0.03189967046956155, "mean_cash_weight": 2.7506022350199188e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1994871.91773693, "start_session": "2016-12-30", "total_return": 0.28042435163802093, "traded_notional_by_category": { "entry": 713311.3048003908, "exit": 675905.8806408036, "resize": 59108.577326784725 }, "transaction_cost": 1448.325762767979, "transaction_cost_over_anchor_nav": 0.0007260244379052783, "two_sided_turnover": 0.6754662301925688 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3492231473283112, "annualized_volatility": 0.1948541965245583, "cagr": -0.02145128656841855, "end_nav": 2499489.9342288077, "end_session": "2018-12-31", "fee_by_category": { "entry": 1820.8990352524802, "exit": 1767.257898704485, "resize": 96.71792103919364 }, "max_cash_weight": 0.0, "max_drawdown": -0.19908286425515387, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2554282.581869204, "start_session": "2017-12-29", "total_return": -0.02145128656841855, "traded_notional_by_category": { "entry": 1820899.0352524803, "exit": 1767257.898704485, "resize": 96717.92103919364 }, "transaction_cost": 3684.874854996159, "transaction_cost_over_anchor_nav": 0.0014426261530936786, "two_sided_turnover": 1.3492231473283112 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.005933067226991, "annualized_volatility": 0.11373453199722543, "cagr": 0.28222466019556625, "end_nav": 3204907.6315787714, "end_session": "2019-12-31", "fee_by_category": { "entry": 2969.5162639986956, "exit": 2917.8307392029983, "resize": 75.26284743066877 }, "max_cash_weight": 0.0, "max_drawdown": -0.04796143151151033, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2499489.9342288077, "start_session": "2018-12-31", "total_return": 0.28222466019556625, "traded_notional_by_category": { "entry": 2969516.2639986956, "exit": 2917830.739202998, "resize": 75262.84743066877 }, "transaction_cost": 5962.609850632362, "transaction_cost_over_anchor_nav": 0.002385530651265481, "two_sided_turnover": 2.005933067226991 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3877488909952034, "annualized_volatility": 0.3341708701562125, "cagr": 0.1912917511754415, "end_nav": 3817980.024779011, "end_session": "2020-12-31", "fee_by_category": { "entry": 2341.197498088841, "exit": 2135.919376788124, "resize": 358.23326183013177 }, "max_cash_weight": 0.0, "max_drawdown": -0.3034308536452538, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3204907.6315787714, "start_session": "2019-12-31", "total_return": 0.1912917511754415, "traded_notional_by_category": { "entry": 2341197.498088841, "exit": 2135919.376788124, "resize": 358233.26183013176 }, "transaction_cost": 4835.350136707097, "transaction_cost_over_anchor_nav": 0.0015087330720745772, "two_sided_turnover": 1.3877488909952034 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664890960989661, "annualized_volatility": 0.14455895011785586, "cagr": 0.1947077227887548, "end_nav": 4561370.221056686, "end_session": "2021-12-31", "fee_by_category": { "entry": 5560.380227258975, "exit": 5545.311052062919, "resize": 26.20106754292012 }, "max_cash_weight": 0.0, "max_drawdown": -0.0760173184574906, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3817980.024779011, "start_session": "2020-12-31", "total_return": 0.1947077227887548, "traded_notional_by_category": { "entry": 5560380.227258975, "exit": 5545311.052062918, "resize": 26201.067542920122 }, "transaction_cost": 11131.892346864814, "transaction_cost_over_anchor_nav": 0.00291564970864643, "two_sided_turnover": 2.664890960989661 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.023587549330183, "annualized_volatility": 0.20146992073366315, "cagr": 0.025299173433088296, "end_nav": 4676769.117371723, "end_session": "2022-12-30", "fee_by_category": { "entry": 4374.482896612648, "exit": 4290.398718666012, "resize": 192.12808989783213 }, "max_cash_weight": 0.0, "max_drawdown": -0.130475755711443, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4561370.221056686, "start_session": "2021-12-31", "total_return": 0.025299173433088296, "traded_notional_by_category": { "entry": 4374482.896612647, "exit": 4290398.718666012, "resize": 192128.08989783213 }, "transaction_cost": 8857.009705176491, "transaction_cost_over_anchor_nav": 0.0019417432209930723, "two_sided_turnover": 2.023587549330183 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.012536673808518, "annualized_volatility": 0.11147572884366388, "cagr": 0.14684461449658937, "end_nav": 5363527.475501728, "end_session": "2023-12-29", "fee_by_category": { "entry": 4717.405365022868, "exit": 4629.716062713359, "resize": 97.13355729453825 }, "max_cash_weight": 0.6926935052909013, "max_drawdown": -0.08955556589030411, "mean_cash_weight": 0.3351623916754774, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4676769.117371723, "start_session": "2022-12-30", "total_return": 0.14684461449658937, "traded_notional_by_category": { "entry": 4717405.365022868, "exit": 4629716.062713359, "resize": 97133.55729453824 }, "transaction_cost": 9444.254985030766, "transaction_cost_over_anchor_nav": 0.002019397312120959, "two_sided_turnover": 2.012536673808518 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3338655320578572, "annualized_volatility": 0.1339722945291994, "cagr": 0.18652392177235488, "end_nav": 6363953.654766088, "end_session": "2024-12-31", "fee_by_category": { "entry": 4076.642503558006, "exit": 4016.490238177401, "resize": 68.8708651891353 }, "max_cash_weight": 0.0, "max_drawdown": -0.09259074113434917, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 5363527.475501728, "start_session": "2023-12-29", "total_return": 0.18652392177235488, "traded_notional_by_category": { "entry": 4076642.503558006, "exit": 4016490.2381774005, "resize": 68870.86518913531 }, "transaction_cost": 8162.003606924542, "transaction_cost_over_anchor_nav": 0.001521760379564576, "two_sided_turnover": 1.3338655320578572 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.017305917853137, "annualized_volatility": 0.14436309560155436, "cagr": 0.09823922654295081, "end_nav": 6989143.539565493, "end_session": "2025-12-31", "fee_by_category": { "entry": 6770.041705048285, "exit": 6607.270280176487, "resize": 290.6570496374853 }, "max_cash_weight": 0.0, "max_drawdown": -0.11447371899017456, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 6363953.654766088, "start_session": "2024-12-31", "total_return": 0.09823922654295081, "traded_notional_by_category": { "entry": 6770041.705048285, "exit": 6607270.280176487, "resize": 290657.0496374853 }, "transaction_cost": 13667.969034862257, "transaction_cost_over_anchor_nav": 0.002147716620253205, "two_sided_turnover": 2.017305917853137 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.8594591914406513, "annualized_volatility": 0.16357212480781996, "cagr": 0.08407132949029572, "end_nav": 6989143.539565493, "end_session": "2025-12-31", "fee_by_category": { "entry": 51913.27327853481, "exit": 50862.08165287283, "resize": 2050.3542305939486 }, "max_cash_weight": 1.0, "max_drawdown": -0.33011390614417824, "mean_cash_weight": 0.08076545421793815, "nonzero_trade_event_count": 50, "order_count": 207, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 928918.2406759266, "start_session": "2000-12-29", "total_return": 6.523959842235254, "traded_notional_by_category": { "entry": 51913273.278534815, "exit": 50862081.65287283, "resize": 2050354.2305939484 }, "transaction_cost": 104825.7091620016, "transaction_cost_over_anchor_nav": 0.11284707800088549, "two_sided_turnover": 46.48647978601628 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7628228.738041757, "end_session": "2026-10-02", "fee_by_category": { "entry": 9519.22330120895, "exit": 8534.058854289091, "resize": 1004.2219510263819 }, "max_cash_weight": 0.0, "max_drawdown": -0.10216380227513866, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 6989143.539565493, "start_session": "2025-12-31", "total_return": 0.09143970142527569, "traded_notional_by_category": { "entry": 9519223.301208949, "exit": 8534058.854289092, "resize": 1004221.9510263819 }, "transaction_cost": 19057.504106524422, "transaction_cost_over_anchor_nav": 0.002726729533975089, "two_sided_turnover": 2.665778073975342 } }, "monthly_risk": { "beta_intercept_per_month": 0.0013505659533790777, "beta_to_SPY_excess_returns": 0.7176379538262023, "monthly_return_volatility_annualized": 0.1319099250324683, "months": 300, "sharpe_monthly_annualized": 0.5502922982540321, "tracking_error_monthly_annualized": 0.08684830850399623 }, "phase": [ 3, 9 ], "policy": "A", "run_id": "S12-03-09-10bps", "signal": "12-1" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664446294754371, "annualized_volatility": 0.18407872078361123, "cagr": -0.04333694713484393, "end_nav": 886220.6062029977, "end_session": "2001-12-31", "fee_by_category": { "entry": 2665.4690439105107, "exit": 2535.532191256093, "resize": 143.2975997416873 }, "max_cash_weight": 1.56879643101266e-16, "max_drawdown": -0.2317638654173131, "mean_cash_weight": 1.3697448904645875e-16, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 926366.5023425051, "start_session": "2000-12-29", "total_return": -0.04333694713484393, "traded_notional_by_category": { "entry": 1066187.6175642041, "exit": 1014212.8765024373, "resize": 57319.03989667492 }, "transaction_cost": 5344.298834908292, "transaction_cost_over_anchor_nav": 0.00576909767504994, "two_sided_turnover": 2.664446294754371 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7517982972592452, "annualized_volatility": 0.22975440954208978, "cagr": -0.14139857852863136, "end_nav": 760910.2722231118, "end_session": "2002-12-31", "fee_by_category": { "entry": 598.3445061896497, "exit": 600.152433715979, "resize": 197.34487541839772 }, "max_cash_weight": 1.361217291873375e-16, "max_drawdown": -0.2829672011044527, "mean_cash_weight": 3.052448074407517e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 886220.6062029977, "start_session": "2001-12-31", "total_return": -0.14139857852863136, "traded_notional_by_category": { "entry": 239337.80247585988, "exit": 240060.9734863916, "resize": 78937.95016735909 }, "transaction_cost": 1395.8418153240264, "transaction_cost_over_anchor_nav": 0.0015750500558822423, "two_sided_turnover": 0.7517982972592452 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9975062344139651, "annualized_volatility": 0.13542821009578623, "cagr": 0.12496008947935788, "end_nav": 855993.6879258745, "end_session": "2003-12-31", "fee_by_category": { "entry": 1849.1893352911052, "exit": 1858.458454766248, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.12978543476237603, "mean_cash_weight": 0.503968253968254, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 760910.2722231118, "start_session": "2002-12-31", "total_return": 0.12496008947935788, "traded_notional_by_category": { "entry": 739675.734116442, "exit": 743383.3819064992, "resize": 0.0 }, "transaction_cost": 3707.647790057353, "transaction_cost_over_anchor_nav": 0.0048726478343168005, "two_sided_turnover": 1.9975062344139651 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6644462947543714, "annualized_volatility": 0.12720279905622647, "cagr": 0.1076412890738414, "end_nav": 948133.9519332872, "end_session": "2004-12-31", "fee_by_category": { "entry": 2870.52958876324, "exit": 2832.151259679321, "resize": 52.76694857646653 }, "max_cash_weight": 0.0, "max_drawdown": -0.11202031492677256, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 855993.6879258745, "start_session": "2003-12-31", "total_return": 0.1076412890738414, "traded_notional_by_category": { "entry": 1148211.835505296, "exit": 1132860.5038717282, "resize": 21106.779430586612 }, "transaction_cost": 5755.447797019027, "transaction_cost_over_anchor_nav": 0.006723703548521289, "two_sided_turnover": 2.6644462947543714 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7160985970343411, "annualized_volatility": 0.1399786341025147, "cagr": 0.18049922520761097, "end_nav": 1119271.3956502758, "end_session": "2005-12-30", "fee_by_category": { "entry": 970.8755481012224, "exit": 852.0357662872607, "resize": 248.87894024985624 }, "max_cash_weight": 0.0, "max_drawdown": -0.10204223362178244, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 948133.9519332872, "start_session": "2004-12-31", "total_return": 0.18049922520761097, "traded_notional_by_category": { "entry": 388350.21924048895, "exit": 340814.30651490425, "resize": 99551.5760999425 }, "transaction_cost": 2071.7902546383393, "transaction_cost_over_anchor_nav": 0.002185124001111728, "two_sided_turnover": 0.7160985970343411 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6644462947543714, "annualized_volatility": 0.10851708155547839, "cagr": 0.14170189797026267, "end_nav": 1277874.2767577446, "end_session": "2006-12-29", "fee_by_category": { "entry": 3898.4954571041317, "exit": 3837.97903401485, "resize": 80.05775370133154 }, "max_cash_weight": 0.0, "max_drawdown": -0.10517430981447273, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1119271.3956502758, "start_session": "2005-12-30", "total_return": 0.14170189797026267, "traded_notional_by_category": { "entry": 1559398.1828416525, "exit": 1535191.6136059402, "resize": 32023.101480532612 }, "transaction_cost": 7816.532244820313, "transaction_cost_over_anchor_nav": 0.006983589748828571, "two_sided_turnover": 2.6644462947543714 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.350790407621175, "annualized_volatility": 0.16342987675589657, "cagr": 0.043131330088839404, "end_nav": 1332990.6940006197, "end_session": "2007-12-31", "fee_by_category": { "entry": 5511.778136228433, "exit": 5578.426999374709, "resize": 38.826284595779434 }, "max_cash_weight": 0.0, "max_drawdown": -0.10244113354431095, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1277874.2767577446, "start_session": "2006-12-29", "total_return": 0.043131330088839404, "traded_notional_by_category": { "entry": 2204711.254491373, "exit": 2231370.799749884, "resize": 15530.513838311774 }, "transaction_cost": 11129.031420198924, "transaction_cost_over_anchor_nav": 0.008709019050321435, "two_sided_turnover": 3.350790407621175 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9994458329484948, "annualized_volatility": 0.2287877652285261, "cagr": -0.22222057691233232, "end_nav": 1036772.7329610317, "end_session": "2008-12-31", "fee_by_category": { "entry": 2036.3010581867659, "exit": 3666.727983195442, "resize": 187.72272038085794 }, "max_cash_weight": 0.7150648921533194, "max_drawdown": -0.2636622522205688, "mean_cash_weight": 0.17639597726569642, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1332990.6940006197, "start_session": "2007-12-31", "total_return": -0.22222057691233232, "traded_notional_by_category": { "entry": 814520.4232747064, "exit": 1466691.1932781767, "resize": 75089.08815234317 }, "transaction_cost": 5890.751761763066, "transaction_cost_over_anchor_nav": 0.004419199464989159, "two_sided_turnover": 1.9994458329484948 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6119469164991841, "annualized_volatility": 0.04449256973750862, "cagr": -0.0019261929739743389, "end_nav": 1034775.708607194, "end_session": "2009-12-31", "fee_by_category": { "entry": 832.3592037632079, "exit": 697.4794419187014, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06210085714019098, "mean_cash_weight": 0.8439701510019979, "nonzero_trade_event_count": 2, "order_count": 2, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1036772.7329610317, "start_session": "2008-12-31", "total_return": -0.0019261929739743389, "traded_notional_by_category": { "entry": 332943.68150528317, "exit": 278991.77676748054, "resize": 0.0 }, "transaction_cost": 1529.8386456819094, "transaction_cost_over_anchor_nav": 0.0014755776237601053, "two_sided_turnover": 0.6119469164991841 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0259481204625907, "annualized_volatility": 0.16245546745054726, "cagr": 0.07834669030805563, "end_nav": 1115846.9605877406, "end_session": "2010-12-31", "fee_by_category": { "entry": 3464.9200397303944, "exit": 1807.3843123325505, "resize": 12.858206739324379 }, "max_cash_weight": 0.6649070708351839, "max_drawdown": -0.15344981370987232, "mean_cash_weight": 0.15743314463723412, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1034775.708607194, "start_session": "2009-12-31", "total_return": 0.07834669030805563, "traded_notional_by_category": { "entry": 1385968.0158921576, "exit": 722953.7249330203, "resize": 5143.282695729751 }, "transaction_cost": 5285.162558802269, "transaction_cost_over_anchor_nav": 0.005107544093701317, "two_sided_turnover": 2.0259481204625907 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7520407419726487, "annualized_volatility": 0.22933743301548598, "cagr": -0.02196292534303157, "end_nav": 1091339.6970981034, "end_session": "2011-12-30", "fee_by_category": { "entry": 3532.9734807108357, "exit": 3587.3726467562474, "resize": 175.94383434670584 }, "max_cash_weight": 0.0, "max_drawdown": -0.19898991841509728, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1115846.9605877406, "start_session": "2010-12-31", "total_return": -0.02196292534303157, "traded_notional_by_category": { "entry": 1413189.3922843342, "exit": 1434949.058702499, "resize": 70377.53373868234 }, "transaction_cost": 7296.289961813789, "transaction_cost_over_anchor_nav": 0.006538790909078316, "two_sided_turnover": 2.7520407419726487 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.389953928840518, "annualized_volatility": 0.09323153469609427, "cagr": 0.09317730379306521, "end_nav": 1193027.787596045, "end_session": "2012-12-31", "fee_by_category": { "entry": 1926.1430968929162, "exit": 1990.606755166048, "resize": 101.01040344637411 }, "max_cash_weight": 0.0, "max_drawdown": -0.06078456642939645, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1091339.6970981034, "start_session": "2011-12-30", "total_return": 0.09317730379306521, "traded_notional_by_category": { "entry": 770457.2387571665, "exit": 796242.7020664192, "resize": 40404.161378549645 }, "transaction_cost": 4017.7602555053386, "transaction_cost_over_anchor_nav": 0.00368149373305915, "two_sided_turnover": 1.389953928840518 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0063220931286687, "annualized_volatility": 0.11219542622504408, "cagr": 0.29436667017865825, "end_nav": 1544215.4048613044, "end_session": "2013-12-31", "fee_by_category": { "entry": 3466.0056679985814, "exit": 3389.2873796333915, "resize": 117.52350065327191 }, "max_cash_weight": 0.0, "max_drawdown": -0.07026504304509706, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1193027.787596045, "start_session": "2012-12-31", "total_return": 0.29436667017865825, "traded_notional_by_category": { "entry": 1386402.2671994325, "exit": 1355714.9518533566, "resize": 47009.400261308765 }, "transaction_cost": 6972.8165482852455, "transaction_cost_over_anchor_nav": 0.005844638843103139, "two_sided_turnover": 2.0063220931286687 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.026452902945427, "annualized_volatility": 0.12790139097109787, "cagr": 0.10390787877693541, "end_nav": 1704671.5519551092, "end_session": "2014-12-31", "fee_by_category": { "entry": 4058.5331163652563, "exit": 4011.0362844632314, "resize": 174.51307894445185 }, "max_cash_weight": 0.0, "max_drawdown": -0.08897333631011517, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1544215.4048613044, "start_session": "2013-12-31", "total_return": 0.10390787877693541, "traded_notional_by_category": { "entry": 1623413.2465461025, "exit": 1604414.5137852924, "resize": 69805.23157778074 }, "transaction_cost": 8244.08247977294, "transaction_cost_over_anchor_nav": 0.005338686852766756, "two_sided_turnover": 2.026452902945427 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3616371818133954, "annualized_volatility": 0.1546925611771449, "cagr": 0.05039880348325432, "end_nav": 1790584.958505589, "end_session": "2015-12-31", "fee_by_category": { "entry": 2846.205086906838, "exit": 2769.963552077571, "resize": 205.29412130138894 }, "max_cash_weight": 0.0, "max_drawdown": -0.11537526357914574, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1704671.5519551092, "start_session": "2014-12-31", "total_return": 0.05039880348325432, "traded_notional_by_category": { "entry": 1138482.034762735, "exit": 1107985.4208310284, "resize": 82117.64852055558 }, "transaction_cost": 5821.462760285798, "transaction_cost_over_anchor_nav": 0.0034150055203356266, "two_sided_turnover": 1.3616371818133954 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.012139795507503, "annualized_volatility": 0.11506077772684348, "cagr": 0.06047629827594281, "end_nav": 1898872.9085445895, "end_session": "2016-12-30", "fee_by_category": { "entry": 4519.089799521094, "exit": 4404.9011978588205, "resize": 195.81625841938398 }, "max_cash_weight": 1.3437459541066722e-16, "max_drawdown": -0.08773377267346405, "mean_cash_weight": 9.619142411612085e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1790584.958505589, "start_session": "2015-12-31", "total_return": 0.06047629827594281, "traded_notional_by_category": { "entry": 1807635.9198084378, "exit": 1761960.4791435278, "resize": 78326.50336775358 }, "transaction_cost": 9119.8072557993, "transaction_cost_over_anchor_nav": 0.005093199969361205, "two_sided_turnover": 2.012139795507503 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6757956677134986, "annualized_volatility": 0.08183113216139234, "cagr": 0.27912513285444707, "end_nav": 2428896.0614158083, "end_session": "2017-12-29", "fee_by_category": { "entry": 1695.761173744803, "exit": 1608.4483345311805, "resize": 143.98899286960165 }, "max_cash_weight": 1.2185987622300118e-16, "max_drawdown": -0.03286954809984943, "mean_cash_weight": 8.399772501961424e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1898872.9085445895, "start_session": "2016-12-30", "total_return": 0.27912513285444707, "traded_notional_by_category": { "entry": 678304.4694979212, "exit": 643379.3338124722, "resize": 57595.59714784066 }, "transaction_cost": 3448.198501145585, "transaction_cost_over_anchor_nav": 0.001815918530213005, "two_sided_turnover": 0.6757956677134986 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3492159868889737, "annualized_volatility": 0.19495580794429648, "cagr": -0.02343202374768405, "end_nav": 2371982.1112240567, "end_session": "2018-12-31", "fee_by_category": { "entry": 4322.043292934642, "exit": 4199.0288018445935, "resize": 234.41375494457634 }, "max_cash_weight": 0.0, "max_drawdown": -0.19908286425515387, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2428896.0614158083, "start_session": "2017-12-29", "total_return": -0.02343202374768405, "traded_notional_by_category": { "entry": 1728817.3171738565, "exit": 1679611.5207378373, "resize": 93765.50197783054 }, "transaction_cost": 8755.485849723813, "transaction_cost_over_anchor_nav": 0.003604718204623471, "two_sided_turnover": 1.3492159868889737 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0042601291922075, "annualized_volatility": 0.11385199550501351, "cagr": 0.2783702339694951, "end_nav": 3032271.326496954, "end_session": "2019-12-31", "fee_by_category": { "entry": 7028.420058335905, "exit": 6917.784305400601, "resize": 178.61850157014646 }, "max_cash_weight": 0.0, "max_drawdown": -0.04796143151151033, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2371982.1112240567, "start_session": "2018-12-31", "total_return": 0.2783702339694951, "traded_notional_by_category": { "entry": 2811368.023334362, "exit": 2767113.7221602406, "resize": 71447.40062805859 }, "transaction_cost": 14124.822865306653, "transaction_cost_over_anchor_nav": 0.005954860619930041, "two_sided_turnover": 2.0042601291922075 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.387055594296954, "annualized_volatility": 0.33416893014136345, "cagr": 0.1888110095795683, "end_nav": 3604797.5369720208, "end_session": "2020-12-31", "fee_by_category": { "entry": 5526.1832958150435, "exit": 5051.748190433946, "resize": 852.663607736094 }, "max_cash_weight": 0.0, "max_drawdown": -0.3034308536452539, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3032271.326496954, "start_session": "2019-12-31", "total_return": 0.1888110095795683, "traded_notional_by_category": { "entry": 2210473.3183260174, "exit": 2020699.2761735783, "resize": 341065.4430944376 }, "transaction_cost": 11430.595093985083, "transaction_cost_over_anchor_nav": 0.00376964785245334, "two_sided_turnover": 1.387055594296954 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.66223515439924, "annualized_volatility": 0.1443404067912582, "cagr": 0.18993564310957467, "end_nav": 4289477.075436613, "end_session": "2021-12-31", "fee_by_category": { "entry": 13081.705311080954, "exit": 13079.165759272271, "resize": 68.11200950833678 }, "max_cash_weight": 0.0, "max_drawdown": -0.07601731845749038, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3604797.5369720208, "start_session": "2020-12-31", "total_return": 0.18993564310957467, "traded_notional_by_category": { "entry": 5232682.124432381, "exit": 5231666.303708908, "resize": 27244.80380333471 }, "transaction_cost": 26228.983079861562, "transaction_cost_over_anchor_nav": 0.0072761321019691825, "two_sided_turnover": 2.66223515439924 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0225765980149473, "annualized_volatility": 0.20121009303685913, "cagr": 0.02218824808696529, "end_nav": 4384653.0569497505, "end_session": "2022-12-30", "fee_by_category": { "entry": 10260.378291485202, "exit": 10080.356803736502, "resize": 457.99065480021176 }, "max_cash_weight": 0.0, "max_drawdown": -0.130475755711443, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4289477.075436613, "start_session": "2021-12-31", "total_return": 0.02218824808696529, "traded_notional_by_category": { "entry": 4104151.316594081, "exit": 4032142.7214946006, "resize": 183196.2619200847 }, "transaction_cost": 20798.725750021917, "transaction_cost_over_anchor_nav": 0.00484877885678055, "two_sided_turnover": 2.0225765980149473 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0108569584208618, "annualized_volatility": 0.11145530256212811, "cagr": 0.14338576897123678, "end_nav": 5013349.907192575, "end_session": "2023-12-29", "fee_by_category": { "entry": 11023.530622780496, "exit": 10847.498581518736, "resize": 231.28783385714982 }, "max_cash_weight": 0.6926935052909015, "max_drawdown": -0.08955556589030433, "mean_cash_weight": 0.3351623916754774, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4384653.0569497505, "start_session": "2022-12-30", "total_return": 0.14338576897123678, "traded_notional_by_category": { "entry": 4409412.249112198, "exit": 4338999.432607494, "resize": 92515.13354285993 }, "transaction_cost": 22102.31703815638, "transaction_cost_over_anchor_nav": 0.005040836013951851, "two_sided_turnover": 2.0108569584208618 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.334445371142619, "annualized_volatility": 0.13404567475222526, "cagr": 0.1841478120274722, "end_nav": 5936547.323530219, "end_session": "2024-12-31", "fee_by_category": { "entry": 9511.715296754235, "exit": 9380.682288139695, "resize": 178.71077952559222 }, "max_cash_weight": 0.0, "max_drawdown": -0.09259074113434906, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 5013349.907192575, "start_session": "2023-12-29", "total_return": 0.1841478120274722, "traded_notional_by_category": { "entry": 3804686.1187016945, "exit": 3752272.9152558777, "resize": 71484.31181023689 }, "transaction_cost": 19071.108364419524, "transaction_cost_over_anchor_nav": 0.0038040648902360683, "two_sided_turnover": 1.334445371142619 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0162981047384725, "annualized_volatility": 0.14440217377698925, "cagr": 0.09491732215541027, "end_nav": 6500028.498328575, "end_session": "2025-12-31", "fee_by_category": { "entry": 15750.768571008482, "exit": 15397.925487462591, "resize": 688.4069909587352 }, "max_cash_weight": 0.0, "max_drawdown": -0.11538268785094441, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5936547.323530219, "start_session": "2024-12-31", "total_return": 0.09491732215541027, "traded_notional_by_category": { "entry": 6300307.428403392, "exit": 6159170.194985037, "resize": 275362.79638349405 }, "transaction_cost": 31837.10104942981, "transaction_cost_over_anchor_nav": 0.005362898552705818, "two_sided_turnover": 2.0162981047384725 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.858326379980722, "annualized_volatility": 0.16354622211138142, "cagr": 0.08104879426727418, "end_nav": 6500028.498328575, "end_session": "2025-12-31", "fee_by_category": { "entry": 123247.71807960395, "exit": 120982.13424483658, "resize": 4966.047652285722 }, "max_cash_weight": 1.0, "max_drawdown": -0.3360892283553065, "mean_cash_weight": 0.08076545421793814, "nonzero_trade_event_count": 50, "order_count": 207, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 926366.5023425051, "start_session": "2000-12-29", "total_return": 6.01669207801873, "traded_notional_by_category": { "entry": 49299087.23184158, "exit": 48392853.69793463, "resize": 1986419.0609142887 }, "transaction_cost": 249195.89997672624, "transaction_cost_over_anchor_nav": 0.2690035740137235, "two_sided_turnover": 46.45815949951805 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7066035.239846122, "end_session": "2026-10-02", "fee_by_category": { "entry": 22064.979038627123, "exit": 19822.24337697531, "resize": 2353.337060341666 }, "max_cash_weight": 0.0, "max_drawdown": -0.10216380227513866, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 6500028.498328575, "start_session": "2025-12-31", "total_return": 0.08707757845416997, "traded_notional_by_category": { "entry": 8825991.615450848, "exit": 7928897.350790124, "resize": 941334.8241366665 }, "transaction_cost": 44240.5594759441, "transaction_cost_over_anchor_nav": 0.006806210078512759, "two_sided_turnover": 2.6644462947543714 } }, "monthly_risk": { "beta_intercept_per_month": 0.001125065957345914, "beta_to_SPY_excess_returns": 0.7160793507320343, "monthly_return_volatility_annualized": 0.13175586458668845, "months": 300, "sharpe_monthly_annualized": 0.5294825292902491, "tracking_error_monthly_annualized": 0.08702555221211825 }, "phase": [ 3, 9 ], "policy": "A", "run_id": "S12-03-09-25bps", "signal": "12-1" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6662222962839524, "annualized_volatility": 0.18397561842029356, "cagr": -0.03821597426503709, "end_nav": 894238.6871299337, "end_session": "2001-12-31", "fee_by_category": { "entry": 537.1883788485036, "exit": 509.6572157936477, "resize": 28.06862016225807 }, "max_cash_weight": 0.0, "max_drawdown": -0.22971044355181403, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 929770.7834631447, "start_session": "2000-12-29", "total_return": -0.03821597426503709, "traded_notional_by_category": { "entry": 1074376.7576970072, "exit": 1019314.4315872954, "resize": 56137.24032451614 }, "transaction_cost": 1074.9142148044095, "transaction_cost_over_anchor_nav": 0.0011561066812624987, "two_sided_turnover": 2.6662222962839524 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7521889311458936, "annualized_volatility": 0.22997676402813155, "cagr": -0.14010561192519244, "end_nav": 768950.8286624136, "end_session": "2002-12-31", "fee_by_category": { "entry": 120.93344528413078, "exit": 121.13654176093844, "resize": 39.80023448564099 }, "max_cash_weight": 0.0, "max_drawdown": -0.28188742247916987, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 894238.6871299337, "start_session": "2001-12-31", "total_return": -0.14010561192519244, "traded_notional_by_category": { "entry": 241866.89056826156, "exit": 242273.0835218769, "resize": 79600.46897128198 }, "transaction_cost": 281.87022153071024, "transaction_cost_over_anchor_nav": 0.0003152069191228742, "two_sided_turnover": 0.7521889311458936 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9995002498750625, "annualized_volatility": 0.1356354505366023, "cagr": 0.1294689532007971, "end_nav": 868506.0875122219, "end_session": "2003-12-31", "fee_by_category": { "entry": 375.24393399547586, "exit": 375.6193656452963, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.12978543476237603, "mean_cash_weight": 0.503968253968254, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 768950.8286624136, "start_session": "2002-12-31", "total_return": 0.1294689532007971, "traded_notional_by_category": { "entry": 750487.8679909518, "exit": 751238.7312905926, "resize": 0.0 }, "transaction_cost": 750.8632996407721, "transaction_cost_over_anchor_nav": 0.0009764776519545408, "two_sided_turnover": 1.9995002498750625 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666222296283953, "annualized_volatility": 0.12751579214513492, "cagr": 0.11357044142673844, "end_nav": 967142.7072527944, "end_session": "2004-12-31", "fee_by_category": { "entry": 584.8434273548339, "exit": 575.4907592358527, "resize": 9.937804114333762 }, "max_cash_weight": 1.3158248871900147e-16, "max_drawdown": -0.109646829979415, "mean_cash_weight": 3.171330914606643e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 868506.0875122219, "start_session": "2003-12-31", "total_return": 0.11357044142673844, "traded_notional_by_category": { "entry": 1169686.854709668, "exit": 1150981.5184717055, "resize": 19875.608228667523 }, "transaction_cost": 1170.2719907050205, "transaction_cost_over_anchor_nav": 0.001347453987406337, "two_sided_turnover": 2.666222296283953 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7156211183898774, "annualized_volatility": 0.13999894908747168, "cagr": 0.18219301567713786, "end_nav": 1143349.3536773324, "end_session": "2005-12-30", "fee_by_category": { "entry": 198.3522378462536, "exit": 173.84057404658185, "resize": 50.229518060976616 }, "max_cash_weight": 1.2481179865567311e-16, "max_drawdown": -0.10084175582602217, "mean_cash_weight": 8.293533921270816e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 967142.7072527944, "start_session": "2004-12-31", "total_return": 0.18219301567713786, "traded_notional_by_category": { "entry": 396704.47569250717, "exit": 347681.1480931637, "resize": 100459.03612195322 }, "transaction_cost": 422.42232995381204, "transaction_cost_over_anchor_nav": 0.0004367735255469368, "two_sided_turnover": 0.7156211183898774 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666222296283953, "annualized_volatility": 0.10847419129577837, "cagr": 0.14781337517992643, "end_nav": 1312351.6806541663, "end_session": "2006-12-29", "fee_by_category": { "entry": 799.6838299739793, "exit": 785.1703071742506, "resize": 15.313606671638553 }, "max_cash_weight": 0.0, "max_drawdown": -0.10278252614884842, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1143349.3536773324, "start_session": "2005-12-30", "total_return": 0.14781337517992643, "traded_notional_by_category": { "entry": 1599367.6599479583, "exit": 1570340.6143485012, "resize": 30627.213343277108 }, "transaction_cost": 1600.1677438198683, "transaction_cost_over_anchor_nav": 0.0013995440139737516, "two_sided_turnover": 2.666222296283953 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.357488639320567, "annualized_volatility": 0.1637730590612028, "cagr": 0.050160302228574594, "end_nav": 1378179.637585957, "end_session": "2007-12-31", "fee_by_category": { "entry": 1137.9193930047709, "exit": 1147.6524429271356, "resize": 8.585971018889424 }, "max_cash_weight": 0.0, "max_drawdown": -0.09884369871203014, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1312351.6806541663, "start_session": "2006-12-29", "total_return": 0.050160302228574594, "traded_notional_by_category": { "entry": 2275838.7860095417, "exit": 2295304.8858542712, "resize": 17171.94203777885 }, "transaction_cost": 2294.157806950796, "transaction_cost_over_anchor_nav": 0.0017481273051802929, "two_sided_turnover": 3.357488639320567 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998889444413597, "annualized_volatility": 0.22902470535822383, "cagr": -0.21909905580171385, "end_nav": 1076221.7802657257, "end_session": "2008-12-31", "fee_by_category": { "entry": 422.19197419413626, "exit": 759.1468659163036, "resize": 38.0633558345984 }, "max_cash_weight": 0.7150648921533194, "max_drawdown": -0.26267784387811977, "mean_cash_weight": 0.17639597726569642, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1378179.637585957, "start_session": "2007-12-31", "total_return": -0.21909905580171385, "traded_notional_by_category": { "entry": 844383.9483882725, "exit": 1518293.7318326072, "resize": 76126.71166919678 }, "transaction_cost": 1219.4021959450383, "transaction_cost_over_anchor_nav": 0.0008847919115108709, "two_sided_turnover": 1.9998889444413597 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6121689166903816, "annualized_volatility": 0.04433698614967979, "cagr": -0.0007034536928599566, "end_nav": 1075464.7080800615, "end_session": "2009-12-31", "fee_by_category": { "entry": 173.01777392858432, "exit": 144.80368605695253, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06210085714019087, "mean_cash_weight": 0.8439701510019979, "nonzero_trade_event_count": 2, "order_count": 2, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1076221.7802657257, "start_session": "2008-12-31", "total_return": -0.0007034536928599566, "traded_notional_by_category": { "entry": 346035.54785716865, "exit": 289607.37211390503, "resize": 0.0 }, "transaction_cost": 317.8214599855369, "transaction_cost_over_anchor_nav": 0.00029531223565003935, "two_sided_turnover": 0.6121689166903816 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.029105489659335, "annualized_volatility": 0.16247094077302518, "cagr": 0.08273063955207705, "end_nav": 1164438.591195213, "end_session": "2010-12-31", "fee_by_category": { "entry": 722.4369117732052, "exit": 376.1842760612084, "resize": 2.6800325346262834 }, "max_cash_weight": 0.664907070835184, "max_drawdown": -0.15344981370987243, "mean_cash_weight": 0.15743314463723412, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1075464.7080800615, "start_session": "2009-12-31", "total_return": 0.08273063955207705, "traded_notional_by_category": { "entry": 1444873.8235464103, "exit": 752368.5521224167, "resize": 5360.065069252567 }, "transaction_cost": 1101.3012203690398, "transaction_cost_over_anchor_nav": 0.001024023579848661, "two_sided_turnover": 2.029105489659335 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7557669588185894, "annualized_volatility": 0.2289740084273464, "cagr": -0.016555510732572554, "end_nav": 1145160.715601259, "end_session": "2011-12-30", "fee_by_category": { "entry": 740.2935745499315, "exit": 749.6788403164599, "resize": 36.722130798940924 }, "max_cash_weight": 1.1717786246520678e-16, "max_drawdown": -0.196708380300485, "mean_cash_weight": 2.6454155690135482e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1164438.591195213, "start_session": "2010-12-31", "total_return": -0.016555510732572554, "traded_notional_by_category": { "entry": 1480587.149099863, "exit": 1499357.6806329198, "resize": 73444.26159788185 }, "transaction_cost": 1526.6945456653323, "transaction_cost_over_anchor_nav": 0.0013110992346090913, "two_sided_turnover": 2.7557669588185894 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3908804103794885, "annualized_volatility": 0.09331086247251369, "cagr": 0.09622314128817377, "end_nav": 1255351.676936225, "end_session": "2012-12-31", "fee_by_category": { "entry": 405.0910351853389, "exit": 418.05522427229874, "resize": 21.20252751802202 }, "max_cash_weight": 1.0285212409047821e-16, "max_drawdown": -0.06078456642939656, "mean_cash_weight": 2.4840676183256456e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1145160.715601259, "start_session": "2011-12-30", "total_return": 0.09622314128817377, "traded_notional_by_category": { "entry": 810182.0703706779, "exit": 836110.4485445975, "resize": 42405.05503604404 }, "transaction_cost": 844.3487869756597, "transaction_cost_over_anchor_nav": 0.0007373190290869697, "two_sided_turnover": 1.3908804103794885 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0076594183032253, "annualized_volatility": 0.11233050911570346, "cagr": 0.299578777186992, "end_nav": 1631428.397252419, "end_session": "2013-12-31", "fee_by_category": { "entry": 731.7135480052495, "exit": 713.909658233792, "resize": 24.10096152665533 }, "max_cash_weight": 0.0, "max_drawdown": -0.07026504304509684, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1255351.676936225, "start_session": "2012-12-31", "total_return": 0.299578777186992, "traded_notional_by_category": { "entry": 1463427.0960104992, "exit": 1427819.316467584, "resize": 48201.92305331066 }, "transaction_cost": 1469.7241677656968, "transaction_cost_over_anchor_nav": 0.001170766881319395, "two_sided_turnover": 2.0076594183032253 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.027803646423477, "annualized_volatility": 0.1275888901817696, "cagr": 0.10839776279224833, "end_nav": 1808271.5856703247, "end_session": "2014-12-31", "fee_by_category": { "entry": 860.2953535237036, "exit": 848.3038339811553, "resize": 36.118089621380555 }, "max_cash_weight": 1.4573860037079084e-16, "max_drawdown": -0.08653824898857243, "mean_cash_weight": 1.0201610863496683e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1631428.397252419, "start_session": "2013-12-31", "total_return": 0.10839776279224833, "traded_notional_by_category": { "entry": 1720590.7070474073, "exit": 1696607.6679623104, "resize": 72236.1792427611 }, "transaction_cost": 1744.7172771262394, "transaction_cost_over_anchor_nav": 0.0010694415274765455, "two_sided_turnover": 2.027803646423477 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3625447886667952, "annualized_volatility": 0.15469771254520537, "cagr": 0.053265681100028495, "end_nav": 1904590.4032948832, "end_session": "2015-12-31", "fee_by_category": { "entry": 605.0569251838208, "exit": 588.061374451461, "resize": 43.578998932639664 }, "max_cash_weight": 1.3163534927406372e-16, "max_drawdown": -0.11537526357914585, "mean_cash_weight": 3.045367886755525e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1808271.5856703247, "start_session": "2014-12-31", "total_return": 0.053265681100028495, "traded_notional_by_category": { "entry": 1210113.8503676415, "exit": 1176122.748902922, "resize": 87157.99786527932 }, "transaction_cost": 1236.6972985679213, "transaction_cost_over_anchor_nav": 0.000683911259994432, "two_sided_turnover": 1.3625447886667952 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0134809985040087, "annualized_volatility": 0.11514878153895036, "cagr": 0.06475899630447701, "end_nav": 2027929.7661833991, "end_session": "2016-12-30", "fee_by_category": { "entry": 964.3814987121364, "exit": 937.9247704635516, "resize": 40.87324958317605 }, "max_cash_weight": 0.0, "max_drawdown": -0.08773377267346394, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1904590.4032948832, "start_session": "2015-12-31", "total_return": 0.06475899630447701, "traded_notional_by_category": { "entry": 1928762.9974242724, "exit": 1875849.5409271033, "resize": 81746.49916635209 }, "transaction_cost": 1943.1795187588639, "transaction_cost_over_anchor_nav": 0.0010202611098938767, "two_sided_turnover": 2.0134809985040087 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6753564928106056, "annualized_volatility": 0.08176949643555899, "cagr": 0.2808571504435531, "end_nav": 2597488.3416133295, "end_session": "2017-12-29", "fee_by_category": { "entry": 362.68693733124695, "exit": 343.55329841047137, "resize": 29.807209175744326 }, "max_cash_weight": 0.0, "max_drawdown": -0.031576593490421634, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2027929.7661833991, "start_session": "2016-12-30", "total_return": 0.2808571504435531, "traded_notional_by_category": { "entry": 725373.8746624939, "exit": 687106.5968209427, "resize": 59614.41835148865 }, "transaction_cost": 736.0474449174626, "transaction_cost_over_anchor_nav": 0.0003629550969621188, "two_sided_turnover": 0.6753564928106056 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.34922568405352, "annualized_volatility": 0.19482257783931523, "cagr": -0.020790590356067118, "end_nav": 2543485.0255481866, "end_session": "2018-12-31", "fee_by_category": { "entry": 926.3306568747641, "exit": 898.7349895544565, "resize": 48.85673675973143 }, "max_cash_weight": 0.0, "max_drawdown": -0.19908286425515387, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2597488.3416133295, "start_session": "2017-12-29", "total_return": -0.020790590356067118, "traded_notional_by_category": { "entry": 1852661.3137495285, "exit": 1797469.9791089129, "resize": 97713.47351946286 }, "transaction_cost": 1873.9223831889522, "transaction_cost_over_anchor_nav": 0.0007214363018180238, "two_sided_turnover": 1.34922568405352 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.006491532219497, "annualized_volatility": 0.11370504250150114, "cagr": 0.28351204932661656, "end_nav": 3264593.677572915, "end_session": "2019-12-31", "fee_by_category": { "entry": 1512.0854235349136, "exit": 1484.9291928548364, "resize": 38.28949948564079 }, "max_cash_weight": 0.0, "max_drawdown": -0.04796143151151011, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2543485.0255481866, "start_session": "2018-12-31", "total_return": 0.28351204932661656, "traded_notional_by_category": { "entry": 3024170.847069827, "exit": 2969858.3857096722, "resize": 76578.99897128157 }, "transaction_cost": 3035.3041158753904, "transaction_cost_over_anchor_nav": 0.001193364256281086, "two_sided_turnover": 2.006491532219497 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3879801439348791, "annualized_volatility": 0.3341741938620985, "cagr": 0.19211930338294447, "end_nav": 3891785.1407365883, "end_session": "2020-12-31", "fee_by_category": { "entry": 1193.2275150024138, "exit": 1087.8784882224775, "resize": 182.07008645205335 }, "max_cash_weight": 0.0, "max_drawdown": -0.3034308536452538, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3264593.677572915, "start_session": "2019-12-31", "total_return": 0.19211930338294447, "traded_notional_by_category": { "entry": 2386455.030004828, "exit": 2175756.976444955, "resize": 364140.1729041067 }, "transaction_cost": 2463.1760896769447, "transaction_cost_over_anchor_nav": 0.000754512301668185, "two_sided_turnover": 1.3879801439348791 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6657782960495084, "annualized_volatility": 0.14464741930299688, "cagr": 0.1963021286551292, "end_nav": 4655750.848131582, "end_session": "2021-12-31", "fee_by_category": { "entry": 2837.0399361582113, "exit": 2826.9753614496067, "resize": 12.903033874344546 }, "max_cash_weight": 0.0, "max_drawdown": -0.07601731845749038, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3891785.1407365883, "start_session": "2020-12-31", "total_return": 0.1963021286551292, "traded_notional_by_category": { "entry": 5674079.872316422, "exit": 5653950.722899213, "resize": 25806.067748689093 }, "transaction_cost": 5676.918331482163, "transaction_cost_over_anchor_nav": 0.0014586926374891567, "two_sided_turnover": 2.6657782960495084 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.02392475772034, "annualized_volatility": 0.2015622871097925, "cagr": 0.026337784791055086, "end_nav": 4778373.012010444, "end_session": "2022-12-30", "fee_by_category": { "entry": 2234.2328098922812, "exit": 2190.041535023993, "resize": 97.59547598885047 }, "max_cash_weight": 0.0, "max_drawdown": -0.1304757557114431, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4655750.848131582, "start_session": "2021-12-31", "total_return": 0.026337784791055086, "traded_notional_by_category": { "entry": 4468465.619784563, "exit": 4380083.070047986, "resize": 195190.95197770093 }, "transaction_cost": 4521.869820905125, "transaction_cost_over_anchor_nav": 0.0009712439450491246, "two_sided_turnover": 2.02392475772034 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0130979947318437, "annualized_volatility": 0.11149260885486972, "cagr": 0.1479998782234171, "end_nav": 5485571.635894053, "end_session": "2023-12-29", "fee_by_category": { "entry": 2412.3736835116297, "exit": 2365.428306072293, "resize": 49.35895791308501 }, "max_cash_weight": 0.6926935052909015, "max_drawdown": -0.08955556589030422, "mean_cash_weight": 0.3351623916754774, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4778373.012010444, "start_session": "2022-12-30", "total_return": 0.1479998782234171, "traded_notional_by_category": { "entry": 4824747.367023259, "exit": 4730856.612144586, "resize": 98717.91582617 }, "transaction_cost": 4827.160947497007, "transaction_cost_over_anchor_nav": 0.0010102101563364632, "two_sided_turnover": 2.0130979947318437 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3338655096070497, "annualized_volatility": 0.13395113264039268, "cagr": 0.18731591370146017, "end_nav": 6513106.499046361, "end_session": "2024-12-31", "fee_by_category": { "entry": 2085.7592058835776, "exit": 2054.30358864228, "resize": 34.55034268714861 }, "max_cash_weight": 0.0, "max_drawdown": -0.09259074113434906, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 5485571.635894053, "start_session": "2023-12-29", "total_return": 0.18731591370146017, "traded_notional_by_category": { "entry": 4171518.4117671554, "exit": 4108607.17728456, "resize": 69100.6853742972 }, "transaction_cost": 4174.613137213006, "transaction_cost_over_anchor_nav": 0.0007610169758602772, "two_sided_turnover": 1.3338655096070497 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0176420794791743, "annualized_volatility": 0.14435787344598738, "cagr": 0.09934826914242789, "end_nav": 7160172.3564669145, "end_session": "2025-12-31", "fee_by_category": { "entry": 3467.112862633686, "exit": 3381.859282026325, "resize": 147.96020409785723 }, "max_cash_weight": 1.3916230649229634e-16, "max_drawdown": -0.11417052741049782, "mean_cash_weight": 3.387688262480212e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 6513106.499046361, "start_session": "2024-12-31", "total_return": 0.09934826914242789, "traded_notional_by_category": { "entry": 6934225.725267371, "exit": 6763718.564052651, "resize": 295920.40819571447 }, "transaction_cost": 6996.932348757868, "transaction_cost_over_anchor_nav": 0.0010742849590717344, "two_sided_turnover": 2.0176420794791743 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.8598451156030535, "annualized_volatility": 0.16358738167704132, "cagr": 0.08508036114042716, "end_nav": 7160172.3564669145, "end_session": "2025-12-31", "fee_by_category": { "entry": 26409.492272186777, "exit": 25858.339778593625, "resize": 1036.6666472982324 }, "max_cash_weight": 1.0, "max_drawdown": -0.328110503081837, "mean_cash_weight": 0.08076545421793814, "nonzero_trade_event_count": 50, "order_count": 207, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 929770.7834631447, "start_session": "2000-12-29", "total_return": 6.701008123526112, "traded_notional_by_category": { "entry": 52818984.54437356, "exit": 51716679.55718725, "resize": 2073333.2945964646 }, "transaction_cost": 53304.498698078634, "transaction_cost_over_anchor_nav": 0.057330795553215595, "two_sided_turnover": 46.49612789007634 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7825328.4120185785, "end_session": "2026-10-02", "fee_by_category": { "entry": 4881.057655353719, "exit": 4372.903238864217, "resize": 513.037915894557 }, "max_cash_weight": 1.4002560577139662e-16, "max_drawdown": -0.10216380227513866, "mean_cash_weight": 1.2189112095345049e-16, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 7160172.3564669145, "start_session": "2025-12-31", "total_return": 0.09289665421963056, "traded_notional_by_category": { "entry": 9762115.310707439, "exit": 8745806.477728434, "resize": 1026075.831789114 }, "transaction_cost": 9766.998810112495, "transaction_cost_over_anchor_nav": 0.001364073142916895, "two_sided_turnover": 2.6662222962839524 } }, "monthly_risk": { "beta_intercept_per_month": 0.00142579086935054, "beta_to_SPY_excess_returns": 0.7181584566810231, "monthly_return_volatility_annualized": 0.13196875340620154, "months": 300, "sharpe_monthly_annualized": 0.55719263888787, "tracking_error_monthly_annualized": 0.08680031792860818 }, "phase": [ 3, 9 ], "policy": "A", "run_id": "S12-03-09-5bps", "signal": "12-1" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.366848619203382, "annualized_volatility": 0.1565047635682844, "cagr": -0.015214619304285026, "end_nav": 983371.7325504944, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.32955589102521093, "max_drawdown": -0.1468524753481102, "mean_cash_weight": 0.05135648716873849, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 998564.511442867, "start_session": "2000-12-29", "total_return": -0.015214619304285026, "traded_notional_by_category": { "entry": 928170.427878507, "exit": 1245186.42520522, "resize": 16440.19390813005 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.366848619203382 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7027032332395533, "annualized_volatility": 0.20977637868625096, "cagr": -0.15169631379764692, "end_nav": 834197.8656297788, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6692832646378415, "max_drawdown": -0.2676946981216949, "mean_cash_weight": 0.2042513097893867, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 983371.7325504944, "start_session": "2001-12-31", "total_return": -0.15169631379764692, "traded_notional_by_category": { "entry": 614903.8420668601, "exit": 833682.0195770578, "resize": 36434.032122591394 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.7027032332395533 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3436852654989246, "annualized_volatility": 0.054788194497164, "cagr": 0.10509709058104777, "end_nav": 921869.6342763884, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.03463121633790156, "mean_cash_weight": 0.728676872950735, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 834197.8656297788, "start_session": "2002-12-31", "total_return": 0.10509709058104777, "traded_notional_by_category": { "entry": 846831.5334621845, "exit": 291043.5204108124, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3436852654989246 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0, "annualized_volatility": 0.1120001026079111, "cagr": 0.13582911500108197, "end_nav": 1047086.3708465215, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.07699327611591456, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 921869.6342763884, "start_session": "2003-12-31", "total_return": 0.13582911500108197, "traded_notional_by_category": { "entry": 931285.2852486895, "exit": 883144.6517561425, "resize": 48140.63349254703 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3505684728198597, "annualized_volatility": 0.1513884902976963, "cagr": 0.18025068266980182, "end_nav": 1235824.4040058523, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.1103985677770003, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1047086.3708465215, "start_session": "2004-12-31", "total_return": 0.18025068266980182, "traded_notional_by_category": { "entry": 767905.7326254691, "exit": 707886.1812132169, "resize": 80714.31889875111 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3505684728198597 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6875179424083413, "annualized_volatility": 0.11914924739812519, "cagr": 0.11321099877827523, "end_nav": 1375733.3190979215, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.10483283878672012, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1235824.4040058523, "start_session": "2005-12-30", "total_return": 0.11321099877827523, "traded_notional_by_category": { "entry": 1736861.953478925, "exit": 1741758.575856036, "resize": 23034.121567945695 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6875179424083413 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.335737760366986, "annualized_volatility": 0.15751093745888944, "cagr": 0.0731930540037744, "end_nav": 1476427.4422174473, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.08699678382656506, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1375733.3190979215, "start_session": "2006-12-29", "total_return": 0.0731930540037744, "traded_notional_by_category": { "entry": 2435822.9105763803, "exit": 2437551.9746134756, "resize": 1729.0640370949986 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.335737760366986 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.352346583033635, "annualized_volatility": 0.33914301865204743, "cagr": -0.2854305238341117, "end_nav": 1055009.9839822636, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6914204219896662, "max_drawdown": -0.4342713842948227, "mean_cash_weight": 0.10958776573206463, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1476427.4422174473, "start_session": "2007-12-31", "total_return": -0.2854305238341117, "traded_notional_by_category": { "entry": 495018.1771720599, "exit": 1095440.9701816174, "resize": 136014.02134181804 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.352346583033635 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3129311129217918, "annualized_volatility": 0.07552608256456654, "cagr": 0.09358085635477753, "end_nav": 1153738.721746164, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06707382255926853, "mean_cash_weight": 0.7329534334806994, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1055009.9839822636, "start_session": "2008-12-31", "total_return": 0.09358085635477753, "traded_notional_by_category": { "entry": 1030757.053687515, "exit": 322555.9519624213, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3129311129217918 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6778348180286464, "annualized_volatility": 0.1638986478020261, "cagr": 0.17011545091177194, "end_nav": 1350007.504630384, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0872290788887633e-16, "max_drawdown": -0.13377512922660018, "mean_cash_weight": 3.229620434327218e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1153738.721746164, "start_session": "2009-12-31", "total_return": 0.17011545091177194, "traded_notional_by_category": { "entry": 1688650.811361167, "exit": 1659479.5444150507, "resize": 43548.90135715745 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6778348180286464 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 3.333333333333333, "annualized_volatility": 0.22842485027281934, "cagr": 0.02295979494982725, "end_nav": 1381003.4001174255, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.21419279802453406, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1350007.504630384, "start_session": "2010-12-31", "total_return": 0.02295979494982725, "traded_notional_by_category": { "entry": 2344178.505300297, "exit": 2293704.7243735585, "resize": 50473.78092673817 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.333333333333333 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.032568204530934, "annualized_volatility": 0.09278236268797438, "cagr": 0.09101435886053943, "end_nav": 1506694.539163338, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.05997556759469036, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1381003.4001174255, "start_session": "2011-12-30", "total_return": 0.09101435886053943, "traded_notional_by_category": { "entry": 1476860.3625574084, "exit": 1481304.4140699087, "resize": 42689.27641674591 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.032568204530934 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.005874080521118, "annualized_volatility": 0.11071427390960631, "cagr": 0.3013786257129407, "end_nav": 1960780.0687455772, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.06997502980043735, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1506694.539163338, "start_session": "2012-12-31", "total_return": 0.3013786257129407, "traded_notional_by_category": { "entry": 1819642.7955772527, "exit": 1771114.1041531377, "resize": 58887.8381826923 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.005874080521118 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3333333333333335, "annualized_volatility": 0.12620104808090993, "cagr": 0.157075893318533, "end_nav": 2268771.349644963, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.07468822283569554, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1960780.0687455772, "start_session": "2013-12-31", "total_return": 0.157075893318533, "traded_notional_by_category": { "entry": 1396189.6155500747, "exit": 1317794.7891780597, "resize": 78394.82637201552 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3333333333333335 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3590585710711254, "annualized_volatility": 0.1521225459184214, "cagr": 0.06726975317062167, "end_nav": 2421391.038336158, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.10819638654898334, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2268771.349644963, "start_session": "2014-12-31", "total_return": 0.06726975317062167, "traded_notional_by_category": { "entry": 1554318.4508353465, "exit": 1537633.2494801362, "resize": 79120.55443365173 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3590585710711254 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3498985095343654, "annualized_volatility": 0.1230528234286389, "cagr": 0.029908127119533834, "end_nav": 2493810.309316816, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.09141742214913495, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2421391.038336158, "start_session": "2015-12-31", "total_return": 0.029908127119533834, "traded_notional_by_category": { "entry": 1647766.050556368, "exit": 1606501.0541613512, "resize": 81892.91677323298 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3498985095343654 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0250201514443775, "annualized_volatility": 0.07636008513737322, "cagr": 0.2787648668204388, "end_nav": 3188997.008068955, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.02626776674280995, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2493810.309316816, "start_session": "2016-12-30", "total_return": 0.2787648668204388, "traded_notional_by_category": { "entry": 2849389.4249807945, "exit": 2803757.717456965, "resize": 122925.14709945978 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0250201514443775 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9999999999999998, "annualized_volatility": 0.19107214628244643, "cagr": -0.04793780502420397, "end_nav": 3036123.4912733757, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6482201163199667e-16, "max_drawdown": -0.2028774494035389, "mean_cash_weight": 9.458203637745902e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3188997.008068955, "start_session": "2017-12-29", "total_return": -0.04793780502420397, "traded_notional_by_category": { "entry": 3189645.4617008218, "exit": 3117846.4600023525, "resize": 71799.00169846974 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.9999999999999998 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0635028248606986, "annualized_volatility": 0.11090414078380445, "cagr": 0.3178789147810328, "end_nav": 4001243.1318205567, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5858343742873017e-16, "max_drawdown": -0.03893699514166782, "mean_cash_weight": 1.0975766590713447e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3036123.4912733757, "start_session": "2018-12-31", "total_return": 0.3178789147810328, "traded_notional_by_category": { "entry": 3680079.7510662936, "exit": 3762518.2239456964, "resize": 147196.22134955437 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0635028248606986 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0606532797729686, "annualized_volatility": 0.30631994119684913, "cagr": 0.1265130086595787, "end_nav": 4507452.438805651, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.33481785747763787, "max_drawdown": -0.312632458799595, "mean_cash_weight": 0.1545759780654965, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 4001243.1318205567, "start_session": "2019-12-31", "total_return": 0.1265130086595787, "traded_notional_by_category": { "entry": 3747138.3763485486, "exit": 3622081.5542944595, "resize": 242446.44511982566 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0606532797729686 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3333333333333335, "annualized_volatility": 0.14922823266027552, "cagr": 0.15760794704156855, "end_nav": 5217862.764073321, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0616443707456152e-16, "max_drawdown": -0.07612363138275124, "mean_cash_weight": 3.24064011339938e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4507452.438805651, "start_session": "2020-12-31", "total_return": 0.15760794704156855, "traded_notional_by_category": { "entry": 8518310.491673516, "exit": 8501366.918819128, "resize": 16943.572854390135 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.3333333333333335 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.1245253851503487, "annualized_volatility": 0.19839749785113808, "cagr": 0.14641145885933105, "end_nav": 5981817.663489077, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3394261445673563, "max_drawdown": -0.14627369547731672, "mean_cash_weight": 0.05557597859645538, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 5217862.764073321, "start_session": "2021-12-31", "total_return": 0.14641145885933105, "traded_notional_by_category": { "entry": 1835168.6593358004, "exit": 3393289.6288849097, "resize": 1139176.1382197489 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.1245253851503487 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7323660755411832, "annualized_volatility": 0.1251414507930252, "cagr": 0.1995514810245771, "end_nav": 7175498.237457298, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.35353662803322194, "max_drawdown": -0.08469059313663474, "mean_cash_weight": 0.1090315480349493, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5981817.663489077, "start_session": "2022-12-30", "total_return": 0.1995514810245771, "traded_notional_by_category": { "entry": 5972659.50989683, "exit": 4093708.907912229, "resize": 309721.5403104641 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.7323660755411832 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.350165685087248, "annualized_volatility": 0.14468542713941315, "cagr": 0.15991703750319686, "end_nav": 8322982.658200879, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.1331065130392122e-16, "max_drawdown": -0.0931280702521563, "mean_cash_weight": 1.76455134653182e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 7175498.237457298, "start_session": "2023-12-29", "total_return": 0.15991703750319686, "traded_notional_by_category": { "entry": 5238600.535611765, "exit": 5155491.9676037915, "resize": 222120.97766308626 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.350165685087248 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0043328492547863, "annualized_volatility": 0.1592648174623961, "cagr": 0.04549202587668266, "end_nav": 8701612.000658935, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2124367554051283e-16, "max_drawdown": -0.1332613369429978, "mean_cash_weight": 3.554668510750843e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 8322982.658200879, "start_session": "2024-12-31", "total_return": 0.04549202587668266, "traded_notional_by_category": { "entry": 8830175.32784724, "exit": 8525492.650335584, "resize": 341545.4062247211 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0043328492547863 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.969525576971611, "annualized_volatility": 0.16645231423336632, "cagr": 0.09045800126116443, "end_nav": 8701612.000658935, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.4342713842948227, "mean_cash_weight": 0.08598369030105371, "nonzero_trade_event_count": 50, "order_count": 210, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 998564.511442867, "start_session": "2000-12-29", "total_return": 7.714121021671016, "traded_notional_by_category": { "entry": 65576331.046396114, "exit": 64201336.17986231, "resize": 3391388.9303708323 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 49.238139424290274 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 10256097.054480208, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.07352334474867672, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 1, "order_count": 5, "rebalance_count": 1, "scheduled_reset_count": 1, "session_count": 189, "start_nav": 8701612.000658935, "start_session": "2025-12-31", "total_return": 0.17864334260175685, "traded_notional_by_category": { "entry": 6213392.695421167, "exit": 6144190.977756525, "resize": 69201.7176646404 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3333333333333333 } }, "monthly_risk": { "beta_intercept_per_month": 0.0017182668240062803, "beta_to_SPY_excess_returns": 0.7481802227141251, "monthly_return_volatility_annualized": 0.13829492430537677, "months": 300, "sharpe_monthly_annualized": 0.5737720398113889, "tracking_error_monthly_annualized": 0.08891270124724521 }, "phase": [ 4, 10 ], "policy": "A", "run_id": "S12-04-10-0bps", "signal": "12-1" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3650387658694463, "annualized_volatility": 0.15628339629008417, "cagr": -0.017542527603708558, "end_nav": 978092.4149865867, "end_session": "2001-12-31", "fee_by_category": { "entry": 923.7301113373369, "exit": 1240.8072878984854, "resize": 15.934568789489918 }, "max_cash_weight": 0.32955589102521093, "max_drawdown": -0.1468524753481102, "mean_cash_weight": 0.05135648716873859, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 995557.0011605102, "start_session": "2000-12-29", "total_return": -0.017542527603708558, "traded_notional_by_category": { "entry": 923730.111337337, "exit": 1240807.2878984853, "resize": 15934.568789489917 }, "transaction_cost": 2180.471968025312, "transaction_cost_over_anchor_nav": 0.002190203037579525, "two_sided_turnover": 2.3650387658694463 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7023821012486446, "annualized_volatility": 0.20976690861555206, "cagr": -0.15314003302561763, "end_nav": 828307.3102534347, "end_session": "2002-12-31", "fee_by_category": { "entry": 611.0084165929007, "exit": 828.8999384061241, "resize": 36.48614138984052 }, "max_cash_weight": 0.6692832646378414, "max_drawdown": -0.2679652798516604, "mean_cash_weight": 0.20425130978938663, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 978092.4149865867, "start_session": "2001-12-31", "total_return": -0.15314003302561763, "traded_notional_by_category": { "entry": 611008.4165929006, "exit": 828899.938406124, "resize": 36486.141389840515 }, "transaction_cost": 1476.3944963888653, "transaction_cost_over_anchor_nav": 0.0015094631895382934, "two_sided_turnover": 1.7023821012486446 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3426862644999236, "annualized_volatility": 0.05479934863636069, "cagr": 0.1036136713227469, "end_nav": 914131.2716522625, "end_session": "2003-12-31", "fee_by_category": { "entry": 839.7230560334655, "exit": 288.9883629421323, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.03463121633790145, "mean_cash_weight": 0.728676872950735, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 828307.3102534347, "start_session": "2002-12-31", "total_return": 0.1036136713227469, "traded_notional_by_category": { "entry": 839723.0560334654, "exit": 288988.3629421323, "resize": 0.0 }, "transaction_cost": 1128.7114189755978, "transaction_cost_over_anchor_nav": 0.0013626722896243053, "two_sided_turnover": 1.3426862644999236 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 1.999777999975333, "annualized_volatility": 0.11189869447427794, "cagr": 0.13355871855116397, "end_nav": 1036221.4728816848, "end_session": "2004-12-31", "fee_by_category": { "entry": 922.0197051782245, "exit": 875.3558342730232, "resize": 48.50975620085304 }, "max_cash_weight": 1.3469268772975718e-16, "max_drawdown": -0.07822354165924505, "mean_cash_weight": 1.0515593522089005e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 914131.2716522625, "start_session": "2003-12-31", "total_return": 0.13355871855116397, "traded_notional_by_category": { "entry": 922019.7051782245, "exit": 875355.8342730233, "resize": 48509.75620085304 }, "transaction_cost": 1845.8852956521005, "transaction_cost_over_anchor_nav": 0.002019278141875316, "two_sided_turnover": 1.999777999975333 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3505628778359062, "annualized_volatility": 0.1513685969442147, "cagr": 0.17865721802835655, "end_nav": 1221349.9184879726, "end_session": "2005-12-30", "fee_by_category": { "entry": 759.1602905817124, "exit": 700.2985563155889, "resize": 80.3266614402397 }, "max_cash_weight": 0.0, "max_drawdown": -0.11039856777700019, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1036221.4728816848, "start_session": "2004-12-31", "total_return": 0.17865721802835655, "traded_notional_by_category": { "entry": 759160.2905817125, "exit": 700298.5563155889, "resize": 80326.6614402397 }, "transaction_cost": 1539.7855083375412, "transaction_cost_over_anchor_nav": 0.0014859617838795288, "two_sided_turnover": 1.3505628778359062 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6852908441282977, "annualized_volatility": 0.11930728535643502, "cagr": 0.11022323214201246, "end_nav": 1355971.0540801005, "end_session": "2006-12-29", "fee_by_category": { "entry": 1712.7868215027931, "exit": 1720.4670379353795, "resize": 22.718853238923824 }, "max_cash_weight": 0.0, "max_drawdown": -0.10662138456337011, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1221349.9184879726, "start_session": "2005-12-30", "total_return": 0.11022323214201246, "traded_notional_by_category": { "entry": 1712786.821502793, "exit": 1720467.0379353794, "resize": 22718.853238923824 }, "transaction_cost": 3455.9727126770968, "transaction_cost_over_anchor_nav": 0.002829633555759008, "two_sided_turnover": 2.6852908441282977 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.332405355011974, "annualized_volatility": 0.15774406995550458, "cagr": 0.06961960100719522, "end_nav": 1450373.217842463, "end_session": "2007-12-31", "fee_by_category": { "entry": 2394.7241136368016, "exit": 2400.59419349556, "resize": 1.0736878637625487 }, "max_cash_weight": 0.0, "max_drawdown": -0.08699678382656495, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1355971.0540801005, "start_session": "2006-12-29", "total_return": 0.06961960100719522, "traded_notional_by_category": { "entry": 2394724.1136368015, "exit": 2400594.19349556, "resize": 1073.6878637625487 }, "transaction_cost": 4796.391994996124, "transaction_cost_over_anchor_nav": 0.003537237746015181, "two_sided_turnover": 3.332405355011974 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.352340395543779, "annualized_volatility": 0.3391509737346926, "cagr": -0.28639653835815815, "end_nav": 1034991.3489249987, "end_session": "2008-12-31", "fee_by_category": { "entry": 485.94936569927415, "exit": 1075.692428915353, "resize": 133.78626731835942 }, "max_cash_weight": 0.6914204219896662, "max_drawdown": -0.4342713842948227, "mean_cash_weight": 0.10958776573206463, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1450373.217842463, "start_session": "2007-12-31", "total_return": -0.28639653835815815, "traded_notional_by_category": { "entry": 485949.3656992741, "exit": 1075692.428915353, "resize": 133786.2673183594 }, "transaction_cost": 1695.4280619329866, "transaction_cost_over_anchor_nav": 0.0011689598519028508, "two_sided_turnover": 1.352340395543779 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.311932111922791, "annualized_volatility": 0.07544816746175717, "cagr": 0.09214649438594313, "end_nav": 1130362.1734482157, "end_session": "2009-12-31", "fee_by_category": { "entry": 1009.8723060450774, "exit": 316.43550761978946, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06707382255926853, "mean_cash_weight": 0.7329534334806995, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1034991.3489249987, "start_session": "2008-12-31", "total_return": 0.09214649438594313, "traded_notional_by_category": { "entry": 1009872.3060450774, "exit": 316435.50761978945, "resize": 0.0 }, "transaction_cost": 1326.307813664867, "transaction_cost_over_anchor_nav": 0.0012814675359774227, "two_sided_turnover": 1.311932111922791 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6760473633566155, "annualized_volatility": 0.16385116597096988, "cagr": 0.1669862613800055, "end_nav": 1319117.1267977105, "end_session": "2010-12-31", "fee_by_category": { "entry": 1651.1030227889619, "exit": 1624.7257329492395, "resize": 42.63539335622959 }, "max_cash_weight": 1.1097136096618037e-16, "max_drawdown": -0.13492971086042027, "mean_cash_weight": 3.2964108664917903e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1130362.1734482157, "start_session": "2009-12-31", "total_return": 0.1669862613800055, "traded_notional_by_category": { "entry": 1651103.022788962, "exit": 1624725.7329492392, "resize": 42635.393356229586 }, "transaction_cost": 3318.464149094431, "transaction_cost_over_anchor_nav": 0.002935753006464575, "two_sided_turnover": 2.6760473633566155 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 3.330891034989669, "annualized_volatility": 0.22867177763476848, "cagr": 0.01955515159920629, "end_nav": 1344912.662189349, "end_session": "2011-12-30", "fee_by_category": { "entry": 2284.8387994026657, "exit": 2239.6304482444416, "resize": 49.78260300887993 }, "max_cash_weight": 0.0, "max_drawdown": -0.21576284238412535, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1319117.1267977105, "start_session": "2010-12-31", "total_return": 0.01955515159920629, "traded_notional_by_category": { "entry": 2284838.7994026653, "exit": 2239630.4482444413, "resize": 49782.60300887993 }, "transaction_cost": 4574.251850655987, "transaction_cost_over_anchor_nav": 0.0034676616334748406, "two_sided_turnover": 3.330891034989669 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.031890907561747, "annualized_volatility": 0.09264802831383416, "cagr": 0.08879855319402541, "end_nav": 1464338.9607640884, "end_session": "2012-12-31", "fee_by_category": { "entry": 1435.969222916439, "exit": 1441.9224559321267, "resize": 42.211648485915916 }, "max_cash_weight": 0.0, "max_drawdown": -0.06122851585514366, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1344912.662189349, "start_session": "2011-12-30", "total_return": 0.08879855319402541, "traded_notional_by_category": { "entry": 1435969.222916439, "exit": 1441922.4559321266, "resize": 42211.64848591591 }, "transaction_cost": 2920.1033273344815, "transaction_cost_over_anchor_nav": 0.0021712215294195534, "two_sided_turnover": 2.031890907561747 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.005205678628242, "annualized_volatility": 0.11074478621533748, "cagr": 0.2987702600985598, "end_nav": 1901839.89294403, "end_session": "2013-12-31", "fee_by_category": { "entry": 1765.7061372246144, "exit": 1720.5545976583094, "resize": 57.995514939620975 }, "max_cash_weight": 1.313079648512791e-16, "max_drawdown": -0.06997502980043735, "mean_cash_weight": 2.0605314566647628e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1464338.9607640884, "start_session": "2012-12-31", "total_return": 0.2987702600985598, "traded_notional_by_category": { "entry": 1765706.1372246142, "exit": 1720554.5976583094, "resize": 57995.514939620974 }, "transaction_cost": 3544.2562498225448, "transaction_cost_over_anchor_nav": 0.002420379669453827, "two_sided_turnover": 2.005205678628242 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3337779259753249, "annualized_volatility": 0.1261925855881589, "cagr": 0.15553312563230848, "end_nav": 2197638.99594583, "end_session": "2014-12-31", "fee_by_category": { "entry": 1352.8419371820262, "exit": 1277.7326258726887, "resize": 77.81770357596747 }, "max_cash_weight": 1.2953937596462705e-16, "max_drawdown": -0.07468822283569565, "mean_cash_weight": 3.982794786787638e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1901839.89294403, "start_session": "2013-12-31", "total_return": 0.15553312563230848, "traded_notional_by_category": { "entry": 1352841.937182026, "exit": 1277732.6258726886, "resize": 77817.70357596746 }, "transaction_cost": 2708.392266630682, "transaction_cost_over_anchor_nav": 0.0014240905749632357, "two_sided_turnover": 1.3337779259753249 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3586228526640218, "annualized_volatility": 0.15201295831171607, "cagr": 0.0658197727017018, "end_nav": 2342287.0951393805, "end_session": "2015-12-31", "fee_by_category": { "entry": 1503.57942272556, "exit": 1489.42412863652, "resize": 77.58282139568473 }, "max_cash_weight": 0.0, "max_drawdown": -0.10819638654898334, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2197638.99594583, "start_session": "2014-12-31", "total_return": 0.0658197727017018, "traded_notional_by_category": { "entry": 1503579.4227255601, "exit": 1489424.12863652, "resize": 77582.82139568473 }, "transaction_cost": 3070.586372757765, "transaction_cost_over_anchor_nav": 0.00139722055279431, "two_sided_turnover": 1.3586228526640218 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3498931377970915, "annualized_volatility": 0.12304816523615975, "cagr": 0.028518330316910978, "end_nav": 2409085.2122156033, "end_session": "2016-12-30", "fee_by_category": { "entry": 1592.3116267186483, "exit": 1553.4821402847658, "resize": 80.27593231041753 }, "max_cash_weight": 0.0, "max_drawdown": -0.09202334584226668, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2342287.0951393805, "start_session": "2015-12-31", "total_return": 0.028518330316910978, "traded_notional_by_category": { "entry": 1592311.6267186482, "exit": 1553482.1402847657, "resize": 80275.93231041753 }, "transaction_cost": 3226.0696993138317, "transaction_cost_over_anchor_nav": 0.0013773160881979162, "two_sided_turnover": 1.3498931377970915 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.024345369654493, "annualized_volatility": 0.07634325578068467, "cagr": 0.2761773836373165, "end_nav": 3074420.0630846582, "end_session": "2017-12-29", "fee_by_category": { "entry": 2748.2280199426027, "exit": 2707.168755849973, "resize": 119.82858779242497 }, "max_cash_weight": 0.0, "max_drawdown": -0.02626776674280984, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2409085.2122156033, "start_session": "2016-12-30", "total_return": 0.2761773836373165, "traded_notional_by_category": { "entry": 2748228.0199426026, "exit": 2707168.7558499733, "resize": 119828.58779242495 }, "transaction_cost": 5575.225363585001, "transaction_cost_over_anchor_nav": 0.002314249963145779, "two_sided_turnover": 2.024345369654493 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9997779999753336, "annualized_volatility": 0.19098442054654613, "cagr": -0.04984087177872398, "end_nav": 2921188.286926519, "end_session": "2018-12-31", "fee_by_category": { "entry": 3070.2534960712037, "exit": 3004.510034877966, "resize": 71.89011483902496 }, "max_cash_weight": 0.0, "max_drawdown": -0.2034090416346801, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3074420.0630846582, "start_session": "2017-12-29", "total_return": -0.04984087177872398, "traded_notional_by_category": { "entry": 3070253.4960712036, "exit": 3004510.034877966, "resize": 71890.11483902496 }, "transaction_cost": 6146.653645788196, "transaction_cost_over_anchor_nav": 0.0019992888153419976, "two_sided_turnover": 1.9997779999753336 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.061890771504026, "annualized_volatility": 0.11097177095207077, "cagr": 0.3151628259138255, "end_nav": 3841838.2424606476, "end_session": "2019-12-31", "fee_by_category": { "entry": 3535.01468237276, "exit": 3618.375442061998, "resize": 139.96885148306447 }, "max_cash_weight": 0.0, "max_drawdown": -0.03893699514166771, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2921188.286926519, "start_session": "2018-12-31", "total_return": 0.3151628259138255, "traded_notional_by_category": { "entry": 3535014.6823727596, "exit": 3618375.442061998, "resize": 139968.85148306447 }, "transaction_cost": 7293.358975917822, "transaction_cost_over_anchor_nav": 0.002496709646741536, "two_sided_turnover": 2.061890771504026 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0594116237997677, "annualized_volatility": 0.30643126288612627, "cagr": 0.1241937936544486, "end_nav": 4318970.708398575, "end_session": "2020-12-31", "fee_by_category": { "entry": 3591.3612592193804, "exit": 3477.7820227755715, "resize": 232.39993876346435 }, "max_cash_weight": 0.3348178574776379, "max_drawdown": -0.3126324587995951, "mean_cash_weight": 0.15457597806549653, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3841838.2424606476, "start_session": "2019-12-31", "total_return": 0.1241937936544486, "traded_notional_by_category": { "entry": 3591361.25921938, "exit": 3477782.0227755713, "resize": 232399.93876346434 }, "transaction_cost": 7301.543220758416, "transaction_cost_over_anchor_nav": 0.0019005337445133746, "two_sided_turnover": 2.0594116237997677 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 3.330891034989669, "annualized_volatility": 0.14917084125224597, "cagr": 0.1537551639517758, "end_nav": 4983034.757771315, "end_session": "2021-12-31", "fee_by_category": { "entry": 8141.231878752557, "exit": 8139.1964340037575, "resize": 18.334207268824336 }, "max_cash_weight": 1.1079749855112941e-16, "max_drawdown": -0.07612363138275124, "mean_cash_weight": 3.382063035071979e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4318970.708398575, "start_session": "2020-12-31", "total_return": 0.1537551639517758, "traded_notional_by_category": { "entry": 8141231.878752557, "exit": 8139196.434003756, "resize": 18334.207268824335 }, "transaction_cost": 16298.762520025139, "transaction_cost_over_anchor_nav": 0.0037737608380466496, "two_sided_turnover": 3.330891034989669 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.1242876698501176, "annualized_volatility": 0.19839448974784044, "cagr": 0.14512289872406292, "end_nav": 5706187.206261847, "end_session": "2022-12-30", "fee_by_category": { "entry": 1751.3277211642985, "exit": 3239.2893207367024, "resize": 1087.5326510203408 }, "max_cash_weight": 0.33942614456735626, "max_drawdown": -0.14627369547731683, "mean_cash_weight": 0.05557597859645538, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4983034.757771315, "start_session": "2021-12-31", "total_return": 0.14512289872406292, "traded_notional_by_category": { "entry": 1751327.7211642985, "exit": 3239289.3207367025, "resize": 1087532.6510203409 }, "transaction_cost": 6078.149692921341, "transaction_cost_over_anchor_nav": 0.0012197686727836153, "two_sided_turnover": 1.1242876698501176 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7311000810240686, "annualized_volatility": 0.12510881397728307, "cagr": 0.19747580222230732, "end_nav": 6833021.1024490725, "end_session": "2023-12-29", "fee_by_category": { "entry": 5690.203580013433, "exit": 3903.0722027059555, "resize": 293.3160189958618 }, "max_cash_weight": 0.353536628033222, "max_drawdown": -0.08469059313663496, "mean_cash_weight": 0.10903154803494931, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5706187.206261847, "start_session": "2022-12-30", "total_return": 0.19747580222230732, "traded_notional_by_category": { "entry": 5690203.5800134335, "exit": 3903072.202705956, "resize": 293316.01899586176 }, "transaction_cost": 9886.59180171525, "transaction_cost_over_anchor_nav": 0.0017326090863030077, "two_sided_turnover": 1.7311000810240686 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3497157798273058, "annualized_volatility": 0.1447378940049136, "cagr": 0.1583520073902227, "end_nav": 7915043.710561636, "end_session": "2024-12-31", "fee_by_category": { "entry": 4983.424177113127, "exit": 4907.646494181283, "resize": 211.44322498664866 }, "max_cash_weight": 1.1915064783957635e-16, "max_drawdown": -0.0931280702521563, "mean_cash_weight": 1.8554957867247497e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 6833021.1024490725, "start_session": "2023-12-29", "total_return": 0.1583520073902227, "traded_notional_by_category": { "entry": 4983424.177113127, "exit": 4907646.494181283, "resize": 211443.22498664865 }, "transaction_cost": 10102.513896281058, "transaction_cost_over_anchor_nav": 0.0014784842231293773, "two_sided_turnover": 1.3497157798273058 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0036649609344748, "annualized_volatility": 0.1592922543822554, "cagr": 0.043398144880422596, "end_nav": 8258541.924247468, "end_session": "2025-12-31", "fee_by_category": { "entry": 8384.15131815602, "exit": 8103.948890400113, "resize": 328.45689135312614 }, "max_cash_weight": 1.2749253773465492e-16, "max_drawdown": -0.1332613369429978, "mean_cash_weight": 3.737875045611426e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 7915043.710561636, "start_session": "2024-12-31", "total_return": 0.043398144880422596, "traded_notional_by_category": { "entry": 8384151.318156021, "exit": 8103948.890400112, "resize": 328456.89135312615 }, "transaction_cost": 16816.55709990926, "transaction_cost_over_anchor_nav": 0.002124632246499115, "two_sided_turnover": 2.0036649609344748 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9685532363427225, "annualized_volatility": 0.16646322043868447, "cagr": 0.08831218052887424, "end_nav": 8258541.924247468, "end_session": "2025-12-31", "fee_by_category": { "entry": 63140.52048837188, "exit": 61896.00087497285, "resize": 3270.3080398169654 }, "max_cash_weight": 1.0, "max_drawdown": -0.4342713842948227, "mean_cash_weight": 0.08598369030105371, "nonzero_trade_event_count": 50, "order_count": 210, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 995557.0011605102, "start_session": "2000-12-29", "total_return": 7.295398369576603, "traded_notional_by_category": { "entry": 63140520.48837189, "exit": 61896000.87497284, "resize": 3270308.0398169653 }, "transaction_cost": 128306.8294031617, "transaction_cost_over_anchor_nav": 0.1288794406082181, "two_sided_turnover": 49.21383090856806 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 9720901.282725593, "end_session": "2026-10-02", "fee_by_category": { "entry": 5889.1580980713115, "exit": 5831.34007544152, "resize": 69.60812893223809 }, "max_cash_weight": 0.0, "max_drawdown": -0.07352334474867661, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 1, "order_count": 5, "rebalance_count": 1, "scheduled_reset_count": 1, "session_count": 189, "start_nav": 8258541.924247468, "start_session": "2025-12-31", "total_return": 0.17707234181188447, "traded_notional_by_category": { "entry": 5889158.098071312, "exit": 5831340.07544152, "resize": 69608.12893223809 }, "transaction_cost": 11790.106302445069, "transaction_cost_over_anchor_nav": 0.001427625652396189, "two_sided_turnover": 1.3328890369876707 } }, "monthly_risk": { "beta_intercept_per_month": 0.0015559477733630839, "beta_to_SPY_excess_returns": 0.7476654523712608, "monthly_return_volatility_annualized": 0.1382541347871076, "months": 300, "sharpe_monthly_annualized": 0.5595863394830147, "tracking_error_monthly_annualized": 0.08898019348902912 }, "phase": [ 4, 10 ], "policy": "A", "run_id": "S12-04-10-10bps", "signal": "12-1" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3623293736948234, "annualized_volatility": 0.15599231558752732, "cagr": -0.0210234351230264, "end_nav": 970227.3413046004, "end_session": "2001-12-31", "fee_by_category": { "entry": 2292.779070250812, "exit": 3085.67352089776, "resize": 37.95814834389836 }, "max_cash_weight": 0.32955589102521093, "max_drawdown": -0.1468524753481103, "mean_cash_weight": 0.05135648716873856, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 991062.8876254328, "start_session": "2000-12-29", "total_return": -0.0210234351230264, "traded_notional_by_category": { "entry": 917111.6281003247, "exit": 1234269.4083591043, "resize": 15183.259337559342 }, "transaction_cost": 5416.41073949247, "transaction_cost_over_anchor_nav": 0.005465254331609656, "two_sided_turnover": 2.3623293736948234 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7019011122541365, "annualized_volatility": 0.20976973445894354, "cagr": -0.15530302511479588, "end_nav": 819548.1001509103, "end_session": "2002-12-31", "fee_by_category": { "entry": 1513.0290315725272, "exit": 2054.4457332231627, "resize": 91.40407520911583 }, "max_cash_weight": 0.6692832646378414, "max_drawdown": -0.2683714909558622, "mean_cash_weight": 0.20425130978938663, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 970227.3413046004, "start_session": "2001-12-31", "total_return": -0.15530302511479588, "traded_notional_by_category": { "entry": 605211.6126290108, "exit": 821778.2932892651, "resize": 36561.630083646334 }, "transaction_cost": 3658.878840004806, "transaction_cost_over_anchor_nav": 0.00377115618601817, "two_sided_turnover": 1.7019011122541365 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3411914999128898, "annualized_volatility": 0.0548539764322424, "cagr": 0.101394091385139, "end_nav": 902645.4351121287, "end_session": "2003-12-31", "fee_by_category": { "entry": 2072.9303514499725, "exit": 714.8308993629464, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.03463121633790156, "mean_cash_weight": 0.728676872950735, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 819548.1001509103, "start_session": "2002-12-31", "total_return": 0.101394091385139, "traded_notional_by_category": { "entry": 829172.1405799891, "exit": 285932.35974517855, "resize": 0.0 }, "transaction_cost": 2787.7612508129187, "transaction_cost_over_anchor_nav": 0.0034015834461694006, "two_sided_turnover": 1.3411914999128898 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9994458329484948, "annualized_volatility": 0.11178422291354422, "cagr": 0.13015785318988793, "end_nav": 1020131.8271379756, "end_session": "2004-12-31", "fee_by_category": { "entry": 2270.730246917779, "exit": 2159.503654500446, "resize": 122.6086989181742 }, "max_cash_weight": 1.3261528784892938e-16, "max_drawdown": -0.08006740342277241, "mean_cash_weight": 6.223996588538014e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 902645.4351121287, "start_session": "2003-12-31", "total_return": 0.13015785318988793, "traded_notional_by_category": { "entry": 908292.0987671115, "exit": 863801.4618001783, "resize": 49043.47956726968 }, "transaction_cost": 4552.842600336398, "transaction_cost_over_anchor_nav": 0.005043888135069152, "two_sided_turnover": 1.9994458329484948 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.350555048089071, "annualized_volatility": 0.1513499868968995, "cagr": 0.17626906210996873, "end_nav": 1199949.5075361154, "end_session": "2005-12-30", "fee_by_category": { "entry": 1865.562507990354, "exit": 1722.6666151583531, "resize": 199.36069300817894 }, "max_cash_weight": 1.183354200743618e-16, "max_drawdown": -0.1103985677770003, "mean_cash_weight": 3.568170837938e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1020131.8271379756, "start_session": "2004-12-31", "total_return": 0.17626906210996873, "traded_notional_by_category": { "entry": 746225.0031961417, "exit": 689066.6460633413, "resize": 79744.27720327157 }, "transaction_cost": 3787.589816156886, "transaction_cost_over_anchor_nav": 0.003712843492770081, "two_sided_turnover": 1.350555048089071 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6819579566630756, "annualized_volatility": 0.11961246578577396, "cagr": 0.10575657114237913, "end_nav": 1326852.0529971214, "end_session": "2006-12-29", "fee_by_category": { "entry": 4193.225878126072, "exit": 4222.527048679096, "resize": 55.634782062026495 }, "max_cash_weight": 0.0, "max_drawdown": -0.1092975129074848, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1199949.5075361154, "start_session": "2005-12-30", "total_return": 0.10575657114237913, "traded_notional_by_category": { "entry": 1677290.3512504282, "exit": 1689010.8194716384, "resize": 22253.9128248106 }, "transaction_cost": 8471.387708867194, "transaction_cost_over_anchor_nav": 0.007059786812414878, "two_sided_turnover": 2.6819579566630756 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.327419212336146, "annualized_volatility": 0.15815879114712436, "cagr": 0.06428347558459091, "end_nav": 1412146.714550326, "end_session": "2007-12-31", "fee_by_category": { "entry": 5835.922205499409, "exit": 5865.4951507177775, "resize": 0.31860531453959995 }, "max_cash_weight": 0.0, "max_drawdown": -0.08699678382656506, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1326852.0529971214, "start_session": "2006-12-29", "total_return": 0.06428347558459091, "traded_notional_by_category": { "entry": 2334368.8821997633, "exit": 2346198.060287111, "resize": 127.44212581583997 }, "transaction_cost": 11701.735961531725, "transaction_cost_over_anchor_nav": 0.008819171613820545, "two_sided_turnover": 3.327419212336146 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3523316777781056, "annualized_volatility": 0.3391678674441598, "cagr": -0.2878443196544309, "end_nav": 1005668.3042483476, "end_session": "2008-12-31", "fee_by_category": { "entry": 1181.6378154314243, "exit": 2616.829704023735, "resize": 326.2794936608117 }, "max_cash_weight": 0.6914204219896662, "max_drawdown": -0.4342713842948227, "mean_cash_weight": 0.10958776573206463, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1412146.714550326, "start_session": "2007-12-31", "total_return": -0.2878443196544309, "traded_notional_by_category": { "entry": 472655.1261725697, "exit": 1046731.8816094939, "resize": 130511.79746432469 }, "transaction_cost": 4124.747013115971, "transaction_cost_over_anchor_nav": 0.0029209054346944576, "two_sided_turnover": 1.3523316777781056 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.310437347335757, "annualized_volatility": 0.07535886945725358, "cagr": 0.09000031687646382, "end_nav": 1096178.770303315, "end_session": "2009-12-31", "fee_by_category": { "entry": 2448.3316246042536, "exit": 768.6758944470643, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06707382255926864, "mean_cash_weight": 0.7329534334806994, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1005668.3042483476, "start_session": "2008-12-31", "total_return": 0.09000031687646382, "traded_notional_by_category": { "entry": 979332.6498417015, "exit": 307470.3577788257, "resize": 0.0 }, "transaction_cost": 3217.007519051318, "transaction_cost_over_anchor_nav": 0.003198875320482294, "two_sided_turnover": 1.310437347335757 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6733717605395926, "annualized_volatility": 0.1638209353218312, "cagr": 0.1623081335046268, "end_nav": 1274097.5004986431, "end_session": "2010-12-31", "fee_by_category": { "entry": 3990.839073789368, "exit": 3934.874042940597, "resize": 103.26221701125935 }, "max_cash_weight": 1.1443190852668052e-16, "max_drawdown": -0.13666014128579573, "mean_cash_weight": 3.399206637248544e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1096178.770303315, "start_session": "2009-12-31", "total_return": 0.1623081335046268, "traded_notional_by_category": { "entry": 1596335.629515747, "exit": 1573949.617176239, "resize": 41304.88680450374 }, "transaction_cost": 8028.975333741224, "transaction_cost_over_anchor_nav": 0.007324512708378387, "two_sided_turnover": 2.6733717605395926 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 3.327235616205116, "annualized_volatility": 0.229086859777834, "cagr": 0.014467716942909714, "end_nav": 1292530.7824935263, "end_session": "2011-12-30", "fee_by_category": { "entry": 5496.566774937703, "exit": 5402.240784439367, "resize": 121.87770365591729 }, "max_cash_weight": 0.0, "max_drawdown": -0.21811203593962347, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1274097.5004986431, "start_session": "2010-12-31", "total_return": 0.014467716942909714, "traded_notional_by_category": { "entry": 2198626.709975081, "exit": 2160896.313775747, "resize": 48751.081462366914 }, "transaction_cost": 11020.685263032989, "transaction_cost_over_anchor_nav": 0.008649797412458487, "two_sided_turnover": 3.327235616205116 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.030875808024247, "annualized_volatility": 0.09249312209354987, "cagr": 0.08548141890327621, "end_nav": 1403018.147757235, "end_session": "2012-12-31", "fee_by_category": { "entry": 3441.8450020344703, "exit": 3461.992986353903, "resize": 103.71230218181518 }, "max_cash_weight": 0.0, "max_drawdown": -0.06310637336456626, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1292530.7824935263, "start_session": "2011-12-30", "total_return": 0.08548141890327621, "traded_notional_by_category": { "entry": 1376738.000813788, "exit": 1384797.194541561, "resize": 41484.92087272607 }, "transaction_cost": 7007.550290570188, "transaction_cost_over_anchor_nav": 0.0054215732309689, "two_sided_turnover": 2.030875808024247 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0042039105956215, "annualized_volatility": 0.11082814244693712, "cagr": 0.29486533682970717, "end_nav": 1816719.5664738638, "end_session": "2013-12-31", "fee_by_category": { "entry": 4219.429650884893, "exit": 4118.494480740224, "resize": 141.6519450288394 }, "max_cash_weight": 1.4996198473992145e-16, "max_drawdown": -0.06997502980043735, "mean_cash_weight": 9.415779229338493e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1403018.147757235, "start_session": "2012-12-31", "total_return": 0.29486533682970717, "traded_notional_by_category": { "entry": 1687771.8603539572, "exit": 1647397.7922960895, "resize": 56660.77801153576 }, "transaction_cost": 8479.576076653957, "transaction_cost_over_anchor_nav": 0.006043810687843778, "two_sided_turnover": 2.0042039105956215 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3344453711426185, "annualized_volatility": 0.12619310773712814, "cagr": 0.15321897635702397, "end_nav": 2095075.4787767655, "end_session": "2014-12-31", "fee_by_category": { "entry": 3225.7920470325716, "exit": 3049.750668003707, "resize": 192.21076272326317 }, "max_cash_weight": 1.3560879591052011e-16, "max_drawdown": -0.07468822283569576, "mean_cash_weight": 1.2188876522102208e-16, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1816719.5664738638, "start_session": "2013-12-31", "total_return": 0.15321897635702397, "traded_notional_by_category": { "entry": 1290316.8188130287, "exit": 1219900.2672014828, "resize": 76884.30508930527 }, "transaction_cost": 6467.753477759542, "transaction_cost_over_anchor_nav": 0.0035601276042361543, "two_sided_turnover": 1.3344453711426185 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3579698406927405, "annualized_volatility": 0.15187104882090963, "cagr": 0.06364668162712483, "end_nav": 2228420.0807592664, "end_session": "2015-12-31", "fee_by_category": { "entry": 3576.3506933156104, "exit": 3549.782260827861, "resize": 188.27309942234047 }, "max_cash_weight": 1.1466529314786036e-16, "max_drawdown": -0.10819638654898334, "mean_cash_weight": 3.568826257932709e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2095075.4787767655, "start_session": "2014-12-31", "total_return": 0.06364668162712483, "traded_notional_by_category": { "entry": 1430540.2773262442, "exit": 1419912.9043311444, "resize": 75309.23976893618 }, "transaction_cost": 7314.406053565813, "transaction_cost_over_anchor_nav": 0.0034912374888929607, "two_sided_turnover": 1.3579698406927405 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3498856426414498, "annualized_volatility": 0.12305518473819198, "cagr": 0.026435413578256073, "end_nav": 2287329.2872202285, "end_session": "2016-12-30", "fee_by_category": { "entry": 3781.4704361583917, "exit": 3692.992143673969, "resize": 194.70617909680936 }, "max_cash_weight": 0.0, "max_drawdown": -0.0929329894182771, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2228420.0807592664, "start_session": "2015-12-31", "total_return": 0.026435413578256073, "traded_notional_by_category": { "entry": 1512588.1744633568, "exit": 1477196.8574695876, "resize": 77882.47163872374 }, "transaction_cost": 7669.1687589291705, "transaction_cost_over_anchor_nav": 0.003441527396538329, "two_sided_turnover": 1.3498856426414498 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.02333403974459, "annualized_volatility": 0.07637362025888239, "cagr": 0.2723038042146695, "end_nav": 2910177.753621925, "end_session": "2017-12-29", "fee_by_category": { "entry": 6507.841599110761, "exit": 6421.124467204905, "resize": 288.2721421716965 }, "max_cash_weight": 0.0, "max_drawdown": -0.02626776674280995, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2287329.2872202285, "start_session": "2016-12-30", "total_return": 0.2723038042146695, "traded_notional_by_category": { "entry": 2603136.6396443048, "exit": 2568449.786881962, "resize": 115308.85686867859 }, "transaction_cost": 13217.238208487364, "transaction_cost_over_anchor_nav": 0.005778458870060707, "two_sided_turnover": 2.02333403974459 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9994458329484952, "annualized_volatility": 0.19087488500618985, "cagr": -0.05269150775724485, "end_nav": 2756836.099941994, "end_session": "2018-12-31", "fee_by_category": { "entry": 7248.593684689816, "exit": 7105.339292223683, "resize": 179.5881953969094 }, "max_cash_weight": 0.0, "max_drawdown": -0.20420709502588485, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2910177.753621925, "start_session": "2017-12-29", "total_return": -0.05269150775724485, "traded_notional_by_category": { "entry": 2899437.473875927, "exit": 2842135.7168894736, "resize": 71835.27815876377 }, "transaction_cost": 14533.521172310411, "transaction_cost_over_anchor_nav": 0.00499403211856128, "two_sided_turnover": 1.9994458329484952 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0594781611662842, "annualized_volatility": 0.11111257346468288, "cagr": 0.31110125169701974, "end_nav": 3614491.261357479, "end_session": "2019-12-31", "fee_by_category": { "entry": 8320.01691184644, "exit": 8530.961134605535, "resize": 324.3918714568208 }, "max_cash_weight": 1.4719700698963387e-16, "max_drawdown": -0.03893699514166771, "mean_cash_weight": 7.107844213042523e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2756836.099941994, "start_session": "2018-12-31", "total_return": 0.31110125169701974, "traded_notional_by_category": { "entry": 3328006.7647385756, "exit": 3412384.4538422143, "resize": 129756.74858272832 }, "transaction_cost": 17175.369917908796, "transaction_cost_over_anchor_nav": 0.0062301019339779315, "two_sided_turnover": 2.0594781611662842 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.057552075118024, "annualized_volatility": 0.3066149779553412, "cagr": 0.12072297241742636, "end_nav": 4050843.3902053665, "end_session": "2020-12-31", "fee_by_category": { "entry": 8424.219110407783, "exit": 8179.946640711019, "resize": 545.252605416092 }, "max_cash_weight": 0.334817857477638, "max_drawdown": -0.3126324587995951, "mean_cash_weight": 0.15457597806549656, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3614491.261357479, "start_session": "2019-12-31", "total_return": 0.12072297241742636, "traded_notional_by_category": { "entry": 3369687.644163113, "exit": 3271978.6562844077, "resize": 218101.0421664368 }, "transaction_cost": 17149.418356534894, "transaction_cost_over_anchor_nav": 0.004744628529021304, "two_sided_turnover": 2.057552075118024 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 3.327235616205116, "annualized_volatility": 0.1491574397608734, "cagr": 0.14799809039203482, "end_nav": 4650360.476432957, "end_session": "2021-12-31", "fee_by_category": { "entry": 19016.329812811022, "exit": 19061.282835639722, "resize": 50.36692610769358 }, "max_cash_weight": 0.0, "max_drawdown": -0.07612363138275147, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4050843.3902053665, "start_session": "2020-12-31", "total_return": 0.14799809039203482, "traded_notional_by_category": { "entry": 7606531.925124409, "exit": 7624513.134255889, "resize": 20146.770443077432 }, "transaction_cost": 38127.97957455844, "transaction_cost_over_anchor_nav": 0.009412355873038444, "two_sided_turnover": 3.327235616205116 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.123931393796483, "annualized_volatility": 0.19839637857668624, "cagr": 0.14319233906588247, "end_nav": 5316256.470552923, "end_session": "2022-12-30", "fee_by_category": { "entry": 4081.6462939892554, "exit": 7553.076016650039, "resize": 2536.0064152501272 }, "max_cash_weight": 0.3394261445673563, "max_drawdown": -0.1462736954773166, "mean_cash_weight": 0.05557597859645538, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4650360.476432957, "start_session": "2021-12-31", "total_return": 0.14319233906588247, "traded_notional_by_category": { "entry": 1632658.517595702, "exit": 3021230.4066600157, "resize": 1014402.5661000509 }, "transaction_cost": 14170.728725889421, "transaction_cost_over_anchor_nav": 0.0030472323162265974, "two_sided_turnover": 1.123931393796483 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7292052454394855, "annualized_volatility": 0.12508325012198823, "cagr": 0.19437119885566312, "end_nav": 6349583.614158471, "end_session": "2023-12-29", "fee_by_category": { "entry": 13228.15941990936, "exit": 9083.899001733267, "resize": 675.7432621477044 }, "max_cash_weight": 0.353536628033222, "max_drawdown": -0.08469059313663485, "mean_cash_weight": 0.10903154803494931, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5316256.470552923, "start_session": "2022-12-30", "total_return": 0.19437119885566312, "traded_notional_by_category": { "entry": 5291263.767963744, "exit": 3633559.600693307, "resize": 270297.30485908175 }, "transaction_cost": 22987.80168379033, "transaction_cost_over_anchor_nav": 0.004324058068138962, "two_sided_turnover": 1.7292052454394855 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3490414838507059, "annualized_volatility": 0.14482811513660052, "cagr": 0.15600839505084352, "end_nav": 7340171.963044469, "end_session": "2024-12-31", "fee_by_category": { "entry": 11559.212416650662, "exit": 11394.87438459416, "resize": 490.94360140568926 }, "max_cash_weight": 1.2848235580039771e-16, "max_drawdown": -0.09312807025215641, "mean_cash_weight": 2.0008155572690322e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 6349583.614158471, "start_session": "2023-12-29", "total_return": 0.15600839505084352, "traded_notional_by_category": { "entry": 4623684.966660265, "exit": 4557949.753837664, "resize": 196377.4405622757 }, "transaction_cost": 23445.03040265051, "transaction_cost_over_anchor_nav": 0.003692372890463582, "two_sided_turnover": 1.3490414838507059 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.00266396261927, "annualized_volatility": 0.15935955189284387, "cagr": 0.04026343917557185, "end_nav": 7635712.530416748, "end_session": "2025-12-31", "fee_by_category": { "entry": 19392.108604149053, "exit": 18775.608429242042, "resize": 774.169516075094 }, "max_cash_weight": 1.3747757055567348e-16, "max_drawdown": -0.1332613369429979, "mean_cash_weight": 1.0100517665958271e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 7340171.963044469, "start_session": "2024-12-31", "total_return": 0.04026343917557185, "traded_notional_by_category": { "entry": 7756843.44165962, "exit": 7510243.371696817, "resize": 309667.8064300376 }, "transaction_cost": 38941.88654946619, "transaction_cost_over_anchor_nav": 0.005305309840903828, "two_sided_turnover": 2.00266396261927 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9670977928696936, "annualized_volatility": 0.16650632114704458, "cagr": 0.08510042667644346, "end_nav": 7635712.530416748, "end_session": "2025-12-31", "fee_by_category": { "entry": 149184.57026355976, "exit": 146526.88779059434, "resize": 7743.993241064817 }, "max_cash_weight": 1.0, "max_drawdown": -0.4342713842948227, "mean_cash_weight": 0.08598369030105374, "nonzero_trade_event_count": 50, "order_count": 210, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 991062.8876254328, "start_session": "2000-12-29", "total_return": 6.704569130533951, "traded_notional_by_category": { "entry": 59673828.105423905, "exit": 58610755.11623774, "resize": 3097597.2964259265 }, "transaction_cost": 303455.4512952189, "transaction_cost_over_anchor_nav": 0.3061919229185266, "two_sided_turnover": 49.17744482174234 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 8969807.446108101, "end_session": "2026-10-02", "fee_by_category": { "entry": 13585.318023252432, "exit": 13478.90368893038, "resize": 174.51116651880554 }, "max_cash_weight": 0.0, "max_drawdown": -0.07352334474867661, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 1, "order_count": 5, "rebalance_count": 1, "scheduled_reset_count": 1, "session_count": 189, "start_nav": 7635712.530416748, "start_session": "2025-12-31", "total_return": 0.17471780274296678, "traded_notional_by_category": { "entry": 5434127.2093009725, "exit": 5391561.475572152, "resize": 69804.46660752222 }, "transaction_cost": 27238.732878701616, "transaction_cost_over_anchor_nav": 0.0035672810847968057, "two_sided_turnover": 1.3322231473771857 } }, "monthly_risk": { "beta_intercept_per_month": 0.0013127754487973582, "beta_to_SPY_excess_returns": 0.7468929255388879, "monthly_return_volatility_annualized": 0.13822122995026756, "months": 300, "sharpe_monthly_annualized": 0.538208580198299, "tracking_error_monthly_annualized": 0.08912531974176445 }, "phase": [ 4, 10 ], "policy": "A", "run_id": "S12-04-10-25bps", "signal": "12-1" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.365943332753044, "annualized_volatility": 0.1563913480808029, "cagr": -0.016379305442648318, "end_nav": 980728.4662435654, "end_session": "2001-12-31", "fee_by_category": { "entry": 462.9737298692153, "exit": 621.4973976941383, "resize": 8.093452064661426 }, "max_cash_weight": 0.329555891025211, "max_drawdown": -0.1468524753481103, "mean_cash_weight": 0.051356487168738536, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 997059.6101426192, "start_session": "2000-12-29", "total_return": -0.016379305442648318, "traded_notional_by_category": { "entry": 925947.4597384306, "exit": 1242994.7953882765, "resize": 16186.904129322851 }, "transaction_cost": 1092.564579628015, "transaction_cost_over_anchor_nav": 0.0010957866194898165, "two_sided_turnover": 2.365943332753044 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.702542619960166, "annualized_volatility": 0.2097705070082361, "cagr": -0.15241834594190928, "end_nav": 831247.4556005755, "end_session": "2002-12-31", "fee_by_category": { "entry": 306.47651336463446, "exit": 415.6437666714699, "resize": 18.230133097261774 }, "max_cash_weight": 0.6692832646378414, "max_drawdown": -0.26782996643444135, "mean_cash_weight": 0.20425130978938663, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 980728.4662435654, "start_session": "2001-12-31", "total_return": -0.15241834594190928, "traded_notional_by_category": { "entry": 612953.026729269, "exit": 831287.5333429398, "resize": 36460.266194523545 }, "transaction_cost": 740.3504131333661, "transaction_cost_over_anchor_nav": 0.0007548984643721955, "two_sided_turnover": 1.702542619960166 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3431855153739871, "annualized_volatility": 0.054791234108202636, "cagr": 0.10435501028241756, "end_nav": 917992.292377007, "end_session": "2003-12-31", "fee_by_category": { "entry": 421.63489920691796, "exit": 145.0070755263065, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.03463121633790145, "mean_cash_weight": 0.728676872950735, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 831247.4556005755, "start_session": "2002-12-31", "total_return": 0.10435501028241756, "traded_notional_by_category": { "entry": 843269.7984138359, "exit": 290014.151052613, "resize": 0.0 }, "transaction_cost": 566.6419747332245, "transaction_cost_over_anchor_nav": 0.0006816766426356472, "two_sided_turnover": 1.3431855153739871 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998889444413595, "annualized_volatility": 0.11194689122914153, "cagr": 0.13469360136262676, "end_nav": 1041639.9802603994, "end_session": "2004-12-31", "fee_by_category": { "entry": 463.32051767184356, "exit": 439.6208003826715, "resize": 24.163269582990704 }, "max_cash_weight": 0.0, "max_drawdown": -0.07760851139262415, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 917992.292377007, "start_session": "2003-12-31", "total_return": 0.13469360136262676, "traded_notional_by_category": { "entry": 926641.035343687, "exit": 879241.600765343, "resize": 48326.539165981405 }, "transaction_cost": 927.1045876375058, "transaction_cost_over_anchor_nav": 0.0010099263309029578, "two_sided_turnover": 1.9998889444413595 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3505656378123243, "annualized_volatility": 0.1513777951138442, "cagr": 0.17945381419105888, "end_nav": 1228566.2477320274, "end_session": "2005-12-30", "fee_by_category": { "entry": 381.7603645069246, "exit": 352.04116505137614, "resize": 40.260276987966236 }, "max_cash_weight": 0.0, "max_drawdown": -0.11039856777700041, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1041639.9802603994, "start_session": "2004-12-31", "total_return": 0.17945381419105888, "traded_notional_by_category": { "entry": 763520.7290138492, "exit": 704082.3301027522, "resize": 80520.55397593247 }, "transaction_cost": 774.061806546267, "transaction_cost_over_anchor_nav": 0.00074311837219685, "two_sided_turnover": 1.3505656378123243 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6864038749292702, "annualized_volatility": 0.11922369427808213, "cagr": 0.11171611402919757, "end_nav": 1365816.894756082, "end_session": "2006-12-29", "fee_by_category": { "entry": 862.3914646147704, "exit": 865.540237156888, "resize": 11.437975901346945 }, "max_cash_weight": 0.0, "max_drawdown": -0.10572755858803284, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1228566.2477320274, "start_session": "2005-12-30", "total_return": 0.11171611402919757, "traded_notional_by_category": { "entry": 1724782.9292295405, "exit": 1731080.474313776, "resize": 22875.95180269389 }, "transaction_cost": 1739.3696776730055, "transaction_cost_over_anchor_nav": 0.001415771986967685, "two_sided_turnover": 2.6864038749292702 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.334070725004484, "annualized_volatility": 0.15762313740855755, "cagr": 0.07140471926798697, "end_nav": 1463342.6666976137, "end_session": "2007-12-31", "fee_by_category": { "entry": 1207.5931669097606, "exit": 1209.5015058139938, "resize": 0.6994418469478842 }, "max_cash_weight": 0.0, "max_drawdown": -0.08699678382656528, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1365816.894756082, "start_session": "2006-12-29", "total_return": 0.07140471926798697, "traded_notional_by_category": { "entry": 2415186.333819521, "exit": 2419003.0116279875, "resize": 1398.8836938957684 }, "transaction_cost": 2417.7941145707023, "transaction_cost_over_anchor_nav": 0.0017702183388224161, "two_sided_turnover": 3.334070725004484 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.352343451723781, "annualized_volatility": 0.3391466654296347, "cagr": -0.2859136138490671, "end_nav": 1044953.0765625681, "end_session": "2008-12-31", "fee_by_category": { "entry": 245.23145983944684, "exit": 542.7610071015408, "resize": 67.44780942670309 }, "max_cash_weight": 0.6914204219896662, "max_drawdown": -0.4342713842948227, "mean_cash_weight": 0.10958776573206463, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1463342.6666976137, "start_session": "2007-12-31", "total_return": -0.2859136138490671, "traded_notional_by_category": { "entry": 490462.9196788937, "exit": 1085522.0142030816, "resize": 134895.61885340617 }, "transaction_cost": 855.4402763676908, "transaction_cost_over_anchor_nav": 0.0005845796038314105, "two_sided_turnover": 1.352343451723781 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3124313627968545, "annualized_volatility": 0.07548528343640341, "cagr": 0.0928633169590738, "end_nav": 1141990.885318757, "end_session": "2009-12-31", "fee_by_category": { "entry": 510.13073328578895, "exit": 159.74058989206995, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06707382255926853, "mean_cash_weight": 0.7329534334806994, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1044953.0765625681, "start_session": "2008-12-31", "total_return": 0.0928633169590738, "traded_notional_by_category": { "entry": 1020261.4665715778, "exit": 319481.1797841399, "resize": 0.0 }, "transaction_cost": 669.8713231778589, "transaction_cost_over_anchor_nav": 0.0006410539747693153, "two_sided_turnover": 1.3124313627968545 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.676940718052334, "annualized_volatility": 0.16387216804750573, "cagr": 0.16854981012199244, "end_nav": 1334473.2322002796, "end_session": "2010-12-31", "fee_by_category": { "entry": 834.8858721463776, "exit": 821.0055294178619, "resize": 21.54472563117434 }, "max_cash_weight": 0.0, "max_drawdown": -0.13435251624261324, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1141990.885318757, "start_session": "2009-12-31", "total_return": 0.16854981012199244, "traded_notional_by_category": { "entry": 1669771.7442927551, "exit": 1642011.058835724, "resize": 43089.45126234868 }, "transaction_cost": 1677.436127195414, "transaction_cost_over_anchor_nav": 0.0014688699785263184, "two_sided_turnover": 2.676940718052334 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3321116478921016, "annualized_volatility": 0.2285453180382482, "cagr": 0.021256168344582216, "end_nav": 1362839.0198752675, "end_session": "2011-12-30", "fee_by_category": { "entry": 1157.1594807704778, "exit": 1133.2532852727809, "resize": 25.0639338476423 }, "max_cash_weight": 0.0, "max_drawdown": -0.21497821251926197, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1334473.2322002796, "start_session": "2010-12-31", "total_return": 0.021256168344582216, "traded_notional_by_category": { "entry": 2314318.9615409556, "exit": 2266506.5705455616, "resize": 50127.8676952846 }, "transaction_cost": 2315.476699890901, "transaction_cost_over_anchor_nav": 0.0017351241253997598, "two_sided_turnover": 3.3321116478921016 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0322294996143313, "annualized_volatility": 0.09271209315740116, "cagr": 0.08990601728526904, "end_nav": 1485366.4483532123, "end_session": "2012-12-31", "fee_by_category": { "entry": 728.1359006553122, "exit": 730.7406291852901, "resize": 21.225601860826163 }, "max_cash_weight": 0.0, "max_drawdown": -0.06060214611987291, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1362839.0198752675, "start_session": "2011-12-30", "total_return": 0.08990601728526904, "traded_notional_by_category": { "entry": 1456271.8013106245, "exit": 1461481.2583705804, "resize": 42451.20372165233 }, "transaction_cost": 1480.1021317014286, "transaction_cost_over_anchor_nav": 0.0010860432597805231, "two_sided_turnover": 2.0322294996143313 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0055398238838036, "annualized_volatility": 0.11072701902894685, "cagr": 0.3000739340291927, "end_nav": 1931086.2019855303, "end_session": "2013-12-31", "fee_by_category": { "entry": 896.2362265775007, "exit": 872.8260367160875, "resize": 29.220740839217964 }, "max_cash_weight": 1.2931930514478724e-16, "max_drawdown": -0.06997502980043746, "mean_cash_weight": 2.0293246986705373e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1485366.4483532123, "start_session": "2012-12-31", "total_return": 0.3000739340291927, "traded_notional_by_category": { "entry": 1792472.4531550012, "exit": 1745652.073432175, "resize": 58441.48167843593 }, "transaction_cost": 1798.2830041328061, "transaction_cost_over_anchor_nav": 0.001210666233996679, "two_sided_turnover": 2.0055398238838036 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.333555592598766, "annualized_volatility": 0.12619593701930928, "cagr": 0.15630450941108864, "end_nav": 2232923.6834174013, "end_session": "2014-12-31", "fee_by_category": { "entry": 687.1729335256088, "exit": 648.80494511384, "resize": 39.05550510364009 }, "max_cash_weight": 1.2757750154461968e-16, "max_drawdown": -0.07468822283569554, "mean_cash_weight": 9.749441584073651e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1931086.2019855303, "start_session": "2013-12-31", "total_return": 0.15630450941108864, "traded_notional_by_category": { "entry": 1374345.8670512177, "exit": 1297609.8902276796, "resize": 78111.01020728017 }, "transaction_cost": 1375.033383743089, "transaction_cost_over_anchor_nav": 0.0007120517884335192, "two_sided_turnover": 1.333555592598766 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3588406741341001, "annualized_volatility": 0.1520662540268998, "cagr": 0.06654463754710438, "end_nav": 2381512.7806007573, "end_session": "2015-12-31", "fee_by_category": { "entry": 764.3699052275422, "exit": 756.6689564621718, "resize": 39.1747620930525 }, "max_cash_weight": 0.0, "max_drawdown": -0.10819638654898334, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2232923.6834174013, "start_session": "2014-12-31", "total_return": 0.06654463754710438, "traded_notional_by_category": { "entry": 1528739.8104550843, "exit": 1513337.9129243435, "resize": 78349.524186105 }, "transaction_cost": 1560.2136237827663, "transaction_cost_over_anchor_nav": 0.0006987312801460913, "two_sided_turnover": 1.3588406741341001 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3498957861687704, "annualized_volatility": 0.12304956050498346, "cagr": 0.02921311007673877, "end_nav": 2451084.1756096072, "end_session": "2016-12-30", "fee_by_category": { "entry": 809.9015312292767, "exit": 789.8852907076466, "resize": 40.54117277471622 }, "max_cash_weight": 0.0, "max_drawdown": -0.09172033349364261, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2381512.7806007573, "start_session": "2015-12-31", "total_return": 0.02921311007673877, "traded_notional_by_category": { "entry": 1619803.0624585534, "exit": 1579770.5814152933, "resize": 81082.34554943244 }, "transaction_cost": 1640.3279947116396, "transaction_cost_over_anchor_nav": 0.0006887756421352703, "two_sided_turnover": 1.3498957861687704 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.02468270432699, "annualized_volatility": 0.07634795847573554, "cagr": 0.2774706150027435, "end_nav": 3131188.0092394976, "end_session": "2017-12-29", "fee_by_category": { "entry": 1399.1773622690193, "exit": 1377.52136219414, "resize": 60.684224388512725 }, "max_cash_weight": 0.0, "max_drawdown": -0.02626776674280973, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2451084.1756096072, "start_session": "2016-12-30", "total_return": 0.2774706150027435, "traded_notional_by_category": { "entry": 2798354.724538039, "exit": 2755042.72438828, "resize": 121368.44877702545 }, "transaction_cost": 2837.382948851672, "transaction_cost_over_anchor_nav": 0.001157603225987124, "two_sided_turnover": 2.02468270432699 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998889444413597, "annualized_volatility": 0.19102681329468682, "cagr": -0.048889602783897645, "end_nav": 2978105.471226075, "end_session": "2018-12-31", "fee_by_category": { "entry": 1564.6920418338498, "exit": 1530.328537422471, "resize": 35.92897919060174 }, "max_cash_weight": 0.0, "max_drawdown": -0.20314320121237217, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3131188.0092394976, "start_session": "2017-12-29", "total_return": -0.048889602783897645, "traded_notional_by_category": { "entry": 3129384.0836676992, "exit": 3060657.0748449424, "resize": 71857.95838120347 }, "transaction_cost": 3130.9495584469223, "transaction_cost_over_anchor_nav": 0.0009999238465426311, "two_sided_turnover": 1.9998889444413597 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0626964328319035, "annualized_volatility": 0.11093531914498939, "cagr": 0.31652003129463036, "end_nav": 3920735.5081772627, "end_session": "2019-12-31", "fee_by_category": { "entry": 1803.411198118975, "exit": 1844.8738200660491, "resize": 71.76965260009456 }, "max_cash_weight": 1.3588292948391856e-16, "max_drawdown": -0.038936995141667596, "mean_cash_weight": 8.544651741333486e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2978105.471226075, "start_session": "2018-12-31", "total_return": 0.31652003129463036, "traded_notional_by_category": { "entry": 3606822.3962379503, "exit": 3689747.6401320985, "resize": 143539.30520018912 }, "transaction_cost": 3720.054670785119, "transaction_cost_over_anchor_nav": 0.001249134628282183, "two_sided_turnover": 2.0626964328319035 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0600322558476214, "annualized_volatility": 0.30637448276301243, "cagr": 0.12535286692951697, "end_nav": 4412210.94459964, "end_session": "2020-12-31", "fee_by_category": { "entry": 1834.2139002929925, "exit": 1774.6014545452842, "resize": 118.68517840072455 }, "max_cash_weight": 0.3348178574776379, "max_drawdown": -0.3126324587995951, "mean_cash_weight": 0.15457597806549656, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3920735.5081772627, "start_session": "2019-12-31", "total_return": 0.12535286692951697, "traded_notional_by_category": { "entry": 3668427.8005859847, "exit": 3549202.9090905683, "resize": 237370.3568014491 }, "transaction_cost": 3727.500533239001, "transaction_cost_over_anchor_nav": 0.00095071461093582, "two_sided_turnover": 2.0600322558476214 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 3.332111647892101, "annualized_volatility": 0.1491946783272997, "cagr": 0.1556800788039714, "end_nav": 5099104.292154657, "end_session": "2021-12-31", "fee_by_category": { "entry": 4163.823944488342, "exit": 4159.16086837069, "resize": 8.828983015588717 }, "max_cash_weight": 1.0845609079318012e-16, "max_drawdown": -0.07612363138275124, "mean_cash_weight": 3.310592210082759e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4412210.94459964, "start_session": "2020-12-31", "total_return": 0.1556800788039714, "traded_notional_by_category": { "entry": 8327647.888976684, "exit": 8318321.73674138, "resize": 17657.966031177435 }, "transaction_cost": 8331.813795874621, "transaction_cost_over_anchor_nav": 0.0018883534582752465, "two_sided_turnover": 3.332111647892101 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.124406507693926, "annualized_volatility": 0.19839556664656494, "cagr": 0.14576702665404162, "end_nav": 5842385.563420903, "end_session": "2022-12-30", "fee_by_category": { "entry": 896.3803329103017, "exit": 1657.7000220443115, "resize": 556.5282321587024 }, "max_cash_weight": 0.3394261445673563, "max_drawdown": -0.14627369547731683, "mean_cash_weight": 0.05557597859645539, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 5099104.292154657, "start_session": "2021-12-31", "total_return": 0.14576702665404162, "traded_notional_by_category": { "entry": 1792760.6658206035, "exit": 3315400.0440886226, "resize": 1113056.464317405 }, "transaction_cost": 3110.6085871133155, "transaction_cost_over_anchor_nav": 0.0006100303913962327, "two_sided_turnover": 1.124406507693926 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 1.7317328006751387, "annualized_volatility": 0.12512356870825767, "cagr": 0.19851304606171594, "end_nav": 7002175.317882581, "end_session": "2023-12-29", "fee_by_category": { "entry": 2914.8643367659392, "exit": 1998.6297872638197, "resize": 150.70452350625652 }, "max_cash_weight": 0.35353662803322206, "max_drawdown": -0.08469059313663485, "mean_cash_weight": 0.10903154803494931, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5842385.563420903, "start_session": "2022-12-30", "total_return": 0.19851304606171594, "traded_notional_by_category": { "entry": 5829728.673531878, "exit": 3997259.574527639, "resize": 301409.04701251304 }, "transaction_cost": 5064.198647536015, "transaction_cost_over_anchor_nav": 0.0008668032249091697, "two_sided_turnover": 1.7317328006751387 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3499406949714197, "annualized_volatility": 0.14471089089593306, "cagr": 0.15913425999531183, "end_nav": 8116461.305451262, "end_session": "2024-12-31", "fee_by_category": { "entry": 2554.71310371942, "exit": 2515.024731160889, "resize": 108.35831470383121 }, "max_cash_weight": 0.0, "max_drawdown": -0.09312807025215641, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 7002175.317882581, "start_session": "2023-12-29", "total_return": 0.15913425999531183, "traded_notional_by_category": { "entry": 5109426.20743884, "exit": 5030049.462321778, "resize": 216716.62940766243 }, "transaction_cost": 5178.09614958414, "transaction_cost_over_anchor_nav": 0.0007394982151275195, "two_sided_turnover": 1.3499406949714197 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0039988494465453, "annualized_volatility": 0.15927679003315637, "cagr": 0.04444467723182166, "end_nav": 8477194.808436614, "end_session": "2025-12-31", "fee_by_category": { "entry": 4302.142609159028, "exit": 4156.029837349782, "resize": 167.47192954471404 }, "max_cash_weight": 1.1236072935534766e-16, "max_drawdown": -0.1332613369429979, "mean_cash_weight": 5.4819876158942513e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 8116461.305451262, "start_session": "2024-12-31", "total_return": 0.04444467723182166, "traded_notional_by_category": { "entry": 8604285.218318056, "exit": 8312059.6746995635, "resize": 334943.8590894281 }, "transaction_cost": 8625.644376053524, "transaction_cost_over_anchor_nav": 0.001062734614438472, "two_sided_turnover": 2.0039988494465453 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9690392018106593, "annualized_volatility": 0.16645597989219435, "cagr": 0.08938462502700051, "end_nav": 8477194.808436614, "end_session": "2025-12-31", "fee_by_category": { "entry": 32172.793528959268, "exit": 31518.40863858357, "resize": 1665.1188185671742 }, "max_cash_weight": 1.0, "max_drawdown": -0.4342713842948227, "mean_cash_weight": 0.08598369030105371, "nonzero_trade_event_count": 50, "order_count": 210, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 997059.6101426192, "start_session": "2000-12-29", "total_return": 7.502194575130806, "traded_notional_by_category": { "entry": 64345587.05791853, "exit": 63036817.27716714, "resize": 3330237.637134348 }, "transaction_cost": 65356.32098611001, "transaction_cost_over_anchor_nav": 0.06554906077958715, "two_sided_turnover": 49.22598004526648 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 9984929.275410306, "end_session": "2026-10-02", "fee_by_category": { "entry": 3024.5563343723466, "exit": 2992.8652216817122, "resize": 34.71718205969059 }, "max_cash_weight": 0.0, "max_drawdown": -0.07352334474867683, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 1, "order_count": 5, "rebalance_count": 1, "scheduled_reset_count": 1, "session_count": 189, "start_nav": 8477194.808436614, "start_session": "2025-12-31", "total_return": 0.1778577113119042, "traded_notional_by_category": { "entry": 6049112.668744693, "exit": 5985730.443363424, "resize": 69434.36411938118 }, "transaction_cost": 6052.138738113749, "transaction_cost_over_anchor_nav": 0.0007139317751776311, "two_sided_turnover": 1.3331111481419762 } }, "monthly_risk": { "beta_intercept_per_month": 0.0016370868470989017, "beta_to_SPY_excess_returns": 0.7479228624234363, "monthly_return_volatility_annualized": 0.1382726405590533, "months": 300, "sharpe_monthly_annualized": 0.5666861985335043, "tracking_error_monthly_annualized": 0.08894350911973134 }, "phase": [ 4, 10 ], "policy": "A", "run_id": "S12-04-10-5bps", "signal": "12-1" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.036301919559648, "annualized_volatility": 0.1554172768950697, "cagr": -0.06294265579513392, "end_nav": 888782.3961612141, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.33547538217911915, "max_drawdown": -0.16056075674075487, "mean_cash_weight": 0.02657705619535825, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 948482.3972169864, "start_session": "2000-12-29", "total_return": -0.06294265579513392, "traded_notional_by_category": { "entry": 1215802.6105846805, "exit": 1525002.1106465992, "resize": 17201.864405585977 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.036301919559648 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6844257856214422, "annualized_volatility": 0.21523458299133802, "cagr": -0.10447436426895984, "end_nav": 795927.4203488284, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6793675225538247, "max_drawdown": -0.26341301336897227, "mean_cash_weight": 0.1876173069947886, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 888782.3961612141, "start_session": "2001-12-31", "total_return": -0.10447436426895984, "traded_notional_by_category": { "entry": 577607.2005811444, "exit": 807531.6941654421, "resize": 16432.3335363309 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6844257856214422 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3391338234653114, "annualized_volatility": 0.04779839999933948, "cagr": 0.08640436013135067, "end_nav": 864699.0198150655, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.033596269692538816, "mean_cash_weight": 0.7793353491363751, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 795927.4203488284, "start_session": "2002-12-31", "total_return": 0.08640436013135067, "traded_notional_by_category": { "entry": 814619.4825703923, "exit": 276265.0197934309, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3391338234653114 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6666666666666665, "annualized_volatility": 0.11970255001768185, "cagr": 0.12756773982025083, "end_nav": 975006.7193976598, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.436444192196233e-16, "max_drawdown": -0.09151950917969576, "mean_cash_weight": 6.582757389821929e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 864699.0198150655, "start_session": "2003-12-31", "total_return": 0.12756773982025083, "traded_notional_by_category": { "entry": 1181401.7982969824, "exit": 1138971.1470369087, "resize": 42430.65126007359 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7426797958347713, "annualized_volatility": 0.14504304705906645, "cagr": 0.2030886255762434, "end_nav": 1173019.4939677324, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2381258871422362e-16, "max_drawdown": -0.10387827954972773, "mean_cash_weight": 4.677891149300535e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 975006.7193976598, "start_session": "2004-12-31", "total_return": 0.2030886255762434, "traded_notional_by_category": { "entry": 385468.20895902626, "exit": 366584.76602159126, "resize": 101358.94823538762 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.7426797958347713 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.333333333333333, "annualized_volatility": 0.1452303778920219, "cagr": 0.1359137449891037, "end_nav": 1332448.9663381102, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.10217955917024146, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1173019.4939677324, "start_session": "2005-12-30", "total_return": 0.1359137449891037, "traded_notional_by_category": { "entry": 2104719.570270986, "exit": 2078947.9027345441, "resize": 25771.66753644182 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.333333333333333 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.676163962688735, "annualized_volatility": 0.13611507497827585, "cagr": 0.17448015726931887, "end_nav": 1564934.871538125, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.07873948865598346, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1332448.9663381102, "start_session": "2006-12-29", "total_return": 0.17448015726931887, "traded_notional_by_category": { "entry": 1989722.6915806949, "exit": 1975825.034799253, "resize": 27620.364423393738 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.676163962688735 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6671495522330377, "annualized_volatility": 0.3736947456364681, "cagr": -0.3375551242263971, "end_nav": 1036683.0865698524, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.4500123560687298, "mean_cash_weight": 0.08695652173913052, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1564934.871538125, "start_session": "2007-12-31", "total_return": -0.3375551242263971, "traded_notional_by_category": { "entry": 538974.8962757693, "exit": 1521504.5216894594, "resize": 54934.250750306295 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6671495522330377 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0, "annualized_volatility": 0.033802183211291206, "cagr": 0.030318105301756937, "end_nav": 1068113.3535530276, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.016746362216439215, "mean_cash_weight": 0.9126984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1036683.0865698524, "start_session": "2008-12-31", "total_return": 0.030318105301756937, "traded_notional_by_category": { "entry": 1036683.0865698524, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3493347908296198, "annualized_volatility": 0.2005290572256457, "cagr": 0.16800835420164328, "end_nav": 1247565.3201842697, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.17987880965100433, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1068113.3535530276, "start_session": "2009-12-31", "total_return": 0.16800835420164328, "traded_notional_by_category": { "entry": 749818.0776177708, "exit": 718768.9516650399, "resize": 47893.887234340946 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3493347908296198 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0075664774499407, "annualized_volatility": 0.20583320387009735, "cagr": 0.07741952059221013, "end_nav": 1344151.229180403, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.1673930381673564, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1247565.3201842697, "start_session": "2010-12-31", "total_return": 0.07741952059221013, "traded_notional_by_category": { "entry": 1340358.6233781734, "exit": 1319456.622142333, "resize": 30767.820466727484 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0075664774499407 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6731342371830804, "annualized_volatility": 0.10440368264328767, "cagr": 0.13437961532957798, "end_nav": 1524777.754302445, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.07803025382035633, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1344151.229180403, "start_session": "2011-12-30", "total_return": 0.13437961532957798, "traded_notional_by_category": { "entry": 1927949.781887434, "exit": 1929888.489673611, "resize": 7866.789121134381 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6731342371830804 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3733452349815687, "annualized_volatility": 0.11448268680391084, "cagr": 0.36161882104275356, "end_nav": 2076166.0881655128, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.05497061845688889, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1524777.754302445, "start_session": "2012-12-31", "total_return": 0.36161882104275356, "traded_notional_by_category": { "entry": 1350600.349770617, "exit": 1324326.2950392175, "resize": 99395.83208400873 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3733452349815687 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3405343550598063, "annualized_volatility": 0.1221709475183408, "cagr": 0.15090141460308737, "end_nav": 2389462.4878206467, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.058052782929989055, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2076166.0881655128, "start_session": "2013-12-31", "total_return": 0.15090141460308737, "traded_notional_by_category": { "entry": 1511320.4594603248, "exit": 1442058.1773648988, "resize": 86424.45116898138 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3405343550598063 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3343592167776757, "annualized_volatility": 0.16202091149056957, "cagr": 0.0427674022609017, "end_nav": 2491653.591224607, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.11940075964589214, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2389462.4878206467, "start_session": "2014-12-31", "total_return": 0.0427674022609017, "traded_notional_by_category": { "entry": 1665707.456135645, "exit": 1574396.0309845477, "resize": 93854.70615438023 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3343592167776757 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3973356578926803, "annualized_volatility": 0.12543690575660327, "cagr": 0.06193775849795724, "end_nav": 2645981.029618445, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.07922720216128498, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2491653.591224607, "start_session": "2015-12-31", "total_return": 0.06193775849795724, "traded_notional_by_category": { "entry": 1706657.0857301974, "exit": 1741462.1822382514, "resize": 128934.73293685145 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3973356578926803 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6744540348925967, "annualized_volatility": 0.07345189042275134, "cagr": 0.2663830258078719, "end_nav": 3350825.4625184345, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3916100217463106e-16, "max_drawdown": -0.023747818846012514, "mean_cash_weight": 1.0972759887932848e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2645981.029618445, "start_session": "2016-12-30", "total_return": 0.2663830258078719, "traded_notional_by_category": { "entry": 4271484.305907406, "exit": 4259348.091020609, "resize": 38736.75416519004 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6744540348925967 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.011761082033569, "annualized_volatility": 0.17859276509922065, "cagr": -0.060032465495366893, "end_nav": 3149667.1485587996, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5888651638644754e-16, "max_drawdown": -0.2130130376581847, "mean_cash_weight": 1.3532118623565248e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3350825.4625184345, "start_session": "2017-12-29", "total_return": -0.060032465495366893, "traded_notional_by_category": { "entry": 3462935.7366659166, "exit": 3327501.790924908, "resize": 176550.79590979544 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.011761082033569 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0119293626481554, "annualized_volatility": 0.11850732406657878, "cagr": 0.2648789271284091, "end_nav": 3983947.60368065, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.528951566377851e-16, "max_drawdown": -0.06732702541774827, "mean_cash_weight": 5.50953628266481e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3149667.1485587996, "start_session": "2018-12-31", "total_return": 0.2648789271284091, "traded_notional_by_category": { "entry": 3591789.606963693, "exit": 3572542.9460984636, "resize": 65140.47315764148 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0119293626481554 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0307417016194167, "annualized_volatility": 0.3328935136906471, "cagr": 0.1820475788974174, "end_nav": 4709215.61938488, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2156212861833873e-16, "max_drawdown": -0.303775045236652, "mean_cash_weight": 5.525304797803562e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3983947.60368065, "start_session": "2019-12-31", "total_return": 0.1820475788974174, "traded_notional_by_category": { "entry": 4372580.893250089, "exit": 4166934.7027123002, "resize": 326039.4178736743 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0307417016194167 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6666666666666665, "annualized_volatility": 0.1620810540786759, "cagr": 0.15317840019402817, "end_nav": 5430565.734130986, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.08331437803586406, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4709215.61938488, "start_session": "2020-12-31", "total_return": 0.15317840019402817, "traded_notional_by_category": { "entry": 7029382.621141861, "exit": 6858260.217106203, "resize": 171122.4040356588 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3652413757357829, "annualized_volatility": 0.2046744210371726, "cagr": 0.15208183767566918, "end_nav": 6256456.1505961465, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.13811095954395392, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 5430565.734130986, "start_session": "2021-12-31", "total_return": 0.15208183767566918, "traded_notional_by_category": { "entry": 4154438.953575843, "exit": 3406700.5481749675, "resize": 952653.6419219549 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3652413757357829 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.333333333333333, "annualized_volatility": 0.12093262160453926, "cagr": 0.04060013404480389, "end_nav": 6510469.1089557875, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.33257975178787796, "max_drawdown": -0.11107670411485471, "mean_cash_weight": 0.02599523333428487, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 6256456.1505961465, "start_session": "2022-12-30", "total_return": 0.04060013404480389, "traded_notional_by_category": { "entry": 5980531.593293333, "exit": 7866511.6375489365, "resize": 207147.12547146576 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.333333333333333 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3544647329051847, "annualized_volatility": 0.12389420197662744, "cagr": 0.10240650060966794, "end_nav": 7177183.467731292, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3303819496522574, "max_drawdown": -0.08278344587897424, "mean_cash_weight": 0.13169097770794874, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 6510469.1089557875, "start_session": "2023-12-29", "total_return": 0.10240650060966794, "traded_notional_by_category": { "entry": 9281923.972587828, "exit": 6949804.400296222, "resize": 238992.40256453957 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.3544647329051847 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.003134841647752, "annualized_volatility": 0.1551744385058885, "cagr": 0.1241314936423803, "end_nav": 8068097.971726176, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.405076696089376e-16, "max_drawdown": -0.13253070673029055, "mean_cash_weight": 1.1082697935865842e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 7177183.467731292, "start_session": "2024-12-31", "total_return": 0.1241314936423803, "traded_notional_by_category": { "entry": 7961618.984042797, "exit": 7787031.602870222, "resize": 198748.29316977412 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.003134841647752 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.962927677642391, "annualized_volatility": 0.17164273950113396, "cagr": 0.08940578091242934, "end_nav": 8068097.971726176, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.4500123560687298, "mean_cash_weight": 0.08620138603427334, "nonzero_trade_event_count": 49, "order_count": 210, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 948482.3972169864, "start_session": "2000-12-29", "total_return": 7.506323359715889, "traded_notional_by_category": { "entry": 70204098.04709846, "exit": 67935624.88274796, "resize": 3156019.607583639 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 49.073191941059775 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 9864763.352506816, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.0792420026894759, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 1, "order_count": 4, "rebalance_count": 1, "scheduled_reset_count": 1, "session_count": 189, "start_nav": 8068097.971726176, "start_session": "2025-12-31", "total_return": 0.22268760085423733, "traded_notional_by_category": { "entry": 3128681.367837286, "exit": 2665044.563778966, "resize": 617124.6382096424 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.6830194381280636 } }, "monthly_risk": { "beta_intercept_per_month": 0.0017686377813082672, "beta_to_SPY_excess_returns": 0.7305590699587499, "monthly_return_volatility_annualized": 0.13949580750707946, "months": 300, "sharpe_monthly_annualized": 0.5630174900229559, "tracking_error_monthly_annualized": 0.09516759402978299 }, "phase": [ 5, 11 ], "policy": "A", "run_id": "S12-05-11-0bps", "signal": "12-1" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.0338232817098723, "annualized_volatility": 0.15549844298523197, "cagr": -0.06578338669822259, "end_nav": 883347.4422481399, "end_session": "2001-12-31", "fee_by_category": { "entry": 1209.4155304492347, "exit": 1519.0905654157277, "resize": 16.717757281511265 }, "max_cash_weight": 0.33547538217911915, "max_drawdown": -0.16170933374398122, "mean_cash_weight": 0.026577056195358304, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 945548.8477411551, "start_session": "2000-12-29", "total_return": -0.06578338669822259, "traded_notional_by_category": { "entry": 1209415.5304492344, "exit": 1519090.5654157274, "resize": 16717.757281511265 }, "transaction_cost": 2745.223853146473, "transaction_cost_over_anchor_nav": 0.002903312567832541, "two_sided_turnover": 3.0338232817098723 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6840985591164888, "annualized_volatility": 0.21521032850443678, "cagr": -0.10598209848531082, "end_nav": 789728.4266270502, "end_session": "2002-12-31", "fee_by_category": { "entry": 573.5170155364777, "exit": 802.3117143135981, "resize": 16.547171175631636 }, "max_cash_weight": 0.6793675225538247, "max_drawdown": -0.26367170973255294, "mean_cash_weight": 0.1876173069947886, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 883347.4422481399, "start_session": "2001-12-31", "total_return": -0.10598209848531082, "traded_notional_by_category": { "entry": 573517.0155364778, "exit": 802311.7143135981, "resize": 16547.171175631636 }, "transaction_cost": 1392.3759010257074, "transaction_cost_over_anchor_nav": 0.0015762494285171396, "two_sided_turnover": 1.6840985591164888 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3381348224663103, "annualized_volatility": 0.047631446927499294, "cagr": 0.08495097269417617, "end_nav": 856816.6246332594, "end_session": "2003-12-31", "fee_by_category": { "entry": 807.1936008042819, "exit": 274.1133598814054, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.033596269692538816, "mean_cash_weight": 0.7793353491363751, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 789728.4266270502, "start_session": "2002-12-31", "total_return": 0.08495097269417617, "traded_notional_by_category": { "entry": 807193.6008042819, "exit": 274113.3598814054, "resize": 0.0 }, "transaction_cost": 1081.3069606856873, "transaction_cost_over_anchor_nav": 0.0013692136742550554, "two_sided_turnover": 1.3381348224663103 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664890960989661, "annualized_volatility": 0.11972094077649466, "cagr": 0.12456439716503875, "end_nav": 963545.4709616847, "end_session": "2004-12-31", "fee_by_category": { "entry": 1168.0809249694198, "exit": 1128.0344390069035, "resize": 42.38498631280579 }, "max_cash_weight": 1.38430166170957e-16, "max_drawdown": -0.09151950917969565, "mean_cash_weight": 7.662545317133254e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 856816.6246332594, "start_session": "2003-12-31", "total_return": 0.12456439716503875, "traded_notional_by_category": { "entry": 1168080.9249694198, "exit": 1128034.4390069034, "resize": 42384.98631280579 }, "transaction_cost": 2338.500350289129, "transaction_cost_over_anchor_nav": 0.0027292891886756634, "two_sided_turnover": 2.664890960989661 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.742465975223892, "annualized_volatility": 0.1449711866346858, "cagr": 0.20219541524924067, "end_nav": 1158369.9475743077, "end_session": "2005-12-30", "fee_by_category": { "entry": 380.6541931311777, "exit": 362.25724971940116, "resize": 100.18250337535824 }, "max_cash_weight": 1.252853234024357e-16, "max_drawdown": -0.10387827954972784, "mean_cash_weight": 4.7335340579481897e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 963545.4709616847, "start_session": "2004-12-31", "total_return": 0.20219541524924067, "traded_notional_by_category": { "entry": 380654.1931311777, "exit": 362257.2497194011, "resize": 100182.50337535824 }, "transaction_cost": 843.0939462259371, "transaction_cost_over_anchor_nav": 0.0008749913435683231, "two_sided_turnover": 0.742465975223892 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3308910349896683, "annualized_volatility": 0.14527438473670137, "cagr": 0.13213316514828444, "end_nav": 1311429.0351599532, "end_session": "2006-12-29", "fee_by_category": { "entry": 2073.097185661641, "exit": 2051.2698529309955, "resize": 25.977677446685032 }, "max_cash_weight": 0.0, "max_drawdown": -0.10337625419300711, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1158369.9475743077, "start_session": "2005-12-30", "total_return": 0.13213316514828444, "traded_notional_by_category": { "entry": 2073097.185661641, "exit": 2051269.8529309956, "resize": 25977.677446685033 }, "transaction_cost": 4150.344716039322, "transaction_cost_over_anchor_nav": 0.0035829181555774806, "two_sided_turnover": 3.3308910349896683 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6739406478074645, "annualized_volatility": 0.13602161085442413, "cagr": 0.1713412532036498, "end_nav": 1536130.9295319128, "end_session": "2007-12-31", "fee_by_category": { "entry": 1954.0466604868063, "exit": 1943.6522878821847, "resize": 27.18464179989172 }, "max_cash_weight": 0.0, "max_drawdown": -0.07936220424214024, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1311429.0351599532, "start_session": "2006-12-29", "total_return": 0.1713412532036498, "traded_notional_by_category": { "entry": 1954046.6604868062, "exit": 1943652.2878821846, "resize": 27184.641799891717 }, "transaction_cost": 3924.8835901688826, "transaction_cost_over_anchor_nav": 0.0029928295660238834, "two_sided_turnover": 2.6739406478074645 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6669272431519873, "annualized_volatility": 0.37376413733480995, "cagr": -0.33865892983437584, "end_nav": 1015906.4728511502, "end_session": "2008-12-31", "fee_by_category": { "entry": 528.701769242102, "exit": 1492.8212852472689, "resize": 53.92313968009851 }, "max_cash_weight": 1.0, "max_drawdown": -0.45037915781186455, "mean_cash_weight": 0.08695652173913052, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1536130.9295319128, "start_session": "2007-12-31", "total_return": -0.33865892983437584, "traded_notional_by_category": { "entry": 528701.769242102, "exit": 1492821.2852472686, "resize": 53923.13968009851 }, "transaction_cost": 2075.446194169469, "transaction_cost_over_anchor_nav": 0.0013510867819072527, "two_sided_turnover": 1.6669272431519873 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9990009990009989, "annualized_volatility": 0.03363956846248975, "cagr": 0.029288816485271818, "end_nav": 1045661.1711006872, "end_session": "2009-12-31", "fee_by_category": { "entry": 1014.8915812698804, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.016746362216439215, "mean_cash_weight": 0.9126984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1015906.4728511502, "start_session": "2008-12-31", "total_return": 0.029288816485271818, "traded_notional_by_category": { "entry": 1014891.5812698803, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 1014.8915812698804, "transaction_cost_over_anchor_nav": 0.000999000999000999, "two_sided_turnover": 0.9990009990009989 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.349087904979354, "annualized_volatility": 0.20050902579048502, "cagr": 0.16643313964458017, "end_nav": 1219693.842811403, "end_session": "2010-12-31", "fee_by_category": { "entry": 733.2950682946035, "exit": 703.3944252905619, "resize": 47.123626043017374 }, "max_cash_weight": 1.2235322190318375e-16, "max_drawdown": -0.18043829545936507, "mean_cash_weight": 5.548389878452578e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1045661.1711006872, "start_session": "2009-12-31", "total_return": 0.16643313964458017, "traded_notional_by_category": { "entry": 733295.0682946035, "exit": 703394.425290562, "resize": 47123.62604301737 }, "transaction_cost": 1483.813119628183, "transaction_cost_over_anchor_nav": 0.0014190190480787258, "two_sided_turnover": 1.349087904979354 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0068975116127366, "annualized_volatility": 0.20595311466436295, "cagr": 0.07525821796791043, "end_nav": 1311485.827887822, "end_session": "2011-12-30", "fee_by_category": { "entry": 1308.381425513215, "exit": 1289.4326462214499, "resize": 30.637750880247218 }, "max_cash_weight": 0.0, "max_drawdown": -0.16850281085890306, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1219693.842811403, "start_session": "2010-12-31", "total_return": 0.07525821796791043, "traded_notional_by_category": { "entry": 1308381.425513215, "exit": 1289432.6462214498, "resize": 30637.750880247215 }, "transaction_cost": 2628.451822614912, "transaction_cost_over_anchor_nav": 0.0021550095034966413, "two_sided_turnover": 2.0068975116127366 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6713514783960095, "annualized_volatility": 0.10469182777575235, "cagr": 0.13135131242519837, "end_nav": 1483751.2126079353, "end_session": "2012-12-31", "fee_by_category": { "entry": 1877.2714901769073, "exit": 1881.6677382315224, "resize": 7.60655585145409 }, "max_cash_weight": 0.0, "max_drawdown": -0.07803025382035633, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1311485.827887822, "start_session": "2011-12-30", "total_return": 0.13135131242519837, "traded_notional_by_category": { "entry": 1877271.490176907, "exit": 1881667.7382315223, "resize": 7606.55585145409 }, "transaction_cost": 3766.5457842598835, "transaction_cost_over_anchor_nav": 0.00287196834625807, "two_sided_turnover": 2.6713514783960095 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3729142803837049, "annualized_volatility": 0.11452328442705419, "cagr": 0.35974950776019043, "end_nav": 2017529.9809822259, "end_session": "2013-12-31", "fee_by_category": { "entry": 1312.456028214479, "exit": 1288.6416346095828, "resize": 97.61998023738026 }, "max_cash_weight": 1.352310227119397e-16, "max_drawdown": -0.05497061845688889, "mean_cash_weight": 6.373429995450237e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1483751.2126079353, "start_session": "2012-12-31", "total_return": 0.35974950776019043, "traded_notional_by_category": { "entry": 1312456.0282144789, "exit": 1288641.6346095828, "resize": 97619.98023738025 }, "transaction_cost": 2698.717643061442, "transaction_cost_over_anchor_nav": 0.0018188478096122357, "two_sided_turnover": 1.3729142803837049 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3405321036672424, "annualized_volatility": 0.12218612422783236, "cagr": 0.1493591113455639, "end_nav": 2318866.4660547636, "end_session": "2014-12-31", "fee_by_category": { "entry": 1467.1378808686397, "exit": 1400.838977818471, "resize": 84.87869805268093 }, "max_cash_weight": 0.0, "max_drawdown": -0.058052782929989166, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2017529.9809822259, "start_session": "2013-12-31", "total_return": 0.1493591113455639, "traded_notional_by_category": { "entry": 1467137.8808686398, "exit": 1400838.977818471, "resize": 84878.69805268093 }, "transaction_cost": 2952.8555567397916, "transaction_cost_over_anchor_nav": 0.0014635993440366157, "two_sided_turnover": 1.3405321036672424 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3343590230786413, "annualized_volatility": 0.1619665198009737, "cagr": 0.041376440334124354, "end_nav": 2414812.9060302805, "end_session": "2015-12-31", "fee_by_category": { "entry": 1614.8727747918242, "exit": 1527.369677073621, "resize": 92.13505230635323 }, "max_cash_weight": 0.0, "max_drawdown": -0.11940075964589214, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2318866.4660547636, "start_session": "2014-12-31", "total_return": 0.041376440334124354, "traded_notional_by_category": { "entry": 1614872.7747918242, "exit": 1527369.6770736207, "resize": 92135.05230635323 }, "transaction_cost": 3234.377504171798, "transaction_cost_over_anchor_nav": 0.0013948097277350568, "two_sided_turnover": 1.3343590230786413 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3964019922619966, "annualized_volatility": 0.12549001124264733, "cagr": 0.060455384156848924, "end_nav": 2560801.347931258, "end_session": "2016-12-30", "fee_by_category": { "entry": 1652.2993715402847, "exit": 1687.1543779717986, "resize": 123.77204317205539 }, "max_cash_weight": 0.0, "max_drawdown": -0.07922720216128476, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2414812.9060302805, "start_session": "2015-12-31", "total_return": 0.060455384156848924, "traded_notional_by_category": { "entry": 1652299.3715402847, "exit": 1687154.3779717986, "resize": 123772.04317205539 }, "transaction_cost": 3463.2257926841385, "transaction_cost_over_anchor_nav": 0.001434159053910867, "two_sided_turnover": 1.3964019922619966 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6726699576262956, "annualized_volatility": 0.07352327126234987, "cagr": 0.2630006634205422, "end_nav": 3234293.8013253976, "end_session": "2017-12-29", "fee_by_category": { "entry": 4125.517284615607, "exit": 4119.275987995902, "resize": 37.28442570582184 }, "max_cash_weight": 1.4417497547231112e-16, "max_drawdown": -0.023747818846012625, "mean_cash_weight": 1.1368108615092125e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2560801.347931258, "start_session": "2016-12-30", "total_return": 0.2630006634205422, "traded_notional_by_category": { "entry": 4125517.2846156075, "exit": 4119275.9879959025, "resize": 37284.425705821835 }, "transaction_cost": 8282.077698317333, "transaction_cost_over_anchor_nav": 0.003234174218553893, "two_sided_turnover": 2.6726699576262956 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.011090718460749, "annualized_volatility": 0.17847724124814932, "cagr": -0.061921975779480554, "end_nav": 3034019.9388960022, "end_session": "2018-12-31", "fee_by_category": { "entry": 3337.2881968893125, "exit": 3210.2984276614834, "resize": 171.81954477636774 }, "max_cash_weight": 1.6494276606284918e-16, "max_drawdown": -0.21354677353934226, "mean_cash_weight": 7.05267980968951e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3234293.8013253976, "start_session": "2017-12-29", "total_return": -0.061921975779480554, "traded_notional_by_category": { "entry": 3337288.1968893125, "exit": 3210298.427661483, "resize": 171819.54477636772 }, "transaction_cost": 6719.406169327163, "transaction_cost_over_anchor_nav": 0.002077549716285386, "two_sided_turnover": 2.011090718460749 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.011258943000489, "annualized_volatility": 0.11852313883309862, "cagr": 0.26233607176757623, "end_nav": 3829952.8113304814, "end_session": "2019-12-31", "fee_by_category": { "entry": 3454.4603211867434, "exit": 3439.7161633721553, "resize": 64.17856879781955 }, "max_cash_weight": 1.5872303469799e-16, "max_drawdown": -0.06732702541774827, "mean_cash_weight": 1.2217366466383748e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3034019.9388960022, "start_session": "2018-12-31", "total_return": 0.26233607176757623, "traded_notional_by_category": { "entry": 3454460.3211867427, "exit": 3439716.163372155, "resize": 64178.56879781955 }, "transaction_cost": 6958.355053356718, "transaction_cost_over_anchor_nav": 0.00229344407535063, "two_sided_turnover": 2.011258943000489 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0300650132816562, "annualized_volatility": 0.33287321044341867, "cagr": 0.1796490438908882, "end_nav": 4518000.172033221, "end_session": "2020-12-31", "fee_by_category": { "entry": 4196.705905007704, "exit": 4003.9058930059628, "resize": 315.30563137449417 }, "max_cash_weight": 0.0, "max_drawdown": -0.303775045236652, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3829952.8113304814, "start_session": "2019-12-31", "total_return": 0.1796490438908882, "traded_notional_by_category": { "entry": 4196705.905007704, "exit": 4003905.8930059625, "resize": 315305.6313744942 }, "transaction_cost": 8515.91742938816, "transaction_cost_over_anchor_nav": 0.0022235045309683147, "two_sided_turnover": 2.0300650132816562 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778073975342, "annualized_volatility": 0.16211619746431, "cagr": 0.15010633122829575, "end_nav": 5196180.602345938, "end_session": "2021-12-31", "fee_by_category": { "entry": 6730.504683503289, "exit": 6575.372062401508, "resize": 168.60710495263805 }, "max_cash_weight": 0.0, "max_drawdown": -0.08453621825174418, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4518000.172033221, "start_session": "2020-12-31", "total_return": 0.15010633122829575, "traded_notional_by_category": { "entry": 6730504.683503289, "exit": 6575372.062401507, "resize": 168607.10495263804 }, "transaction_cost": 13474.483850857436, "transaction_cost_over_anchor_nav": 0.0029824000304970234, "two_sided_turnover": 2.665778073975342 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3648077189507748, "annualized_volatility": 0.20467891165567315, "cagr": 0.15050951650498723, "end_nav": 5978255.232477618, "end_session": "2022-12-30", "fee_by_category": { "entry": 3969.8334938393878, "exit": 3259.666151386848, "resize": 913.9899304601943 }, "max_cash_weight": 0.0, "max_drawdown": -0.1381109595439538, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 5196180.602345938, "start_session": "2021-12-31", "total_return": 0.15050951650498723, "traded_notional_by_category": { "entry": 3969833.493839388, "exit": 3259666.1513868477, "resize": 913989.9304601944 }, "transaction_cost": 8143.48957568643, "transaction_cost_over_anchor_nav": 0.001567206800319808, "two_sided_turnover": 1.3648077189507748 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3328890369876705, "annualized_volatility": 0.12078903359325409, "cagr": 0.03817391640471346, "end_nav": 6206468.64796826, "end_session": "2023-12-29", "fee_by_category": { "entry": 5704.985680025395, "exit": 7511.523705909616, "resize": 202.27124623362067 }, "max_cash_weight": 0.3325797517878779, "max_drawdown": -0.11107670411485471, "mean_cash_weight": 0.02599523333428487, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5978255.232477618, "start_session": "2022-12-30", "total_return": 0.03817391640471346, "traded_notional_by_category": { "entry": 5704985.680025394, "exit": 7511523.705909616, "resize": 202271.24623362068 }, "transaction_cost": 13418.780632168633, "transaction_cost_over_anchor_nav": 0.0022445981495185134, "two_sided_turnover": 2.3328890369876705 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3530009172718964, "annualized_volatility": 0.12406466960218465, "cagr": 0.09981377670291347, "end_nav": 6825959.723710196, "end_session": "2024-12-31", "fee_by_category": { "entry": 8831.957457617089, "exit": 6621.530668316809, "resize": 230.720506446986 }, "max_cash_weight": 0.3303819496522574, "max_drawdown": -0.0833951274755873, "mean_cash_weight": 0.13169097770794874, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 6206468.64796826, "start_session": "2023-12-29", "total_return": 0.09981377670291347, "traded_notional_by_category": { "entry": 8831957.45761709, "exit": 6621530.6683168085, "resize": 230720.506446986 }, "transaction_cost": 15684.208632380885, "transaction_cost_over_anchor_nav": 0.002527074496302377, "two_sided_turnover": 2.3530009172718964 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0024673525302426, "annualized_volatility": 0.15525722587514457, "cagr": 0.1218814602840872, "end_nav": 7657917.662676359, "end_session": "2025-12-31", "fee_by_category": { "entry": 7560.106580267992, "exit": 7402.645483554835, "resize": 192.32270965351586 }, "max_cash_weight": 0.0, "max_drawdown": -0.13253070673029055, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 6825959.723710196, "start_session": "2024-12-31", "total_return": 0.1218814602840872, "traded_notional_by_category": { "entry": 7560106.580267992, "exit": 7402645.4835548345, "resize": 192322.70965351583 }, "transaction_cost": 15155.074773476343, "transaction_cost_over_anchor_nav": 0.0022202115727162426, "two_sided_turnover": 2.0024673525302426 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9619898220368457, "annualized_volatility": 0.17165738936202268, "cagr": 0.08726915828024939, "end_nav": 7657917.662676359, "end_session": "2025-12-31", "fee_by_category": { "entry": 67586.67210390349, "exit": 65495.984775219615, "resize": 3063.191252016629 }, "max_cash_weight": 1.0, "max_drawdown": -0.45037915781186455, "mean_cash_weight": 0.08620138603427334, "nonzero_trade_event_count": 49, "order_count": 210, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 945548.8477411551, "start_session": "2000-12-29", "total_return": 7.098912796489094, "traded_notional_by_category": { "entry": 67586672.10390349, "exit": 65495984.77521961, "resize": 3063191.252016629 }, "transaction_cost": 136145.84813113973, "transaction_cost_over_anchor_nav": 0.14398605471984013, "two_sided_turnover": 49.049745550921145 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 9356847.82997575, "end_session": "2026-10-02", "fee_by_category": { "entry": 2967.5922697014994, "exit": 2529.5542900325117, "resize": 585.7501586594233 }, "max_cash_weight": 0.0, "max_drawdown": -0.07924200268947612, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 1, "order_count": 4, "rebalance_count": 1, "scheduled_reset_count": 1, "session_count": 189, "start_nav": 7657917.662676359, "start_session": "2025-12-31", "total_return": 0.2218527597364679, "traded_notional_by_category": { "entry": 2967592.2697014995, "exit": 2529554.2900325116, "resize": 585750.1586594232 }, "transaction_cost": 6082.896718393434, "transaction_cost_over_anchor_nav": 0.0007943277776464794, "two_sided_turnover": 0.682791840847781 } }, "monthly_risk": { "beta_intercept_per_month": 0.0016042826956629086, "beta_to_SPY_excess_returns": 0.7304832331022943, "monthly_return_volatility_annualized": 0.13948078019611743, "months": 300, "sharpe_monthly_annualized": 0.5489215010832258, "tracking_error_monthly_annualized": 0.09516526768775294 }, "phase": [ 5, 11 ], "policy": "A", "run_id": "S12-05-11-10bps", "signal": "12-1" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.0301132144492042, "annualized_volatility": 0.15567593685186773, "cagr": -0.07002781689807369, "end_nav": 875259.4808583779, "end_session": "2001-12-31", "fee_by_category": { "entry": 2999.7575574381926, "exit": 3775.6796322559712, "resize": 39.996336788411284 }, "max_cash_weight": 0.33547538217911915, "max_drawdown": -0.1634279028261154, "mean_cash_weight": 0.026577056195358318, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 941167.3776509594, "start_session": "2000-12-29", "total_return": -0.07002781689807369, "traded_notional_by_category": { "entry": 1199903.0229752772, "exit": 1510271.8529023884, "resize": 15998.534715364513 }, "transaction_cost": 6815.433526482575, "transaction_cost_over_anchor_nav": 0.007241468083491246, "two_sided_turnover": 3.0301132144492042 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6836084207264188, "annualized_volatility": 0.2151908229422196, "cagr": -0.10824103041794386, "end_nav": 780520.4927671924, "end_session": "2002-12-31", "fee_by_category": { "entry": 1418.5926677349994, "exit": 1986.3660578923004, "resize": 41.789894371922564 }, "max_cash_weight": 0.6793675225538247, "max_drawdown": -0.2640600779180794, "mean_cash_weight": 0.18761730699478854, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 875259.4808583779, "start_session": "2001-12-31", "total_return": -0.10824103041794386, "traded_notional_by_category": { "entry": 567437.0670939997, "exit": 794546.4231569201, "resize": 16715.957748769026 }, "transaction_cost": 3446.748619999222, "transaction_cost_over_anchor_nav": 0.003937973475727395, "two_sided_turnover": 1.6836084207264188 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3366400578792765, "annualized_volatility": 0.04742489536351978, "cagr": 0.08277632814977487, "end_nav": 845129.1132041134, "end_session": "2003-12-31", "fee_by_category": { "entry": 1990.4574456750026, "exit": 677.2932552348907, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.03359626969253893, "mean_cash_weight": 0.7793353491363751, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 780520.4927671924, "start_session": "2002-12-31", "total_return": 0.08277632814977487, "traded_notional_by_category": { "entry": 796182.978270001, "exit": 270917.30209395627, "resize": 0.0 }, "transaction_cost": 2667.7507009098936, "transaction_cost_over_anchor_nav": 0.003417912438726461, "two_sided_turnover": 1.3366400578792765 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6622351543992395, "annualized_volatility": 0.11981780672181784, "cagr": 0.12007249441319856, "end_nav": 946605.8739277457, "end_session": "2004-12-31", "fee_by_category": { "entry": 2870.956213246804, "exit": 2779.5739055316462, "resize": 105.77306567629435 }, "max_cash_weight": 1.4076622033991255e-16, "max_drawdown": -0.09151950917969576, "mean_cash_weight": 6.708680217786365e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 845129.1132041134, "start_session": "2003-12-31", "total_return": 0.12007249441319856, "traded_notional_by_category": { "entry": 1148382.4852987216, "exit": 1111829.5622126586, "resize": 42309.22627051774 }, "transaction_cost": 5756.303184454745, "transaction_cost_over_anchor_nav": 0.006811152396148134, "two_sided_turnover": 2.6622351543992395 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7421455534458812, "annualized_volatility": 0.14486981667464702, "cagr": 0.20085672115837938, "end_nav": 1136738.025994135, "end_session": "2005-12-30", "fee_by_category": { "entry": 933.8642136573729, "exit": 889.6540198357237, "resize": 246.10854913423555 }, "max_cash_weight": 0.0, "max_drawdown": -0.10387827954972795, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 946605.8739277457, "start_session": "2004-12-31", "total_return": 0.20085672115837938, "traded_notional_by_category": { "entry": 373545.68546294916, "exit": 355861.6079342895, "resize": 98443.4196536942 }, "transaction_cost": 2069.626782627332, "transaction_cost_over_anchor_nav": 0.0021863658779549327, "two_sided_turnover": 0.7421455534458812 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.327235616205116, "annualized_volatility": 0.14541382966119115, "cagr": 0.12648398227584878, "end_nav": 1280517.1783262605, "end_session": "2006-12-29", "fee_by_category": { "entry": 5066.381316945824, "exit": 5026.104402164125, "resize": 65.67230985410876 }, "max_cash_weight": 0.0, "max_drawdown": -0.10516980210389615, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1136738.025994135, "start_session": "2005-12-30", "total_return": 0.12648398227584878, "traded_notional_by_category": { "entry": 2026552.5267783296, "exit": 2010441.76086565, "resize": 26268.9239416435 }, "transaction_cost": 10158.158028964059, "transaction_cost_over_anchor_nav": 0.008936234907845397, "two_sided_turnover": 3.327235616205116 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6706134307150924, "annualized_volatility": 0.135943793869847, "cagr": 0.1666485948286771, "end_nav": 1493913.5667483145, "end_session": "2007-12-31", "fee_by_category": { "entry": 4754.31981788402, "exit": 4740.924937167342, "resize": 66.35967307060885 }, "max_cash_weight": 0.0, "max_drawdown": -0.08029549987501527, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1280517.1783262605, "start_session": "2006-12-29", "total_return": 0.1666485948286771, "traded_notional_by_category": { "entry": 1901727.927153608, "exit": 1896369.974866937, "resize": 26543.869228243537 }, "transaction_cost": 9561.604428121971, "transaction_cost_over_anchor_nav": 0.007466986456690695, "two_sided_turnover": 2.6706134307150924 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6672226855713093, "annualized_volatility": 0.3738751339433288, "cagr": -0.3403134695494159, "end_nav": 985514.6576412527, "end_session": "2008-12-31", "fee_by_category": { "entry": 1284.1410131699115, "exit": 3627.0086119567814, "resize": 133.53074624468923 }, "max_cash_weight": 1.0, "max_drawdown": -0.450929766650767, "mean_cash_weight": 0.08695652173913043, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1493913.5667483145, "start_session": "2007-12-31", "total_return": -0.3403134695494159, "traded_notional_by_category": { "entry": 513656.4052679646, "exit": 1450803.4447827125, "resize": 53412.29849787569 }, "transaction_cost": 5044.680371371382, "transaction_cost_over_anchor_nav": 0.0033768221158548984, "two_sided_turnover": 1.6672226855713093 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9975062344139651, "annualized_volatility": 0.033451217165533356, "cagr": 0.027748733468086817, "end_nav": 1012861.4412050328, "end_session": "2009-12-31", "fee_by_category": { "entry": 2457.642537758735, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.016746362216439215, "mean_cash_weight": 0.9126984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 985514.6576412527, "start_session": "2008-12-31", "total_return": 0.027748733468086817, "traded_notional_by_category": { "entry": 983057.015103494, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 2457.642537758735, "transaction_cost_over_anchor_nav": 0.002493765586034913, "two_sided_turnover": 0.9975062344139651 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.349080812104887, "annualized_volatility": 0.20048734777914487, "cagr": 0.16407233122165454, "end_nav": 1179043.9790680672, "end_session": "2010-12-31", "fee_by_category": { "entry": 1772.9698701099405, "exit": 1702.3624871380507, "resize": 116.00193605392371 }, "max_cash_weight": 0.0, "max_drawdown": -0.18127682539695877, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1012861.4412050328, "start_session": "2009-12-31", "total_return": 0.16407233122165454, "traded_notional_by_category": { "entry": 709187.9480439762, "exit": 680944.9948552202, "resize": 46400.774421569484 }, "transaction_cost": 3591.334293301915, "transaction_cost_over_anchor_nav": 0.0035457310814687474, "two_sided_turnover": 1.349080812104887 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.005894898367967, "annualized_volatility": 0.2061523559943756, "cagr": 0.07202258831567154, "end_nav": 1263961.7781785578, "end_session": "2011-12-30", "fee_by_category": { "entry": 3154.5806517425963, "exit": 3114.1672819311893, "resize": 76.06020516797739 }, "max_cash_weight": 0.0, "max_drawdown": -0.17016608383540843, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1179043.9790680672, "start_session": "2010-12-31", "total_return": 0.07202258831567154, "traded_notional_by_category": { "entry": 1261832.2606970386, "exit": 1245666.9127724757, "resize": 30424.08206719096 }, "transaction_cost": 6344.808138841763, "transaction_cost_over_anchor_nav": 0.005381315923309992, "two_sided_turnover": 2.005894898367967 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6686829018407736, "annualized_volatility": 0.10518457154802684, "cagr": 0.1268239898736523, "end_nav": 1424262.4539349587, "end_session": "2012-12-31", "fee_by_category": { "entry": 4509.322488097872, "exit": 4528.9356351014785, "resize": 18.08981649435649 }, "max_cash_weight": 0.0, "max_drawdown": -0.07803025382035633, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1263961.7781785578, "start_session": "2011-12-30", "total_return": 0.1268239898736523, "traded_notional_by_category": { "entry": 1803728.9952391488, "exit": 1811574.2540405914, "resize": 7235.926597742597 }, "transaction_cost": 9056.347939693707, "transaction_cost_over_anchor_nav": 0.007165048893127472, "two_sided_turnover": 2.6686829018407736 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.372268420086012, "annualized_volatility": 0.11461304888357521, "cagr": 0.3569480087802761, "end_nav": 1932650.1008475518, "end_session": "2013-12-31", "fee_by_category": { "entry": 3143.0986146384257, "exit": 3092.2529220364167, "resize": 237.49672693102212 }, "max_cash_weight": 1.259813959943225e-16, "max_drawdown": -0.05497061845688889, "mean_cash_weight": 1.0289569232263433e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1424262.4539349587, "start_session": "2012-12-31", "total_return": 0.3569480087802761, "traded_notional_by_category": { "entry": 1257239.4458553703, "exit": 1236901.1688145667, "resize": 94998.69077240885 }, "transaction_cost": 6472.848263605865, "transaction_cost_over_anchor_nav": 0.0045447018881405255, "two_sided_turnover": 1.372268420086012 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.340529285131482, "annualized_volatility": 0.12222255091276997, "cagr": 0.14704760345921053, "end_nav": 2216841.666502386, "end_session": "2014-12-31", "fee_by_category": { "entry": 3508.1506695185153, "exit": 3352.9916252702187, "resize": 206.48742585943836 }, "max_cash_weight": 1.2750142481674225e-16, "max_drawdown": -0.058052782929989055, "mean_cash_weight": 1.0609520158054029e-16, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1932650.1008475518, "start_session": "2013-12-31", "total_return": 0.14704760345921053, "traded_notional_by_category": { "entry": 1403260.2678074064, "exit": 1341196.6501080873, "resize": 82594.97034377535 }, "transaction_cost": 7067.629720648172, "transaction_cost_over_anchor_nav": 0.0036569629016388982, "two_sided_turnover": 1.340529285131482 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3344453711426187, "annualized_volatility": 0.1618952774278778, "cagr": 0.03929151333787373, "end_nav": 2303944.7304097186, "end_session": "2015-12-31", "fee_by_category": { "entry": 3853.745029898544, "exit": 3648.590593999354, "resize": 224.47145359291667 }, "max_cash_weight": 0.0, "max_drawdown": -0.11940075964589214, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2216841.666502386, "start_session": "2014-12-31", "total_return": 0.03929151333787373, "traded_notional_by_category": { "entry": 1541498.0119594177, "exit": 1459436.2375997417, "resize": 89788.58143716666 }, "transaction_cost": 7726.807077490814, "transaction_cost_over_anchor_nav": 0.00348550245795486, "two_sided_turnover": 1.3344453711426187 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.395004409833207, "annualized_volatility": 0.1255837337222872, "cagr": 0.058237467781111496, "end_nav": 2438120.6374164163, "end_session": "2016-12-30", "fee_by_category": { "entry": 3934.9365527474474, "exit": 4022.081956023757, "resize": 290.99631866049924 }, "max_cash_weight": 0.0, "max_drawdown": -0.07922720216128498, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2303944.7304097186, "start_session": "2015-12-31", "total_return": 0.058237467781111496, "traded_notional_by_category": { "entry": 1573974.621098979, "exit": 1608832.7824095027, "resize": 116398.5274641997 }, "transaction_cost": 8248.014827431703, "transaction_cost_over_anchor_nav": 0.0035799534244751307, "two_sided_turnover": 1.395004409833207 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.669999408284182, "annualized_volatility": 0.07372043277363372, "cagr": 0.25794402703848274, "end_nav": 3067019.293037239, "end_session": "2017-12-29", "fee_by_category": { "entry": 9789.564894598177, "exit": 9794.292270357713, "resize": 88.03943416692724 }, "max_cash_weight": 0.0, "max_drawdown": -0.02570066591198439, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2438120.6374164163, "start_session": "2016-12-30", "total_return": 0.25794402703848274, "traded_notional_by_category": { "entry": 3915825.9578392715, "exit": 3917716.9081430854, "resize": 35215.773666770896 }, "transaction_cost": 19671.896599122818, "transaction_cost_over_anchor_nav": 0.008068467284690383, "two_sided_turnover": 2.669999408284182 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.010086010358271, "annualized_volatility": 0.17832789356646866, "cagr": -0.06475069915234766, "end_nav": 2868427.6494993386, "end_session": "2018-12-31", "fee_by_category": { "entry": 7893.189771647587, "exit": 7605.393711006228, "resize": 412.3381012599266 }, "max_cash_weight": 1.7446479471033237e-16, "max_drawdown": -0.21434671074673928, "mean_cash_weight": 1.2087737273114842e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3067019.293037239, "start_session": "2017-12-29", "total_return": -0.06475069915234766, "traded_notional_by_category": { "entry": 3157275.908659035, "exit": 3042157.484402491, "resize": 164935.24050397065 }, "transaction_cost": 15910.921583913741, "transaction_cost_over_anchor_nav": 0.005187747471962366, "two_sided_turnover": 2.010086010358271 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.010254150855776, "annualized_volatility": 0.11858218293518642, "cagr": 0.25852924778638475, "end_nav": 3610000.0920540704, "end_session": "2019-12-31", "fee_by_category": { "entry": 8145.511642326547, "exit": 8124.099371138086, "resize": 156.75465957003706 }, "max_cash_weight": 1.6788600267461434e-16, "max_drawdown": -0.06732702541774827, "mean_cash_weight": 6.049727430402851e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2868427.6494993386, "start_session": "2018-12-31", "total_return": 0.25852924778638475, "traded_notional_by_category": { "entry": 3258204.656930619, "exit": 3249639.7484552343, "resize": 62701.863828014815 }, "transaction_cost": 16426.36567303467, "transaction_cost_over_anchor_nav": 0.0057266097249835685, "two_sided_turnover": 2.010254150855776 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0290508259311406, "annualized_volatility": 0.3328555562415609, "cagr": 0.1760583506704474, "end_nav": 4245570.754181273, "end_session": "2020-12-31", "fee_by_category": { "entry": 9865.030427997903, "exit": 9427.982601665359, "resize": 749.5826091944252 }, "max_cash_weight": 1.1381701126988259e-16, "max_drawdown": -0.303775045236652, "mean_cash_weight": 9.721665319575113e-18, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3610000.0920540704, "start_session": "2019-12-31", "total_return": 0.1760583506704474, "traded_notional_by_category": { "entry": 3946012.1711991606, "exit": 3771193.0406661434, "resize": 299833.04367777007 }, "transaction_cost": 20042.595638857685, "transaction_cost_over_anchor_nav": 0.005551965409356418, "two_sided_turnover": 2.0290508259311406 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664446294754371, "annualized_volatility": 0.16220964208519467, "cagr": 0.1455097371699028, "end_nav": 4863342.638758416, "end_session": "2021-12-31", "fee_by_category": { "entry": 15764.344810473438, "exit": 15431.680984033039, "resize": 411.6830986733467 }, "max_cash_weight": 1.1120357308811137e-16, "max_drawdown": -0.08636745254698541, "mean_cash_weight": 4.1877755169005356e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4245570.754181273, "start_session": "2020-12-31", "total_return": 0.1455097371699028, "traded_notional_by_category": { "entry": 6305737.924189375, "exit": 6172672.393613216, "resize": 164673.23946933867 }, "transaction_cost": 31607.70889317982, "transaction_cost_over_anchor_nav": 0.007444866832580943, "two_sided_turnover": 2.664446294754371 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3641578019918144, "annualized_volatility": 0.20470198946787996, "cagr": 0.14815309044635416, "end_nav": 5583861.880590003, "end_session": "2022-12-30", "fee_by_category": { "entry": 9270.290134280489, "exit": 7627.1758986783725, "resize": 2147.2147768219493 }, "max_cash_weight": 0.0, "max_drawdown": -0.13811095954395392, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4863342.638758416, "start_session": "2021-12-31", "total_return": 0.14815309044635416, "traded_notional_by_category": { "entry": 3708116.0537121953, "exit": 3050870.359471349, "resize": 858885.9107287796 }, "transaction_cost": 19044.680809780813, "transaction_cost_over_anchor_nav": 0.003915965257722991, "two_sided_turnover": 1.3641578019918144 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.332223147377186, "annualized_volatility": 0.1206174719893262, "cagr": 0.034541519192757164, "end_nav": 5776736.952908108, "end_session": "2023-12-29", "fee_by_category": { "entry": 13287.921062531072, "exit": 17521.769354288757, "resize": 487.4721202694392 }, "max_cash_weight": 0.332579751787878, "max_drawdown": -0.11107670411485471, "mean_cash_weight": 0.025995233334284874, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5583861.880590003, "start_session": "2022-12-30", "total_return": 0.034541519192757164, "traded_notional_by_category": { "entry": 5315168.425012428, "exit": 7008707.741715503, "resize": 194988.84810777567 }, "transaction_cost": 31297.16253708927, "transaction_cost_over_anchor_nav": 0.005604931355104067, "two_sided_turnover": 2.332223147377186 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3508117790760656, "annualized_volatility": 0.12436824447222082, "cagr": 0.09593536492358234, "end_nav": 6330930.32055289, "end_session": "2024-12-31", "fee_by_category": { "entry": 20493.461434633587, "exit": 15394.563704990564, "resize": 546.9075556969235 }, "max_cash_weight": 0.3303819496522575, "max_drawdown": -0.08431341511020207, "mean_cash_weight": 0.1316909777079487, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 5776736.952908108, "start_session": "2023-12-29", "total_return": 0.09593536492358234, "traded_notional_by_category": { "entry": 8197384.573853435, "exit": 6157825.481996225, "resize": 218763.0222787694 }, "transaction_cost": 36434.93269532108, "transaction_cost_over_anchor_nav": 0.006307182236674133, "two_sided_turnover": 2.3508117790760656 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.001466952520652, "annualized_volatility": 0.1554077942506013, "cagr": 0.1185129776522531, "end_nav": 7081227.724150546, "end_session": "2025-12-31", "fee_by_category": { "entry": 17488.269818053697, "exit": 17152.951629103154, "resize": 457.3873881340434 }, "max_cash_weight": 0.0, "max_drawdown": -0.13253070673029055, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 6330930.32055289, "start_session": "2024-12-31", "total_return": 0.1185129776522531, "traded_notional_by_category": { "entry": 6995307.927221479, "exit": 6861180.651641261, "resize": 182954.95525361737 }, "transaction_cost": 35098.60883529089, "transaction_cost_over_anchor_nav": 0.005543989122948628, "two_sided_turnover": 2.001466952520652 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9606289134984762, "annualized_volatility": 0.17170553090233298, "cagr": 0.08407085288979865, "end_nav": 7081227.724150546, "end_session": "2025-12-31", "fee_by_category": { "entry": 159650.50065680672, "exit": 155043.8968488005, "resize": 7326.214201687422 }, "max_cash_weight": 1.0, "max_drawdown": -0.450929766650767, "mean_cash_weight": 0.08620138603427334, "nonzero_trade_event_count": 49, "order_count": 210, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 941167.3776509594, "start_session": "2000-12-29", "total_return": 6.523877146936859, "traded_notional_by_category": { "entry": 63860200.26272268, "exit": 62017558.73952021, "resize": 2930485.680674969 }, "transaction_cost": 322020.61170729465, "transaction_cost_over_anchor_nav": 0.3421502055362558, "two_sided_turnover": 49.01572283746191 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 8643357.470445316, "end_session": "2026-10-02", "fee_by_category": { "entry": 6853.259046114759, "exit": 5847.656881852005, "resize": 1354.0986093192944 }, "max_cash_weight": 0.0, "max_drawdown": -0.0792420026894759, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 1, "order_count": 4, "rebalance_count": 1, "scheduled_reset_count": 1, "session_count": 189, "start_nav": 7081227.724150546, "start_session": "2025-12-31", "total_return": 0.22060154074230987, "traded_notional_by_category": { "entry": 2741303.6184459035, "exit": 2339062.7527408022, "resize": 541639.4437277177 }, "transaction_cost": 14055.01453728606, "transaction_cost_over_anchor_nav": 0.001984827361129963, "two_sided_turnover": 0.6824507291870745 } }, "monthly_risk": { "beta_intercept_per_month": 0.0013580341788418295, "beta_to_SPY_excess_returns": 0.7303699999613162, "monthly_return_volatility_annualized": 0.13948730690507247, "months": 300, "sharpe_monthly_annualized": 0.5276874572884975, "tracking_error_monthly_annualized": 0.09520424042602675 }, "phase": [ 5, 11 ], "policy": "A", "run_id": "S12-05-11-25bps", "signal": "12-1" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 3.0350620737388176, "annualized_volatility": 0.15545412704122685, "cagr": -0.06436413508248806, "end_nav": 886060.601634155, "end_session": "2001-12-31", "fee_by_category": { "entry": 606.3022551744825, "exit": 761.0215431484331, "resize": 8.47967310638007 }, "max_cash_weight": 0.3354753821791191, "max_drawdown": -0.1611353322431186, "mean_cash_weight": 0.026577056195358245, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 947014.3619518823, "start_session": "2000-12-29", "total_return": -0.06436413508248806, "traded_notional_by_category": { "entry": 1212604.510348965, "exit": 1522043.0862968662, "resize": 16959.346212760138 }, "transaction_cost": 1375.8034714292958, "transaction_cost_over_anchor_nav": 0.0014527799436891754, "two_sided_turnover": 3.0350620737388176 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6842621255929935, "annualized_volatility": 0.2152213295652362, "cagr": -0.10522840942023926, "end_nav": 792821.8538742526, "end_session": "2002-12-31", "fee_by_category": { "entry": 287.7792003567245, "exit": 402.45868602519937, "resize": 8.244992602291953 }, "max_cash_weight": 0.6793675225538247, "max_drawdown": -0.2635423399891387, "mean_cash_weight": 0.1876173069947885, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 886060.601634155, "start_session": "2001-12-31", "total_return": -0.10522840942023926, "traded_notional_by_category": { "entry": 575558.400713449, "exit": 804917.3720503987, "resize": 16489.985204583907 }, "transaction_cost": 698.4828789842159, "transaction_cost_over_anchor_nav": 0.0007883014747478999, "two_sided_turnover": 1.6842621255929935 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.338634073340374, "annualized_volatility": 0.047712006647909956, "cagr": 0.0856773032474869, "end_nav": 860748.6922698717, "end_session": "2003-12-31", "fee_by_category": { "entry": 405.44897024978, "exit": 137.59354154254538, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.033596269692538816, "mean_cash_weight": 0.7793353491363751, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 792821.8538742526, "start_session": "2002-12-31", "total_return": 0.0856773032474869, "traded_notional_by_category": { "entry": 810897.94049956, "exit": 275187.08308509074, "resize": 0.0 }, "transaction_cost": 543.0425117923254, "transaction_cost_over_anchor_nav": 0.0006849489694799154, "two_sided_turnover": 1.338634073340374 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778296049508, "annualized_volatility": 0.1197071078479111, "cagr": 0.12606519274688277, "end_nav": 969259.1420675004, "end_session": "2004-12-31", "fee_by_category": { "entry": 587.3611785191823, "exit": 566.7446783039827, "resize": 21.204155221221765 }, "max_cash_weight": 0.0, "max_drawdown": -0.09151950917969576, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 860748.6922698717, "start_session": "2003-12-31", "total_return": 0.12606519274688277, "traded_notional_by_category": { "entry": 1174722.3570383647, "exit": 1133489.3566079654, "resize": 42408.31044244353 }, "transaction_cost": 1175.310012044387, "transaction_cost_over_anchor_nav": 0.0013654508250776295, "two_sided_turnover": 2.665778296049508 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7425728649082459, "annualized_volatility": 0.14500668864851274, "cagr": 0.20264194560319315, "end_nav": 1165671.7004097404, "end_session": "2005-12-30", "fee_by_category": { "entry": 191.52681813978683, "exit": 182.20729054893908, "resize": 50.38450336118066 }, "max_cash_weight": 1.1101039078062862e-16, "max_drawdown": -0.10387827954972795, "mean_cash_weight": 5.2985405912129846e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 969259.1420675004, "start_session": "2004-12-31", "total_return": 0.20264194560319315, "traded_notional_by_category": { "entry": 383053.63627957366, "exit": 364414.58109787817, "resize": 100769.00672236132 }, "transaction_cost": 424.1186120499066, "transaction_cost_over_anchor_nav": 0.0004375698857430745, "two_sided_turnover": 0.7425728649082459 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3321116478921016, "annualized_volatility": 0.14524746588010173, "cagr": 0.13402200605001702, "end_nav": 1321897.3600943882, "end_session": "2006-12-29", "fee_by_category": { "entry": 1044.4242561311248, "exit": 1032.5312655214925, "resize": 12.937937339128199 }, "max_cash_weight": 0.0, "max_drawdown": -0.10277800638959145, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1165671.7004097404, "start_session": "2005-12-30", "total_return": 0.13402200605001702, "traded_notional_by_category": { "entry": 2088848.5122622498, "exit": 2065062.5310429852, "resize": 25875.874678256398 }, "transaction_cost": 2089.8934589917462, "transaction_cost_over_anchor_nav": 0.0017928662575038379, "two_sided_turnover": 3.3321116478921016 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.675051787224281, "annualized_volatility": 0.1360641735010275, "cagr": 0.1729096564534458, "end_nav": 1550466.178495026, "end_session": "2007-12-31", "fee_by_category": { "entry": 985.9020101341166, "exit": 979.8364129021222, "resize": 13.700819970790647 }, "max_cash_weight": 0.0, "max_drawdown": -0.07905089833337975, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1321897.3600943882, "start_session": "2006-12-29", "total_return": 0.1729096564534458, "traded_notional_by_category": { "entry": 1971804.020268233, "exit": 1959672.8258042445, "resize": 27401.639941581292 }, "transaction_cost": 1979.4392430070295, "transaction_cost_over_anchor_nav": 0.001497422797535272, "two_sided_turnover": 2.675051787224281 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6670383791698429, "annualized_volatility": 0.37372898184175435, "cagr": -0.33810717427335757, "end_nav": 1026242.4400776615, "end_session": "2008-12-31", "fee_by_category": { "entry": 266.9068385840844, "exit": 753.5474046808861, "resize": 27.213176528426587 }, "max_cash_weight": 1.0, "max_drawdown": -0.4501957875020155, "mean_cash_weight": 0.08695652173913052, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1550466.178495026, "start_session": "2007-12-31", "total_return": -0.33810717427335757, "traded_notional_by_category": { "entry": 533813.6771681688, "exit": 1507094.809361772, "resize": 54426.35305685317 }, "transaction_cost": 1047.6674197933971, "transaction_cost_over_anchor_nav": 0.000675711237255317, "two_sided_turnover": 1.6670383791698429 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9995002498750625, "annualized_volatility": 0.03371718858547453, "cagr": 0.02980320369990741, "end_nav": 1056827.752564786, "end_session": "2009-12-31", "fee_by_category": { "entry": 512.8647876450083, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.016746362216439326, "mean_cash_weight": 0.9126984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1026242.4400776615, "start_session": "2008-12-31", "total_return": 0.02980320369990741, "traded_notional_by_category": { "entry": 1025729.5752900165, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 512.8647876450083, "transaction_cost_over_anchor_nav": 0.0004997501249375312, "two_sided_turnover": 0.9995002498750625 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3491099391730912, "annualized_volatility": 0.20051848255808813, "cagr": 0.1672206012123021, "end_nav": 1233551.1247265155, "end_session": "2010-12-31", "fee_by_category": { "entry": 370.75533089543234, "exit": 355.52010063438024, "resize": 23.693566601426223 }, "max_cash_weight": 1.186670352049805e-16, "max_drawdown": -0.18015859917123278, "mean_cash_weight": 4.389818330936512e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1056827.752564786, "start_session": "2009-12-31", "total_return": 0.1672206012123021, "traded_notional_by_category": { "entry": 741510.6617908647, "exit": 711040.2012687604, "resize": 47387.13320285245 }, "transaction_cost": 749.9689981312388, "transaction_cost_over_anchor_nav": 0.0007096416576032942, "two_sided_turnover": 1.3491099391730912 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.007231938793475, "annualized_volatility": 0.2058918642790387, "cagr": 0.07633844721889327, "end_nav": 1327718.5021532571, "end_session": "2011-12-30", "fee_by_category": { "entry": 662.1369587617932, "exit": 652.1792531954771, "resize": 15.352031779972108 }, "max_cash_weight": 0.0, "max_drawdown": -0.16794801697877626, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1233551.1247265155, "start_session": "2010-12-31", "total_return": 0.07633844721889327, "traded_notional_by_category": { "entry": 1324273.9175235862, "exit": 1304358.5063909544, "resize": 30704.063559944218 }, "transaction_cost": 1329.6682437372424, "transaction_cost_over_anchor_nav": 0.0010779190396604248, "two_sided_turnover": 2.007231938793475 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6722424863226326, "annualized_volatility": 0.10454368538379996, "cagr": 0.13286445290444537, "end_nav": 1504125.0945529593, "end_session": "2012-12-31", "fee_by_category": { "entry": 951.2212503332767, "exit": 952.8131068679947, "resize": 3.8676600175395146 }, "max_cash_weight": 0.0, "max_drawdown": -0.07803025382035622, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1327718.5021532571, "start_session": "2011-12-30", "total_return": 0.13286445290444537, "traded_notional_by_category": { "entry": 1902442.5006665534, "exit": 1905626.2137359898, "resize": 7735.3200350790285 }, "transaction_cost": 1907.9020172188111, "transaction_cost_over_anchor_nav": 0.0014369778037472765, "two_sided_turnover": 2.6722424863226326 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3731297195521135, "annualized_volatility": 0.11450105688761422, "cagr": 0.3606839995681361, "end_nav": 2046638.9495071215, "end_session": "2013-12-31", "fee_by_category": { "entry": 665.696086843637, "exit": 653.1812752971122, "resize": 49.252534944455725 }, "max_cash_weight": 0.0, "max_drawdown": -0.05497061845688889, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1504125.0945529593, "start_session": "2012-12-31", "total_return": 0.3606839995681361, "traded_notional_by_category": { "entry": 1331392.1736872739, "exit": 1306362.5505942244, "resize": 98505.06988891144 }, "transaction_cost": 1368.129897085205, "transaction_cost_over_anchor_nav": 0.0009095851814717754, "two_sided_turnover": 1.3731297195521135 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3405331921265518, "annualized_volatility": 0.12217762481691735, "cagr": 0.15013013308873324, "end_nav": 2353901.1273812107, "end_session": "2014-12-31", "fee_by_category": { "entry": 744.5330526999185, "exit": 710.6499224851085, "resize": 42.824626270065664 }, "max_cash_weight": 0.0, "max_drawdown": -0.058052782929989055, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2046638.9495071215, "start_session": "2013-12-31", "total_return": 0.15013013308873324, "traded_notional_by_category": { "entry": 1489066.105399837, "exit": 1421299.844970217, "resize": 85649.25254013133 }, "transaction_cost": 1498.0076014550928, "transaction_cost_over_anchor_nav": 0.0007319354504690962, "two_sided_turnover": 1.3405331921265518 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3343590828626315, "annualized_volatility": 0.1619930262340698, "cagr": 0.04207180522498244, "end_nav": 2452933.9971312596, "end_session": "2015-12-31", "fee_by_category": { "entry": 820.0470720881688, "exit": 775.3527149711965, "resize": 46.49629059379589 }, "max_cash_weight": 0.0, "max_drawdown": -0.11940075964589225, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2353901.1273812107, "start_session": "2014-12-31", "total_return": 0.04207180522498244, "traded_notional_by_category": { "entry": 1640094.1441763374, "exit": 1550705.4299423927, "resize": 92992.58118759177 }, "transaction_cost": 1641.896077653161, "transaction_cost_over_anchor_nav": 0.0006975212588813457, "two_sided_turnover": 1.3343590828626315 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3968686303132505, "annualized_volatility": 0.12546251751852322, "cagr": 0.06119619422824285, "end_nav": 2603044.2224487644, "end_session": "2016-12-30", "fee_by_category": { "entry": 839.6296446659485, "exit": 857.0471607828952, "resize": 63.164019137101306 }, "max_cash_weight": 0.0, "max_drawdown": -0.07922720216128487, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2452933.9971312596, "start_session": "2015-12-31", "total_return": 0.06119619422824285, "traded_notional_by_category": { "entry": 1679259.2893318972, "exit": 1714094.32156579, "resize": 126328.03827420261 }, "transaction_cost": 1759.840824585945, "transaction_cost_over_anchor_nav": 0.0007174432033817882, "two_sided_turnover": 1.3968686303132505 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6735616244630793, "annualized_volatility": 0.07348154316656073, "cagr": 0.26469071502498887, "end_nav": 3292045.858930394, "end_session": "2017-12-29", "fee_by_category": { "entry": 2098.9343458792987, "exit": 2094.364446051264, "resize": 19.00152486958669 }, "max_cash_weight": 0.0, "max_drawdown": -0.023747818846012736, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2603044.2224487644, "start_session": "2016-12-30", "total_return": 0.26469071502498887, "traded_notional_by_category": { "entry": 4197868.691758597, "exit": 4188728.8921025284, "resize": 38003.04973917338 }, "transaction_cost": 4212.30031680015, "transaction_cost_over_anchor_nav": 0.0016182208048841783, "two_sided_turnover": 2.6735616244630793 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0114258443928374, "annualized_volatility": 0.1785334071202184, "cagr": -0.06097759049541496, "end_nav": 3091304.83465241, "end_session": "2018-12-31", "fee_by_category": { "entry": 1699.766862542434, "exit": 1634.1882739424918, "resize": 87.08539817212697 }, "max_cash_weight": 1.6188621562053531e-16, "max_drawdown": -0.21327995006934186, "mean_cash_weight": 1.1216234460418394e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3292045.858930394, "start_session": "2017-12-29", "total_return": -0.06097759049541496, "traded_notional_by_category": { "entry": 3399533.725084868, "exit": 3268376.547884984, "resize": 174170.79634425393 }, "transaction_cost": 3421.0405346570524, "transaction_cost_over_anchor_nav": 0.0010391837420419682, "two_sided_turnover": 2.0114258443928374 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.011594096965328, "annualized_volatility": 0.11851287250739305, "cagr": 0.2636070016554073, "end_nav": 3906194.4333179966, "end_session": "2019-12-31", "fee_by_category": { "entry": 1761.2292260789486, "exit": 1752.751387798989, "resize": 32.33099979577737 }, "max_cash_weight": 1.55781741948439e-16, "max_drawdown": -0.06732702541774815, "mean_cash_weight": 1.1986714423209031e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3091304.83465241, "start_session": "2018-12-31", "total_return": 0.2636070016554073, "traded_notional_by_category": { "entry": 3522458.452157897, "exit": 3505502.7755979784, "resize": 64661.99959155475 }, "transaction_cost": 3546.3116136737153, "transaction_cost_over_anchor_nav": 0.0011471892302308217, "two_sided_turnover": 2.011594096965328 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0304033010692386, "annualized_volatility": 0.332882507638706, "cagr": 0.18084783694269468, "end_nav": 4612621.247261152, "end_session": "2020-12-31", "fee_by_category": { "entry": 2141.872178784642, "exit": 2042.3050631651013, "resize": 160.31489155688416 }, "max_cash_weight": 0.0, "max_drawdown": -0.303775045236652, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3906194.4333179966, "start_session": "2019-12-31", "total_return": 0.18084783694269468, "traded_notional_by_category": { "entry": 4283744.357569284, "exit": 4084610.1263302024, "resize": 320629.7831137683 }, "transaction_cost": 4344.492133506627, "transaction_cost_over_anchor_nav": 0.0011122058073838204, "two_sided_turnover": 2.0304033010692386 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666222296283953, "annualized_volatility": 0.16209590530108403, "cagr": 0.15164159756586781, "end_nav": 5312086.502162099, "end_session": "2021-12-31", "fee_by_category": { "entry": 3439.163677027438, "exit": 3357.666331003258, "resize": 84.9382301432672 }, "max_cash_weight": 0.0, "max_drawdown": -0.08392539994685488, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4612621.247261152, "start_session": "2020-12-31", "total_return": 0.15164159756586781, "traded_notional_by_category": { "entry": 6878327.354054877, "exit": 6715332.662006517, "resize": 169876.4602865344 }, "transaction_cost": 6881.768238173964, "transaction_cost_over_anchor_nav": 0.0014919430556454576, "two_sided_turnover": 2.666222296283953 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3650245094379754, "annualized_volatility": 0.20467557534151917, "cagr": 0.15129553995657563, "end_nav": 6115781.497802751, "end_session": "2022-12-30", "fee_by_category": { "entry": 2030.5461832166823, "exit": 1666.1880994397309, "resize": 466.56182685146996 }, "max_cash_weight": 0.0, "max_drawdown": -0.1381109595439538, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 5312086.502162099, "start_session": "2021-12-31", "total_return": 0.15129553995657563, "traded_notional_by_category": { "entry": 4061092.3664333643, "exit": 3332376.1988794617, "resize": 933123.6537029399 }, "transaction_cost": 4163.296109507884, "transaction_cost_over_anchor_nav": 0.0007837402700075309, "two_sided_turnover": 1.3650245094379754 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3331111481419766, "annualized_volatility": 0.12085791010578838, "cagr": 0.039386562966964966, "end_nav": 6356661.110858158, "end_session": "2023-12-29", "fee_by_category": { "entry": 2920.5709759158176, "exit": 3843.48909283832, "resize": 102.35390514936472 }, "max_cash_weight": 0.33257975178787796, "max_drawdown": -0.11107670411485471, "mean_cash_weight": 0.025995233334284874, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 6115781.497802751, "start_session": "2022-12-30", "total_return": 0.039386562966964966, "traded_notional_by_category": { "entry": 5841141.951831635, "exit": 7686978.18567664, "resize": 204707.81029872946 }, "transaction_cost": 6866.413973903503, "transaction_cost_over_anchor_nav": 0.001122736967690954, "two_sided_turnover": 2.3331111481419766 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.353732385243429, "annualized_volatility": 0.12397622415537542, "cagr": 0.10110942567185921, "end_nav": 6999379.464967669, "end_session": "2024-12-31", "fee_by_category": { "entry": 4527.079346895707, "exit": 3391.8456662806757, "resize": 117.41303455397976 }, "max_cash_weight": 0.3303819496522575, "max_drawdown": -0.08308923569531734, "mean_cash_weight": 0.1316909777079487, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 6356661.110858158, "start_session": "2023-12-29", "total_return": 0.10110942567185921, "traded_notional_by_category": { "entry": 9054158.693791414, "exit": 6783691.332561351, "resize": 234826.0691079595 }, "transaction_cost": 8036.338047730362, "transaction_cost_over_anchor_nav": 0.0012642388681068835, "two_sided_turnover": 2.353732385243429 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0028010414741733, "annualized_volatility": 0.15521406863904536, "cagr": 0.12300603867728666, "end_nav": 7860345.406152488, "end_session": "2025-12-31", "fee_by_category": { "entry": 3879.1388438356253, "exit": 3796.208852353398, "resize": 97.75879551545508 }, "max_cash_weight": 1.259305299808137e-16, "max_drawdown": -0.13253070673029044, "mean_cash_weight": 7.125689699047859e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 6999379.464967669, "start_session": "2024-12-31", "total_return": 0.12300603867728666, "traded_notional_by_category": { "entry": 7758277.687671251, "exit": 7592417.7047067955, "resize": 195517.59103091015 }, "transaction_cost": 7773.10649170448, "transaction_cost_over_anchor_nav": 0.0011105422317234496, "two_sided_turnover": 2.0028010414741733 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9624545093762784, "annualized_volatility": 0.1716483157152735, "cagr": 0.08833702143773059, "end_nav": 7860345.406152488, "end_session": "2025-12-31", "fee_by_category": { "entry": 34440.83735139906, "exit": 33351.691569780996, "resize": 1554.5745940816882 }, "max_cash_weight": 1.0, "max_drawdown": -0.4501957875020155, "mean_cash_weight": 0.08620138603427333, "nonzero_trade_event_count": 49, "order_count": 210, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 947014.3619518823, "start_session": "2000-12-29", "total_return": 7.300133262975658, "traded_notional_by_category": { "entry": 68881674.70279811, "exit": 66703383.13956199, "resize": 3109149.1881633764 }, "transaction_cost": 69347.10351526174, "transaction_cost_over_anchor_nav": 0.073227087467112, "two_sided_turnover": 49.06136273440696 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 9607465.25000791, "end_session": "2026-10-02", "fee_by_category": { "entry": 1523.5387026393028, "exit": 1298.2099912211265, "resize": 300.6168759956716 }, "max_cash_weight": 1.194085742374337e-16, "max_drawdown": -0.07924200268947601, "mean_cash_weight": 6.013491893853698e-17, "nonzero_trade_event_count": 1, "order_count": 4, "rebalance_count": 1, "scheduled_reset_count": 1, "session_count": 189, "start_nav": 7860345.406152488, "start_session": "2025-12-31", "total_return": 0.22227011073685254, "traded_notional_by_category": { "entry": 3047077.4052786054, "exit": 2596419.982442253, "resize": 601233.7519913432 }, "transaction_cost": 3122.3655698561006, "transaction_cost_over_anchor_nav": 0.0003972300717742184, "two_sided_turnover": 0.6829056205246428 } }, "monthly_risk": { "beta_intercept_per_month": 0.0016864407405744828, "beta_to_SPY_excess_returns": 0.7305211327433134, "monthly_return_volatility_annualized": 0.13948635278097027, "months": 300, "sharpe_monthly_annualized": 0.5559758637018961, "tracking_error_monthly_annualized": 0.09516359065290281 }, "phase": [ 5, 11 ], "policy": "A", "run_id": "S12-05-11-5bps", "signal": "12-1" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666666666666666, "annualized_volatility": 0.1676260744232431, "cagr": -0.13846018363367196, "end_nav": 765405.417514017, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7070232803752893e-16, "max_drawdown": -0.2323654374058972, "mean_cash_weight": 7.55028675594312e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 888415.6053776224, "start_session": "2000-12-29", "total_return": -0.13846018363367196, "traded_notional_by_category": { "entry": 1135090.27361212, "exit": 1036466.6180060909, "resize": 98623.65560602915 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.666666666666666 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3772624706342156, "annualized_volatility": 0.2337091791727893, "cagr": -0.09465890715821912, "end_nav": 692952.9771591597, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3445696232271597, "max_drawdown": -0.23536949014942665, "mean_cash_weight": 0.15982759350329037, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 765405.417514017, "start_session": "2001-12-31", "total_return": -0.09465890715821912, "traded_notional_by_category": { "entry": 512439.2096654475, "exit": 496235.32425425696, "resize": 46492.34568182999 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3772624706342156 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0202372104633124, "annualized_volatility": 0.08736540565008588, "cagr": 0.12953486375471734, "end_nav": 782714.5466438972, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6810947135698503, "max_drawdown": -0.04169142960681338, "mean_cash_weight": 0.4893903417023802, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 692952.9771591597, "start_session": "2002-12-31", "total_return": 0.12953486375471734, "traded_notional_by_category": { "entry": 240355.2001411914, "exit": 446411.81894736993, "resize": 34298.58133501283 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.0202372104633124 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 3.026865389220596, "annualized_volatility": 0.12483639034357191, "cagr": 0.11631677521770256, "end_nav": 873757.3786255014, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.525799736982664e-16, "max_drawdown": -0.07785926120443976, "mean_cash_weight": 7.2167926872579e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 782714.5466438972, "start_session": "2003-12-31", "total_return": 0.11631677521770256, "traded_notional_by_category": { "entry": 1321523.6497905203, "exit": 1069582.2133081644, "resize": 11586.236341164797 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.026865389220596 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7648733640893619, "annualized_volatility": 0.1446537459068333, "cagr": 0.20080536701837604, "end_nav": 1049212.5497254094, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3771365665480307e-16, "max_drawdown": -0.10165702414212663, "mean_cash_weight": 6.244119967659136e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 873757.3786255014, "start_session": "2004-12-31", "total_return": 0.20080536701837604, "traded_notional_by_category": { "entry": 292047.61411037133, "exit": 272747.54192270845, "resize": 115453.68003250682 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.7648733640893619 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0602020083561263, "annualized_volatility": 0.1295187883667511, "cagr": 0.1766870823984934, "end_nav": 1234594.853952276, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.196590462624156e-16, "max_drawdown": -0.07714839270607621, "mean_cash_weight": 1.0594255820396177e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1049212.5497254094, "start_session": "2005-12-30", "total_return": 0.1766870823984934, "traded_notional_by_category": { "entry": 1099972.6567012616, "exit": 1109453.70291821, "resize": 55443.399132195045 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0602020083561263 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3333333333333335, "annualized_volatility": 0.1332293707476057, "cagr": 0.1103663980005185, "end_nav": 1370852.640972965, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.07209495222335638, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1234594.853952276, "start_session": "2006-12-29", "total_return": 0.1103663980005185, "traded_notional_by_category": { "entry": 2115668.266604211, "exit": 2096370.7367263278, "resize": 19297.529877883382 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.3333333333333335 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.047244708182374, "annualized_volatility": 0.3639275040412744, "cagr": -0.320047250676439, "end_nav": 932115.022147032, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8873355757389606e-16, "max_drawdown": -0.4275667515759598, "mean_cash_weight": 8.624912644081144e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1370852.640972965, "start_session": "2007-12-31", "total_return": -0.320047250676439, "traded_notional_by_category": { "entry": 1374525.626211254, "exit": 1346364.6149685313, "resize": 93276.09758092277 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.047244708182374 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0, "annualized_volatility": 0.005705836109142659, "cagr": 0.005705836109142659, "end_nav": 937433.5176982728, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": 0.0, "mean_cash_weight": 1.0, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 932115.022147032, "start_session": "2008-12-31", "total_return": 0.005705836109142659, "traded_notional_by_category": { "entry": 0.0, "exit": 937433.5176982728, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.333333333333333, "annualized_volatility": 0.1929610201188635, "cagr": 0.13142546621767526, "end_nav": 1060636.1548098437, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3806106074538774e-16, "max_drawdown": -0.1814324869524252, "mean_cash_weight": 1.2271445532243505e-16, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 937433.5176982728, "start_session": "2009-12-31", "total_return": 0.13142546621767526, "traded_notional_by_category": { "entry": 1504150.4734743568, "exit": 542925.2559358694, "resize": 23791.699840214802 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.333333333333333 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3783642044821867, "annualized_volatility": 0.2079118411015259, "cagr": 0.0700677653769608, "end_nav": 1134952.5600553819, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.166203141675641, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1060636.1548098437, "start_session": "2010-12-31", "total_return": 0.0700677653769608, "traded_notional_by_category": { "entry": 763420.6035753238, "exit": 763705.7390092837, "resize": 47792.969987865305 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3783642044821867 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3533378128047986, "annualized_volatility": 0.09005854520197867, "cagr": 0.08509840163096505, "end_nav": 1231535.2088430668, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.08188621528022844, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1134952.5600553819, "start_session": "2011-12-30", "total_return": 0.08509840163096505, "traded_notional_by_category": { "entry": 793749.3570858375, "exit": 782018.2499619308, "resize": 36102.13916916482 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3533378128047986 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0, "annualized_volatility": 0.11645651879770275, "cagr": 0.3807982686782123, "end_nav": 1700501.6841867673, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.054685329516608205, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1231535.2088430668, "start_session": "2012-12-31", "total_return": 0.3807982686782123, "traded_notional_by_category": { "entry": 1324153.931953511, "exit": 1302718.570534944, "resize": 21435.361418567074 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.004347959319586, "annualized_volatility": 0.1270794700743712, "cagr": 0.1005927097005479, "end_nav": 1871559.7564494596, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4468907229299877e-16, "max_drawdown": -0.08838849122824954, "mean_cash_weight": 6.659459517372864e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1700501.6841867673, "start_session": "2013-12-31", "total_return": 0.1005927097005479, "traded_notional_by_category": { "entry": 1761938.202513986, "exit": 1748872.5396241741, "resize": 20867.61035837687 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.004347959319586 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.333333333333333, "annualized_volatility": 0.15958317956250162, "cagr": 0.0060090944360775556, "end_nav": 1882806.1357687267, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3697997011207935e-16, "max_drawdown": -0.12419653987844537, "mean_cash_weight": 6.366211529739955e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1871559.7564494596, "start_session": "2014-12-31", "total_return": 0.0060090944360775556, "traded_notional_by_category": { "entry": 3124642.5138216564, "exit": 3058255.248326789, "resize": 66387.26549486758 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.333333333333333 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3607051948545774, "annualized_volatility": 0.1406678480943918, "cagr": 0.015437542989989561, "end_nav": 1911872.0364314725, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2804163151450682e-16, "max_drawdown": -0.11236286190226075, "mean_cash_weight": 6.173621591898654e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1882806.1357687267, "start_session": "2015-12-31", "total_return": 0.015437542989989561, "traded_notional_by_category": { "entry": 1270345.801091115, "exit": 1263065.0913257091, "resize": 57903.71011120791 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3607051948545774 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 3.333333333333333, "annualized_volatility": 0.0917098559524203, "cagr": 0.1445020111797639, "end_nav": 2188141.390814171, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2531445016571556e-16, "max_drawdown": -0.05981246498891646, "mean_cash_weight": 1.182997776884934e-16, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1911872.0364314725, "start_session": "2016-12-30", "total_return": 0.1445020111797639, "traded_notional_by_category": { "entry": 3205090.1808081483, "exit": 3145949.345114286, "resize": 59140.83569386217 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.333333333333333 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3484129527128885, "annualized_volatility": 0.19395257133386867, "cagr": -0.07593873406426987, "end_nav": 2021976.7036421122, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.24498573757296316, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2188141.390814171, "start_session": "2017-12-29", "total_return": -0.07593873406426987, "traded_notional_by_category": { "entry": 1510312.8342008735, "exit": 1459932.805710474, "resize": 83504.29489287734 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3484129527128885 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.046291413207307, "annualized_volatility": 0.0986126104823832, "cagr": 0.26203810389082305, "end_nav": 2551811.6451759078, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.1846041317696518e-16, "max_drawdown": -0.03893686416122766, "mean_cash_weight": 5.232480806474468e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2021976.7036421122, "start_session": "2018-12-31", "total_return": 0.26203810389082305, "traded_notional_by_category": { "entry": 2096828.0596484502, "exit": 2109733.190919755, "resize": 94441.89789130387 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.046291413207307 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.004631605671417, "annualized_volatility": 0.33593608704336886, "cagr": 0.20748735987209543, "end_nav": 3081280.3063243255, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.3035234720069214, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2551811.6451759078, "start_session": "2019-12-31", "total_return": 0.20748735987209543, "traded_notional_by_category": { "entry": 2541416.3898257576, "exit": 2420461.6497502704, "resize": 132799.95560922474 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.004631605671417 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0, "annualized_volatility": 0.1596131925996121, "cagr": 0.2131032104982895, "end_nav": 3737911.032047192, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3879358623352984e-16, "max_drawdown": -0.06846003855882754, "mean_cash_weight": 6.606135204653956e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3081280.3063243255, "start_session": "2020-12-31", "total_return": 0.2131032104982895, "traded_notional_by_category": { "entry": 3364362.3913128735, "exit": 3279416.302881903, "resize": 84946.08843097067 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666666666666666, "annualized_volatility": 0.22909457025681174, "cagr": 0.05209813378834971, "end_nav": 3932649.221083735, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3107066938480774e-16, "max_drawdown": -0.19098766968340697, "mean_cash_weight": 5.860128913244931e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3737911.032047192, "start_session": "2021-12-31", "total_return": 0.05209813378834971, "traded_notional_by_category": { "entry": 4887056.700317483, "exit": 4412700.360232752, "resize": 474356.3400847302 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.666666666666666 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.078507760086579, "annualized_volatility": 0.13781102227480818, "cagr": 0.039852501278710095, "end_nav": 4089375.129195693, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.14375834069957416, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 3932649.221083735, "start_session": "2022-12-30", "total_return": 0.039852501278710095, "traded_notional_by_category": { "entry": 3792531.2516923426, "exit": 3792531.251692342, "resize": 308338.90043914015 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.078507760086579 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6941474372592553, "annualized_volatility": 0.14697771872799192, "cagr": 0.20493629141045533, "end_nav": 4927436.50235921, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.09040645903286804, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4089375.129195693, "start_session": "2023-12-29", "total_return": 0.20493629141045533, "traded_notional_by_category": { "entry": 1495484.3742365532, "exit": 1395234.2119248307, "resize": 216255.59441730077 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.6941474372592553 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6869509469909604, "annualized_volatility": 0.1569447272684388, "cagr": 0.16771095775575628, "end_nav": 5753821.597450547, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.1323494469373061, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4927436.50235921, "start_session": "2024-12-31", "total_return": 0.16771095775575628, "traded_notional_by_category": { "entry": 1653565.987828568, "exit": 1552220.3975553673, "resize": 207912.2940075372 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.6869509469909604 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9167619642000884, "annualized_volatility": 0.1754081993553866, "cagr": 0.07759013906725132, "end_nav": 5753821.597450547, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.4275667515759598, "mean_cash_weight": 0.06610512480862561, "nonzero_trade_event_count": 49, "order_count": 211, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 888415.6053776224, "start_session": "2000-12-29", "total_return": 5.476497669134117, "traded_notional_by_category": { "entry": 43180671.55022322, "exit": 41840806.29925061, "resize": 2410448.4834347563 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 47.91904910500221 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6740894.060068383, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6039764039418993e-16, "max_drawdown": -0.08133689214735507, "mean_cash_weight": 1.0051716835886547e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 5753821.597450547, "start_session": "2025-12-31", "total_return": 0.1715507590737948, "traded_notional_by_category": { "entry": 6155018.865249962, "exit": 5968749.145599599, "resize": 186269.71965036308 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0 } }, "monthly_risk": { "beta_intercept_per_month": 0.000748284525670084, "beta_to_SPY_excess_returns": 0.7481543502837845, "monthly_return_volatility_annualized": 0.14011996483845604, "months": 300, "sharpe_monthly_annualized": 0.4836037126539635, "tracking_error_monthly_annualized": 0.09163417458156706 }, "phase": [ 6, 12 ], "policy": "A", "run_id": "S12-06-12-0bps", "signal": "12-1" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778073975342, "annualized_volatility": 0.16760188290299494, "cagr": -0.14075532698023163, "end_nav": 762072.5839580487, "end_session": "2001-12-31", "fee_by_category": { "entry": 1130.9385262105866, "exit": 1034.0101651613677, "resize": 99.19250224283378 }, "max_cash_weight": 1.7144887431007752e-16, "max_drawdown": -0.23441041701735355, "mean_cash_weight": 7.583307034571559e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 886909.8731561365, "start_session": "2000-12-29", "total_return": -0.14075532698023163, "traded_notional_by_category": { "entry": 1130938.5262105868, "exit": 1034010.1651613677, "resize": 99192.50224283378 }, "transaction_cost": 2264.1411936147883, "transaction_cost_over_anchor_nav": 0.0025528424726603493, "two_sided_turnover": 2.665778073975342 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3771367583814218, "annualized_volatility": 0.23375949254536577, "cagr": -0.0959053442186395, "end_nav": 688985.750473964, "end_session": "2002-12-31", "fee_by_category": { "entry": 509.6008572688306, "exit": 494.07454814464563, "resize": 46.509288887291916 }, "max_cash_weight": 0.3445696232271597, "max_drawdown": -0.23565786042127124, "mean_cash_weight": 0.15982759350329034, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 762072.5839580487, "start_session": "2001-12-31", "total_return": -0.0959053442186395, "traded_notional_by_category": { "entry": 509600.8572688306, "exit": 494074.54814464564, "resize": 46509.288887291914 }, "transaction_cost": 1050.1846943007681, "transaction_cost_over_anchor_nav": 0.0013780638700402056, "two_sided_turnover": 1.3771367583814218 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0204595067843083, "annualized_volatility": 0.08721466218410306, "cagr": 0.12838248550037035, "end_nav": 777439.4535941496, "end_session": "2003-12-31", "fee_by_category": { "entry": 238.73532984342836, "exit": 443.85606561476254, "resize": 34.33151698453683 }, "max_cash_weight": 0.6810947135698503, "max_drawdown": -0.04169142960681349, "mean_cash_weight": 0.4893903417023802, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 688985.750473964, "start_session": "2002-12-31", "total_return": 0.12838248550037035, "traded_notional_by_category": { "entry": 238735.32984342836, "exit": 443856.06561476254, "resize": 34331.51698453684 }, "transaction_cost": 716.9229124427277, "transaction_cost_over_anchor_nav": 0.0010405482434862336, "two_sided_turnover": 1.0204595067843083 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 3.0247292526592626, "annualized_volatility": 0.12508431272475698, "cagr": 0.1129427365461746, "end_nav": 865245.5929820355, "end_session": "2004-12-31", "fee_by_category": { "entry": 1309.6864589724814, "exit": 1061.4904370374445, "resize": 11.84371270031872 }, "max_cash_weight": 0.0, "max_drawdown": -0.07785926120443987, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 777439.4535941496, "start_session": "2003-12-31", "total_return": 0.1129427365461746, "traded_notional_by_category": { "entry": 1309686.4589724815, "exit": 1061490.4370374444, "resize": 11843.71270031872 }, "transaction_cost": 2383.020608710245, "transaction_cost_over_anchor_nav": 0.003065216973094685, "two_sided_turnover": 3.0247292526592626 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7651284068916592, "annualized_volatility": 0.1447229556051778, "cagr": 0.19988667539144722, "end_nav": 1038196.6579603158, "end_session": "2005-12-30", "fee_by_category": { "entry": 289.0097401337612, "exit": 270.0905473514233, "resize": 114.68293900617672 }, "max_cash_weight": 0.0, "max_drawdown": -0.10165702414212674, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 865245.5929820355, "start_session": "2004-12-31", "total_return": 0.19988667539144722, "traded_notional_by_category": { "entry": 289009.7401337612, "exit": 270090.5473514233, "resize": 114682.93900617672 }, "transaction_cost": 673.7832264913613, "transaction_cost_over_anchor_nav": 0.0007787190503556262, "two_sided_turnover": 0.7651284068916592 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.058612795808613, "annualized_volatility": 0.12929680850201905, "cagr": 0.17426586153542156, "end_nav": 1219118.8930029657, "end_session": "2006-12-29", "fee_by_category": { "entry": 1086.6533838798114, "exit": 1097.2741927426218, "resize": 54.35042025276675 }, "max_cash_weight": 0.0, "max_drawdown": -0.07714839270607632, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1038196.6579603158, "start_session": "2005-12-30", "total_return": 0.17426586153542156, "traded_notional_by_category": { "entry": 1086653.3838798113, "exit": 1097274.1927426218, "resize": 54350.42025276675 }, "transaction_cost": 2238.2779968751997, "transaction_cost_over_anchor_nav": 0.0021559287247876653, "two_sided_turnover": 2.058612795808613 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.330891034989669, "annualized_volatility": 0.1330260855172936, "cagr": 0.10667084555322948, "end_nav": 1349163.336149509, "end_session": "2007-12-31", "fee_by_category": { "entry": 2083.8216784030046, "exit": 2068.399923296042, "resize": 19.5935702789409 }, "max_cash_weight": 0.0, "max_drawdown": -0.0733317466889033, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1219118.8930029657, "start_session": "2006-12-29", "total_return": 0.10667084555322948, "traded_notional_by_category": { "entry": 2083821.6784030045, "exit": 2068399.9232960418, "resize": 19593.570278940897 }, "transaction_cost": 4171.815171977987, "transaction_cost_over_anchor_nav": 0.0034219920599391765, "two_sided_turnover": 3.330891034989669 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0465625206754825, "annualized_volatility": 0.3639394249542043, "cagr": -0.32143816968563943, "end_nav": 915490.7427706397, "end_session": "2008-12-31", "fee_by_category": { "entry": 1350.6528488597414, "exit": 1324.4803081863768, "resize": 92.29488926571597 }, "max_cash_weight": 0.0, "max_drawdown": -0.42797528200654134, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1349163.336149509, "start_session": "2007-12-31", "total_return": -0.32143816968563943, "traded_notional_by_category": { "entry": 1350652.8488597414, "exit": 1324480.3081863767, "resize": 92294.88926571596 }, "transaction_cost": 2767.428046311834, "transaction_cost_over_anchor_nav": 0.0020512179453453204, "two_sided_turnover": 2.0465625206754825 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0, "annualized_volatility": 0.004700130273033621, "cagr": 0.00470013027303362, "end_nav": 919793.668525418, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 920.7143829083263, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": 0.0, "mean_cash_weight": 1.0, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 915490.7427706397, "start_session": "2008-12-31", "total_return": 0.00470013027303362, "traded_notional_by_category": { "entry": 0.0, "exit": 920714.3829083263, "resize": 0.0 }, "transaction_cost": 920.7143829083263, "transaction_cost_over_anchor_nav": 0.0010057058361091428, "two_sided_turnover": 1.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.33189003598867, "annualized_volatility": 0.1929204260674242, "cagr": 0.12878861300458055, "end_nav": 1038252.6193452015, "end_session": "2010-12-31", "fee_by_category": { "entry": 1473.6318243058035, "exit": 532.1767604221372, "resize": 23.690894837813683 }, "max_cash_weight": 0.0, "max_drawdown": -0.18252354661660075, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 919793.668525418, "start_session": "2009-12-31", "total_return": 0.12878861300458055, "traded_notional_by_category": { "entry": 1473631.8243058035, "exit": 532176.7604221372, "resize": 23690.894837813685 }, "transaction_cost": 2029.4994795657542, "transaction_cost_over_anchor_nav": 0.0022064725481524337, "two_sided_turnover": 2.33189003598867 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3774367611529843, "annualized_volatility": 0.2078459189238766, "cagr": 0.06859387823760521, "end_nav": 1109470.393096441, "end_session": "2011-12-30", "fee_by_category": { "entry": 746.2801415288287, "exit": 747.5552832903838, "resize": 46.73965452384233 }, "max_cash_weight": 0.0, "max_drawdown": -0.16620314167564088, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1038252.6193452015, "start_session": "2010-12-31", "total_return": 0.06859387823760521, "traded_notional_by_category": { "entry": 746280.1415288287, "exit": 747555.2832903839, "resize": 46739.65452384233 }, "transaction_cost": 1540.5750793430548, "transaction_cost_over_anchor_nav": 0.0014838152590596445, "two_sided_turnover": 1.3774367611529843 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3528868505212919, "annualized_volatility": 0.09000009327455105, "cagr": 0.08363088273768127, "end_nav": 1202256.3814424186, "end_session": "2012-12-31", "fee_by_category": { "entry": 775.1342557201381, "exit": 764.1848130212891, "resize": 35.28467937576113 }, "max_cash_weight": 0.0, "max_drawdown": -0.08188621528022844, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1109470.393096441, "start_session": "2011-12-30", "total_return": 0.08363088273768127, "traded_notional_by_category": { "entry": 775134.2557201381, "exit": 764184.813021289, "resize": 35284.67937576113 }, "transaction_cost": 1574.6037481171884, "transaction_cost_over_anchor_nav": 0.0014192390873294044, "two_sided_turnover": 1.3528868505212919 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9997779999753331, "annualized_volatility": 0.11620371910167887, "cagr": 0.37803820605448135, "end_nav": 1656755.2271004627, "end_session": "2013-12-31", "fee_by_category": { "entry": 1290.6326327662755, "exit": 1271.1273473237811, "resize": 22.089134557141282 }, "max_cash_weight": 0.0, "max_drawdown": -0.054685329516608316, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1202256.3814424186, "start_session": "2012-12-31", "total_return": 0.37803820605448135, "traded_notional_by_category": { "entry": 1290632.6327662757, "exit": 1271127.3473237809, "resize": 22089.134557141282 }, "transaction_cost": 2583.849114647198, "transaction_cost_over_anchor_nav": 0.0021491664794053332, "two_sided_turnover": 1.9997779999753331 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.003233910692877, "annualized_volatility": 0.12705865118371157, "cagr": 0.0983889459038998, "end_nav": 1819761.6275156531, "end_session": "2014-12-31", "fee_by_category": { "entry": 1713.9100094235373, "exit": 1703.101927120394, "resize": 20.285093206824385 }, "max_cash_weight": 0.0, "max_drawdown": -0.08838849122824965, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1656755.2271004627, "start_session": "2013-12-31", "total_return": 0.0983889459038998, "traded_notional_by_category": { "entry": 1713910.0094235372, "exit": 1703101.927120394, "resize": 20285.093206824386 }, "transaction_cost": 3437.2970297507554, "transaction_cost_over_anchor_nav": 0.0020747162728235193, "two_sided_turnover": 2.003233910692877 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.330891034989669, "annualized_volatility": 0.1595457492724442, "cagr": 0.0026608668801706425, "end_nav": 1824603.770960115, "end_session": "2015-12-31", "fee_by_category": { "entry": 3030.481816476565, "exit": 2971.3222012187744, "resize": 65.22664592140762 }, "max_cash_weight": 0.0, "max_drawdown": -0.1253638887089974, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1819761.6275156531, "start_session": "2014-12-31", "total_return": 0.0026608668801706425, "traded_notional_by_category": { "entry": 3030481.816476565, "exit": 2971322.2012187745, "resize": 65226.64592140762 }, "transaction_cost": 6067.030663616747, "transaction_cost_over_anchor_nav": 0.0033339699946852296, "two_sided_turnover": 3.330891034989669 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3602700255050872, "annualized_volatility": 0.14069809961458918, "cagr": 0.014056310796712879, "end_nav": 1850250.9686455848, "end_session": "2016-12-30", "fee_by_category": { "entry": 1229.4016043933782, "exit": 1223.9869962058478, "resize": 56.95034443554701 }, "max_cash_weight": 0.0, "max_drawdown": -0.11238716628454659, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1824603.770960115, "start_session": "2015-12-31", "total_return": 0.014056310796712879, "traded_notional_by_category": { "entry": 1229401.6043933781, "exit": 1223986.9962058477, "resize": 56950.34443554701 }, "transaction_cost": 2510.3389450347727, "transaction_cost_over_anchor_nav": 0.0013758268973179974, "two_sided_turnover": 1.3602700255050872 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 3.330891034989669, "annualized_volatility": 0.0917463481455176, "cagr": 0.14069284763162404, "end_nav": 2110568.046257503, "end_session": "2017-12-29", "fee_by_category": { "entry": 3093.9309046779053, "exit": 3042.1749128808383, "resize": 57.950047662288185 }, "max_cash_weight": 1.297471787000062e-16, "max_drawdown": -0.05981246498891668, "mean_cash_weight": 6.301432253881142e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1850250.9686455848, "start_session": "2016-12-30", "total_return": 0.14069284763162404, "traded_notional_by_category": { "entry": 3093930.904677905, "exit": 3042174.9128808384, "resize": 57950.04766228818 }, "transaction_cost": 6194.055865221032, "transaction_cost_over_anchor_nav": 0.0033476841629517893, "two_sided_turnover": 3.330891034989669 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3484080759962147, "annualized_volatility": 0.19391092815315109, "cagr": -0.07718432575436818, "end_nav": 1947665.2746484033, "end_session": "2018-12-31", "fee_by_category": { "entry": 1455.2766797471963, "exit": 1407.6908355362011, "resize": 81.51763794205047 }, "max_cash_weight": 0.0, "max_drawdown": -0.24498573757296327, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2110568.046257503, "start_session": "2017-12-29", "total_return": -0.07718432575436818, "traded_notional_by_category": { "entry": 1455276.6797471961, "exit": 1407690.835536201, "resize": 81517.63794205047 }, "transaction_cost": 2944.485153225448, "transaction_cost_over_anchor_nav": 0.0013951150063352194, "two_sided_turnover": 1.3484080759962147 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0451348710276047, "annualized_volatility": 0.0987904834345786, "cagr": 0.25945826386513016, "end_nav": 2453003.12539908, "end_session": "2019-12-31", "fee_by_category": { "entry": 2016.5439684200296, "exit": 2031.1352037395231, "resize": 90.69269340734778 }, "max_cash_weight": 0.0, "max_drawdown": -0.03893686416122766, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1947665.2746484033, "start_session": "2018-12-31", "total_return": 0.25945826386513016, "traded_notional_by_category": { "entry": 2016543.9684200296, "exit": 2031135.203739523, "resize": 90692.69340734778 }, "transaction_cost": 4138.3718655669, "transaction_cost_over_anchor_nav": 0.0021247859780803287, "two_sided_turnover": 2.0451348710276047 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.003516681681061, "annualized_volatility": 0.3359291139830209, "cagr": 0.20506921814309842, "end_nav": 2956038.5584272463, "end_session": "2020-12-31", "fee_by_category": { "entry": 2439.209502256939, "exit": 2325.732133968738, "resize": 127.55815568926907 }, "max_cash_weight": 0.0, "max_drawdown": -0.30352347200692154, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2453003.12539908, "start_session": "2019-12-31", "total_return": 0.20506921814309842, "traded_notional_by_category": { "entry": 2439209.5022569383, "exit": 2325732.1339687374, "resize": 127558.15568926907 }, "transaction_cost": 4892.4997919149455, "transaction_cost_over_anchor_nav": 0.001994493908815947, "two_sided_turnover": 2.003516681681061 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9997779999753331, "annualized_volatility": 0.15965379192595514, "cagr": 0.21067835170032012, "end_nav": 3578811.8894792893, "end_session": "2021-12-31", "fee_by_category": { "entry": 3222.482015361691, "exit": 3144.6399282020334, "resize": 84.29350260582694 }, "max_cash_weight": 0.0, "max_drawdown": -0.06846003855882754, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2956038.5584272463, "start_session": "2020-12-31", "total_return": 0.21067835170032012, "traded_notional_by_category": { "entry": 3222482.015361691, "exit": 3144639.928202033, "resize": 84293.50260582694 }, "transaction_cost": 6451.415446169551, "transaction_cost_over_anchor_nav": 0.0021824530765261778, "two_sided_turnover": 1.9997779999753331 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6657780739753414, "annualized_volatility": 0.2289096528007686, "cagr": 0.04929534280200065, "end_nav": 3755230.6483950466, "end_session": "2022-12-30", "fee_by_category": { "entry": 4669.767924281818, "exit": 4222.433366953848, "resize": 456.68344206126733 }, "max_cash_weight": 1.4232652522610548e-16, "max_drawdown": -0.19206599334927377, "mean_cash_weight": 6.567676341296668e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3578811.8894792893, "start_session": "2021-12-31", "total_return": 0.04929534280200065, "traded_notional_by_category": { "entry": 4669767.924281818, "exit": 4222433.366953848, "resize": 456683.4420612673 }, "transaction_cost": 9348.884733296933, "transaction_cost_over_anchor_nav": 0.002612287267956176, "two_sided_turnover": 2.6657780739753414 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.076483597555393, "annualized_volatility": 0.1378219772903549, "cagr": 0.037693427671447344, "end_nav": 3896778.163229928, "end_session": "2023-12-29", "fee_by_category": { "entry": 3613.9147175447524, "exit": 3621.1497820443415, "resize": 294.3303079758822 }, "max_cash_weight": 0.0, "max_drawdown": -0.14546911324562906, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 3755230.6483950466, "start_session": "2022-12-30", "total_return": 0.037693427671447344, "traded_notional_by_category": { "entry": 3613914.717544752, "exit": 3621149.7820443413, "resize": 294330.3079758822 }, "transaction_cost": 7529.394807564976, "transaction_cost_over_anchor_nav": 0.0020050419035600314, "two_sided_turnover": 2.076483597555393 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6939161318819613, "annualized_volatility": 0.1469869270319297, "cagr": 0.20410018051442536, "end_nav": 4692111.289769827, "end_session": "2024-12-31", "fee_by_category": { "entry": 1424.0628190074158, "exit": 1329.5004310176455, "resize": 206.04638363103334 }, "max_cash_weight": 1.2375893716755985e-16, "max_drawdown": -0.09040645903286804, "mean_cash_weight": 5.642495352160627e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3896778.163229928, "start_session": "2023-12-29", "total_return": 0.20410018051442536, "traded_notional_by_category": { "entry": 1424062.8190074158, "exit": 1329500.4310176454, "resize": 206046.38363103336 }, "transaction_cost": 2959.6096336560945, "transaction_cost_over_anchor_nav": 0.0007595016985013483, "two_sided_turnover": 0.6939161318819613 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6867220396444124, "annualized_volatility": 0.15694572698434267, "cagr": 0.1669090748540072, "end_nav": 5475267.244257351, "end_session": "2025-12-31", "fee_by_category": { "entry": 1573.5333414081422, "exit": 1478.089235263291, "resize": 197.91694190820493 }, "max_cash_weight": 0.0, "max_drawdown": -0.1323494469373061, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4692111.289769827, "start_session": "2024-12-31", "total_return": 0.1669090748540072, "traded_notional_by_category": { "entry": 1573533.3414081421, "exit": 1478089.2352632908, "resize": 197916.94190820493 }, "transaction_cost": 3249.5395185796383, "transaction_cost_over_anchor_nav": 0.0006925538031599086, "two_sided_turnover": 0.6867220396444124 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9158525390287466, "annualized_volatility": 0.17538480706890838, "cagr": 0.07552629644959752, "end_nav": 5475267.244257351, "end_session": "2025-12-31", "fee_by_category": { "entry": 41767.29298089206, "exit": 40530.391728652074, "resize": 2340.054399360089 }, "max_cash_weight": 1.0, "max_drawdown": -0.42797528200654134, "mean_cash_weight": 0.06610512480862558, "nonzero_trade_event_count": 49, "order_count": 211, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 886909.8731561365, "start_session": "2000-12-29", "total_return": 5.173420107246292, "traded_notional_by_category": { "entry": 41767292.98089206, "exit": 40530391.728652075, "resize": 2340054.399360089 }, "transaction_cost": 84637.73910890422, "transaction_cost_over_anchor_nav": 0.09542992097687938, "two_sided_turnover": 47.896313475718664 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6401731.5150063, "end_session": "2026-10-02", "fee_by_category": { "entry": 5847.772472059412, "exit": 5677.215850890908, "resize": 182.26387336481804 }, "max_cash_weight": 0.0, "max_drawdown": -0.08133689214735518, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 5475267.244257351, "start_session": "2025-12-31", "total_return": 0.16920895901851307, "traded_notional_by_category": { "entry": 5847772.472059412, "exit": 5677215.850890907, "resize": 182263.87336481805 }, "transaction_cost": 11707.252196315138, "transaction_cost_over_anchor_nav": 0.002138206533862636, "two_sided_turnover": 1.9997779999753331 } }, "monthly_risk": { "beta_intercept_per_month": 0.0005887161508205119, "beta_to_SPY_excess_returns": 0.7479319477912321, "monthly_return_volatility_annualized": 0.14008654468979975, "months": 300, "sharpe_monthly_annualized": 0.4699422030490464, "tracking_error_monthly_annualized": 0.09163844369892057 }, "phase": [ 6, 12 ], "policy": "A", "run_id": "S12-06-12-10bps", "signal": "12-1" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664446294754372, "annualized_volatility": 0.1676059232394096, "cagr": -0.1441894433323172, "end_nav": 757099.3800365528, "end_session": "2001-12-31", "fee_by_category": { "entry": 2811.8489583498217, "exit": 2575.845676922004, "resize": 250.0977624220522 }, "max_cash_weight": 0.0, "max_drawdown": -0.23747022499575765, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 884657.6781951754, "start_session": "2000-12-29", "total_return": -0.1441894433323172, "traded_notional_by_category": { "entry": 1124739.5833399286, "exit": 1030338.2707688014, "resize": 100039.10496882087 }, "transaction_cost": 5637.792397693878, "transaction_cost_over_anchor_nav": 0.006372851936577048, "two_sided_turnover": 2.664446294754372 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.376948347011706, "annualized_volatility": 0.23384393143447563, "cagr": -0.09777329404371671, "end_nav": 683075.2797319232, "end_session": "2002-12-31", "fee_by_category": { "entry": 1263.4278777206296, "exit": 1227.125676629587, "resize": 116.33176644160544 }, "max_cash_weight": 0.3445696232271597, "max_drawdown": -0.2360900556663339, "mean_cash_weight": 0.15982759350329037, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 757099.3800365528, "start_session": "2001-12-31", "total_return": -0.09777329404371671, "traded_notional_by_category": { "entry": 505371.15108825185, "exit": 490850.2706518347, "resize": 46532.70657664217 }, "transaction_cost": 2606.885320791822, "transaction_cost_over_anchor_nav": 0.0034432538046272887, "two_sided_turnover": 1.376948347011706 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0207932293679551, "annualized_volatility": 0.08700051666656701, "cagr": 0.12665397533217004, "end_nav": 769589.4793611054, "end_session": "2003-12-31", "fee_by_category": { "entry": 590.8119190179995, "exit": 1100.1211054508299, "resize": 85.94492746500342 }, "max_cash_weight": 0.6810947135698503, "max_drawdown": -0.04169142960681349, "mean_cash_weight": 0.4893903417023802, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 683075.2797319232, "start_session": "2002-12-31", "total_return": 0.12665397533217004, "traded_notional_by_category": { "entry": 236324.76760719978, "exit": 440048.442180332, "resize": 34377.97098600137 }, "transaction_cost": 1776.8779519338327, "transaction_cost_over_anchor_nav": 0.0026012915481748635, "two_sided_turnover": 1.0207932293679551 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 3.0215319313046303, "annualized_volatility": 0.12552221913486955, "cagr": 0.10790001020943607, "end_nav": 852628.1920412432, "end_session": "2004-12-31", "fee_by_category": { "entry": 3230.310032423302, "exit": 2623.659935534634, "resize": 30.54947648176749 }, "max_cash_weight": 0.0, "max_drawdown": -0.07785926120443976, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 769589.4793611054, "start_session": "2003-12-31", "total_return": 0.10790001020943607, "traded_notional_by_category": { "entry": 1292124.0129693206, "exit": 1049463.9742138535, "resize": 12219.790592706995 }, "transaction_cost": 5884.519444439702, "transaction_cost_over_anchor_nav": 0.007646309626432118, "two_sided_turnover": 3.0215319313046303 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7655112901644991, "annualized_volatility": 0.144832501685833, "cagr": 0.19850778403702152, "end_nav": 1021881.5250508423, "end_session": "2005-12-30", "fee_by_category": { "entry": 711.2748795466516, "exit": 665.3799133550025, "resize": 283.8353457547579 }, "max_cash_weight": 1.2297782513579272e-16, "max_drawdown": -0.10165702414212663, "mean_cash_weight": 5.856788049234245e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 852628.1920412432, "start_session": "2004-12-31", "total_return": 0.19850778403702152, "traded_notional_by_category": { "entry": 284509.95181866066, "exit": 266151.965342001, "resize": 113534.13830190315 }, "transaction_cost": 1660.490138656412, "transaction_cost_over_anchor_nav": 0.0019474961702604494, "two_sided_turnover": 0.7655112901644991 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.056234336872922, "annualized_volatility": 0.1289982737363727, "cagr": 0.17064522133252202, "end_nav": 1196260.7240687585, "end_session": "2006-12-29", "fee_by_category": { "entry": 2667.425190631751, "exit": 2698.117837119027, "resize": 131.86303241134374 }, "max_cash_weight": 1.1296574878607285e-16, "max_drawdown": -0.07714839270607643, "mean_cash_weight": 5.4483895015756475e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1021881.5250508423, "start_session": "2005-12-30", "total_return": 0.17064522133252202, "traded_notional_by_category": { "entry": 1066970.0762527003, "exit": 1079247.1348476107, "resize": 52745.212964537495 }, "transaction_cost": 5497.406060162122, "transaction_cost_over_anchor_nav": 0.005379690233550906, "two_sided_turnover": 2.056234336872922 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3272356162051153, "annualized_volatility": 0.1328038903299321, "cagr": 0.10114871602060971, "end_nav": 1317260.9603341983, "end_session": "2007-12-31", "fee_by_category": { "entry": 5092.340802744166, "exit": 5067.8333719858765, "resize": 50.03294856653025 }, "max_cash_weight": 0.0, "max_drawdown": -0.07518539368139665, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1196260.7240687585, "start_session": "2006-12-29", "total_return": 0.10114871602060971, "traded_notional_by_category": { "entry": 2036936.3210976664, "exit": 2027133.3487943506, "resize": 20013.1794266121 }, "transaction_cost": 10210.207123296572, "transaction_cost_over_anchor_nav": 0.008535101853523455, "two_sided_turnover": 3.3272356162051153 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.045540091439508, "annualized_volatility": 0.363968901349845, "cagr": -0.3235203887159289, "end_nav": 891100.1824065606, "end_session": "2008-12-31", "fee_by_category": { "entry": 3289.0169042756274, "exit": 3230.773222153205, "resize": 227.09052653177596 }, "max_cash_weight": 0.0, "max_drawdown": -0.4285875674145735, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1317260.9603341983, "start_session": "2007-12-31", "total_return": -0.3235203887159289, "traded_notional_by_category": { "entry": 1315606.761710251, "exit": 1292309.288861282, "resize": 90836.21061271039 }, "transaction_cost": 6746.880652960608, "transaction_cost_over_anchor_nav": 0.0051219013210934885, "two_sided_turnover": 2.045540091439508 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0, "annualized_volatility": 0.0031915715188697296, "cagr": 0.003191571518869729, "end_nav": 893944.1923691891, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 2240.461635010499, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": 0.0, "mean_cash_weight": 1.0, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 891100.1824065606, "start_session": "2008-12-31", "total_return": 0.003191571518869729, "traded_notional_by_category": { "entry": 0.0, "exit": 896184.6540041995, "resize": 0.0 }, "transaction_cost": 2240.461635010499, "transaction_cost_over_anchor_nav": 0.0025142645902728566, "two_sided_turnover": 1.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.329729381791151, "annualized_volatility": 0.1928866823021283, "cagr": 0.1248450755397581, "end_nav": 1005548.7225938485, "end_session": "2010-12-31", "fee_by_category": { "entry": 3572.494139998816, "exit": 1291.1170070637488, "resize": 58.82273672155425 }, "max_cash_weight": 1.456245225196332e-16, "max_drawdown": -0.18415877342385756, "mean_cash_weight": 6.4854754974992e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 893944.1923691891, "start_session": "2009-12-31", "total_return": 0.1248450755397581, "traded_notional_by_category": { "entry": 1428997.6559995264, "exit": 516446.80282549956, "resize": 23529.0946886217 }, "transaction_cost": 4922.43388378412, "transaction_cost_over_anchor_nav": 0.005506421906202405, "two_sided_turnover": 2.329729381791151 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3767931639816144, "annualized_volatility": 0.20776345393189416, "cagr": 0.06638500752626597, "end_nav": 1072302.0821112683, "end_session": "2011-12-30", "fee_by_category": { "entry": 1803.1976215387258, "exit": 1809.8990843815457, "resize": 115.03195319520819 }, "max_cash_weight": 1.1571298997038738e-16, "max_drawdown": -0.16620314167564088, "mean_cash_weight": 5.486621093824609e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1005548.7225938485, "start_session": "2010-12-31", "total_return": 0.06638500752626597, "traded_notional_by_category": { "entry": 721279.0486154903, "exit": 723959.6337526182, "resize": 46012.781278083276 }, "transaction_cost": 3728.128659115479, "transaction_cost_over_anchor_nav": 0.0037075564568354673, "two_sided_turnover": 1.3767931639816144 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3522109703295242, "annualized_volatility": 0.08993172458526512, "cagr": 0.08143329653625431, "end_nav": 1159623.1755402782, "end_session": "2012-12-31", "fee_by_category": { "entry": 1870.0437271625067, "exit": 1845.4623589735977, "resize": 85.23157960732496 }, "max_cash_weight": 0.0, "max_drawdown": -0.08188621528022832, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1072302.0821112683, "start_session": "2011-12-30", "total_return": 0.08143329653625431, "traded_notional_by_category": { "entry": 748017.4908650026, "exit": 738184.943589439, "resize": 34092.631842929986 }, "transaction_cost": 3800.7376657434297, "transaction_cost_over_anchor_nav": 0.0035444654348335426, "two_sided_turnover": 1.3522109703295242 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9994458329484952, "annualized_volatility": 0.11586093396828562, "cagr": 0.3739038614239045, "end_nav": 1593210.7586714386, "end_session": "2013-12-31", "fee_by_category": { "entry": 3104.791211138197, "exit": 3062.8888516061706, "resize": 57.46522274575109 }, "max_cash_weight": 0.0, "max_drawdown": -0.054685329516608205, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1159623.1755402782, "start_session": "2012-12-31", "total_return": 0.3739038614239045, "traded_notional_by_category": { "entry": 1241916.4844552786, "exit": 1225155.5406424683, "resize": 22986.089098300436 }, "transaction_cost": 6225.145285490119, "transaction_cost_over_anchor_nav": 0.005368248424829705, "two_sided_turnover": 1.9994458329484952 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.001568114651528, "annualized_volatility": 0.12706068098352147, "cagr": 0.09509155566183347, "end_nav": 1744711.6482106755, "end_session": "2014-12-31", "fee_by_category": { "entry": 4110.712225255654, "exit": 4091.63522077063, "resize": 48.61679067781458 }, "max_cash_weight": 0.0, "max_drawdown": -0.08838849122824965, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1593210.7586714386, "start_session": "2013-12-31", "total_return": 0.09509155566183347, "traded_notional_by_category": { "entry": 1644284.8901022614, "exit": 1636654.088308252, "resize": 19446.716271125828 }, "transaction_cost": 8250.964236704098, "transaction_cost_over_anchor_nav": 0.005178827842955623, "two_sided_turnover": 2.001568114651528 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3272356162051153, "annualized_volatility": 0.15955722034264824, "cagr": -0.002342267707180712, "end_nav": 1740625.0664587296, "end_session": "2015-12-31", "fee_by_category": { "entry": 7236.219190143914, "exit": 7113.732070379797, "resize": 158.75889515330869 }, "max_cash_weight": 1.3706516393253685e-16, "max_drawdown": -0.12711345398376284, "mean_cash_weight": 6.532265561748708e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1744711.6482106755, "start_session": "2014-12-31", "total_return": -0.002342267707180712, "traded_notional_by_category": { "entry": 2894487.676057565, "exit": 2845492.828151919, "resize": 63503.55806132348 }, "transaction_cost": 14508.71015567702, "transaction_cost_over_anchor_nav": 0.008315821224989655, "two_sided_turnover": 3.3272356162051153 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3596178378071215, "annualized_volatility": 0.14076697608667643, "cagr": 0.011986257118711707, "end_nav": 1761488.6460525787, "end_session": "2016-12-30", "fee_by_category": { "entry": 2926.058416230689, "exit": 2919.0102835614207, "resize": 138.81312023044129 }, "max_cash_weight": 1.3897291665219248e-16, "max_drawdown": -0.11242365326379133, "mean_cash_weight": 6.700681557903312e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1740625.0664587296, "start_session": "2015-12-31", "total_return": 0.011986257118711707, "traded_notional_by_category": { "entry": 1170423.3664922756, "exit": 1167604.1134245682, "resize": 55525.24809217651 }, "transaction_cost": 5983.881820022551, "transaction_cost_over_anchor_nav": 0.003437777575038978, "two_sided_turnover": 1.3596178378071215 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3272356162051158, "annualized_volatility": 0.0919184704600007, "cagr": 0.13500095316556382, "end_nav": 1999291.2922599954, "end_session": "2017-12-29", "fee_by_category": { "entry": 7335.803455597672, "exit": 7232.111696555136, "resize": 140.46270368212166 }, "max_cash_weight": 0.0, "max_drawdown": -0.05981246498891657, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1761488.6460525787, "start_session": "2016-12-30", "total_return": 0.13500095316556382, "traded_notional_by_category": { "entry": 2934321.3822390684, "exit": 2892844.6786220544, "resize": 56185.08147284866 }, "transaction_cost": 14708.37785583493, "transaction_cost_over_anchor_nav": 0.008349970287231643, "two_sided_turnover": 3.3272356162051158 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.348401322753213, "annualized_volatility": 0.19385740855279454, "cagr": -0.07905112274844472, "end_nav": 1841245.0709056538, "end_session": "2018-12-31", "fee_by_category": { "entry": 3441.074081239147, "exit": 3331.959818459967, "resize": 196.50522819759587 }, "max_cash_weight": 0.0, "max_drawdown": -0.24498573757296316, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1999291.2922599954, "start_session": "2017-12-29", "total_return": -0.07905112274844472, "traded_notional_by_category": { "entry": 1376429.6324956585, "exit": 1332783.9273839868, "resize": 78602.09127903834 }, "transaction_cost": 6969.53912789671, "transaction_cost_over_anchor_nav": 0.0034860048432554095, "two_sided_turnover": 1.348401322753213 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0434032769272843, "annualized_volatility": 0.09909871750381777, "cagr": 0.25559844514056285, "end_nav": 2311864.448151864, "end_session": "2019-12-31", "fee_by_category": { "entry": 4754.498107597015, "exit": 4796.626097316814, "resize": 213.37613856335054 }, "max_cash_weight": 0.0, "max_drawdown": -0.03893686416122766, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1841245.0709056538, "start_session": "2018-12-31", "total_return": 0.25559844514056285, "traded_notional_by_category": { "entry": 1901799.2430388061, "exit": 1918650.4389267252, "resize": 85350.45542534022 }, "transaction_cost": 9764.500343477179, "transaction_cost_over_anchor_nav": 0.005303205150563858, "two_sided_turnover": 2.0434032769272843 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0022761790146015, "annualized_volatility": 0.3359310674244481, "cagr": 0.20144978865337704, "end_nav": 2777589.0526273134, "end_session": "2020-12-31", "fee_by_category": { "entry": 5733.755392773182, "exit": 5476.236792310322, "resize": 302.6813679752947 }, "max_cash_weight": 0.0, "max_drawdown": -0.3035234720069214, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2311864.448151864, "start_session": "2019-12-31", "total_return": 0.20144978865337704, "traded_notional_by_category": { "entry": 2293502.1571092727, "exit": 2190494.7169241286, "resize": 121072.54719011788 }, "transaction_cost": 11512.6735530588, "transaction_cost_over_anchor_nav": 0.0049798220489363845, "two_sided_turnover": 2.0022761790146015 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.999445832948495, "annualized_volatility": 0.15974075583106118, "cagr": 0.20704611456733257, "end_nav": 3352678.073838557, "end_session": "2021-12-31", "fee_by_category": { "entry": 7551.804829247143, "exit": 7381.788935654426, "resize": 207.86955188467894 }, "max_cash_weight": 0.0, "max_drawdown": -0.06846003855882765, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2777589.0526273134, "start_session": "2020-12-31", "total_return": 0.20704611456733257, "traded_notional_by_category": { "entry": 3020721.931698857, "exit": 2952715.57426177, "resize": 83147.82075387158 }, "transaction_cost": 15141.463316786248, "transaction_cost_over_anchor_nav": 0.005451297160918741, "two_sided_turnover": 1.999445832948495 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664446294754371, "annualized_volatility": 0.22866229239615643, "cagr": 0.04510165687291656, "end_nav": 3503889.4099301742, "end_session": "2022-12-30", "fee_by_category": { "entry": 10904.21948737112, "exit": 9880.490856740696, "resize": 1078.3863724217592 }, "max_cash_weight": 0.0, "max_drawdown": -0.19368213206581064, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3352678.073838557, "start_session": "2021-12-31", "total_return": 0.04510165687291656, "traded_notional_by_category": { "entry": 4361687.794948448, "exit": 3952196.3426962784, "resize": 431354.5489687037 }, "transaction_cost": 21863.096716533575, "transaction_cost_over_anchor_nav": 0.006521084409247208, "two_sided_turnover": 2.664446294754371 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0734548602549867, "annualized_volatility": 0.13789306547037258, "cagr": 0.03446330028570044, "end_nav": 3624645.0028324835, "end_session": "2023-12-29", "fee_by_category": { "entry": 8403.838615458824, "exit": 8445.963119796965, "resize": 686.2332334400376 }, "max_cash_weight": 0.0, "max_drawdown": -0.14802887266615983, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 3503889.4099301742, "start_session": "2022-12-30", "total_return": 0.03446330028570044, "traded_notional_by_category": { "entry": 3361535.4461835297, "exit": 3378385.2479187855, "resize": 274493.29337601503 }, "transaction_cost": 17536.034968695825, "transaction_cost_over_anchor_nav": 0.0050047341445760085, "two_sided_turnover": 2.0734548602549867 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6935694627069997, "annualized_volatility": 0.14700656110198143, "cagr": 0.20284711024894708, "end_nav": 4359893.767335339, "end_session": "2024-12-31", "fee_by_category": { "entry": 3308.0857557776503, "exit": 3091.556918101657, "resize": 479.0581398035941 }, "max_cash_weight": 0.0, "max_drawdown": -0.09040645903286793, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3624645.0028324835, "start_session": "2023-12-29", "total_return": 0.20284711024894708, "traded_notional_by_category": { "entry": 1323234.30231106, "exit": 1236622.7672406628, "resize": 191623.25592143764 }, "transaction_cost": 6878.700813682902, "transaction_cost_over_anchor_nav": 0.0018977584862262462, "two_sided_turnover": 0.6935694627069997 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6863789645205266, "annualized_volatility": 0.15695269865090733, "cagr": 0.16570728927900813, "end_nav": 5082359.945064921, "end_session": "2025-12-31", "fee_by_category": { "entry": 3651.609121953823, "exit": 3433.5886589265065, "resize": 459.53023928818527 }, "max_cash_weight": 0.0, "max_drawdown": -0.13234944693730621, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4359893.767335339, "start_session": "2024-12-31", "total_return": 0.16570728927900813, "traded_notional_by_category": { "entry": 1460643.6487815292, "exit": 1373435.4635706025, "resize": 183812.0957152741 }, "transaction_cost": 7544.728020168514, "transaction_cost_over_anchor_nav": 0.0017304843702142926, "two_sided_turnover": 0.6863789645205266 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.914538154596834, "annualized_volatility": 0.17537589545401489, "cagr": 0.07243654966386437, "end_nav": 5082359.945064921, "end_session": "2025-12-31", "fee_by_category": { "entry": 99364.66194319403, "exit": 96633.38614476006, "resize": 5602.589059662857 }, "max_cash_weight": 1.0, "max_drawdown": -0.4285875674145735, "mean_cash_weight": 0.06610512480862558, "nonzero_trade_event_count": 49, "order_count": 211, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 884657.6781951754, "start_session": "2000-12-29", "total_return": 4.7450017903350385, "traded_notional_by_category": { "entry": 39745864.77727761, "exit": 38653354.457904026, "resize": 2241035.623865143 }, "transaction_cost": 201600.63714761694, "transaction_cost_over_anchor_nav": 0.22788547719261337, "two_sided_turnover": 47.86345386492085 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 5924512.766530974, "end_session": "2026-10-02", "fee_by_category": { "entry": 13538.105161790998, "exit": 13165.574798653057, "resize": 440.39053938751516 }, "max_cash_weight": 0.0, "max_drawdown": -0.08133689214735496, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 5082359.945064921, "start_session": "2025-12-31", "total_return": 0.16570113698534894, "traded_notional_by_category": { "entry": 5415242.064716399, "exit": 5266229.919461222, "resize": 176156.21575500607 }, "transaction_cost": 27144.07049983157, "transaction_cost_over_anchor_nav": 0.005340839844723913, "two_sided_turnover": 1.9994458329484952 } }, "monthly_risk": { "beta_intercept_per_month": 0.00034963547049639016, "beta_to_SPY_excess_returns": 0.7475987510466893, "monthly_return_volatility_annualized": 0.14006547998681781, "months": 300, "sharpe_monthly_annualized": 0.4493682735842679, "tracking_error_monthly_annualized": 0.09168916405277265 }, "phase": [ 6, 12 ], "policy": "A", "run_id": "S12-06-12-25bps", "signal": "12-1" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6662222962839524, "annualized_volatility": 0.16761128700244482, "cagr": -0.13960832918845656, "end_nav": 763737.2592974061, "end_session": "2001-12-31", "fee_by_category": { "entry": 566.5062414350575, "exit": 517.6187686567862, "resize": 49.45426241452434 }, "max_cash_weight": 1.5080028359341713e-16, "max_drawdown": -0.23338843854176872, "mean_cash_weight": 7.005232453100468e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 887662.3114877781, "start_session": "2000-12-29", "total_return": -0.13960832918845656, "traded_notional_by_category": { "entry": 1133012.482870115, "exit": 1035237.5373135725, "resize": 98908.52482904866 }, "transaction_cost": 1133.579272506368, "transaction_cost_over_anchor_nav": 0.0012770388669610378, "two_sided_turnover": 2.6662222962839524 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3771996040335437, "annualized_volatility": 0.23373373757404695, "cagr": -0.09528223948193171, "end_nav": 690966.6628557565, "end_session": "2002-12-31", "fee_by_category": { "entry": 255.5090861088041, "exit": 247.57690358623924, "resize": 23.250475560239895 }, "max_cash_weight": 0.34456962322715967, "max_drawdown": -0.23551369931220023, "mean_cash_weight": 0.15982759350329037, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 763737.2592974061, "start_session": "2001-12-31", "total_return": -0.09528223948193171, "traded_notional_by_category": { "entry": 511018.1722176082, "exit": 495153.80717247847, "resize": 46500.95112047979 }, "transaction_cost": 526.3364652552832, "transaction_cost_over_anchor_nav": 0.0006891590777428905, "two_sided_turnover": 1.3771996040335437 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.020348340096029, "annualized_volatility": 0.08728923950465364, "cagr": 0.12895867081586565, "end_nav": 780072.8052757093, "end_session": "2003-12-31", "fee_by_category": { "entry": 119.77198842201024, "exit": 222.56610113862408, "resize": 17.157623561957735 }, "max_cash_weight": 0.6810947135698502, "max_drawdown": -0.0416914296068136, "mean_cash_weight": 0.4893903417023802, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 690966.6628557565, "start_session": "2002-12-31", "total_return": 0.12895867081586565, "traded_notional_by_category": { "entry": 239543.97684402048, "exit": 445132.20227724814, "resize": 34315.24712391547 }, "transaction_cost": 359.49571312259206, "transaction_cost_over_anchor_nav": 0.000520279388931444, "two_sided_turnover": 1.020348340096029 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 3.0257968611727244, "annualized_volatility": 0.12495591789623373, "cagr": 0.11462853107329862, "end_nav": 869491.405074691, "end_session": "2004-12-31", "fee_by_category": { "entry": 657.7960451713311, "exit": 532.7644376985357, "resize": 5.857828206323175 }, "max_cash_weight": 1.5332857469464339e-16, "max_drawdown": -0.07785926120443976, "mean_cash_weight": 7.252200336540964e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 780072.8052757093, "start_session": "2003-12-31", "total_return": 0.11462853107329862, "traded_notional_by_category": { "entry": 1315592.090342662, "exit": 1065528.8753970715, "resize": 11715.656412646349 }, "transaction_cost": 1196.41831107619, "transaction_cost_over_anchor_nav": 0.0015337264714071497, "two_sided_turnover": 3.0257968611727244 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7650008642334009, "annualized_volatility": 0.14468796879172977, "cagr": 0.20034607810767846, "end_nav": 1043690.5980297402, "end_session": "2005-12-30", "fee_by_category": { "entry": 145.2624253281552, "exit": 135.7079489446514, "resize": 57.53391081635468 }, "max_cash_weight": 1.204080670405912e-16, "max_drawdown": -0.10165702414212685, "mean_cash_weight": 5.734403965072891e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 869491.405074691, "start_session": "2004-12-31", "total_return": 0.20034607810767846, "traded_notional_by_category": { "entry": 290524.8506563104, "exit": 271415.8978893028, "resize": 115067.82163270935 }, "transaction_cost": 338.5042850891613, "transaction_cost_over_anchor_nav": 0.00038931297435893935, "two_sided_turnover": 0.7650008642334009 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0594070440684087, "annualized_volatility": 0.1294055023852388, "cagr": 0.17547572430775182, "end_nav": 1226832.9616721994, "end_session": "2006-12-29", "fee_by_category": { "entry": 546.6465790962718, "exit": 551.6738440228204, "resize": 27.44730104788204 }, "max_cash_weight": 0.0, "max_drawdown": -0.07714839270607632, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1043690.5980297402, "start_session": "2005-12-30", "total_return": 0.17547572430775182, "traded_notional_by_category": { "entry": 1093293.1581925435, "exit": 1103347.6880456407, "resize": 54894.60209576407 }, "transaction_cost": 1125.7677241669742, "transaction_cost_over_anchor_nav": 0.0010786412431923577, "two_sided_turnover": 2.0594070440684087 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.332111647892101, "annualized_volatility": 0.13312221007135017, "cagr": 0.10851720534745257, "end_nav": 1359965.446101005, "end_session": "2007-12-31", "fee_by_category": { "entry": 1049.8427094469803, "exit": 1041.1694738431393, "resize": 9.723603497234405 }, "max_cash_weight": 0.0, "max_drawdown": -0.07271345250516037, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1226832.9616721994, "start_session": "2006-12-29", "total_return": 0.10851720534745257, "traded_notional_by_category": { "entry": 2099685.4188939603, "exit": 2082338.9476862785, "resize": 19447.206994468812 }, "transaction_cost": 2100.735786787354, "transaction_cost_over_anchor_nav": 0.0017123242139859092, "two_sided_turnover": 3.332111647892101 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.046903557589443, "annualized_volatility": 0.36393269040055987, "cagr": -0.32074298777248567, "end_nav": 923766.0656512273, "end_session": "2008-12-31", "fee_by_category": { "entry": 681.268892914481, "exit": 667.6891492338349, "resize": 46.39231011007692 }, "max_cash_weight": 0.0, "max_drawdown": -0.42777105082978006, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1359965.446101005, "start_session": "2007-12-31", "total_return": -0.32074298777248567, "traded_notional_by_category": { "entry": 1362537.7858289618, "exit": 1335378.2984676696, "resize": 92784.62022015383 }, "transaction_cost": 1395.3503522583926, "transaction_cost_over_anchor_nav": 0.0010260189744223543, "two_sided_turnover": 2.046903557589443 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0, "annualized_volatility": 0.005202983191088251, "cagr": 0.005202983191088251, "end_nav": 928572.4049633082, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 464.5184617125103, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": 0.0, "mean_cash_weight": 1.0, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 923766.0656512273, "start_session": "2008-12-31", "total_return": 0.005202983191088251, "traded_notional_by_category": { "entry": 0.0, "exit": 929036.9234250207, "resize": 0.0 }, "transaction_cost": 464.5184617125103, "transaction_cost_over_anchor_nav": 0.0005028529180545713, "two_sided_turnover": 1.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.332611398017039, "annualized_volatility": 0.19293890974434075, "cagr": 0.13010625513895246, "end_nav": 1049385.483198455, "end_session": "2010-12-31", "fee_by_category": { "entry": 744.4069352810013, "exit": 268.7622398679432, "resize": 11.87101302549112 }, "max_cash_weight": 0.0, "max_drawdown": -0.18197810769100053, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 928572.4049633082, "start_session": "2009-12-31", "total_return": 0.13010625513895246, "traded_notional_by_category": { "entry": 1488813.8705620025, "exit": 537524.4797358864, "resize": 23742.02605098224 }, "transaction_cost": 1025.0401881744356, "transaction_cost_over_anchor_nav": 0.0011038882726812662, "two_sided_turnover": 2.332611398017039 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3777050454916462, "annualized_volatility": 0.20787778335571575, "cagr": 0.06933066238230912, "end_nav": 1122140.0738429835, "end_session": "2011-12-30", "fee_by_category": { "entry": 377.4011719165894, "exit": 377.7939609810025, "resize": 23.52104974102383 }, "max_cash_weight": 0.0, "max_drawdown": -0.166203141675641, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1049385.483198455, "start_session": "2010-12-31", "total_return": 0.06933066238230912, "traded_notional_by_category": { "entry": 754802.3438331789, "exit": 755587.921962005, "resize": 47042.09948204766 }, "transaction_cost": 778.7161826386157, "transaction_cost_over_anchor_nav": 0.0007420687584367397, "two_sided_turnover": 1.3777050454916462 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3531122940891174, "annualized_volatility": 0.09002803176473957, "cagr": 0.08436439579501331, "end_nav": 1216808.7431701184, "end_session": "2012-12-31", "fee_by_category": { "entry": 392.19361224420817, "exit": 386.5253684825984, "resize": 17.845549043626846 }, "max_cash_weight": 0.0, "max_drawdown": -0.08188621528022866, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1122140.0738429835, "start_session": "2011-12-30", "total_return": 0.08436439579501331, "traded_notional_by_category": { "entry": 784387.2244884163, "exit": 773050.7369651969, "resize": 35691.09808725369 }, "transaction_cost": 796.5645297704334, "transaction_cost_over_anchor_nav": 0.0007098619400004544, "two_sided_turnover": 1.3531122940891174 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998889444413595, "annualized_volatility": 0.11632769943956152, "cagr": 0.3794178539262636, "end_nav": 1678487.7051424389, "end_session": "2013-12-31", "fee_by_category": { "entry": 653.6435541745284, "exit": 643.4135351617706, "resize": 10.883989552202111 }, "max_cash_weight": 0.0, "max_drawdown": -0.054685329516608316, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1216808.7431701184, "start_session": "2012-12-31", "total_return": 0.3794178539262636, "traded_notional_by_category": { "entry": 1307287.108349057, "exit": 1286827.0703235413, "resize": 21767.97910440422 }, "transaction_cost": 1307.9410788885011, "transaction_cost_over_anchor_nav": 0.0010748945438055929, "two_sided_turnover": 1.9998889444413595 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.003790582559173, "annualized_volatility": 0.1270668372960673, "cagr": 0.09949027633905239, "end_nav": 1845480.910758762, "end_session": "2014-12-31", "fee_by_category": { "entry": 868.8799964944752, "exit": 862.9187153235096, "resize": 10.286967221377534 }, "max_cash_weight": 1.4663560898410054e-16, "max_drawdown": -0.08838849122824943, "mean_cash_weight": 1.3345394003620727e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1678487.7051424389, "start_session": "2013-12-31", "total_return": 0.09949027633905239, "traded_notional_by_category": { "entry": 1737759.9929889503, "exit": 1725837.430647019, "resize": 20573.934442755068 }, "transaction_cost": 1742.0856790393623, "transaction_cost_over_anchor_nav": 0.0010378900445335859, "two_sided_turnover": 2.003790582559173 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3321116478921007, "annualized_volatility": 0.15955994345074395, "cagr": 0.004333697351206034, "end_nav": 1853478.6664934186, "end_session": "2015-12-31", "fee_by_category": { "entry": 1538.6026186966558, "exit": 1507.2390884407166, "resize": 32.902902560788206 }, "max_cash_weight": 1.2906367009277384e-16, "max_drawdown": -0.12478031155658031, "mean_cash_weight": 6.150929552274015e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1845480.910758762, "start_session": "2014-12-31", "total_return": 0.004333697351206034, "traded_notional_by_category": { "entry": 3077205.237393311, "exit": 3014478.176881433, "resize": 65805.80512157641 }, "transaction_cost": 3078.7446096981603, "transaction_cost_over_anchor_nav": 0.0016682614226729373, "two_sided_turnover": 3.3321116478921007 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.360487572400597, "annualized_volatility": 0.14068140433743456, "cagr": 0.014746807175901822, "end_nav": 1880811.5589928445, "end_session": "2016-12-30", "fee_by_category": { "entry": 624.8538137180484, "exit": 621.6869893579232, "resize": 28.71338072580565 }, "max_cash_weight": 0.0, "max_drawdown": -0.11237501206770073, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1853478.6664934186, "start_session": "2015-12-31", "total_return": 0.014746807175901822, "traded_notional_by_category": { "entry": 1249707.6274360968, "exit": 1243373.9787158463, "resize": 57426.761451611295 }, "transaction_cost": 1275.2541838017773, "transaction_cost_over_anchor_nav": 0.0006880328362313554, "two_sided_turnover": 1.360487572400597 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 3.332111647892101, "annualized_volatility": 0.0917202399327226, "cagr": 0.14259596943146868, "end_nav": 2149007.706565341, "end_session": "2017-12-29", "fee_by_category": { "entry": 1574.5120447620654, "exit": 1546.8153038954765, "resize": 29.2720405611982 }, "max_cash_weight": 1.238876206440556e-16, "max_drawdown": -0.05981246498891657, "mean_cash_weight": 5.848425697452041e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1880811.5589928445, "start_session": "2016-12-30", "total_return": 0.14259596943146868, "traded_notional_by_category": { "entry": 3149024.089524131, "exit": 3093630.607790953, "resize": 58544.0811223964 }, "transaction_cost": 3150.59938921874, "transaction_cost_over_anchor_nav": 0.0016751276193271876, "two_sided_turnover": 3.332111647892101 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3484104768988383, "annualized_volatility": 0.19393115361072702, "cagr": -0.07656163601451937, "end_nav": 1984476.1607428882, "end_session": "2018-12-31", "fee_by_category": { "entry": 741.2707578651779, "exit": 716.7879184735928, "resize": 41.25333860702446 }, "max_cash_weight": 0.0, "max_drawdown": -0.24498573757296316, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2149007.706565341, "start_session": "2017-12-29", "total_return": -0.07656163601451937, "traded_notional_by_category": { "entry": 1482541.5157303559, "exit": 1433575.8369471855, "resize": 82506.67721404892 }, "transaction_cost": 1499.312014945795, "transaction_cost_over_anchor_nav": 0.0006976764254336135, "two_sided_turnover": 1.3484104768988383 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0457129271264582, "annualized_volatility": 0.09869876926306695, "cagr": 0.2607475197859068, "end_nav": 2501923.397730855, "end_session": "2019-12-31", "fee_by_category": { "entry": 1028.148715781138, "exit": 1035.0321415589303, "resize": 46.27399803845404 }, "max_cash_weight": 1.2077945967182665e-16, "max_drawdown": -0.03893686416122755, "mean_cash_weight": 5.334914741560928e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1984476.1607428882, "start_session": "2018-12-31", "total_return": 0.2607475197859068, "traded_notional_by_category": { "entry": 2056297.4315622756, "exit": 2070064.2831178606, "resize": 92547.99607690808 }, "transaction_cost": 2109.4548553785226, "transaction_cost_over_anchor_nav": 0.0010629781788806414, "two_sided_turnover": 2.0457129271264582 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0040739390845888, "annualized_volatility": 0.33593177256554274, "cagr": 0.20627768291194237, "end_nav": 3018014.3590379497, "end_session": "2020-12-31", "fee_by_category": { "entry": 1244.8960291684225, "exit": 1186.3137594302743, "resize": 65.07642516738397 }, "max_cash_weight": 0.0, "max_drawdown": -0.3035234720069214, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2501923.397730855, "start_session": "2019-12-31", "total_return": 0.20627768291194237, "traded_notional_by_category": { "entry": 2489792.0583368447, "exit": 2372627.5188605487, "resize": 130152.85033476795 }, "transaction_cost": 2496.286213766081, "transaction_cost_over_anchor_nav": 0.000997746859887922, "two_sided_turnover": 2.0040739390845888 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998889444413597, "annualized_volatility": 0.1596317521554755, "cagr": 0.21189044422721715, "end_nav": 3657502.762258621, "end_session": "2021-12-31", "fee_by_category": { "entry": 1646.3317423718704, "exit": 1605.663080412152, "resize": 42.315817279750426 }, "max_cash_weight": 0.0, "max_drawdown": -0.06846003855882754, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3018014.3590379497, "start_session": "2020-12-31", "total_return": 0.21189044422721715, "traded_notional_by_category": { "entry": 3292663.484743741, "exit": 3211326.160824304, "resize": 84631.63455950085 }, "transaction_cost": 3294.310640063773, "transaction_cost_over_anchor_nav": 0.0010915490279886867, "two_sided_turnover": 1.9998889444413597 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6662222962839524, "annualized_volatility": 0.229000110889615, "cagr": 0.05069603748060025, "end_nav": 3842923.6593794827, "end_session": "2022-12-30", "fee_by_category": { "entry": 2388.592898537071, "exit": 2158.2630221831623, "resize": 232.7196641463422 }, "max_cash_weight": 1.340415350758189e-16, "max_drawdown": -0.1915269213616717, "mean_cash_weight": 5.992955395439427e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3657502.762258621, "start_session": "2021-12-31", "total_return": 0.05069603748060025, "traded_notional_by_category": { "entry": 4777185.797074142, "exit": 4316526.044366324, "resize": 465439.3282926844 }, "transaction_cost": 4779.575584866575, "transaction_cost_over_anchor_nav": 0.0013067865960858602, "two_sided_turnover": 2.6662222962839524 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0774951773904307, "annualized_volatility": 0.13781284014332187, "cagr": 0.038772397791455804, "end_nav": 3991923.024183141, "end_session": "2023-12-29", "fee_by_category": { "entry": 1851.0765514611073, "exit": 1852.9285540138446, "resize": 150.6268846735059 }, "max_cash_weight": 1.3965284565520202e-16, "max_drawdown": -0.14461415445199843, "mean_cash_weight": 1.2576790418743957e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 3842923.6593794827, "start_session": "2022-12-30", "total_return": 0.038772397791455804, "traded_notional_by_category": { "entry": 3702153.1029222147, "exit": 3705857.108027689, "resize": 301253.7693470118 }, "transaction_cost": 3854.6319901484585, "transaction_cost_over_anchor_nav": 0.0010030467247873632, "two_sided_turnover": 2.0774951773904307 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6940317652983725, "annualized_volatility": 0.14698193419727612, "cagr": 0.20451816283952584, "end_nav": 4808343.787285881, "end_session": "2024-12-31", "fee_by_category": { "entry": 729.6697782305827, "exit": 680.9867227573274, "resize": 105.54484242495452 }, "max_cash_weight": 0.0, "max_drawdown": -0.09040645903286793, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3991923.024183141, "start_session": "2023-12-29", "total_return": 0.20451816283952584, "traded_notional_by_category": { "entry": 1459339.5564611652, "exit": 1361973.4455146547, "resize": 211089.68484990904 }, "transaction_cost": 1516.2013434128644, "transaction_cost_over_anchor_nav": 0.00037981727959875215, "two_sided_turnover": 0.6940317652983725 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6868364742452526, "annualized_volatility": 0.1569448618222173, "cagr": 0.16730994700522306, "end_nav": 5612827.531519575, "end_session": "2025-12-31", "fee_by_category": { "entry": 806.5282533328395, "exit": 757.3521547675213, "resize": 101.4267249054435 }, "max_cash_weight": 0.0, "max_drawdown": -0.1323494469373061, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4808343.787285881, "start_session": "2024-12-31", "total_return": 0.16730994700522306, "traded_notional_by_category": { "entry": 1613056.5066656792, "exit": 1514704.3095350424, "resize": 202853.449810887 }, "transaction_cost": 1665.3071330058042, "transaction_cost_over_anchor_nav": 0.0003463369523221641, "two_sided_turnover": 0.6868364742452526 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9162992539568797, "annualized_volatility": 0.17539475453331382, "cagr": 0.07655781181938659, "end_nav": 5612827.531519575, "end_session": "2025-12-31", "fee_by_category": { "entry": 21233.61244195887, "exit": 20589.767643944888, "resize": 1187.3519028889657 }, "max_cash_weight": 1.0, "max_drawdown": -0.42777105082978006, "mean_cash_weight": 0.0661051248086256, "nonzero_trade_event_count": 49, "order_count": 211, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 887662.3114877781, "start_session": "2000-12-29", "total_return": 5.3231562936496895, "traded_notional_by_category": { "entry": 42467224.88391774, "exit": 41179535.28788977, "resize": 2374703.8057779316 }, "transaction_cost": 43010.73198879272, "transaction_cost_over_anchor_nav": 0.04845393505183747, "two_sided_turnover": 47.90748134892199 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6569138.469151107, "end_session": "2026-10-02", "fee_by_category": { "entry": 2999.7207918035638, "exit": 2910.584681822216, "resize": 92.13733138385275 }, "max_cash_weight": 0.0, "max_drawdown": -0.08133689214735496, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 5612827.531519575, "start_session": "2025-12-31", "total_return": 0.17037953371295322, "traded_notional_by_category": { "entry": 5999441.583607127, "exit": 5821169.363644432, "resize": 184274.6627677055 }, "transaction_cost": 6002.442805009633, "transaction_cost_over_anchor_nav": 0.001069415151508241, "two_sided_turnover": 1.9998889444413597 } }, "monthly_risk": { "beta_intercept_per_month": 0.0006684818324015898, "beta_to_SPY_excess_returns": 0.748043124243406, "monthly_return_volatility_annualized": 0.14010131297205813, "months": 300, "sharpe_monthly_annualized": 0.47677876036243544, "tracking_error_monthly_annualized": 0.09163334571820488 }, "phase": [ 6, 12 ], "policy": "A", "run_id": "S12-06-12-5bps", "signal": "12-1" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.00546327722081, "annualized_volatility": 0.16563998004065533, "cagr": -0.0792901171455217, "end_nav": 818608.5180715166, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3682029475162795e-16, "max_drawdown": -0.19316305430869474, "mean_cash_weight": 1.1339438035873605e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 889105.822926092, "start_session": "2000-12-29", "total_return": -0.0792901171455217, "traded_notional_by_category": { "entry": 880571.0051876631, "exit": 839438.6926618335, "resize": 45840.19576035306 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.00546327722081 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3046765066507757, "annualized_volatility": 0.13553029790852847, "cagr": -0.08876937921014272, "end_nav": 745941.1481061733, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.7112103912504035, "max_drawdown": -0.17373060771778115, "mean_cash_weight": 0.45068174271325323, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 818608.5180715166, "start_session": "2001-12-31", "total_return": -0.08876937921014272, "traded_notional_by_category": { "entry": 272181.78316896904, "exit": 749653.279809393, "resize": 23797.714944444422 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3046765066507757 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.001987228419078, "annualized_volatility": 0.09653091328498582, "cagr": 0.16557876828000473, "end_nav": 869453.1646189659, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6854814911239742, "max_drawdown": -0.04844975854958411, "mean_cash_weight": 0.38175330200512136, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 745941.1481061733, "start_session": "2002-12-31", "total_return": 0.16557876828000473, "traded_notional_by_category": { "entry": 999044.7095712955, "exit": 497775.4979864269, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.001987228419078 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.688689370580363, "annualized_volatility": 0.12497407705287333, "cagr": 0.21849744455652265, "end_nav": 1059426.4592497917, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3373756518418075e-16, "max_drawdown": -0.0674658761378748, "mean_cash_weight": 1.1236468049179067e-16, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 869453.1646189659, "start_session": "2003-12-31", "total_return": 0.21849744455652265, "traded_notional_by_category": { "entry": 1208998.1179774445, "exit": 1194513.0941510398, "resize": 35570.5773651647 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.688689370580363 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6763063347516303, "annualized_volatility": 0.12919843993725424, "cagr": 0.09151230260644638, "end_nav": 1156377.0139779346, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.1302613124625e-16, "max_drawdown": -0.1043620634899719, "mean_cash_weight": 8.82431673434645e-18, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1059426.4592497917, "start_session": "2004-12-31", "total_return": 0.09151230260644638, "traded_notional_by_category": { "entry": 1473688.3105938963, "exit": 1446885.464026811, "resize": 37112.06591455138 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6763063347516303 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0383555851413315, "annualized_volatility": 0.11481547416228007, "cagr": 0.20339379226096876, "end_nav": 1391576.920134322, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.08264384874320096, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1156377.0139779346, "start_session": "2005-12-30", "total_return": 0.20339379226096876, "traded_notional_by_category": { "entry": 1248793.1949501915, "exit": 1213525.8549568574, "resize": 82496.55130564846 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0383555851413315 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3333333333333335, "annualized_volatility": 0.1735945325600789, "cagr": 0.02525299350792376, "end_nav": 1426718.4030642505, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.1465220490079573, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1391576.920134322, "start_session": "2006-12-29", "total_return": 0.02525299350792376, "traded_notional_by_category": { "entry": 2313365.234871394, "exit": 2307468.0448411345, "resize": 5897.190030259604 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.3333333333333335 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6909625552924923, "annualized_volatility": 0.43420612997316216, "cagr": -0.3621405797297965, "end_nav": 910045.7734673934, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.47986247884568767, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1426718.4030642505, "start_session": "2007-12-31", "total_return": -0.3621405797297965, "traded_notional_by_category": { "entry": 1795628.3257581526, "exit": 1794774.5915159376, "resize": 34119.97684527788 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6909625552924923 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6666666666666665, "annualized_volatility": 0.12269997609351514, "cagr": 0.06445143891669591, "end_nav": 968699.5330474244, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.10824311479507776, "mean_cash_weight": 0.6336245501754804, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 910045.7734673934, "start_session": "2008-12-31", "total_return": 0.06445143891669591, "traded_notional_by_category": { "entry": 581497.5084417027, "exit": 872246.2626625542, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6666666666666665 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.691327376475909, "annualized_volatility": 0.1906449705907603, "cagr": 0.1862756549242821, "end_nav": 1149144.6729906797, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3126604137692953, "max_drawdown": -0.18085868726631493, "mean_cash_weight": 0.02277556457922072, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 968699.5330474244, "start_session": "2009-12-31", "total_return": 0.1862756549242821, "traded_notional_by_category": { "entry": 982002.4980802309, "exit": 663309.919434133, "resize": 30986.70265201322 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.691327376475909 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6666666666666665, "annualized_volatility": 0.20717519935568765, "cagr": 0.08518965180382732, "end_nav": 1247039.9075549787, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0102668072638348e-16, "max_drawdown": -0.14749214257403886, "mean_cash_weight": 7.949687726678903e-18, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1149144.6729906797, "start_session": "2010-12-31", "total_return": 0.08518965180382732, "traded_notional_by_category": { "entry": 1590117.5757085243, "exit": 1569284.6298978422, "resize": 20832.945810682257 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6801308246308639, "annualized_volatility": 0.0863055321250607, "cagr": 0.13041099519033783, "end_nav": 1409667.6229412905, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8112003512283877e-16, "max_drawdown": -0.0695501024272338, "mean_cash_weight": 1.5610970000946889e-16, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1247039.9075549787, "start_session": "2011-12-30", "total_return": 0.13041099519033783, "traded_notional_by_category": { "entry": 427212.7192864575, "exit": 424476.52503834193, "resize": 21870.415509785817 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.6801308246308639 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3367023949000458, "annualized_volatility": 0.12098867481405293, "cagr": 0.3929797527873562, "end_nav": 1963638.456917099, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6210251242419594e-16, "max_drawdown": -0.05474457578903191, "mean_cash_weight": 6.676758798839364e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1409667.6229412905, "start_session": "2012-12-31", "total_return": 0.3929797527873562, "traded_notional_by_category": { "entry": 1001374.0856818819, "exit": 967891.3835491645, "resize": 39535.04909677635 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3367023949000458 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.67011996709122, "annualized_volatility": 0.1374325125322314, "cagr": 0.00321405609796499, "end_nav": 1969949.7010737518, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.251686414350505e-16, "max_drawdown": -0.12068307877091711, "mean_cash_weight": 6.736127545746456e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1963638.456917099, "start_session": "2013-12-31", "total_return": 0.00321405609796499, "traded_notional_by_category": { "entry": 2662484.0221138597, "exit": 2641519.23612093, "resize": 27548.337680902216 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.67011996709122 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6666666666666665, "annualized_volatility": 0.15547838045130194, "cagr": -0.012922809839087002, "end_nav": 1944492.4156942095, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3158934784155747e-16, "max_drawdown": -0.10813738854458843, "mean_cash_weight": 1.1201014543207595e-16, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1969949.7010737518, "start_session": "2014-12-31", "total_return": -0.012922809839087002, "traded_notional_by_category": { "entry": 2575622.9295570236, "exit": 2508474.9578009704, "resize": 67147.97175605327 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.023083922027277, "annualized_volatility": 0.12400070518107349, "cagr": 0.06540585295337209, "end_nav": 2071673.6007040523, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2842228899264186e-16, "max_drawdown": -0.09327011896609994, "mean_cash_weight": 9.473161589310543e-18, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1944492.4156942095, "start_session": "2015-12-31", "total_return": 0.06540585295337209, "traded_notional_by_category": { "entry": 2001683.2373616756, "exit": 1970601.8972088913, "resize": 77232.17831095844 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.023083922027277 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0, "annualized_volatility": 0.090554484380137, "cagr": 0.22184598423771273, "end_nav": 2531266.069671529, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.05472316817609757, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2071673.6007040523, "start_session": "2016-12-30", "total_return": 0.22184598423771273, "traded_notional_by_category": { "entry": 2154539.5428250143, "exit": 2078562.5690793963, "resize": 75976.97374561778 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3409410811545845, "annualized_volatility": 0.19579991359316964, "cagr": -0.08400250750783711, "end_nav": 2318633.372649613, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8843430988643549e-16, "max_drawdown": -0.24520841374023672, "mean_cash_weight": 8.801611224044563e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2531266.069671529, "start_session": "2017-12-29", "total_return": -0.08400250750783711, "traded_notional_by_category": { "entry": 1809248.7714911362, "exit": 1765871.1679502411, "resize": 63769.73500402598 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3409410811545845 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0229752425636853, "annualized_volatility": 0.09863979573321051, "cagr": 0.2512687770385198, "end_nav": 2901233.5445959796, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6665851701886382, "max_drawdown": -0.043216878732603825, "mean_cash_weight": 0.32213162916856614, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2318633.372649613, "start_session": "2018-12-31", "total_return": 0.2512687770385198, "traded_notional_by_category": { "entry": 2594747.607255968, "exit": 2534439.859015573, "resize": 60307.74824039533 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0229752425636853 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.373845269693407, "annualized_volatility": 0.33365931018238065, "cagr": 0.21626758797339218, "end_nav": 3528676.325433247, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.30243150459353496, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2901233.5445959796, "start_session": "2019-12-31", "total_return": 0.21626758797339218, "traded_notional_by_category": { "entry": 2064559.5011717011, "exit": 1908587.962385572, "resize": 278134.45730296103 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.373845269693407 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0, "annualized_volatility": 0.15429689504464864, "cagr": 0.25299790571369507, "end_nav": 4421424.045709356, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.06844291103178801, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3528676.325433247, "start_session": "2020-12-31", "total_return": 0.25299790571369507, "traded_notional_by_category": { "entry": 3972596.5411355626, "exit": 3880851.5151676247, "resize": 91745.02596793906 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.333333333333333, "annualized_volatility": 0.2036051535749755, "cagr": -0.027127893882206044, "end_nav": 4301480.123389118, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.1832646862220667, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4421424.045709356, "start_session": "2021-12-31", "total_return": -0.027127893882206044, "traded_notional_by_category": { "entry": 7003587.381935887, "exit": 6960948.164065787, "resize": 42639.2178701004 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.333333333333333 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7297084486041285, "annualized_volatility": 0.1409927286631702, "cagr": 0.051144547153112896, "end_nav": 4521477.3763879705, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.135455525291726, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4301480.123389118, "start_session": "2022-12-30", "total_return": 0.051144547153112896, "traded_notional_by_category": { "entry": 5709610.299720972, "exit": 5652797.92185175, "resize": 327228.2429613103 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.7297084486041285 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3808360712802257, "annualized_volatility": 0.14380309334110616, "cagr": 0.14357407685854917, "end_nav": 5170644.316739689, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.0959580495468948, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4521477.3763879705, "start_session": "2023-12-29", "total_return": 0.14357407685854917, "traded_notional_by_category": { "entry": 3334641.2952329633, "exit": 3345039.967971728, "resize": 205708.31350902957 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3808360712802257 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0073790559193365, "annualized_volatility": 0.16224678447171698, "cagr": 0.10754191554041248, "end_nav": 5726705.311140022, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.15117126364275113, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5170644.316739689, "start_session": "2024-12-31", "total_return": 0.10754191554041248, "traded_notional_by_category": { "entry": 5371849.85305652, "exit": 5056234.458080448, "resize": 356241.2423916918 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0073790559193365 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.093206287162553, "annualized_volatility": 0.1782412546476469, "cagr": 0.07735307417798731, "end_nav": 5726705.311140022, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.4820946363382561, "mean_cash_weight": 0.07258845725110448, "nonzero_trade_event_count": 50, "order_count": 217, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 889105.822926092, "start_session": "2000-12-29", "total_return": 5.440971550825241, "traded_notional_by_category": { "entry": 56029646.052136086, "exit": 54845172.91723038, "resize": 2051738.8299759424 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 52.33015717906383 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6819251.622409273, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.09945105700098933, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 5726705.311140022, "start_session": "2025-12-31", "total_return": 0.19078095552497643, "traded_notional_by_category": { "entry": 3887089.091397932, "exit": 3793253.7460512808, "resize": 437245.8820896498 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3855953606528433 } }, "monthly_risk": { "beta_intercept_per_month": 0.0007410247937848051, "beta_to_SPY_excess_returns": 0.7368374038149971, "monthly_return_volatility_annualized": 0.1347362224462962, "months": 300, "sharpe_monthly_annualized": 0.49522125106058407, "tracking_error_monthly_annualized": 0.08638187305770988 }, "phase": [ 1, 7 ], "policy": "A", "run_id": "SMIX-01-07-0bps", "signal": "mixed" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.004795012216738, "annualized_volatility": 0.16557637853930202, "cagr": -0.08113512716059323, "end_nav": 813965.082253347, "end_session": "2001-12-31", "fee_by_category": { "entry": 875.9727613631337, "exit": 835.9770923366306, "resize": 46.0539280591741 }, "max_cash_weight": 1.604582433180558e-16, "max_drawdown": -0.1937051728735404, "mean_cash_weight": 1.3928512206643027e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 885837.6310959561, "start_session": "2000-12-29", "total_return": -0.08113512716059323, "traded_notional_by_category": { "entry": 875972.7613631337, "exit": 835977.0923366304, "resize": 46053.9280591741 }, "transaction_cost": 1758.0037817589387, "transaction_cost_over_anchor_nav": 0.001984566606844124, "two_sided_turnover": 2.004795012216738 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.304778099350559, "annualized_volatility": 0.13554920040117796, "cagr": -0.08995805524447009, "end_nav": 740742.3664169308, "end_session": "2002-12-31", "fee_by_category": { "entry": 270.36723436358363, "exit": 745.1783667588844, "resize": 24.00407014620479 }, "max_cash_weight": 0.7112103912504035, "max_drawdown": -0.1739824365327124, "mean_cash_weight": 0.45068174271325323, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 813965.082253347, "start_session": "2001-12-31", "total_return": -0.08995805524447009, "traded_notional_by_category": { "entry": 270367.2343635836, "exit": 745178.3667588845, "resize": 24004.070146204787 }, "transaction_cost": 1039.5496712686731, "transaction_cost_over_anchor_nav": 0.001277142833192337, "two_sided_turnover": 1.304778099350559 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.000419642118532, "annualized_volatility": 0.09668069573936539, "cagr": 0.16324814411786104, "end_nav": 861667.1830039674, "end_session": "2003-12-31", "fee_by_category": { "entry": 990.4258500775503, "exit": 494.1347578152057, "resize": 0.0 }, "max_cash_weight": 0.6854814911239742, "max_drawdown": -0.049067552555605354, "mean_cash_weight": 0.3817533020051214, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 740742.3664169308, "start_session": "2002-12-31", "total_return": 0.16324814411786104, "traded_notional_by_category": { "entry": 990425.8500775503, "exit": 494134.75781520567, "resize": 0.0 }, "transaction_cost": 1484.560607892756, "transaction_cost_over_anchor_nav": 0.002004152422216341, "two_sided_turnover": 2.000419642118532 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6864618819543766, "annualized_volatility": 0.12490762133841646, "cagr": 0.21522567371558377, "end_nav": 1047120.0829846056, "end_session": "2004-12-31", "fee_by_category": { "entry": 1195.5602327019524, "exit": 1183.2129226169247, "resize": 35.181608028120884 }, "max_cash_weight": 0.0, "max_drawdown": -0.06746587613787458, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 861667.1830039674, "start_session": "2003-12-31", "total_return": 0.21522567371558377, "traded_notional_by_category": { "entry": 1195560.232701952, "exit": 1183212.9226169249, "resize": 35181.608028120885 }, "transaction_cost": 2413.954763346998, "transaction_cost_over_anchor_nav": 0.0028014932110230818, "two_sided_turnover": 2.6864618819543766 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 2.67452040703592, "annualized_volatility": 0.12918234855621966, "cagr": 0.08859498257082521, "end_nav": 1139889.6684861877, "end_session": "2005-12-30", "fee_by_category": { "entry": 1453.6148303405107, "exit": 1429.11196676817, "resize": 36.6662891271814 }, "max_cash_weight": 0.0, "max_drawdown": -0.10436206348997223, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1047120.0829846056, "start_session": "2004-12-31", "total_return": 0.08859498257082521, "traded_notional_by_category": { "entry": 1453614.8303405105, "exit": 1429111.96676817, "resize": 36666.2891271814 }, "transaction_cost": 2919.393086235862, "transaction_cost_over_anchor_nav": 0.002788021291612246, "two_sided_turnover": 2.67452040703592 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0376763596881022, "annualized_volatility": 0.11491455048754744, "cagr": 0.20094279565117845, "end_nav": 1368942.2852056972, "end_session": "2006-12-29", "fee_by_category": { "entry": 1229.0199073324256, "exit": 1195.6479022043202, "resize": 81.8640538737842 }, "max_cash_weight": 0.0, "max_drawdown": -0.08264384874320119, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1139889.6684861877, "start_session": "2005-12-30", "total_return": 0.20094279565117845, "traded_notional_by_category": { "entry": 1229019.9073324255, "exit": 1195647.90220432, "resize": 81864.0538737842 }, "transaction_cost": 2506.5318634105297, "transaction_cost_over_anchor_nav": 0.0021989249773088034, "two_sided_turnover": 2.0376763596881022 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3308910349896688, "annualized_volatility": 0.1734265078711181, "cagr": 0.02184071786983588, "end_nav": 1398840.9674369632, "end_session": "2007-12-31", "fee_by_category": { "entry": 2270.021742972681, "exit": 2268.144279897642, "resize": 6.422051149058331 }, "max_cash_weight": 0.0, "max_drawdown": -0.14822729965929016, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1368942.2852056972, "start_session": "2006-12-29", "total_return": 0.02184071786983588, "traded_notional_by_category": { "entry": 2270021.742972681, "exit": 2268144.279897642, "resize": 6422.05114905833 }, "transaction_cost": 4544.588074019381, "transaction_cost_over_anchor_nav": 0.003319780624160142, "two_sided_turnover": 3.3308910349896688 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.688734309190761, "annualized_volatility": 0.43409032139495113, "cagr": -0.36385473393759404, "end_nav": 889866.0594091803, "end_session": "2008-12-31", "fee_by_category": { "entry": 1756.7165129835746, "exit": 1758.8130973991947, "resize": 33.38644811443787 }, "max_cash_weight": 0.0, "max_drawdown": -0.48022175463781036, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1398840.9674369632, "start_session": "2007-12-31", "total_return": -0.36385473393759404, "traded_notional_by_category": { "entry": 1756716.5129835745, "exit": 1758813.0973991947, "resize": 33386.448114437866 }, "transaction_cost": 3548.9160584972074, "transaction_cost_over_anchor_nav": 0.0025370404078168623, "two_sided_turnover": 2.688734309190761 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6662225183211192, "annualized_volatility": 0.12280754109389463, "cagr": 0.06267853512103194, "end_nav": 945641.5604668729, "end_session": "2009-12-31", "fee_by_category": { "entry": 567.656112685965, "exit": 852.904729871505, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.10972838608955615, "mean_cash_weight": 0.6336245501754804, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 889866.0594091803, "start_session": "2008-12-31", "total_return": 0.06267853512103194, "traded_notional_by_category": { "entry": 567656.112685965, "exit": 852904.7298715049, "resize": 0.0 }, "transaction_cost": 1420.56084255747, "transaction_cost_over_anchor_nav": 0.0015963760248375362, "two_sided_turnover": 1.6662225183211192 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6907637885463935, "annualized_volatility": 0.19048888179601012, "cagr": 0.18427050886588847, "end_nav": 1119895.4120188365, "end_session": "2010-12-31", "fee_by_category": { "entry": 957.4116341274548, "exit": 647.2894099059068, "resize": 30.682916347813094 }, "max_cash_weight": 0.31266041376929526, "max_drawdown": -0.1808586872663147, "mean_cash_weight": 0.02277556457922072, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 945641.5604668729, "start_session": "2009-12-31", "total_return": 0.18427050886588847, "traded_notional_by_category": { "entry": 957411.6341274547, "exit": 647289.4099059068, "resize": 30682.916347813094 }, "transaction_cost": 1635.3839603811746, "transaction_cost_over_anchor_nav": 0.0017293909539823618, "two_sided_turnover": 1.6907637885463935 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778073975342, "annualized_volatility": 0.20709510800123265, "cagr": 0.082298704964483, "end_nav": 1212061.354123653, "end_session": "2011-12-30", "fee_by_category": { "entry": 1546.521767111241, "exit": 1528.2973753662227, "resize": 21.320531418914616 }, "max_cash_weight": 1.0366528047237062e-16, "max_drawdown": -0.1486284409511478, "mean_cash_weight": 8.157316482424157e-18, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1119895.4120188365, "start_session": "2010-12-31", "total_return": 0.082298704964483, "traded_notional_by_category": { "entry": 1546521.767111241, "exit": 1528297.3753662226, "resize": 21320.531418914616 }, "transaction_cost": 3096.1396738963786, "transaction_cost_over_anchor_nav": 0.0027646685937528443, "two_sided_turnover": 2.665778073975342 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.680357610501031, "annualized_volatility": 0.08626023310154646, "cagr": 0.12964192162022226, "end_nav": 1369195.317193852, "end_session": "2012-12-31", "fee_by_category": { "entry": 414.95280419179426, "exit": 412.57027029745876, "resize": 21.804585272720956 }, "max_cash_weight": 0.0, "max_drawdown": -0.0695501024272338, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1212061.354123653, "start_session": "2011-12-30", "total_return": 0.12964192162022226, "traded_notional_by_category": { "entry": 414952.80419179425, "exit": 412570.27029745874, "resize": 21804.585272720957 }, "transaction_cost": 849.327659761974, "transaction_cost_over_anchor_nav": 0.0007007299233429125, "two_sided_turnover": 0.680357610501031 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3362569759080765, "annualized_volatility": 0.12091750352273738, "cagr": 0.3911183801286058, "end_nav": 1904712.7717343841, "end_session": "2013-12-31", "fee_by_category": { "entry": 971.3277041178137, "exit": 940.1027081424198, "resize": 39.038385094564234 }, "max_cash_weight": 1.4036941029521345e-16, "max_drawdown": -0.054744575789032024, "mean_cash_weight": 5.5160561716879484e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1369195.317193852, "start_session": "2012-12-31", "total_return": 0.3911183801286058, "traded_notional_by_category": { "entry": 971327.7041178137, "exit": 940102.7081424198, "resize": 39038.38509456423 }, "transaction_cost": 1950.4687973547977, "transaction_cost_over_anchor_nav": 0.0014245365674725344, "two_sided_turnover": 1.3362569759080765 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6678986662038175, "annualized_volatility": 0.13762669036519087, "cagr": 0.0005389254125351961, "end_nav": 1905739.2698506522, "end_session": "2014-12-31", "fee_by_category": { "entry": 2576.9312342242447, "exit": 2560.9342879198884, "resize": 26.721655626589317 }, "max_cash_weight": 1.2984115118382154e-16, "max_drawdown": -0.12243995573640976, "mean_cash_weight": 6.079198106068828e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1904712.7717343841, "start_session": "2013-12-31", "total_return": 0.0005389254125351961, "traded_notional_by_category": { "entry": 2576931.2342242445, "exit": 2560934.2879198883, "resize": 26721.655626589316 }, "transaction_cost": 5164.587177770722, "transaction_cost_over_anchor_nav": 0.0027114782104747355, "two_sided_turnover": 2.6678986662038175 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.66489096098966, "annualized_volatility": 0.1553453725419917, "cagr": -0.015551947694404822, "end_nav": 1876101.3124067616, "end_session": "2015-12-31", "fee_by_category": { "entry": 2486.2676339010177, "exit": 2425.566434982613, "resize": 65.67871169898694 }, "max_cash_weight": 1.279779636139557e-16, "max_drawdown": -0.10813738854458854, "mean_cash_weight": 9.922572038952295e-18, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1905739.2698506522, "start_session": "2014-12-31", "total_return": -0.015551947694404822, "traded_notional_by_category": { "entry": 2486267.6339010173, "exit": 2425566.4349826127, "resize": 65678.71169898694 }, "transaction_cost": 4977.512780582617, "transaction_cost_over_anchor_nav": 0.002611854023962413, "two_sided_turnover": 2.66489096098966 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0215120063424905, "annualized_volatility": 0.1239770143578728, "cagr": 0.06325309013909841, "end_nav": 1994770.5178305071, "end_session": "2016-12-30", "fee_by_category": { "entry": 1928.1824177435697, "exit": 1900.382662696584, "resize": 73.60769569303991 }, "max_cash_weight": 0.0, "max_drawdown": -0.09388161259483652, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1876101.3124067616, "start_session": "2015-12-31", "total_return": 0.06325309013909841, "traded_notional_by_category": { "entry": 1928182.4177435697, "exit": 1900382.6626965841, "resize": 73607.69569303992 }, "transaction_cost": 3902.172776133193, "transaction_cost_over_anchor_nav": 0.002079937128303205, "two_sided_turnover": 2.0215120063424905 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9997779999753331, "annualized_volatility": 0.09062377562370401, "cagr": 0.21940364960451597, "end_nav": 2432430.4495660104, "end_session": "2017-12-29", "fee_by_category": { "entry": 2071.311217591222, "exit": 2000.4473823884312, "resize": 75.0106044071772 }, "max_cash_weight": 0.0, "max_drawdown": -0.05472316817609779, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1994770.5178305071, "start_session": "2016-12-30", "total_return": 0.21940364960451597, "traded_notional_by_category": { "entry": 2071311.2175912217, "exit": 2000447.382388431, "resize": 75010.60440717719 }, "transaction_cost": 4146.76920438683, "transaction_cost_over_anchor_nav": 0.0020788201787225206, "two_sided_turnover": 1.9997779999753331 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3409386942318329, "annualized_volatility": 0.1958145512416767, "cagr": -0.08523039223351148, "end_nav": 2225113.448268763, "end_session": "2018-12-31", "fee_by_category": { "entry": 1736.84660303428, "exit": 1696.356773786646, "resize": 62.42388815415616 }, "max_cash_weight": 0.0, "max_drawdown": -0.2452084137402365, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2432430.4495660104, "start_session": "2017-12-29", "total_return": -0.08523039223351148, "traded_notional_by_category": { "entry": 1736846.6030342798, "exit": 1696356.7737866458, "resize": 62423.88815415616 }, "transaction_cost": 3495.627264975082, "transaction_cost_over_anchor_nav": 0.0014370923804208936, "two_sided_turnover": 1.3409386942318329 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0223011421829584, "annualized_volatility": 0.09866946652412845, "cagr": 0.24873948456472506, "end_nav": 2778587.020489173, "end_session": "2019-12-31", "fee_by_category": { "entry": 2485.6156340911148, "exit": 2432.215580369874, "resize": 58.376261196897715 }, "max_cash_weight": 0.6665851701886382, "max_drawdown": -0.04387649659845172, "mean_cash_weight": 0.32213162916856614, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2225113.448268763, "start_session": "2018-12-31", "total_return": 0.24873948456472506, "traded_notional_by_category": { "entry": 2485615.6340911146, "exit": 2432215.580369874, "resize": 58376.261196897714 }, "transaction_cost": 4976.207475657887, "transaction_cost_over_anchor_nav": 0.002236383713167343, "two_sided_turnover": 2.0223011421829584 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3734144818293583, "annualized_volatility": 0.33363179142384664, "cagr": 0.21459721415210398, "end_nav": 3374864.0543653443, "end_session": "2020-12-31", "fee_by_category": { "entry": 1974.5669497605015, "exit": 1827.830384764123, "resize": 267.72727720377674 }, "max_cash_weight": 0.0, "max_drawdown": -0.30243150459353496, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2778587.020489173, "start_session": "2019-12-31", "total_return": 0.21459721415210398, "traded_notional_by_category": { "entry": 1974566.9497605015, "exit": 1827830.384764123, "resize": 267727.27720377676 }, "transaction_cost": 4070.1246117284018, "transaction_cost_over_anchor_nav": 0.001464818118603265, "two_sided_turnover": 1.3734144818293583 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9997779999753336, "annualized_volatility": 0.15427555956737457, "cagr": 0.25049330184387375, "end_nav": 4220244.894617522, "end_session": "2021-12-31", "fee_by_category": { "entry": 3793.360141679604, "exit": 3709.9377990666426, "resize": 91.01665721091908 }, "max_cash_weight": 0.0, "max_drawdown": -0.06844291103178812, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3374864.0543653443, "start_session": "2020-12-31", "total_return": 0.25049330184387375, "traded_notional_by_category": { "entry": 3793360.1416796036, "exit": 3709937.7990666423, "resize": 91016.65721091907 }, "transaction_cost": 7594.3145979571655, "transaction_cost_over_anchor_nav": 0.002250257929096141, "two_sided_turnover": 1.9997779999753336 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.330891034989669, "annualized_volatility": 0.20358264750117125, "cagr": -0.03036583398840642, "end_nav": 4092093.638757147, "end_session": "2022-12-30", "fee_by_category": { "entry": 6668.088209973515, "exit": 6639.083678098814, "resize": 42.35405782059534 }, "max_cash_weight": 1.3054083417709553e-16, "max_drawdown": -0.1848965250108341, "mean_cash_weight": 5.028141954462457e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4220244.894617522, "start_session": "2021-12-31", "total_return": -0.03036583398840642, "traded_notional_by_category": { "entry": 6668088.209973516, "exit": 6639083.678098814, "resize": 42354.057820595335 }, "transaction_cost": 13349.525945892925, "transaction_cost_over_anchor_nav": 0.003163211206752205, "two_sided_turnover": 3.330891034989669 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.727467291508291, "annualized_volatility": 0.14105868332431906, "cagr": 0.048279116797022015, "end_nav": 4289656.305487054, "end_session": "2023-12-29", "fee_by_category": { "entry": 5419.5881049988275, "exit": 5374.662306465523, "resize": 311.2994999471542 }, "max_cash_weight": 1.154280662835473e-16, "max_drawdown": -0.13781228201821905, "mean_cash_weight": 9.092793202338907e-18, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4092093.638757147, "start_session": "2022-12-30", "total_return": 0.048279116797022015, "traded_notional_by_category": { "entry": 5419588.104998827, "exit": 5374662.306465523, "resize": 311299.4999471542 }, "transaction_cost": 11105.549911411505, "transaction_cost_over_anchor_nav": 0.0027139041507330923, "two_sided_turnover": 2.727467291508291 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.379485472778683, "annualized_volatility": 0.14396874959425027, "cagr": 0.141996599241079, "end_nav": 4898772.912779267, "end_session": "2024-12-31", "fee_by_category": { "entry": 3159.3065487093368, "exit": 3173.3986138712994, "resize": 192.9857663842987 }, "max_cash_weight": 0.0, "max_drawdown": -0.0971659897335988, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4289656.305487054, "start_session": "2023-12-29", "total_return": 0.141996599241079, "traded_notional_by_category": { "entry": 3159306.5487093367, "exit": 3173398.613871299, "resize": 192985.76638429868 }, "transaction_cost": 6525.690928964935, "transaction_cost_over_anchor_nav": 0.0015212619529955554, "two_sided_turnover": 1.379485472778683 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.006710152535158, "annualized_volatility": 0.1623292042652212, "cagr": 0.10532039464940657, "end_nav": 5414713.609251002, "end_session": "2025-12-31", "fee_by_category": { "entry": 5081.445492731163, "exit": 4788.23955232526, "resize": 339.5135716649911 }, "max_cash_weight": 0.0, "max_drawdown": -0.15117126364275113, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4898772.912779267, "start_session": "2024-12-31", "total_return": 0.10532039464940657, "traded_notional_by_category": { "entry": 5081445.492731162, "exit": 4788239.55232526, "resize": 339513.5716649911 }, "transaction_cost": 10209.198616721413, "transaction_cost_over_anchor_nav": 0.002084031817455554, "two_sided_turnover": 2.006710152535158 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.092108864693568, "annualized_volatility": 0.17822550723660127, "cagr": 0.07509998209751778, "end_nav": 5414713.609251002, "end_session": "2025-12-31", "fee_by_category": { "entry": 53881.079282808074, "exit": 52820.44033611618, "resize": 1983.140513640557 }, "max_cash_weight": 1.0, "max_drawdown": -0.4845184266471104, "mean_cash_weight": 0.07258845725110448, "nonzero_trade_event_count": 50, "order_count": 217, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 885837.6310959561, "start_session": "2000-12-29", "total_return": 5.112535095796203, "traded_notional_by_category": { "entry": 53881079.28280807, "exit": 52820440.33611618, "resize": 1983140.513640557 }, "transaction_cost": 108684.66013256482, "transaction_cost_over_anchor_nav": 0.12269140112968607, "two_sided_turnover": 52.3027216173392 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6438807.315861851, "end_session": "2026-10-02", "fee_by_category": { "entry": 3670.4211433846103, "exit": 3586.5967543556762, "resize": 415.33321784879735 }, "max_cash_weight": 0.0, "max_drawdown": -0.09945105700098933, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 5414713.609251002, "start_session": "2025-12-31", "total_return": 0.18913164767591617, "traded_notional_by_category": { "entry": 3670421.1433846103, "exit": 3586596.754355676, "resize": 415333.2178487973 }, "transaction_cost": 7672.351115589083, "transaction_cost_over_anchor_nav": 0.001416944952080369, "two_sided_turnover": 1.3851336494363644 } }, "monthly_risk": { "beta_intercept_per_month": 0.0005612115996833757, "beta_to_SPY_excess_returns": 0.7374519213912759, "monthly_return_volatility_annualized": 0.13471402230010635, "months": 300, "sharpe_monthly_annualized": 0.47967433615729327, "tracking_error_monthly_annualized": 0.08618709641860933 }, "phase": [ 1, 7 ], "policy": "A", "run_id": "SMIX-01-07-10bps", "signal": "mixed" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0037934493463547, "annualized_volatility": 0.16550682455208063, "cagr": -0.08389724983742541, "end_nav": 807049.3986142747, "end_session": "2001-12-31", "fee_by_category": { "entry": 2172.8017121829243, "exit": 2077.0327983649777, "resize": 115.9250843411703 }, "max_cash_weight": 1.6183322538231894e-16, "max_drawdown": -0.19451767363683947, "mean_cash_weight": 6.001823186615192e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 880959.4758568873, "start_session": "2000-12-29", "total_return": -0.08389724983742541, "traded_notional_by_category": { "entry": 869120.6848731696, "exit": 830813.1193459912, "resize": 46370.03373646812 }, "transaction_cost": 4365.759594889072, "transaction_cost_over_anchor_nav": 0.004955687196215929, "two_sided_turnover": 2.0037934493463547 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.304930615497023, "annualized_volatility": 0.13559258518798942, "cagr": -0.09174037440904714, "end_nav": 733010.3846188048, "end_session": "2002-12-31", "fee_by_category": { "entry": 669.1690204232765, "exit": 1846.290071727688, "resize": 60.76900565312572 }, "max_cash_weight": 0.7112103912504035, "max_drawdown": -0.17436049480366855, "mean_cash_weight": 0.45068174271325323, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 807049.3986142747, "start_session": "2001-12-31", "total_return": -0.09174037440904714, "traded_notional_by_category": { "entry": 267667.6081693106, "exit": 738516.0286910753, "resize": 24307.602261250286 }, "transaction_cost": 2576.228097804091, "transaction_cost_over_anchor_nav": 0.0031921566414987025, "two_sided_turnover": 1.304930615497023 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9980735872137902, "annualized_volatility": 0.09694706858512817, "cagr": 0.15976286578054832, "end_nav": 850118.224312407, "end_session": "2003-12-31", "fee_by_category": { "entry": 2444.0910075047113, "exit": 1221.8062639703703, "resize": 0.0 }, "max_cash_weight": 0.6854814911239742, "max_drawdown": -0.05046474708141502, "mean_cash_weight": 0.3817533020051214, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 733010.3846188048, "start_session": "2002-12-31", "total_return": 0.15976286578054832, "traded_notional_by_category": { "entry": 977636.4030018845, "exit": 488722.50558814814, "resize": 0.0 }, "transaction_cost": 3665.8972714750817, "transaction_cost_over_anchor_nav": 0.0050011532556684, "two_sided_turnover": 1.9980735872137902 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.683128409457769, "annualized_volatility": 0.12487538185718693, "cagr": 0.2103344364878421, "end_nav": 1028927.3619712021, "end_session": "2004-12-31", "fee_by_category": { "entry": 2939.2059930271635, "exit": 2916.1593182906963, "resize": 86.5152326739255 }, "max_cash_weight": 0.0, "max_drawdown": -0.06746587613787458, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 850118.224312407, "start_session": "2003-12-31", "total_return": 0.2103344364878421, "traded_notional_by_category": { "entry": 1175682.3972108653, "exit": 1166463.7273162785, "resize": 34606.0930695702 }, "transaction_cost": 5941.880543991785, "transaction_cost_over_anchor_nav": 0.006989475550647911, "two_sided_turnover": 2.683128409457769 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 2.671847088941572, "annualized_volatility": 0.1292100861098736, "cagr": 0.0842335926734088, "end_nav": 1115597.6102700094, "end_session": "2005-12-30", "fee_by_category": { "entry": 3560.043744085479, "exit": 3507.1542050336047, "resize": 90.01604640252583 }, "max_cash_weight": 1.159213906259953e-16, "max_drawdown": -0.10436206348997212, "mean_cash_weight": 5.501830951887114e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1028927.3619712021, "start_session": "2004-12-31", "total_return": 0.0842335926734088, "traded_notional_by_category": { "entry": 1424017.4976341915, "exit": 1402861.6820134418, "resize": 36006.41856101033 }, "transaction_cost": 7157.213995521609, "transaction_cost_over_anchor_nav": 0.0069559953987518965, "two_sided_turnover": 2.671847088941572 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0366583698331375, "annualized_volatility": 0.11509958434181777, "cagr": 0.19727359555572277, "end_nav": 1335675.562041346, "end_session": "2006-12-29", "fee_by_category": { "entry": 2999.8603339211045, "exit": 2923.307518040732, "resize": 202.28892069102497 }, "max_cash_weight": 0.0, "max_drawdown": -0.08264384874320108, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1115597.6102700094, "start_session": "2005-12-30", "total_return": 0.19727359555572277, "traded_notional_by_category": { "entry": 1199944.1335684417, "exit": 1169323.0072162927, "resize": 80915.56827640999 }, "transaction_cost": 6125.456772652861, "transaction_cost_over_anchor_nav": 0.005490740313768071, "two_sided_turnover": 2.0366583698331375 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.327235616205116, "annualized_volatility": 0.17323813674421695, "cagr": 0.016741878564132895, "end_nav": 1358037.280102122, "end_session": "2007-12-31", "fee_by_category": { "entry": 5516.298555772671, "exit": 5526.014734884952, "resize": 17.93444021489995 }, "max_cash_weight": 0.0, "max_drawdown": -0.15077879689320428, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1335675.562041346, "start_session": "2006-12-29", "total_return": 0.016741878564132895, "traded_notional_by_category": { "entry": 2206519.422309068, "exit": 2210405.893953981, "resize": 7173.77608595998 }, "transaction_cost": 11060.247730872523, "transaction_cost_over_anchor_nav": 0.008280639434601073, "two_sided_turnover": 3.327235616205116 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.68539970142659, "annualized_volatility": 0.4339370847395427, "cagr": -0.3664173575739058, "end_nav": 860428.8484402483, "end_session": "2008-12-31", "fee_by_category": { "entry": 4249.793640577035, "exit": 4265.532077342249, "resize": 80.78871276987266 }, "max_cash_weight": 0.0, "max_drawdown": -0.48076021960518867, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1358037.280102122, "start_session": "2007-12-31", "total_return": -0.3664173575739058, "traded_notional_by_category": { "entry": 1699917.4562308139, "exit": 1706212.8309368994, "resize": 32315.48510794906 }, "transaction_cost": 8596.114430689157, "transaction_cost_over_anchor_nav": 0.00632980740414044, "two_sided_turnover": 2.68539970142659 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.665557404326123, "annualized_volatility": 0.1229902716706781, "cagr": 0.060023604312217094, "end_nav": 912074.8891778424, "end_session": "2009-12-31", "fee_by_category": { "entry": 1368.7662104591734, "exit": 2061.725545077602, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.11195258603137126, "mean_cash_weight": 0.6336245501754804, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 860428.8484402483, "start_session": "2008-12-31", "total_return": 0.060023604312217094, "traded_notional_by_category": { "entry": 547506.4841836693, "exit": 824690.2180310409, "resize": 0.0 }, "transaction_cost": 3430.4917555367756, "transaction_cost_over_anchor_nav": 0.003986955762531018, "two_sided_turnover": 1.665557404326123 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.68991911055045, "annualized_volatility": 0.19027411613880296, "cagr": 0.18126741328104257, "end_nav": 1077404.3450577036, "end_session": "2010-12-31", "fee_by_category": { "entry": 2304.1754030128805, "exit": 1559.9453079538027, "resize": 75.55072968879803 }, "max_cash_weight": 0.3126604137692953, "max_drawdown": -0.18085868726631493, "mean_cash_weight": 0.02277556457922068, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 912074.8891778424, "start_session": "2009-12-31", "total_return": 0.18126741328104257, "traded_notional_by_category": { "entry": 921670.1612051522, "exit": 623978.1231815211, "resize": 30220.291875519208 }, "transaction_cost": 3939.671440655481, "transaction_cost_over_anchor_nav": 0.004319460482249169, "two_sided_turnover": 1.68991911055045 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664446294754371, "annualized_volatility": 0.20700748934192612, "cagr": 0.07797311552847641, "end_nav": 1161412.9185257703, "end_session": "2011-12-30", "fee_by_category": { "entry": 3708.366341398594, "exit": 3672.012976431809, "resize": 54.94166742993592 }, "max_cash_weight": 0.0, "max_drawdown": -0.1503314693264981, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1077404.3450577036, "start_session": "2010-12-31", "total_return": 0.07797311552847641, "traded_notional_by_category": { "entry": 1483346.5365594376, "exit": 1468805.1905727235, "resize": 21976.666971974366 }, "transaction_cost": 7435.320985260339, "transaction_cost_over_anchor_nav": 0.0069011425648762515, "two_sided_turnover": 2.664446294754371 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6806980730250517, "annualized_volatility": 0.08620208114426942, "cagr": 0.12848738724758424, "end_nav": 1310639.829942738, "end_session": "2012-12-31", "fee_by_category": { "entry": 993.037046805874, "exit": 988.3254673802875, "resize": 54.20295348124127 }, "max_cash_weight": 0.0, "max_drawdown": -0.0695501024272338, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1161412.9185257703, "start_session": "2011-12-30", "total_return": 0.12848738724758424, "traded_notional_by_category": { "entry": 397214.8187223496, "exit": 395330.186952115, "resize": 21681.18139249651 }, "transaction_cost": 2035.5654676674028, "transaction_cost_over_anchor_nav": 0.0017526630151929348, "two_sided_turnover": 0.6806980730250517 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3355894037302707, "annualized_volatility": 0.12083875221351356, "cagr": 0.38832866933729426, "end_nav": 1819598.8510848589, "end_session": "2013-12-31", "fee_by_category": { "entry": 2319.819190308892, "exit": 2249.7448648410063, "resize": 95.7119017892817 }, "max_cash_weight": 1.469353579722876e-16, "max_drawdown": -0.05474457578903191, "mean_cash_weight": 5.77407632102771e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1310639.829942738, "start_session": "2012-12-31", "total_return": 0.38832866933729426, "traded_notional_by_category": { "entry": 927927.6761235567, "exit": 899897.9459364025, "resize": 38284.76071571268 }, "transaction_cost": 4665.275956939179, "transaction_cost_over_anchor_nav": 0.0035595408062205815, "two_sided_turnover": 1.3355894037302707 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6645744675868515, "annualized_volatility": 0.1379762513981128, "cagr": -0.003460414814150492, "end_nav": 1813302.2842647536, "end_session": "2014-12-31", "fee_by_category": { "entry": 6134.248528970914, "exit": 6111.526591698177, "resize": 63.818931912963166 }, "max_cash_weight": 1.3245845669773972e-16, "max_drawdown": -0.12506869932567566, "mean_cash_weight": 1.0741426375445899e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1819598.8510848589, "start_session": "2013-12-31", "total_return": -0.003460414814150492, "traded_notional_by_category": { "entry": 2453699.411588365, "exit": 2444610.636679271, "resize": 25527.572765185265 }, "transaction_cost": 12309.594052582053, "transaction_cost_over_anchor_nav": 0.00676500430039455, "two_sided_turnover": 2.6645744675868515 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6622351543992395, "annualized_volatility": 0.1552005321683014, "cagr": -0.01948417685473003, "end_nav": 1777971.5818670532, "end_session": "2015-12-31", "fee_by_category": { "entry": 5894.9532050639145, "exit": 5765.713816715871, "resize": 158.7880259674118 }, "max_cash_weight": 1.4391371126154962e-16, "max_drawdown": -0.10878660559984565, "mean_cash_weight": 1.2239033846038492e-16, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1813302.2842647536, "start_session": "2014-12-31", "total_return": -0.01948417685473003, "traded_notional_by_category": { "entry": 2357981.282025566, "exit": 2306285.526686348, "resize": 63515.210386964725 }, "transaction_cost": 11819.455047747197, "transaction_cost_over_anchor_nav": 0.006518193436534314, "two_sided_turnover": 2.6622351543992395 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0191594526720253, "annualized_volatility": 0.12397575676370912, "cagr": 0.06003382956873771, "end_nav": 1884710.0247909187, "end_session": "2016-12-30", "fee_by_category": { "entry": 4557.3413365140095, "exit": 4499.22656823219, "resize": 171.18020609598665 }, "max_cash_weight": 1.404500327783948e-16, "max_drawdown": -0.09479808930734801, "mean_cash_weight": 6.378454991998572e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1777971.5818670532, "start_session": "2015-12-31", "total_return": 0.06003382956873771, "traded_notional_by_category": { "entry": 1822936.5346056037, "exit": 1799690.6272928761, "resize": 68472.08243839466 }, "transaction_cost": 9227.748110842187, "transaction_cost_over_anchor_nav": 0.005190042520900194, "two_sided_turnover": 2.0191594526720253 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9994458329484948, "annualized_volatility": 0.09077314422558845, "cagr": 0.21574523512145016, "end_nav": 2291327.2322251895, "end_session": "2017-12-29", "fee_by_category": { "entry": 4881.069447901258, "exit": 4721.798464781973, "resize": 183.73749664259785 }, "max_cash_weight": 1.2367437392643374e-16, "max_drawdown": -0.05472316817609768, "mean_cash_weight": 9.753273714988067e-18, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1884710.0247909187, "start_session": "2016-12-30", "total_return": 0.21574523512145016, "traded_notional_by_category": { "entry": 1952427.779160503, "exit": 1888719.385912789, "resize": 73494.99865703913 }, "transaction_cost": 9786.605409325828, "transaction_cost_over_anchor_nav": 0.005192631906550988, "two_sided_turnover": 1.9994458329484948 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3409356725700619, "annualized_volatility": 0.1958450729505607, "cagr": -0.08707066831658139, "end_nav": 2091819.8387833596, "end_session": "2018-12-31", "fee_by_category": { "entry": 4084.027823123406, "exit": 3992.889610638474, "resize": 151.04488368367166 }, "max_cash_weight": 0.0, "max_drawdown": -0.2452084137402366, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2291327.2322251895, "start_session": "2017-12-29", "total_return": -0.08707066831658139, "traded_notional_by_category": { "entry": 1633611.1292493625, "exit": 1597155.8442553896, "resize": 60417.95347346866 }, "transaction_cost": 8227.962317445552, "transaction_cost_over_anchor_nav": 0.0035909154317757945, "two_sided_turnover": 1.3409356725700619 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.021290833535739, "annualized_volatility": 0.0987565058949603, "cagr": 0.244953010856658, "end_nav": 2604217.4064630326, "end_session": "2019-12-31", "fee_by_category": { "entry": 5826.0420319332625, "exit": 5716.289215696156, "resize": 138.95603444228473 }, "max_cash_weight": 0.6665851701886382, "max_drawdown": -0.04486509956142193, "mean_cash_weight": 0.32213162916856614, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2091819.8387833596, "start_session": "2018-12-31", "total_return": 0.244953010856658, "traded_notional_by_category": { "entry": 2330416.812773305, "exit": 2286515.6862784624, "resize": 55582.41377691389 }, "transaction_cost": 11681.287282071704, "transaction_cost_over_anchor_nav": 0.005584270244260496, "two_sided_turnover": 2.021290833535739 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.372768871840979, "annualized_volatility": 0.33360064849945226, "cagr": 0.21209386287347232, "end_nav": 3156555.9359621126, "end_session": "2020-12-31", "fee_by_category": { "entry": 4617.097848844478, "exit": 4282.552660855255, "resize": 632.058153483301 }, "max_cash_weight": 0.0, "max_drawdown": -0.30243150459353496, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2604217.4064630326, "start_session": "2019-12-31", "total_return": 0.21209386287347232, "traded_notional_by_category": { "entry": 1846839.1395377913, "exit": 1713021.064342102, "resize": 252823.2613933204 }, "transaction_cost": 9531.708663183033, "transaction_cost_over_anchor_nav": 0.0036601048128806976, "two_sided_turnover": 1.372768871840979 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9994458329484952, "annualized_volatility": 0.1542702367787396, "cagr": 0.24674161321482502, "end_nav": 3935409.639804236, "end_session": "2021-12-31", "fee_by_category": { "entry": 8848.672030399543, "exit": 8668.742816749946, "resize": 224.28345941601088 }, "max_cash_weight": 1.4795439646182154e-16, "max_drawdown": -0.06844291103178801, "mean_cash_weight": 1.1905321279922566e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3156555.9359621126, "start_session": "2020-12-31", "total_return": 0.24674161321482502, "traded_notional_by_category": { "entry": 3539468.812159817, "exit": 3467497.126699978, "resize": 89713.38376640435 }, "transaction_cost": 17741.6983065655, "transaction_cost_over_anchor_nav": 0.005620587332046711, "two_sided_turnover": 1.9994458329484952 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3272356162051158, "annualized_volatility": 0.20360223721090143, "cagr": -0.0352041700532667, "end_nav": 3796866.809615303, "end_session": "2022-12-30", "fee_by_category": { "entry": 15486.441827694722, "exit": 15459.576807846228, "resize": 104.4912946740311 }, "max_cash_weight": 1.2554108790153027e-16, "max_drawdown": -0.18733817905886452, "mean_cash_weight": 9.564514971435512e-18, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3935409.639804236, "start_session": "2021-12-31", "total_return": -0.0352041700532667, "traded_notional_by_category": { "entry": 6194576.731077889, "exit": 6183830.723138491, "resize": 41796.517869612435 }, "transaction_cost": 31050.50993021498, "transaction_cost_over_anchor_nav": 0.007890032492718996, "two_sided_turnover": 3.3272356162051158 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.7241133333782663, "annualized_volatility": 0.14121734470168468, "cagr": 0.04399551095259513, "end_nav": 3963911.904923278, "end_session": "2023-12-29", "fee_by_category": { "entry": 12529.533960354036, "exit": 12456.933935368968, "resize": 722.1014739280118 }, "max_cash_weight": 1.4065301943298221e-16, "max_drawdown": -0.14133545851631102, "mean_cash_weight": 5.440137295735612e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 3796866.809615303, "start_session": "2022-12-30", "total_return": 0.04399551095259513, "traded_notional_by_category": { "entry": 5011813.584141614, "exit": 4982773.574147587, "resize": 288840.58957120473 }, "transaction_cost": 25708.569369651013, "transaction_cost_over_anchor_nav": 0.006770995839133951, "two_sided_turnover": 2.7241133333782663 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3774645911517873, "annualized_volatility": 0.1442385866389361, "cagr": 0.1396364078411534, "end_nav": 4517418.324325548, "end_session": "2024-12-31", "fee_by_category": { "entry": 7283.4103302025915, "exit": 7330.573074361143, "resize": 438.30749684735724 }, "max_cash_weight": 1.2166260228093026e-16, "max_drawdown": -0.09897338153415447, "mean_cash_weight": 9.889154665260298e-18, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3963911.904923278, "start_session": "2023-12-29", "total_return": 0.1396364078411534, "traded_notional_by_category": { "entry": 2913364.1320810365, "exit": 2932229.229744457, "resize": 175322.9987389429 }, "transaction_cost": 15052.290901411092, "transaction_cost_over_anchor_nav": 0.003797332348056416, "two_sided_turnover": 1.3774645911517873 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0057076328919266, "annualized_volatility": 0.16247826974151067, "cagr": 0.10199461311622127, "end_nav": 4978170.65859926, "end_session": "2025-12-31", "fee_by_category": { "entry": 11687.208205616782, "exit": 11031.332951534549, "resize": 789.6308841024188 }, "max_cash_weight": 0.0, "max_drawdown": -0.15121780906935545, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4517418.324325548, "start_session": "2024-12-31", "total_return": 0.10199461311622127, "traded_notional_by_category": { "entry": 4674883.282246713, "exit": 4412533.1806138195, "resize": 315852.3536409675 }, "transaction_cost": 23508.172041253747, "transaction_cost_over_anchor_nav": 0.005203895312210991, "two_sided_turnover": 2.0057076328919266 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.090466176657464, "annualized_volatility": 0.1782314327323984, "cagr": 0.07172794256245418, "end_nav": 4978170.65859926, "end_session": "2025-12-31", "fee_by_category": { "entry": 127075.4747760987, "exit": 124852.2076638187, "resize": 4713.043036331848 }, "max_cash_weight": 1.0, "max_drawdown": -0.4881328852642699, "mean_cash_weight": 0.07258845725110448, "nonzero_trade_event_count": 50, "order_count": 217, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 880959.4758568873, "start_session": "2000-12-29", "total_return": 4.650850913155929, "traded_notional_by_category": { "entry": 50830189.91043948, "exit": 49940883.065527484, "resize": 1885217.2145327395 }, "transaction_cost": 256640.72547624924, "transaction_cost_over_anchor_nav": 0.2913195584015045, "two_sided_turnover": 52.2616544164366 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 5907396.274314058, "end_session": "2026-10-02", "fee_by_category": { "entry": 8419.389310693827, "exit": 8243.598837921985, "resize": 961.1967774873588 }, "max_cash_weight": 0.0, "max_drawdown": -0.09945105700098911, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 4978170.65859926, "start_session": "2025-12-31", "total_return": 0.18666005636220184, "traded_notional_by_category": { "entry": 3367755.724277531, "exit": 3297439.535168794, "resize": 384478.7109949435 }, "transaction_cost": 17624.18492610317, "transaction_cost_over_anchor_nav": 0.0035402934400529775, "two_sided_turnover": 1.3844416592701183 } }, "monthly_risk": { "beta_intercept_per_month": 0.0002918395988047561, "beta_to_SPY_excess_returns": 0.7383734137594017, "monthly_return_volatility_annualized": 0.1347155023806506, "months": 300, "sharpe_monthly_annualized": 0.4562583778203392, "tracking_error_monthly_annualized": 0.08594870376406395 }, "phase": [ 1, 7 ], "policy": "A", "run_id": "SMIX-01-07-25bps", "signal": "mixed" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0051290890393036, "annualized_volatility": 0.165606454955504, "cagr": -0.08021298201970883, "end_nav": 816283.489000476, "end_session": "2001-12-31", "fee_by_category": { "entry": 439.1344263464798, "exit": 418.8529955262026, "resize": 22.97368140779689 }, "max_cash_weight": 1.3707247032183987e-16, "max_drawdown": -0.1934341587601366, "mean_cash_weight": 1.1360337926915137e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 887470.1132365481, "start_session": "2000-12-29", "total_return": -0.08021298201970883, "traded_notional_by_category": { "entry": 878268.8526929597, "exit": 837705.9910524052, "resize": 45947.36281559378 }, "transaction_cost": 880.9611032804794, "transaction_cost_over_anchor_nav": 0.0009926656572892007, "two_sided_turnover": 2.0051290890393036 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3047272945331978, "annualized_volatility": 0.1355387468588068, "cagr": -0.08936376352221165, "end_nav": 743337.3243223516, "end_session": "2002-12-31", "fee_by_category": { "entry": 135.63651120005375, "exit": 373.7062370001085, "resize": 11.9506475536542 }, "max_cash_weight": 0.7112103912504035, "max_drawdown": -0.17385650113601392, "mean_cash_weight": 0.4506817427132532, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 816283.489000476, "start_session": "2001-12-31", "total_return": -0.08936376352221165, "traded_notional_by_category": { "entry": 271273.02240010747, "exit": 747412.474000217, "resize": 23901.295107308397 }, "transaction_cost": 521.2933957538165, "transaction_cost_over_anchor_nav": 0.0006386180815590557, "two_sided_turnover": 1.3047272945331978 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.001203079613492, "annualized_volatility": 0.09660300539184549, "cagr": 0.16441274416515506, "end_nav": 865551.4536545733, "end_session": "2003-12-31", "fee_by_category": { "entry": 497.3629846764867, "exit": 247.975927476731, "resize": 0.0 }, "max_cash_weight": 0.6854814911239742, "max_drawdown": -0.04875870702684959, "mean_cash_weight": 0.38175330200512136, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 743337.3243223516, "start_session": "2002-12-31", "total_return": 0.16441274416515506, "traded_notional_by_category": { "entry": 994725.9693529734, "exit": 495951.85495346197, "resize": 0.0 }, "transaction_cost": 745.3389121532177, "transaction_cost_over_anchor_nav": 0.0010026927045977286, "two_sided_turnover": 2.001203079613492 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.687575107895797, "annualized_volatility": 0.12493633970273693, "cagr": 0.21686046215955845, "end_nav": 1053255.3419169816, "end_session": "2004-12-31", "fee_by_category": { "entry": 601.1302179117062, "exit": 594.4247584524671, "resize": 17.687779755608588 }, "max_cash_weight": 1.264330929370849e-16, "max_drawdown": -0.0674658761378748, "mean_cash_weight": 4.9741990652521096e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 865551.4536545733, "start_session": "2003-12-31", "total_return": 0.21686046215955845, "traded_notional_by_category": { "entry": 1202260.4358234121, "exit": 1188849.5169049343, "resize": 35375.55951121717 }, "transaction_cost": 1213.242756119782, "transaction_cost_over_anchor_nav": 0.001401699172241199, "two_sided_turnover": 2.687575107895797 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 2.675412998635027, "annualized_volatility": 0.12918692678146046, "cagr": 0.09005266780344345, "end_nav": 1148103.795334834, "end_session": "2005-12-30", "fee_by_category": { "entry": 731.8085302618019, "exit": 718.9855775446281, "resize": 18.44429395980778 }, "max_cash_weight": 1.1368836146700982e-16, "max_drawdown": -0.10436206348997235, "mean_cash_weight": 8.876019196021524e-18, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1053255.3419169816, "start_session": "2004-12-31", "total_return": 0.09005266780344345, "traded_notional_by_category": { "entry": 1463617.0605236036, "exit": 1437971.1550892564, "resize": 36888.58791961556 }, "transaction_cost": 1469.2384017662375, "transaction_cost_over_anchor_nav": 0.0013949498695085129, "two_sided_turnover": 2.675412998635027 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0380159158220277, "annualized_volatility": 0.1148625765043101, "cagr": 0.2021678071223758, "end_nav": 1380213.4219865543, "end_session": "2006-12-29", "fee_by_category": { "entry": 619.4335957410744, "exit": 602.27687479242, "resize": 41.09014858721316 }, "max_cash_weight": 0.0, "max_drawdown": -0.08264384874320108, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1148103.795334834, "start_session": "2005-12-30", "total_return": 0.2021678071223758, "traded_notional_by_category": { "entry": 1238867.1914821486, "exit": 1204553.7495848401, "resize": 82180.29717442632 }, "transaction_cost": 1262.8006191207076, "transaction_cost_over_anchor_nav": 0.0010999010927861478, "two_sided_turnover": 2.0380159158220277 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.332111647892101, "annualized_volatility": 0.1735062697064281, "cagr": 0.023545547833646596, "end_nav": 1412711.3031345797, "end_session": "2007-12-31", "fee_by_category": { "entry": 1145.7956776558758, "exit": 1143.8610302045533, "resize": 3.081016313409229 }, "max_cash_weight": 0.0, "max_drawdown": -0.14737510043323665, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1380213.4219865543, "start_session": "2006-12-29", "total_return": 0.023545547833646596, "traded_notional_by_category": { "entry": 2291591.3553117514, "exit": 2287722.0604091063, "resize": 6162.032626818458 }, "transaction_cost": 2292.7377241738386, "transaction_cost_over_anchor_nav": 0.0016611472455280716, "two_sided_turnover": 3.332111647892101 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.689847913806941, "annualized_volatility": 0.43414685623383864, "cagr": -0.3629982319235995, "end_nav": 899899.5978782431, "end_session": "2008-12-31", "fee_by_category": { "entry": 888.0331586469265, "exit": 888.3515859839666, "resize": 16.875614438151942 }, "max_cash_weight": 0.0, "max_drawdown": -0.4800421466764091, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1412711.3031345797, "start_session": "2007-12-31", "total_return": -0.3629982319235995, "traded_notional_by_category": { "entry": 1776066.317293853, "exit": 1776703.1719679332, "resize": 33751.22887630388 }, "transaction_cost": 1793.2603590690449, "transaction_cost_over_anchor_nav": 0.0012693749636532871, "two_sided_turnover": 2.689847913806941 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6664445184938352, "annualized_volatility": 0.12275232921878047, "cagr": 0.06356469163335987, "end_nav": 957101.4383183582, "end_session": "2009-12-31", "fee_by_category": { "entry": 287.2676628413572, "exit": 431.2607584726928, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.10898599790504504, "mean_cash_weight": 0.6336245501754804, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 899899.5978782431, "start_session": "2008-12-31", "total_return": 0.06356469163335987, "traded_notional_by_category": { "entry": 574535.3256827143, "exit": 862521.5169453856, "resize": 0.0 }, "transaction_cost": 718.5284213140501, "transaction_cost_over_anchor_nav": 0.0007984539864315701, "two_sided_turnover": 1.6664445184938352 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.691045535553317, "annualized_volatility": 0.19056563533778303, "cagr": 0.18527277336188286, "end_nav": 1134426.2761842473, "end_session": "2010-12-31", "fee_by_category": { "entry": 484.81472868361675, "exit": 327.62545974833904, "resize": 15.417651733512788 }, "max_cash_weight": 0.3126604137692953, "max_drawdown": -0.1808586872663147, "mean_cash_weight": 0.02277556457922062, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 957101.4383183582, "start_session": "2009-12-31", "total_return": 0.18527277336188286, "traded_notional_by_category": { "entry": 969629.4573672335, "exit": 655250.919496678, "resize": 30835.303467025573 }, "transaction_cost": 827.8578401654686, "transaction_cost_over_anchor_nav": 0.0008649635315772041, "two_sided_turnover": 1.691045535553317 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6662222962839524, "annualized_volatility": 0.2071329843922143, "cagr": 0.08374345552694273, "end_nav": 1229427.0525924782, "end_session": "2011-12-30", "fee_by_category": { "entry": 784.0845226627196, "exit": 774.3280461074164, "resize": 10.54095331634619 }, "max_cash_weight": 0.0, "max_drawdown": -0.14806038643834518, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1134426.2761842473, "start_session": "2010-12-31", "total_return": 0.08374345552694273, "traded_notional_by_category": { "entry": 1568169.045325439, "exit": 1548656.0922148325, "resize": 21081.90663269238 }, "transaction_cost": 1568.9535220864818, "transaction_cost_over_anchor_nav": 0.0013830370073618261, "two_sided_turnover": 2.6662222962839524 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6802441986639748, "annualized_volatility": 0.08628223103061271, "cagr": 0.13002651996706338, "end_nav": 1389285.1737944419, "end_session": "2012-12-31", "fee_by_category": { "entry": 210.51923291008106, "exit": 209.24066660215462, "resize": 10.919605412337434 }, "max_cash_weight": 0.0, "max_drawdown": -0.06955010242723392, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1229427.0525924782, "start_session": "2011-12-30", "total_return": 0.13002651996706338, "traded_notional_by_category": { "entry": 421038.4658201621, "exit": 418481.3332043092, "resize": 21839.21082467487 }, "transaction_cost": 430.6795049245731, "transaction_cost_over_anchor_nav": 0.00035030911676817617, "two_sided_turnover": 0.6802441986639748 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3364796482919972, "annualized_volatility": 0.12095122160300055, "cagr": 0.3920489098061384, "end_nav": 1933952.9115903843, "end_session": "2013-12-31", "fee_by_category": { "entry": 493.1186755676224, "exit": 476.9482987069523, "resize": 19.64367551623576 }, "max_cash_weight": 0.0, "max_drawdown": -0.05474457578903191, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1389285.1737944419, "start_session": "2012-12-31", "total_return": 0.3920489098061384, "traded_notional_by_category": { "entry": 986237.3511352448, "exit": 953896.5974139046, "resize": 39287.35103247152 }, "transaction_cost": 989.7106497908104, "transaction_cost_over_anchor_nav": 0.0007123884055335407, "two_sided_turnover": 1.3364796482919972 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6690087987915048, "annualized_volatility": 0.13752568852409786, "cagr": 0.0018755984394820402, "end_nav": 1937580.230653395, "end_session": "2014-12-31", "fee_by_category": { "entry": 1309.6802218083767, "exit": 1300.4584785970064, "resize": 13.565936152804003 }, "max_cash_weight": 0.0, "max_drawdown": -0.12156195625340493, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1933952.9115903843, "start_session": "2013-12-31", "total_return": 0.0018755984394820402, "traded_notional_by_category": { "entry": 2619360.443616753, "exit": 2600916.9571940126, "resize": 27131.872305608005 }, "transaction_cost": 2623.7046365581873, "transaction_cost_over_anchor_nav": 0.0013566538362097898, "two_sided_turnover": 2.6690087987915048 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778296049508, "annualized_volatility": 0.15540822462004864, "cagr": -0.014238145397996171, "end_nav": 1909992.681609069, "end_session": "2015-12-31", "fee_by_category": { "entry": 1265.2765996119658, "exit": 1233.3371735324504, "resize": 33.205335633904205 }, "max_cash_weight": 1.273805854145198e-16, "max_drawdown": -0.10813738854458843, "mean_cash_weight": 6.160408392750253e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1937580.230653395, "start_session": "2014-12-31", "total_return": -0.014238145397996171, "traded_notional_by_category": { "entry": 2530553.199223932, "exit": 2466674.347064901, "resize": 66410.67126780841 }, "transaction_cost": 2531.8191087783207, "transaction_cost_over_anchor_nav": 0.0013066912372059738, "two_sided_turnover": 2.665778296049508 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.02229760884375, "annualized_volatility": 0.12398656714653776, "cagr": 0.06432881123748002, "end_nav": 2032860.2402892672, "end_session": "2016-12-30", "fee_by_category": { "entry": 982.2954192089562, "exit": 967.5878590686652, "resize": 37.69963476324483 }, "max_cash_weight": 0.0, "max_drawdown": -0.09357591672977916, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1909992.681609069, "start_session": "2015-12-31", "total_return": 0.06432881123748002, "traded_notional_by_category": { "entry": 1964590.8384179121, "exit": 1935175.7181373304, "resize": 75399.26952648966 }, "transaction_cost": 1987.582913040866, "transaction_cost_over_anchor_nav": 0.0010406233134707256, "two_sided_turnover": 2.02229760884375 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998889444413597, "annualized_volatility": 0.0905860933553248, "cagr": 0.22062447762120696, "end_nav": 2481358.968880008, "end_session": "2017-12-29", "fee_by_category": { "entry": 1056.258854732925, "exit": 1019.5663707402944, "resize": 37.74927124098764 }, "max_cash_weight": 0.0, "max_drawdown": -0.05472316817609757, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2032860.2402892672, "start_session": "2016-12-30", "total_return": 0.22062447762120696, "traded_notional_by_category": { "entry": 2112517.70946585, "exit": 2039132.7414805884, "resize": 75498.54248197528 }, "transaction_cost": 2113.5744967142073, "transaction_cost_over_anchor_nav": 0.0010397047740052484, "two_sided_turnover": 1.9998889444413597 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.340939850444944, "annualized_volatility": 0.1958066612973361, "cagr": -0.08461655333918394, "end_nav": 2271394.9253361104, "end_session": "2018-12-31", "fee_by_category": { "entry": 886.3400630235026, "exit": 865.3834531899838, "resize": 31.548045663427736 }, "max_cash_weight": 0.0, "max_drawdown": -0.24520841374023683, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2481358.968880008, "start_session": "2017-12-29", "total_return": -0.08461655333918394, "traded_notional_by_category": { "entry": 1772680.1260470052, "exit": 1730766.9063799677, "resize": 63096.09132685547 }, "transaction_cost": 1783.2715618769143, "transaction_cost_over_anchor_nav": 0.000718667304586654, "two_sided_turnover": 1.340939850444944 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.022638136207651, "annualized_volatility": 0.09865178943767873, "cagr": 0.2500036326115833, "end_nav": 2839251.907765654, "end_session": "2019-12-31", "fee_by_category": { "entry": 1269.7994195826154, "exit": 1241.4023498158888, "resize": 29.667504403627944 }, "max_cash_weight": 0.666585170188638, "max_drawdown": -0.04354674262452374, "mean_cash_weight": 0.3221316291685661, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2271394.9253361104, "start_session": "2018-12-31", "total_return": 0.2500036326115833, "traded_notional_by_category": { "entry": 2539598.8391652307, "exit": 2482804.6996317776, "resize": 59335.00880725589 }, "transaction_cost": 2540.8692738021323, "transaction_cost_over_anchor_nav": 0.0011186382629723214, "two_sided_turnover": 2.022638136207651 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3736298376169622, "annualized_volatility": 0.33364487432427525, "cagr": 0.2154322536731612, "end_nav": 3450918.345001431, "end_session": "2020-12-31", "fee_by_category": { "entry": 1009.5324138387323, "exit": 933.8876283875434, "resize": 136.44130892682426 }, "max_cash_weight": 0.0, "max_drawdown": -0.30243150459353496, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2839251.907765654, "start_session": "2019-12-31", "total_return": 0.2154322536731612, "traded_notional_by_category": { "entry": 2019064.8276774646, "exit": 1867775.2567750867, "resize": 272882.6178536485 }, "transaction_cost": 2079.8613511531, "transaction_cost_over_anchor_nav": 0.0007325385061693396, "two_sided_turnover": 1.3736298376169622 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998889444413595, "annualized_volatility": 0.15428444754294734, "cagr": 0.25174525582815943, "end_nav": 4319670.666605905, "end_session": "2021-12-31", "fee_by_category": { "entry": 1940.9751006552826, "exit": 1897.2191104884937, "resize": 45.69793624048121 }, "max_cash_weight": 1.351532400615169e-16, "max_drawdown": -0.06844291103178801, "mean_cash_weight": 6.114675007116358e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3450918.345001431, "start_session": "2020-12-31", "total_return": 0.25174525582815943, "traded_notional_by_category": { "entry": 3881950.201310565, "exit": 3794438.2209769874, "resize": 91395.87248096243 }, "transaction_cost": 3883.892147384258, "transaction_cost_over_anchor_nav": 0.0011254662553838687, "two_sided_turnover": 1.9998889444413595 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.332111647892101, "annualized_volatility": 0.20359033291690015, "cagr": -0.028748104971307753, "end_nav": 4195488.320840839, "end_session": "2022-12-30", "fee_by_category": { "entry": 3416.895293570873, "exit": 3399.060935303237, "resize": 21.252962863505118 }, "max_cash_weight": 1.294673990792304e-16, "max_drawdown": -0.18408101337226979, "mean_cash_weight": 5.771784105212014e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4319670.666605905, "start_session": "2021-12-31", "total_return": -0.028748104971307753, "traded_notional_by_category": { "entry": 6833790.587141747, "exit": 6798121.870606474, "resize": 42505.92572701024 }, "transaction_cost": 6837.209191737615, "transaction_cost_over_anchor_nav": 0.0015828079776067318, "two_sided_turnover": 3.332111647892101 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.728587350545787, "annualized_volatility": 0.14102170465498937, "cagr": 0.049710860554624814, "end_nav": 4404049.655716715, "end_session": "2023-12-29", "fee_by_category": { "entry": 2781.359425783339, "exit": 2755.992916965149, "resize": 159.58254277736356 }, "max_cash_weight": 1.2659625158178872e-16, "max_drawdown": -0.13663470262803323, "mean_cash_weight": 1.0613821679954012e-16, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4195488.320840839, "start_session": "2022-12-30", "total_return": 0.049710860554624814, "traded_notional_by_category": { "entry": 5562718.851566678, "exit": 5511985.833930299, "resize": 319165.0855547271 }, "transaction_cost": 5696.934885525852, "transaction_cost_over_anchor_nav": 0.0013578717064296583, "two_sided_turnover": 2.728587350545787 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3801604369542133, "annualized_volatility": 0.14388448868044582, "cagr": 0.1427849355729287, "end_nav": 5032881.602068205, "end_session": "2024-12-31", "fee_by_category": { "entry": 1622.8978243524955, "exit": 1629.0475074501596, "resize": 99.6242169661303 }, "max_cash_weight": 1.0950372390541138e-16, "max_drawdown": -0.09656232147437616, "mean_cash_weight": 8.900839221094906e-18, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4404049.655716715, "start_session": "2023-12-29", "total_return": 0.1427849355729287, "traded_notional_by_category": { "entry": 3245795.6487049907, "exit": 3258095.0149003193, "resize": 199248.4339322606 }, "transaction_cost": 3351.569548768786, "transaction_cost_over_anchor_nav": 0.0007610199272885699, "two_sided_turnover": 1.3801604369542133 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0070445484945876, "annualized_volatility": 0.16228629450986615, "cagr": 0.10643072132020803, "end_nav": 5568534.821295529, "end_session": "2025-12-31", "fee_by_category": { "entry": 2612.319807361576, "exit": 2460.210477361417, "resize": 173.88956292012114 }, "max_cash_weight": 0.0, "max_drawdown": -0.15117126364275113, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5032881.602068205, "start_session": "2024-12-31", "total_return": 0.10643072132020803, "traded_notional_by_category": { "entry": 5224639.614723152, "exit": 4920420.954722834, "resize": 347779.12584024225 }, "transaction_cost": 5246.419847643114, "transaction_cost_over_anchor_nav": 0.0010424286248830407, "two_sided_turnover": 2.0070445484945876 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.0926573458099478, "annualized_volatility": 0.17823140629932452, "cagr": 0.07622602079400842, "end_nav": 5568534.821295529, "end_session": "2025-12-31", "fee_by_category": { "entry": 27471.77036863644, "exit": 26910.99247751892, "resize": 1008.5493265464959 }, "max_cash_weight": 1.0, "max_drawdown": -0.4833079513857427, "mean_cash_weight": 0.07258845725110447, "nonzero_trade_event_count": 50, "order_count": 217, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 887470.1132365481, "start_session": "2000-12-29", "total_return": 5.27461673158483, "traded_notional_by_category": { "entry": 54943540.73727288, "exit": 53821984.95503784, "resize": 2017098.6530929918 }, "transaction_cost": 55391.31217270186, "transaction_cost_over_anchor_nav": 0.06241484794422338, "two_sided_turnover": 52.31643364524869 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6626312.220619444, "end_session": "2026-10-02", "fee_by_category": { "entry": 1888.604522818083, "exit": 1844.2424066946892, "resize": 213.07537364899636 }, "max_cash_weight": 0.0, "max_drawdown": -0.09945105700098933, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 5568534.821295529, "start_session": "2025-12-31", "total_return": 0.18995614345064316, "traded_notional_by_category": { "entry": 3777209.045636166, "exit": 3688484.813389378, "resize": 426150.7472979927 }, "transaction_cost": 3945.9223031617685, "transaction_cost_over_anchor_nav": 0.0007086105106268768, "two_sided_turnover": 1.3853644665750808 } }, "monthly_risk": { "beta_intercept_per_month": 0.0006510949721289039, "beta_to_SPY_excess_returns": 0.737144681521405, "monthly_return_volatility_annualized": 0.13472279804864906, "months": 300, "sharpe_monthly_annualized": 0.48745471549494845, "tracking_error_monthly_annualized": 0.08628090541831109 }, "phase": [ 1, 7 ], "policy": "A", "run_id": "SMIX-01-07-5bps", "signal": "mixed" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0419354046288785, "annualized_volatility": 0.17838786259726055, "cagr": -0.0901597823160778, "end_nav": 1024589.9772192495, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.4671906721061965e-16, "max_drawdown": -0.22177424428756398, "mean_cash_weight": 1.543504923421679e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 1126120.7817647727, "start_session": "2000-12-29", "total_return": -0.0901597823160778, "traded_notional_by_category": { "entry": 1026273.6002697089, "exit": 1017101.7371322061, "resize": 53388.39405167196 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0419354046288785 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9648375233989057, "annualized_volatility": 0.13298551717794163, "cagr": -0.06930413905317323, "end_nav": 953581.6509655591, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.17098750446505795, "mean_cash_weight": 0.5079743901465099, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1024589.9772192495, "start_session": "2001-12-31", "total_return": -0.06930413905317323, "traded_notional_by_category": { "entry": 0.0, "exit": 914100.3254434301, "resize": 39481.32552212896 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.9648375233989057 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.0, "annualized_volatility": 0.08552084541752361, "cagr": 0.11657732931523612, "end_nav": 1064747.6531191375, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.056015904208169376, "mean_cash_weight": 0.6626984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 953581.6509655591, "start_session": "2002-12-31", "total_return": 0.11657732931523612, "traded_notional_by_category": { "entry": 953581.6509655591, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.0 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.014519050796217, "annualized_volatility": 0.12035948662895356, "cagr": 0.2141367256874609, "end_nav": 1292749.229241478, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.05703866867196783, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1064747.6531191375, "start_session": "2003-12-31", "total_return": 0.2141367256874609, "traded_notional_by_category": { "entry": 1081259.6618321508, "exit": 1081259.6618321508, "resize": 16595.62524138909 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.014519050796217 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7519346640459965, "annualized_volatility": 0.14145259069200153, "cagr": 0.17092277468794115, "end_nav": 1513709.5144791289, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.6468718510497474e-16, "max_drawdown": -0.10423143933146128, "mean_cash_weight": 5.125257691742169e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1292749.229241478, "start_session": "2004-12-31", "total_return": 0.17092277468794115, "traded_notional_by_category": { "entry": 508008.49543553626, "exit": 448486.91571683757, "resize": 178563.90328949917 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.7519346640459965 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.668968063074704, "annualized_volatility": 0.11572356745253802, "cagr": 0.15762937265053645, "end_nav": 1752314.595621622, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.554257626662612e-16, "max_drawdown": -0.08506788667889897, "mean_cash_weight": 1.4360891899600083e-16, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1513709.5144791289, "start_session": "2005-12-30", "total_return": 0.15762937265053645, "traded_notional_by_category": { "entry": 2140988.9982035425, "exit": 2142134.2393835676, "resize": 2625.1505380718736 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.668968063074704 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.697565487089686, "annualized_volatility": 0.1648904588658707, "cagr": 0.032780251733617094, "end_nav": 1809755.90918259, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3882467549548684e-16, "max_drawdown": -0.1074603216853609, "mean_cash_weight": 8.692801820399995e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1752314.595621622, "start_session": "2006-12-29", "total_return": 0.032780251733617094, "traded_notional_by_category": { "entry": 2328342.012461708, "exit": 2353400.055044799, "resize": 28979.381764533813 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.697565487089686 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.381205003396613, "annualized_volatility": 0.3904720015474126, "cagr": -0.36188238604463785, "end_nav": 1154837.1226092114, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.3095077114931447e-16, "max_drawdown": -0.45652156021436263, "mean_cash_weight": 6.299091573787237e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1809755.90918259, "start_session": "2007-12-31", "total_return": -0.36188238604463785, "traded_notional_by_category": { "entry": 1100877.7265917484, "exit": 1035451.3615335977, "resize": 144013.79684420943 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.381205003396613 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9999999999999998, "annualized_volatility": 0.16912894195545888, "cagr": -0.03663565674013214, "end_nav": 1112528.9061945383, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.21018982790835816, "mean_cash_weight": 0.5079365079365079, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1154837.1226092114, "start_session": "2008-12-31", "total_return": -0.03663565674013214, "traded_notional_by_category": { "entry": 970846.0015629935, "exit": 970846.0015629933, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.9999999999999998 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3465391812434844, "annualized_volatility": 0.17366361846794223, "cagr": 0.15714032078039275, "end_nav": 1287352.0553914076, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.14440636799666118, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1112528.9061945383, "start_session": "2009-12-31", "total_return": 0.15714032078039275, "traded_notional_by_category": { "entry": 723498.397370565, "exit": 701709.9487426912, "resize": 36193.05830808316 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3465391812434844 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6802832686429827, "annualized_volatility": 0.24196940129315367, "cagr": -0.021782675468134616, "end_nav": 1259310.0833555805, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.21965455991432403, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1287352.0553914076, "start_session": "2010-12-31", "total_return": -0.021782675468134616, "traded_notional_by_category": { "entry": 1703496.067718951, "exit": 1688504.3603309635, "resize": 31421.49927598756 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6802832686429827 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3585590643639114, "annualized_volatility": 0.08930266956818025, "cagr": 0.1618151527047793, "end_nav": 1463085.536796432, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.06976250601950762, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1259310.0833555805, "start_session": "2011-12-30", "total_return": 0.1618151527047793, "traded_notional_by_category": { "entry": 901065.8291983011, "exit": 911776.982085403, "resize": 24325.797839437844 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3585590643639114 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3430954593975715, "annualized_volatility": 0.11822668594282534, "cagr": 0.4100266135572084, "end_nav": 2062989.5447936035, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.457189932958318e-16, "max_drawdown": -0.05474070566580935, "mean_cash_weight": 6.720504113681222e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1463085.536796432, "start_session": "2012-12-31", "total_return": 0.4100266135572084, "traded_notional_by_category": { "entry": 1053930.583967321, "exit": 1034369.4724890739, "resize": 37336.65998596442 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3430954593975715 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.001516556770574, "annualized_volatility": 0.13090662370696765, "cagr": 0.05204963281620523, "end_nav": 2170367.3931037807, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.3209383140018313e-16, "max_drawdown": -0.09830313095217236, "mean_cash_weight": 7.247251891180491e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2062989.5447936035, "start_session": "2013-12-31", "total_return": 0.05204963281620523, "traded_notional_by_category": { "entry": 2180130.4097978305, "exit": 2133760.597188114, "resize": 49530.919684700784 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.001516556770574 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.005232915344794, "annualized_volatility": 0.14924509878537726, "cagr": 0.057516564702033035, "end_nav": 2295199.469696417, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.2119754835083239e-16, "max_drawdown": -0.10181234763293012, "mean_cash_weight": 3.2983703831823513e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2170367.3931037807, "start_session": "2014-12-31", "total_return": 0.057516564702033035, "traded_notional_by_category": { "entry": 2209986.5313434033, "exit": 2112882.104752657, "resize": 108239.898789439 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.005232915344794 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3483039825910978, "annualized_volatility": 0.11520289215147472, "cagr": 0.017167315417301543, "end_nav": 2334601.8829383184, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3340229084365088, "max_drawdown": -0.08708647086326549, "mean_cash_weight": 0.16332821915295745, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2295199.469696417, "start_session": "2015-12-31", "total_return": 0.017167315417301543, "traded_notional_by_category": { "entry": 1514717.8874896173, "exit": 1425661.8707083669, "resize": 89056.01678125071 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3483039825910978 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.379376897216736, "annualized_volatility": 0.08432780981922017, "cagr": 0.25811367188901824, "end_nav": 2937194.5473425435, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.046331254047859094, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2334601.8829383184, "start_session": "2016-12-30", "total_return": 0.25811367188901824, "traded_notional_by_category": { "entry": 1663604.931098679, "exit": 1619373.7666059695, "resize": 165531.88469581993 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.379376897216736 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3501188999776002, "annualized_volatility": 0.19730321678937449, "cagr": -0.07741170722313329, "end_nav": 2709821.302986279, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8431655148289352e-16, "max_drawdown": -0.24630106185371503, "mean_cash_weight": 5.0030483091853595e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2937194.5473425435, "start_session": "2017-12-29", "total_return": -0.07741170722313329, "traded_notional_by_category": { "entry": 2117206.4536003885, "exit": 2061412.1833471365, "resize": 107001.86843044148 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3501188999776002 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6772558599249923, "annualized_volatility": 0.0983775683533409, "cagr": 0.2845083382218092, "end_nav": 3480788.058776963, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3395458948594938, "max_drawdown": -0.029305132583731353, "mean_cash_weight": 0.1671874799717398, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2709821.302986279, "start_session": "2018-12-31", "total_return": 0.2845083382218092, "traded_notional_by_category": { "entry": 4183573.925509019, "exit": 4100106.86582788, "resize": 83467.05968113849 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6772558599249923 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3984489239120546, "annualized_volatility": 0.3336924655163411, "cagr": 0.18554430685995738, "end_nav": 4126628.4664691514, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7795952945973564e-16, "max_drawdown": -0.30314156449897944, "mean_cash_weight": 1.0996025735540493e-16, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3480788.058776963, "start_session": "2019-12-31", "total_return": 0.18554430685995738, "traded_notional_by_category": { "entry": 2595399.3956519924, "exit": 2340691.1544948593, "resize": 471816.9443141882 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3984489239120546 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3439084695843644, "annualized_volatility": 0.13830704213333606, "cagr": 0.23058767017028492, "end_nav": 5078178.110210649, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.1595259376269087e-16, "max_drawdown": -0.07582269061744007, "mean_cash_weight": 6.932961537057172e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4126628.4664691514, "start_session": "2020-12-31", "total_return": 0.23058767017028492, "traded_notional_by_category": { "entry": 3285074.339310384, "exit": 3255189.692410074, "resize": 74072.76692016376 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3439084695843644 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0559207233598475, "annualized_volatility": 0.19956404756720916, "cagr": 0.062241135934155256, "end_nav": 5394249.684266121, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.14290747733003717, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 5078178.110210649, "start_session": "2021-12-31", "total_return": 0.062241135934155256, "traded_notional_by_category": { "entry": 4798210.849199016, "exit": 4798210.849199016, "resize": 289123.4198846719 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0559207233598475 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666666666666667, "annualized_volatility": 0.1555732640600283, "cagr": 0.08008909981108392, "end_nav": 5826270.285635219, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.13006533509022544, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5394249.684266121, "start_session": "2022-12-30", "total_return": 0.08008909981108392, "traded_notional_by_category": { "entry": 7052739.240079381, "exit": 6865797.457797082, "resize": 186941.78228229843 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.666666666666667 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0026676788819717, "annualized_volatility": 0.12230659896628429, "cagr": 0.14076725641267473, "end_nav": 6646418.36886278, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.07964934920616595, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 5826270.285635219, "start_session": "2023-12-29", "total_return": 0.14076725641267473, "traded_notional_by_category": { "entry": 6349337.769233988, "exit": 6171272.700868802, "resize": 196025.26283970987 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0026676788819717 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0023584691712495, "annualized_volatility": 0.16712265543265314, "cagr": 0.20187819509488292, "end_nav": 7988185.3130142735, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.1370729098146286, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 6646418.36886278, "start_session": "2024-12-31", "total_return": 0.20187819509488292, "traded_notional_by_category": { "entry": 7379252.733539851, "exit": 7109765.914098224, "resize": 286262.4030793621 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0023584691712495 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.779248728539236, "annualized_volatility": 0.17546302018614812, "cagr": 0.08151992849740597, "end_nav": 7988185.3130142735, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.49520938320069674, "mean_cash_weight": 0.08053117583845149, "nonzero_trade_event_count": 49, "order_count": 204, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 1126120.7817647727, "start_session": "2000-12-29", "total_return": 6.093542222438861, "traded_notional_by_category": { "entry": 59821403.49143163, "exit": 58293266.21859589, "resize": 2699994.8200441618 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 44.4812182134809 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 9533207.545896752, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.09382120695006102, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 7988185.3130142735, "start_session": "2025-12-31", "total_return": 0.19341341898582942, "traded_notional_by_category": { "entry": 9125937.184118418, "exit": 8501177.599912647, "resize": 950570.4576898506 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0383440205502144 } }, "monthly_risk": { "beta_intercept_per_month": 0.0009262025343542112, "beta_to_SPY_excess_returns": 0.7719066068816107, "monthly_return_volatility_annualized": 0.14285630757358547, "months": 300, "sharpe_monthly_annualized": 0.5021344316924286, "tracking_error_monthly_annualized": 0.09004983765966926 }, "phase": [ 2, 8 ], "policy": "A", "run_id": "SMIX-02-08-0bps", "signal": "mixed" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0403658530142774, "annualized_volatility": 0.17835303534437677, "cagr": -0.0920153319752699, "end_nav": 1019437.1021603679, "end_session": "2001-12-31", "fee_by_category": { "entry": 1021.5804642179459, "exit": 1013.5792576908631, "resize": 52.7797220468506 }, "max_cash_weight": 0.0, "max_drawdown": -0.22336137630010855, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 1122747.0441522943, "start_session": "2000-12-29", "total_return": -0.0920153319752699, "traded_notional_by_category": { "entry": 1021580.4642179459, "exit": 1013579.257690863, "resize": 52779.7220468506 }, "transaction_cost": 2087.93944395566, "transaction_cost_over_anchor_nav": 0.0018596703993392502, "two_sided_turnover": 2.0403658530142774 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9650598938681074, "annualized_volatility": 0.13300162120226422, "cagr": -0.07020212025848749, "end_nav": 947870.4561185418, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 909.3032717205019, "resize": 39.51600367343367 }, "max_cash_weight": 1.0, "max_drawdown": -0.17098750446505806, "mean_cash_weight": 0.5079743901465099, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1019437.1021603679, "start_session": "2001-12-31", "total_return": -0.07020212025848749, "traded_notional_by_category": { "entry": 0.0, "exit": 909303.2717205018, "resize": 39516.003673433675 }, "transaction_cost": 948.8192753939355, "transaction_cost_over_anchor_nav": 0.0009307286083498623, "two_sided_turnover": 0.9650598938681074 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9990009990009991, "annualized_volatility": 0.08544619438550978, "cagr": 0.1154618674477883, "end_nav": 1057313.3490805754, "end_session": "2003-12-31", "fee_by_category": { "entry": 946.923532585956, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.056015904208169265, "mean_cash_weight": 0.6626984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 947870.4561185418, "start_session": "2002-12-31", "total_return": 0.1154618674477883, "traded_notional_by_category": { "entry": 946923.5325859559, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 946.923532585956, "transaction_cost_over_anchor_nav": 0.0009990009990009992, "two_sided_turnover": 0.9990009990009991 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.012516210727307, "annualized_volatility": 0.12026731244321397, "cagr": 0.21169329105424417, "end_nav": 1281139.4916230273, "end_session": "2004-12-31", "fee_by_category": { "entry": 1071.564792430339, "exit": 1073.7100672900592, "resize": 16.441343885526994 }, "max_cash_weight": 0.0, "max_drawdown": -0.05892270729599969, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1057313.3490805754, "start_session": "2003-12-31", "total_return": 0.21169329105424417, "traded_notional_by_category": { "entry": 1071564.792430339, "exit": 1073710.0672900593, "resize": 16441.343885526992 }, "transaction_cost": 2161.7162036059253, "transaction_cost_over_anchor_nav": 0.002044536944024894, "two_sided_turnover": 2.012516210727307 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7521285471722642, "annualized_volatility": 0.1414153473268071, "cagr": 0.17004215680406465, "end_nav": 1498987.2139454698, "end_session": "2005-12-30", "fee_by_category": { "entry": 503.0676176304395, "exit": 444.4213229690379, "resize": 177.58737100329645 }, "max_cash_weight": 0.0, "max_drawdown": -0.1042314393314614, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1281139.4916230273, "start_session": "2004-12-31", "total_return": 0.17004215680406465, "traded_notional_by_category": { "entry": 503067.61763043946, "exit": 444421.32296903786, "resize": 177587.37100329646 }, "transaction_cost": 1125.0763116027738, "transaction_cost_over_anchor_nav": 0.0008781840845273274, "two_sided_turnover": 0.7521285471722642 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.66718946629973, "annualized_volatility": 0.11565996011829942, "cagr": 0.15454381459614397, "end_nav": 1730646.416019449, "end_session": "2006-12-29", "fee_by_category": { "entry": 2115.8986166702784, "exit": 2119.855779658893, "resize": 2.56867359869933 }, "max_cash_weight": 0.0, "max_drawdown": -0.08506788667889897, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1498987.2139454698, "start_session": "2005-12-30", "total_return": 0.15454381459614397, "traded_notional_by_category": { "entry": 2115898.6166702784, "exit": 2119855.779658893, "resize": 2568.67359869933 }, "transaction_cost": 4238.32306992787, "transaction_cost_over_anchor_nav": 0.002827457786495871, "two_sided_turnover": 2.66718946629973 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6953350407441037, "annualized_volatility": 0.16478431564503826, "cagr": 0.029998001876377467, "end_nav": 1782562.3504545465, "end_session": "2007-12-31", "fee_by_category": { "entry": 2294.505662336641, "exit": 2323.097106903232, "resize": 28.62103831958247 }, "max_cash_weight": 0.0, "max_drawdown": -0.10746032168536068, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1730646.416019449, "start_session": "2006-12-29", "total_return": 0.029998001876377467, "traded_notional_by_category": { "entry": 2294505.6623366405, "exit": 2323097.1069032317, "resize": 28621.03831958247 }, "transaction_cost": 4646.223807559455, "transaction_cost_over_anchor_nav": 0.002684675370169455, "two_sided_turnover": 2.6953350407441037 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.380744755144898, "annualized_volatility": 0.39042623767084655, "cagr": -0.36276342289007124, "end_nav": 1135913.9306886846, "end_session": "2008-12-31", "fee_by_category": { "entry": 1082.8905372792074, "exit": 1019.8925741484996, "resize": 142.44354838256595 }, "max_cash_weight": 0.0, "max_drawdown": -0.4565475687654015, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1782562.3504545465, "start_session": "2007-12-31", "total_return": -0.36276342289007124, "traded_notional_by_category": { "entry": 1082890.5372792073, "exit": 1019892.5741484996, "resize": 142443.54838256596 }, "transaction_cost": 2245.226659810273, "transaction_cost_over_anchor_nav": 0.0012595501409741706, "two_sided_turnover": 1.380744755144898 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.999000999000999, "annualized_volatility": 0.1693331509193476, "cagr": -0.03856046062276941, "end_nav": 1092112.5662935083, "end_session": "2009-12-31", "fee_by_category": { "entry": 953.0297256450356, "exit": 954.9376930637442, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.21176787021023946, "mean_cash_weight": 0.5079365079365079, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1135913.9306886846, "start_session": "2008-12-31", "total_return": -0.03856046062276941, "traded_notional_by_category": { "entry": 953029.7256450355, "exit": 954937.6930637441, "resize": 0.0 }, "transaction_cost": 1907.9674187087799, "transaction_cost_over_anchor_nav": 0.0016796760451313533, "two_sided_turnover": 1.999000999000999 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3465349289091735, "annualized_volatility": 0.17350202537491455, "cagr": 0.15558271539280422, "end_nav": 1262026.404872056, "end_session": "2010-12-31", "fee_by_category": { "entry": 709.5031168532496, "exit": 688.5977524645526, "resize": 35.99456880292244 }, "max_cash_weight": 0.0, "max_drawdown": -0.14440636799666096, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1092112.5662935083, "start_session": "2009-12-31", "total_return": 0.15558271539280422, "traded_notional_by_category": { "entry": 709503.1168532495, "exit": 688597.7524645526, "resize": 35994.56880292244 }, "transaction_cost": 1434.0954381207248, "transaction_cost_over_anchor_nav": 0.0013131388488531572, "two_sided_turnover": 1.3465349289091735 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6784933679663414, "annualized_volatility": 0.24212402829262789, "cagr": -0.024401069611189263, "end_nav": 1231231.6107156142, "end_session": "2011-12-30", "fee_by_category": { "entry": 1666.698154865195, "exit": 1654.2251558942978, "resize": 30.85018222279212 }, "max_cash_weight": 0.0, "max_drawdown": -0.22070459611816273, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1262026.404872056, "start_session": "2010-12-31", "total_return": -0.024401069611189263, "traded_notional_by_category": { "entry": 1666698.154865195, "exit": 1654225.1558942979, "resize": 30850.182222792122 }, "transaction_cost": 3351.773492982285, "transaction_cost_over_anchor_nav": 0.0026558663749369706, "two_sided_turnover": 2.6784933679663414 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.357214355678591, "annualized_volatility": 0.08925856074885041, "cagr": 0.16023833518818598, "end_nav": 1428522.1142477528, "end_session": "2012-12-31", "fee_by_category": { "entry": 879.7876159981278, "exit": 891.4473544713541, "resize": 23.17619940982078 }, "max_cash_weight": 0.0, "max_drawdown": -0.06976250601950773, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1231231.6107156142, "start_session": "2011-12-30", "total_return": 0.16023833518818598, "traded_notional_by_category": { "entry": 879787.6159981277, "exit": 891447.354471354, "resize": 23176.19940982078 }, "transaction_cost": 1794.4111698793029, "transaction_cost_over_anchor_nav": 0.0014574115497541186, "two_sided_turnover": 1.357214355678591 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3426544181789726, "annualized_volatility": 0.11816898694756572, "cagr": 0.4081334534479115, "end_nav": 2011549.7780624002, "end_session": "2013-12-31", "fee_by_category": { "entry": 1027.6613086885184, "exit": 1009.933888751861, "resize": 37.123071383398084 }, "max_cash_weight": 0.0, "max_drawdown": -0.05474070566580924, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1428522.1142477528, "start_session": "2012-12-31", "total_return": 0.4081334534479115, "traded_notional_by_category": { "entry": 1027661.3086885182, "exit": 1009933.8887518609, "resize": 37123.071383398084 }, "transaction_cost": 2074.718268823777, "transaction_cost_over_anchor_nav": 0.0014523529234381546, "two_sided_turnover": 1.3426544181789726 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0008496069016073, "annualized_volatility": 0.13099362227964112, "cagr": 0.04994557637995389, "end_nav": 2112017.791144695, "end_session": "2014-12-31", "fee_by_category": { "entry": 2122.4207277388828, "exit": 2079.60229063269, "resize": 49.24694059892394 }, "max_cash_weight": 1.1902426380946663e-16, "max_drawdown": -0.0995049928236128, "mean_cash_weight": 5.659598893909642e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2011549.7780624002, "start_session": "2013-12-31", "total_return": 0.04994557637995389, "traded_notional_by_category": { "entry": 2122420.7277388824, "exit": 2079602.2906326898, "resize": 49246.940598923946 }, "transaction_cost": 4251.269958970497, "transaction_cost_over_anchor_nav": 0.002113430154865707, "two_sided_turnover": 2.0008496069016073 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0045647271024265, "annualized_volatility": 0.14936459601253274, "cagr": 0.05539765106007555, "end_nav": 2229018.6157712005, "end_session": "2015-12-31", "fee_by_category": { "entry": 2147.2423006782974, "exit": 2055.158244045273, "resize": 106.28838526665409 }, "max_cash_weight": 0.0, "max_drawdown": -0.10241563844418644, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2112017.791144695, "start_session": "2014-12-31", "total_return": 0.05539765106007555, "traded_notional_by_category": { "entry": 2147242.300678297, "exit": 2055158.2440452734, "resize": 106288.38526665408 }, "transaction_cost": 4308.688929990225, "transaction_cost_over_anchor_nav": 0.0020400817398678038, "two_sided_turnover": 2.0045647271024265 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3484201226319752, "annualized_volatility": 0.11517025132184418, "cagr": 0.01579610094266992, "end_nav": 2264228.4188290127, "end_session": "2016-12-30", "fee_by_category": { "entry": 1469.3088672535052, "exit": 1384.5536701977676, "resize": 87.69675634953904 }, "max_cash_weight": 0.3340229084365087, "max_drawdown": -0.08708647086326549, "mean_cash_weight": 0.16332821915295745, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2229018.6157712005, "start_session": "2015-12-31", "total_return": 0.01579610094266992, "traded_notional_by_category": { "entry": 1469308.8672535052, "exit": 1384553.6701977677, "resize": 87696.75634953903 }, "transaction_cost": 2941.5592938008117, "transaction_cost_over_anchor_nav": 0.0013196656470197692, "two_sided_turnover": 1.3484201226319752 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3789172581306928, "annualized_volatility": 0.08425782483712935, "cagr": 0.25637891442007743, "end_nav": 2844728.842847483, "end_session": "2017-12-29", "fee_by_category": { "entry": 1611.307216163781, "exit": 1570.5599013912436, "resize": 161.42147041003324 }, "max_cash_weight": 0.0, "max_drawdown": -0.04633125404785887, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2264228.4188290127, "start_session": "2016-12-30", "total_return": 0.25637891442007743, "traded_notional_by_category": { "entry": 1611307.216163781, "exit": 1570559.9013912436, "resize": 161421.47041003325 }, "transaction_cost": 3343.288587965058, "transaction_cost_over_anchor_nav": 0.0014765686006600436, "two_sided_turnover": 1.3789172581306928 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.350113454801325, "annualized_volatility": 0.19737221258995585, "cagr": -0.07865688572705365, "end_nav": 2620971.3313311753, "end_session": "2018-12-31", "fee_by_category": { "entry": 2048.443574200853, "exit": 1995.8374803493316, "resize": 105.00511940523819 }, "max_cash_weight": 1.905648153151057e-16, "max_drawdown": -0.24630106185371503, "mean_cash_weight": 5.172649821092957e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2844728.842847483, "start_session": "2017-12-29", "total_return": -0.07865688572705365, "traded_notional_by_category": { "entry": 2048443.5742008532, "exit": 1995837.4803493316, "resize": 105005.11940523819 }, "transaction_cost": 4149.286173955423, "transaction_cost_over_anchor_nav": 0.0014585875853819934, "two_sided_turnover": 1.350113454801325 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6758087382469755, "annualized_volatility": 0.09818268014200653, "cagr": 0.28107340094128386, "end_nav": 3357656.6571980333, "end_session": "2019-12-31", "fee_by_category": { "entry": 4037.589376906693, "exit": 3964.0400317792773, "resize": 81.63260714324413 }, "max_cash_weight": 0.3395458948594938, "max_drawdown": -0.02930513258373102, "mean_cash_weight": 0.16718747997173983, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2620971.3313311753, "start_session": "2018-12-31", "total_return": 0.28107340094128386, "traded_notional_by_category": { "entry": 4037589.376906693, "exit": 3964040.031779277, "resize": 81632.60714324412 }, "transaction_cost": 8083.262015829215, "transaction_cost_over_anchor_nav": 0.003084071130119449, "two_sided_turnover": 2.6758087382469755 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3979829296021875, "annualized_volatility": 0.3336606348967622, "cagr": 0.18388703901798453, "end_nav": 3975086.1979292035, "end_session": "2020-12-31", "fee_by_category": { "entry": 2500.088486181908, "exit": 2257.7432225938965, "resize": 456.70923432575097 }, "max_cash_weight": 1.3381430188293714e-16, "max_drawdown": -0.30318692572714756, "mean_cash_weight": 4.1963962835507236e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3357656.6571980333, "start_session": "2019-12-31", "total_return": 0.18388703901798453, "traded_notional_by_category": { "entry": 2500088.4861819083, "exit": 2257743.2225938966, "resize": 456709.23432575096 }, "transaction_cost": 5214.540943101557, "transaction_cost_over_anchor_nav": 0.0015530298286820948, "two_sided_turnover": 1.3979829296021875 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3434606493679089, "annualized_volatility": 0.13833716171626287, "cagr": 0.2289344413997616, "end_nav": 4885120.3361680275, "end_session": "2021-12-31", "fee_by_category": { "entry": 3160.1852303134788, "exit": 3135.6161403951805, "resize": 73.44700204777578 }, "max_cash_weight": 1.182885068311102e-16, "max_drawdown": -0.07583246066172533, "mean_cash_weight": 1.718366842080593e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3975086.1979292035, "start_session": "2020-12-31", "total_return": 0.2289344413997616, "traded_notional_by_category": { "entry": 3160185.2303134785, "exit": 3135616.1403951803, "resize": 73447.00204777578 }, "transaction_cost": 6369.248372756434, "transaction_cost_over_anchor_nav": 0.0016022918889342461, "two_sided_turnover": 1.3434606493679089 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.053941367818451, "annualized_volatility": 0.1996686510607172, "cagr": 0.06005947364593767, "end_nav": 5178518.092255346, "end_session": "2022-12-30", "fee_by_category": { "entry": 4606.574256947925, "exit": 4615.796627832706, "resize": 277.66862465961094 }, "max_cash_weight": 0.0, "max_drawdown": -0.14290747733003717, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4885120.3361680275, "start_session": "2021-12-31", "total_return": 0.06005947364593767, "traded_notional_by_category": { "entry": 4606574.256947925, "exit": 4615796.627832706, "resize": 277668.6246596109 }, "transaction_cost": 9500.039509440241, "transaction_cost_over_anchor_nav": 0.0019446889443243962, "two_sided_turnover": 2.053941367818451 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6657780739753414, "annualized_volatility": 0.15549461481021845, "cagr": 0.07721174084980187, "end_nav": 5578360.489180575, "end_session": "2023-12-29", "fee_by_category": { "entry": 6756.99458476634, "exit": 6586.5868812790595, "resize": 183.93522017349977 }, "max_cash_weight": 0.0, "max_drawdown": -0.13122486146797918, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5178518.092255346, "start_session": "2022-12-30", "total_return": 0.07721174084980187, "traded_notional_by_category": { "entry": 6756994.58476634, "exit": 6586586.88127906, "resize": 183935.22017349978 }, "transaction_cost": 13527.5166862189, "transaction_cost_over_anchor_nav": 0.002612237023261495, "two_sided_turnover": 2.6657780739753414 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.002000345433494, "annualized_volatility": 0.12227417988717144, "cagr": 0.1384844573658417, "end_nav": 6350876.714515798, "end_session": "2024-12-31", "fee_by_category": { "entry": 6069.632620206453, "exit": 5905.921682594099, "resize": 190.17814932531957 }, "max_cash_weight": 1.4887660535125147e-16, "max_drawdown": -0.07964934920616595, "mean_cash_weight": 4.761248883738816e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 5578360.489180575, "start_session": "2023-12-29", "total_return": 0.1384844573658417, "traded_notional_by_category": { "entry": 6069632.620206453, "exit": 5905921.682594099, "resize": 190178.14932531957 }, "transaction_cost": 12165.732452125872, "transaction_cost_over_anchor_nav": 0.002180879574871817, "two_sided_turnover": 2.002000345433494 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0016912387583297, "annualized_volatility": 0.167213583048282, "cagr": 0.19947347744295052, "end_nav": 7617708.177571725, "end_session": "2025-12-31", "fee_by_category": { "entry": 7040.034452350412, "exit": 6790.450904084913, "resize": 276.68995959139755 }, "max_cash_weight": 1.4716810418368013e-16, "max_drawdown": -0.13765003735251224, "mean_cash_weight": 2.1937895131794725e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 6350876.714515798, "start_session": "2024-12-31", "total_return": 0.19947347744295052, "traded_notional_by_category": { "entry": 7040034.4523504125, "exit": 6790450.904084913, "resize": 276689.95959139755 }, "transaction_cost": 14107.175316026725, "transaction_cost_over_anchor_nav": 0.0022212957281603097, "two_sided_turnover": 2.0016912387583297 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.778390693939059, "annualized_volatility": 0.1754609537632577, "cagr": 0.07959706807044653, "end_nav": 7617708.177571725, "end_session": "2025-12-31", "fee_by_category": { "entry": 57842.932838909466, "exit": 56444.86830220233, "resize": 2637.021192025876 }, "max_cash_weight": 1.0, "max_drawdown": -0.4969135181423908, "mean_cash_weight": 0.08053117583845144, "nonzero_trade_event_count": 49, "order_count": 204, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 1122747.0441522943, "start_session": "2000-12-29", "total_return": 5.784883752086214, "traded_notional_by_category": { "entry": 57842932.83890946, "exit": 56444868.30220234, "resize": 2637021.192025876 }, "transaction_cost": 116924.82233313768, "transaction_cost_over_anchor_nav": 0.10414173249631596, "two_sided_turnover": 44.459767348476475 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 9072559.13723782, "end_session": "2026-10-02", "fee_by_category": { "entry": 8688.565824347948, "exit": 8103.122197259596, "resize": 910.0385428719507 }, "max_cash_weight": 1.254489385916996e-16, "max_drawdown": -0.09428855772849865, "mean_cash_weight": 7.27482967693539e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 7617708.177571725, "start_session": "2025-12-31", "total_return": 0.19098276354947674, "traded_notional_by_category": { "entry": 8688565.82434795, "exit": 8103122.197259596, "resize": 910038.5428719507 }, "transaction_cost": 17701.726564479497, "transaction_cost_over_anchor_nav": 0.0023237601325550154, "two_sided_turnover": 2.037664798950564 } }, "monthly_risk": { "beta_intercept_per_month": 0.0007760678145922089, "beta_to_SPY_excess_returns": 0.7721361798180157, "monthly_return_volatility_annualized": 0.14289925706798012, "months": 300, "sharpe_monthly_annualized": 0.48951818033003563, "tracking_error_monthly_annualized": 0.09006253002137138 }, "phase": [ 2, 8 ], "policy": "A", "run_id": "SMIX-02-08-10bps", "signal": "mixed" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0380916883321603, "annualized_volatility": 0.17832534284085472, "cagr": -0.09479027933914996, "end_nav": 1011756.2856478824, "end_session": "2001-12-31", "fee_by_category": { "entry": 2536.4529185815527, "exit": 2520.792725780778, "resize": 129.8763826475742 }, "max_cash_weight": 0.0, "max_drawdown": -0.22573490900106463, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 1117703.734897199, "start_session": "2000-12-29", "total_return": -0.09479027933914996, "traded_notional_by_category": { "entry": 1014581.1674326211, "exit": 1008317.0903123111, "resize": 51950.553059029684 }, "transaction_cost": 5187.122027009905, "transaction_cost_over_anchor_nav": 0.004640873842554522, "two_sided_turnover": 2.0380916883321603 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9653940064261732, "annualized_volatility": 0.13303280214834048, "cagr": -0.07154913306905086, "end_nav": 939366.0005326134, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 2255.385563081305, "resize": 98.91519013326484 }, "max_cash_weight": 1.0, "max_drawdown": -0.17098750446505795, "mean_cash_weight": 0.5079743901465099, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1011756.2856478824, "start_session": "2001-12-31", "total_return": -0.07154913306905086, "traded_notional_by_category": { "entry": 0.0, "exit": 902154.2252325219, "resize": 39566.07605330594 }, "transaction_cost": 2354.30075321457, "transaction_cost_over_anchor_nav": 0.0023269445286489953, "two_sided_turnover": 0.9653940064261732 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9975062344139651, "annualized_volatility": 0.08535653205558996, "cagr": 0.11379284719724292, "end_nav": 1046259.1322935063, "end_session": "2003-12-31", "fee_by_category": { "entry": 2342.558604819485, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.056015904208169376, "mean_cash_weight": 0.6626984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 939366.0005326134, "start_session": "2002-12-31", "total_return": 0.11379284719724292, "traded_notional_by_category": { "entry": 937023.4419277939, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 2342.558604819485, "transaction_cost_over_anchor_nav": 0.002493765586034913, "two_sided_turnover": 0.9975062344139651 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0095194304894295, "annualized_volatility": 0.12019220988772067, "cagr": 0.20803736695250064, "end_nav": 1263920.1273258554, "end_session": "2004-12-31", "fee_by_category": { "entry": 2642.963121367964, "exit": 2656.211056813417, "resize": 40.53152643676804 }, "max_cash_weight": 0.0, "max_drawdown": -0.06174171770602266, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1046259.1322935063, "start_session": "2003-12-31", "total_return": 0.20803736695250064, "traded_notional_by_category": { "entry": 1057185.2485471857, "exit": 1062484.422725367, "resize": 16212.610574707214 }, "transaction_cost": 5339.70570461815, "transaction_cost_over_anchor_nav": 0.005103616819012105, "two_sided_turnover": 2.0095194304894295 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7524196854507397, "annualized_volatility": 0.1413655177057238, "cagr": 0.1687206273330193, "end_nav": 1477169.5241071032, "end_session": "2005-12-30", "fee_by_category": { "entry": 1239.3637290822874, "exit": 1095.979969761141, "resize": 440.3228531295672 }, "max_cash_weight": 0.0, "max_drawdown": -0.1042314393314614, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1263920.1273258554, "start_session": "2004-12-31", "total_return": 0.1687206273330193, "traded_notional_by_category": { "entry": 495745.4916329149, "exit": 438391.9879044564, "resize": 176129.1412518269 }, "transaction_cost": 2775.6665519729954, "transaction_cost_over_anchor_nav": 0.002196077498857166, "two_sided_turnover": 0.7524196854507397 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664527117194015, "annualized_volatility": 0.1156225903749127, "cagr": 0.14993087742962619, "end_nav": 1698642.8469687847, "end_session": "2006-12-29", "fee_by_category": { "entry": 5197.025225966859, "exit": 5217.171270354818, "resize": 6.227246257646476 }, "max_cash_weight": 1.4825131104792004e-16, "max_drawdown": -0.08506788667889909, "mean_cash_weight": 4.7049667382863566e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1477169.5241071032, "start_session": "2005-12-30", "total_return": 0.14993087742962619, "traded_notional_by_category": { "entry": 2078810.0903867434, "exit": 2086868.5081419274, "resize": 2490.89850305859 }, "transaction_cost": 10420.423742579325, "transaction_cost_over_anchor_nav": 0.007054318121596845, "two_sided_turnover": 2.664527117194015 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.691997135362171, "annualized_volatility": 0.16467728358454867, "cagr": 0.025838623497142166, "end_nav": 1742533.4399477248, "end_session": "2007-12-31", "fee_by_category": { "entry": 5611.676105912284, "exit": 5695.923742771203, "resize": 70.22942636399239 }, "max_cash_weight": 1.3809807864676337e-16, "max_drawdown": -0.10746032168536068, "mean_cash_weight": 2.1034770809870666e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1698642.8469687847, "start_session": "2006-12-29", "total_return": 0.025838623497142166, "traded_notional_by_category": { "entry": 2244670.4423649134, "exit": 2278369.4971084814, "resize": 28091.770545596955 }, "transaction_cost": 11377.82927504748, "transaction_cost_over_anchor_nav": 0.006698188083122435, "two_sided_turnover": 2.691997135362171 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.380054957598614, "annualized_volatility": 0.3903663603626849, "cagr": -0.3640837253454253, "end_nav": 1108105.373592578, "end_session": "2008-12-31", "fee_by_category": { "entry": 2641.1395853052463, "exit": 2492.475109152489, "resize": 350.28709338078556 }, "max_cash_weight": 1.5264000169332903e-16, "max_drawdown": -0.4565865491083406, "mean_cash_weight": 7.118469295417214e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1742533.4399477248, "start_session": "2007-12-31", "total_return": -0.3640837253454253, "traded_notional_by_category": { "entry": 1056455.8341220985, "exit": 996990.0436609956, "resize": 140114.8373523142 }, "transaction_cost": 5483.90178783852, "transaction_cost_over_anchor_nav": 0.0031470855377117093, "two_sided_turnover": 1.380054957598614 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.997506234413965, "annualized_volatility": 0.1696598243993745, "cagr": -0.04144046643220145, "end_nav": 1062184.9700548728, "end_session": "2009-12-31", "fee_by_category": { "entry": 2317.2836799032366, "exit": 2328.8991369453584, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.21412903076168321, "mean_cash_weight": 0.5079365079365079, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1108105.373592578, "start_session": "2008-12-31", "total_return": -0.04144046643220145, "traded_notional_by_category": { "entry": 926913.4719612947, "exit": 931559.6547781434, "resize": 0.0 }, "transaction_cost": 4646.182816848595, "transaction_cost_over_anchor_nav": 0.004192907035352828, "two_sided_turnover": 1.997506234413965 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3465291114598867, "annualized_volatility": 0.17326945561077967, "cagr": 0.15324829091231362, "end_nav": 1224963.001348529, "end_session": "2010-12-31", "fee_by_category": { "entry": 1722.5337382262874, "exit": 1673.4635105153818, "resize": 89.21753479216204 }, "max_cash_weight": 1.180687451293233e-16, "max_drawdown": -0.14440636799666107, "mean_cash_weight": 5.1011551326097313e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1062184.9700548728, "start_session": "2009-12-31", "total_return": 0.15324829091231362, "traded_notional_by_category": { "entry": 689013.495290515, "exit": 669385.4042061528, "resize": 35687.01391686482 }, "transaction_cost": 3485.2147835338315, "transaction_cost_over_anchor_nav": 0.0032811750135701735, "two_sided_turnover": 1.3465291114598867 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6758141052920474, "annualized_volatility": 0.24238232312748498, "cagr": -0.028315551175742026, "end_nav": 1190277.4987954542, "end_session": "2011-12-30", "fee_by_category": { "entry": 4032.445762151672, "exit": 4010.2473248736164, "resize": 75.04035064157011 }, "max_cash_weight": 9.474037072405741e-17, "max_drawdown": -0.22227572260769712, "mean_cash_weight": 1.435601488638322e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1224963.001348529, "start_session": "2010-12-31", "total_return": -0.028315551175742026, "traded_notional_by_category": { "entry": 1612978.3048606687, "exit": 1604098.9299494466, "resize": 30016.140256628045 }, "transaction_cost": 8117.733437666859, "transaction_cost_over_anchor_nav": 0.006626921326383134, "two_sided_turnover": 2.6758141052920474 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3552023383390854, "annualized_volatility": 0.08923117137615351, "cagr": 0.15787900787977982, "end_nav": 1378197.3294069062, "end_session": "2012-12-31", "fee_by_category": { "entry": 2122.014780448617, "exit": 2154.4884775401338, "resize": 53.817420408140165 }, "max_cash_weight": 0.0, "max_drawdown": -0.06976250601950751, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1190277.4987954542, "start_session": "2011-12-30", "total_return": 0.15787900787977982, "traded_notional_by_category": { "entry": 848805.9121794468, "exit": 861795.3910160535, "resize": 21526.968163256068 }, "transaction_cost": 4330.320678396891, "transaction_cost_over_anchor_nav": 0.0036380765685137466, "two_sided_turnover": 1.3552023383390854 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3419934153313855, "annualized_volatility": 0.11811102560847454, "cagr": 0.40529611218734507, "end_nav": 1936775.348842507, "end_session": "2013-12-31", "fee_by_category": { "entry": 2473.687565600976, "exit": 2435.8884165547242, "resize": 91.95449156907284 }, "max_cash_weight": 1.3671535872248826e-16, "max_drawdown": -0.054740705665809575, "mean_cash_weight": 4.2524475144753764e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1378197.3294069062, "start_session": "2012-12-31", "total_return": 0.40529611218734507, "traded_notional_by_category": { "entry": 989475.0262403904, "exit": 974355.3666218896, "resize": 36781.79662762914 }, "transaction_cost": 5001.5304737247725, "transaction_cost_over_anchor_nav": 0.0036290379955076046, "two_sided_turnover": 1.3419934153313855 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998500150913314, "annualized_volatility": 0.13115526124810148, "cagr": 0.04679562739583232, "end_nav": 2027407.9664163743, "end_session": "2014-12-31", "fee_by_category": { "entry": 5096.741931721155, "exit": 5002.304176608582, "resize": 121.96597086342604 }, "max_cash_weight": 1.268463038063838e-16, "max_drawdown": -0.10130628455433, "mean_cash_weight": 5.800063524966488e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1936775.348842507, "start_session": "2013-12-31", "total_return": 0.04679562739583232, "traded_notional_by_category": { "entry": 2038696.772688462, "exit": 2000921.6706434325, "resize": 48786.38834537042 }, "transaction_cost": 10221.012079193162, "transaction_cost_over_anchor_nav": 0.005277334867619851, "two_sided_turnover": 1.9998500150913314 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0035632792787283, "annualized_volatility": 0.1495709994487359, "cagr": 0.052225472662825956, "end_nav": 2133290.305742848, "end_session": "2015-12-31", "fee_by_category": { "entry": 5141.083519071612, "exit": 4928.75762705173, "resize": 258.5233157665801 }, "max_cash_weight": 1.1839746965770487e-16, "max_drawdown": -0.10331982117546101, "mean_cash_weight": 1.7654748448808262e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2027407.9664163743, "start_session": "2014-12-31", "total_return": 0.052225472662825956, "traded_notional_by_category": { "entry": 2056433.4076286445, "exit": 1971503.0508206922, "resize": 103409.32630663202 }, "transaction_cost": 10328.364461889923, "transaction_cost_over_anchor_nav": 0.005094369082580964, "two_sided_turnover": 2.0035632792787283 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3485944779894221, "annualized_volatility": 0.11513964338033472, "cagr": 0.013740165973577634, "end_nav": 2162602.068613579, "end_session": "2016-12-30", "fee_by_category": { "entry": 3509.3005207604356, "exit": 3312.7302095138252, "resize": 214.16079004741303 }, "max_cash_weight": 0.3340229084365088, "max_drawdown": -0.08708647086326549, "mean_cash_weight": 0.16332821915295745, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2133290.305742848, "start_session": "2015-12-31", "total_return": 0.013740165973577634, "traded_notional_by_category": { "entry": 1403720.2083041742, "exit": 1325092.08380553, "resize": 85664.31601896521 }, "transaction_cost": 7036.191520321674, "transaction_cost_over_anchor_nav": 0.003298281298790017, "two_sided_turnover": 1.3485944779894221 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3782283735720926, "annualized_volatility": 0.0841930159810369, "cagr": 0.25377923391966917, "end_nav": 2711425.5648594247, "end_session": "2017-12-29", "fee_by_category": { "entry": 3839.7693114224135, "exit": 3750.1694433581074, "resize": 388.5881085711281 }, "max_cash_weight": 0.0, "max_drawdown": -0.04633125404785898, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2162602.068613579, "start_session": "2016-12-30", "total_return": 0.25377923391966917, "traded_notional_by_category": { "entry": 1535907.7245689654, "exit": 1500067.777343243, "resize": 155435.24342845124 }, "transaction_cost": 7978.526863351648, "transaction_cost_over_anchor_nav": 0.003689318057698241, "two_sided_turnover": 1.3782283735720926 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3501058495789033, "annualized_volatility": 0.1974840907041558, "cagr": -0.08052305957743167, "end_nav": 2493093.282560478, "end_session": "2018-12-31", "fee_by_category": { "entry": 4873.59548229985, "exit": 4753.356010477879, "resize": 255.11031266467967 }, "max_cash_weight": 0.0, "max_drawdown": -0.24630106185371525, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2711425.5648594247, "start_session": "2017-12-29", "total_return": -0.08052305957743167, "traded_notional_by_category": { "entry": 1949438.19291994, "exit": 1901342.4041911513, "resize": 102044.12506587186 }, "transaction_cost": 9882.061805442409, "transaction_cost_over_anchor_nav": 0.0036446000707213767, "two_sided_turnover": 1.3501058495789033 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.673641247626291, "annualized_volatility": 0.09796362706313405, "cagr": 0.27593604027421725, "end_nav": 3181027.5709844665, "end_session": "2019-12-31", "fee_by_category": { "entry": 9570.125877605475, "exit": 9420.771339396586, "resize": 197.32509398635943 }, "max_cash_weight": 0.3395458948594938, "max_drawdown": -0.02930513258373124, "mean_cash_weight": 0.16718747997173977, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2493093.282560478, "start_session": "2018-12-31", "total_return": 0.27593604027421725, "traded_notional_by_category": { "entry": 3828050.3510421896, "exit": 3768308.535758634, "resize": 78930.03759454377 }, "transaction_cost": 19188.22231098842, "transaction_cost_over_anchor_nav": 0.007696552088609203, "two_sided_turnover": 2.673641247626291 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3972845201452673, "annualized_volatility": 0.33362300886733265, "cagr": 0.18140359233111947, "end_nav": 3758077.399665384, "end_session": "2020-12-31", "fee_by_category": { "entry": 5909.007735466475, "exit": 5346.915616859025, "resize": 1087.3272222786034 }, "max_cash_weight": 1.4154135956533444e-16, "max_drawdown": -0.30325491091507617, "mean_cash_weight": 4.4387156446722335e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3181027.5709844665, "start_session": "2019-12-31", "total_return": 0.18140359233111947, "traded_notional_by_category": { "entry": 2363603.09418659, "exit": 2138766.24674361, "resize": 434930.8889114413 }, "transaction_cost": 12343.250574604104, "transaction_cost_over_anchor_nav": 0.0038802714843443205, "two_sided_turnover": 1.3972845201452673 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3427894783524046, "annualized_volatility": 0.13840624370211613, "cagr": 0.22645672799746452, "end_nav": 4609119.311154827, "end_session": "2021-12-31", "fee_by_category": { "entry": 7454.100293100292, "exit": 7410.972275866545, "resize": 181.0123087593174 }, "max_cash_weight": 1.2732731751462056e-16, "max_drawdown": -0.07584710352576651, "mean_cash_weight": 7.613023554664293e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3758077.399665384, "start_session": "2020-12-31", "total_return": 0.22645672799746452, "traded_notional_by_category": { "entry": 2981640.117240117, "exit": 2964388.910346618, "resize": 72404.92350372695 }, "transaction_cost": 15046.084877726156, "transaction_cost_over_anchor_nav": 0.004003665512335069, "two_sided_turnover": 1.3427894783524046 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0509798316568015, "annualized_volatility": 0.1998618623703246, "cagr": 0.05679528935099554, "end_nav": 4870895.576085126, "end_session": "2022-12-30", "fee_by_category": { "entry": 10833.227945993915, "exit": 10887.529840460053, "resize": 653.316893350769 }, "max_cash_weight": 0.0, "max_drawdown": -0.14290747733003706, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4609119.311154827, "start_session": "2021-12-31", "total_return": 0.05679528935099554, "traded_notional_by_category": { "entry": 4333291.178397566, "exit": 4355011.936184021, "resize": 261326.75734030758 }, "transaction_cost": 22374.074679804733, "transaction_cost_over_anchor_nav": 0.004854305816223024, "two_sided_turnover": 2.0509798316568015 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664446294754371, "annualized_volatility": 0.15542012518400783, "cagr": 0.0729064823244161, "end_nav": 5226015.4383070525, "end_session": "2023-12-29", "fee_by_category": { "entry": 15840.836014711684, "exit": 15471.991228651983, "resize": 448.24747285023096 }, "max_cash_weight": 0.0, "max_drawdown": -0.1329627028334719, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4870895.576085126, "start_session": "2022-12-30", "total_return": 0.0729064823244161, "traded_notional_by_category": { "entry": 6336334.405884673, "exit": 6188796.491460793, "resize": 179298.9891400924 }, "transaction_cost": 31761.074716213894, "transaction_cost_over_anchor_nav": 0.006520582143487698, "two_sided_turnover": 2.664446294754371 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.001000178733028, "annualized_volatility": 0.12225988497914293, "cagr": 0.13506692006692855, "end_nav": 5931877.247781406, "end_session": "2024-12-31", "fee_by_category": { "entry": 14182.177671280115, "exit": 13822.524765061919, "resize": 454.16876914247644 }, "max_cash_weight": 0.0, "max_drawdown": -0.07964934920616595, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 5226015.4383070525, "start_session": "2023-12-29", "total_return": 0.13506692006692855, "traded_notional_by_category": { "entry": 5672871.068512045, "exit": 5529009.906024767, "resize": 181667.50765699055 }, "transaction_cost": 28458.87120548451, "transaction_cost_over_anchor_nav": 0.005445615601683651, "two_sided_turnover": 2.001000178733028 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.000691226482514, "annualized_volatility": 0.16737449752163783, "cagr": 0.19587341676307846, "end_nav": 7093774.312123517, "end_session": "2025-12-31", "fee_by_category": { "entry": 16400.144623096443, "exit": 15845.03227268254, "resize": 657.1166913802223 }, "max_cash_weight": 0.0, "max_drawdown": -0.1385150078505889, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5931877.247781406, "start_session": "2024-12-31", "total_return": 0.19587341676307846, "traded_notional_by_category": { "entry": 6560057.849238576, "exit": 6338012.909073016, "resize": 262846.67655208893 }, "transaction_cost": 32902.293587159205, "transaction_cost_over_anchor_nav": 0.005546691580555727, "two_sided_turnover": 2.000691226482514 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.7771092093345917, "annualized_volatility": 0.17548162504421128, "cagr": 0.07671813186471632, "end_nav": 7093774.312123517, "end_session": "2025-12-31", "fee_by_category": { "entry": 137529.25574389633, "exit": 134489.98111013314, "resize": 6363.282465421749 }, "max_cash_weight": 1.0, "max_drawdown": -0.4994597528127589, "mean_cash_weight": 0.08053117583845146, "nonzero_trade_event_count": 49, "order_count": 204, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 1117703.734897199, "start_session": "2000-12-29", "total_return": 5.3467393823963265, "traded_notional_by_category": { "entry": 55011702.29755853, "exit": 53795992.444053255, "resize": 2545312.9861687 }, "transaction_cost": 278382.5193194512, "transaction_cost_over_anchor_nav": 0.24906646603006605, "two_sided_turnover": 44.42773023336479 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 8422750.470624227, "end_session": "2026-10-02", "fee_by_category": { "entry": 20178.206334828697, "exit": 18851.29356751062, "resize": 2130.993986597945 }, "max_cash_weight": 1.348569271841226e-16, "max_drawdown": -0.0952459204223155, "mean_cash_weight": 7.820402364761677e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 7093774.312123517, "start_session": "2025-12-31", "total_return": 0.18734401462835404, "traded_notional_by_category": { "entry": 8071282.533931479, "exit": 7540517.427004248, "resize": 852397.5946391779 }, "transaction_cost": 41160.493888937264, "transaction_cost_over_anchor_nav": 0.0058023404858810485, "two_sided_turnover": 2.0366468148711547 } }, "monthly_risk": { "beta_intercept_per_month": 0.0005511388303095256, "beta_to_SPY_excess_returns": 0.7724796682283296, "monthly_return_volatility_annualized": 0.14298969762764413, "months": 300, "sharpe_monthly_annualized": 0.470545574401739, "tracking_error_monthly_annualized": 0.090123102279131 }, "phase": [ 2, 8 ], "policy": "A", "run_id": "SMIX-02-08-25bps", "signal": "mixed" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.041150275838148, "annualized_volatility": 0.17836880707002586, "cagr": -0.09108812816572387, "end_nav": 1022010.282266006, "end_session": "2001-12-31", "fee_by_category": { "entry": 511.96216049872345, "exit": 507.66952859586274, "resize": 26.54173747198039 }, "max_cash_weight": 1.1179470835391282e-16, "max_drawdown": -0.22256829871202377, "mean_cash_weight": 1.7460357998248497e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 1124432.757384372, "start_session": "2000-12-29", "total_return": -0.09108812816572387, "traded_notional_by_category": { "entry": 1023924.3209974469, "exit": 1015339.0571917256, "resize": 53083.474943960784 }, "transaction_cost": 1046.1734265665666, "transaction_cost_over_anchor_nav": 0.0009304010575075648, "two_sided_turnover": 2.041150275838148 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9649486715594036, "annualized_volatility": 0.13299310101348627, "cagr": -0.06975312692597002, "end_nav": 950721.8693274588, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 455.84933680429765, "resize": 19.749397226446977 }, "max_cash_weight": 1.0, "max_drawdown": -0.17098750446505795, "mean_cash_weight": 0.5079743901465099, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1022010.282266006, "start_session": "2001-12-31", "total_return": -0.06975312692597002, "traded_notional_by_category": { "entry": 0.0, "exit": 911698.6736085953, "resize": 39498.794452893955 }, "transaction_cost": 475.59873403074465, "transaction_cost_over_anchor_nav": 0.000465356114594312, "two_sided_turnover": 0.9649486715594036 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9995002498750626, "annualized_volatility": 0.0854820287388867, "cagr": 0.11601931965540846, "end_nav": 1061023.9737883487, "end_session": "2003-12-31", "fee_by_category": { "entry": 475.1233729772408, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.05601590420816949, "mean_cash_weight": 0.6626984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 950721.8693274588, "start_session": "2002-12-31", "total_return": 0.11601931965540846, "traded_notional_by_category": { "entry": 950246.7459544817, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 475.1233729772408, "transaction_cost_over_anchor_nav": 0.0004997501249375313, "two_sided_turnover": 0.9995002498750626 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0135171311077826, "annualized_volatility": 0.12030917740841485, "cagr": 0.21291439194730466, "end_nav": 1286931.248009008, "end_session": "2004-12-31", "fee_by_category": { "entry": 538.2006481292543, "exit": 538.7391180123252, "resize": 8.259151982587209 }, "max_cash_weight": 0.0, "max_drawdown": -0.057981158758252715, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1061023.9737883487, "start_session": "2003-12-31", "total_return": 0.21291439194730466, "traded_notional_by_category": { "entry": 1076401.2962585087, "exit": 1077478.2360246503, "resize": 16518.30396517442 }, "transaction_cost": 1085.1989181241665, "transaction_cost_over_anchor_nav": 0.001022784541097127, "two_sided_turnover": 2.0135171311077826 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.7520315847139774, "annualized_volatility": 0.1414335673745257, "cagr": 0.17048250587340186, "end_nav": 1506330.512056368, "end_session": "2005-12-30", "fee_by_category": { "entry": 252.76603263001672, "exit": 223.22474075480562, "resize": 89.03759893697836 }, "max_cash_weight": 0.0, "max_drawdown": -0.1042314393314614, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1286931.248009008, "start_session": "2004-12-31", "total_return": 0.17048250587340186, "traded_notional_by_category": { "entry": 505532.0652600334, "exit": 446449.48150961124, "resize": 178075.1978739567 }, "transaction_cost": 565.0283723218007, "transaction_cost_over_anchor_nav": 0.000439050938576515, "two_sided_turnover": 0.7520315847139774 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.668078394260289, "annualized_volatility": 0.11568788729286346, "cagr": 0.1560855647382624, "end_nav": 1741446.960713162, "end_session": "2006-12-29", "fee_by_category": { "entry": 1064.2035116757784, "exit": 1065.4830438932843, "resize": 1.2982202030474146 }, "max_cash_weight": 0.0, "max_drawdown": -0.0850678866788992, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1506330.512056368, "start_session": "2005-12-30", "total_return": 0.1560855647382624, "traded_notional_by_category": { "entry": 2128407.0233515566, "exit": 2130966.0877865683, "resize": 2596.440406094829 }, "transaction_cost": 2130.98477577211, "transaction_cost_over_anchor_nav": 0.0014146860590794213, "two_sided_turnover": 2.668078394260289 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6964497452988865, "annualized_volatility": 0.1648338993808838, "cagr": 0.03138819168616469, "end_nav": 1796107.8317273157, "end_session": "2007-12-31", "fee_by_category": { "entry": 1155.6809588442848, "exit": 1169.0998387038105, "resize": 14.399827640336298 }, "max_cash_weight": 0.0, "max_drawdown": -0.1074603216853608, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1741446.960713162, "start_session": "2006-12-29", "total_return": 0.03138819168616469, "traded_notional_by_category": { "entry": 2311361.9176885695, "exit": 2338199.6774076214, "resize": 28799.655280672596 }, "transaction_cost": 2339.180625188432, "transaction_cost_over_anchor_nav": 0.0013432396610175738, "two_sided_turnover": 2.6964497452988865 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3809748409231257, "annualized_volatility": 0.39044853439431537, "cagr": -0.3623229880506569, "end_nav": 1145336.6752746883, "end_session": "2008-12-31", "fee_by_category": { "entry": 545.9236572746609, "exit": 513.821308825899, "resize": 71.61344373538165 }, "max_cash_weight": 1.4769228092655625e-16, "max_drawdown": -0.45653456665690006, "mean_cash_weight": 6.887729004734227e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1796107.8317273157, "start_session": "2007-12-31", "total_return": -0.3623229880506569, "traded_notional_by_category": { "entry": 1091847.3145493218, "exit": 1027642.6176517981, "resize": 143226.8874707633 }, "transaction_cost": 1131.3584098359415, "transaction_cost_over_anchor_nav": 0.0006298944806381224, "two_sided_turnover": 1.3809748409231257 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9995002498750627, "annualized_volatility": 0.1692296829639385, "cagr": -0.03759853964194115, "end_nav": 1102273.6888860038, "end_session": "2009-12-31", "fee_by_category": { "entry": 480.94840391317535, "exit": 481.42959291158763, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.21097924337271767, "mean_cash_weight": 0.5079365079365079, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1145336.6752746883, "start_session": "2008-12-31", "total_return": -0.03759853964194115, "traded_notional_by_category": { "entry": 961896.8078263507, "exit": 962859.1858231752, "resize": 0.0 }, "transaction_cost": 962.3779968247629, "transaction_cost_over_anchor_nav": 0.0008402577317223811, "two_sided_turnover": 1.9995002498750627 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.346537017672639, "annualized_volatility": 0.17358216845281665, "cagr": 0.15636138576009362, "end_nav": 1274626.7303671096, "end_session": "2010-12-31", "fee_by_category": { "entry": 358.2333796383821, "exit": 347.5615318215439, "resize": 18.04724509542575 }, "max_cash_weight": 0.0, "max_drawdown": -0.14440636799666096, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1102273.6888860038, "start_session": "2009-12-31", "total_return": 0.15636138576009362, "traded_notional_by_category": { "entry": 716466.7592767641, "exit": 695123.0636430877, "resize": 36094.4901908515 }, "transaction_cost": 723.8421565553517, "transaction_cost_over_anchor_nav": 0.0006566809712086041, "two_sided_turnover": 1.346537017672639 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.67938794505317, "annualized_volatility": 0.24204495068468182, "cagr": -0.023092748411020714, "end_nav": 1245192.09596478, "end_session": "2011-12-30", "fee_by_category": { "entry": 842.498597046334, "exit": 835.6386963587006, "resize": 15.567142612930066 }, "max_cash_weight": 0.0, "max_drawdown": -0.22017984039410543, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1274626.7303671096, "start_session": "2010-12-31", "total_return": -0.023092748411020714, "traded_notional_by_category": { "entry": 1684997.194092668, "exit": 1671277.392717401, "resize": 31134.285225860134 }, "transaction_cost": 1693.7044360179648, "transaction_cost_over_anchor_nav": 0.001328784651746755, "two_sided_turnover": 2.67938794505317 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3578863729702921, "annualized_volatility": 0.08927802186415681, "cagr": 0.16102634989594367, "end_nav": 1445700.8340972683, "end_session": "2012-12-31", "fee_by_category": { "entry": 445.18167124882166, "exit": 450.7775751108591, "resize": 11.872940747307148 }, "max_cash_weight": 0.0, "max_drawdown": -0.06976250601950762, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1245192.09596478, "start_session": "2011-12-30", "total_return": 0.16102634989594367, "traded_notional_by_category": { "entry": 890363.3424976433, "exit": 901555.1502217182, "resize": 23745.881494614296 }, "transaction_cost": 907.8321871069879, "transaction_cost_over_anchor_nav": 0.0007290699885173907, "two_sided_turnover": 1.3578863729702921 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3428749014984402, "annualized_volatility": 0.11819592970895561, "cagr": 0.4090798734705996, "end_nav": 2037107.9483861192, "end_session": "2013-12-31", "fee_by_category": { "entry": 520.3566969985778, "exit": 511.03943396792255, "resize": 18.61565697024166 }, "max_cash_weight": 0.0, "max_drawdown": -0.054740705665809464, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1445700.8340972683, "start_session": "2012-12-31", "total_return": 0.4090798734705996, "traded_notional_by_category": { "entry": 1040713.3939971557, "exit": 1022078.867935845, "resize": 37231.31394048332 }, "transaction_cost": 1050.0117879367422, "transaction_cost_over_anchor_nav": 0.0007262994965292357, "two_sided_turnover": 1.3428749014984402 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0011830262661965, "annualized_volatility": 0.13094804111036498, "cagr": 0.05099719512476519, "end_nav": 2140994.739920176, "end_session": "2014-12-31", "fee_by_category": { "entry": 1075.5413940991416, "exit": 1053.2540214252026, "resize": 24.69566645335447 }, "max_cash_weight": 1.1749168992764645e-16, "max_drawdown": -0.09890416202635877, "mean_cash_weight": 5.586725068281372e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2037107.9483861192, "start_session": "2013-12-31", "total_return": 0.05099719512476519, "traded_notional_by_category": { "entry": 2151082.7881982834, "exit": 2106508.0428504054, "resize": 49391.332906708936 }, "transaction_cost": 2153.4910819776987, "transaction_cost_over_anchor_nav": 0.0010571315495007435, "two_sided_turnover": 2.0011830262661965 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0048987655505357, "annualized_volatility": 0.14930303137770803, "cagr": 0.0564566946438565, "end_nav": 2261868.2261859523, "end_session": "2015-12-31", "fee_by_category": { "entry": 1089.194836989176, "exit": 1041.910587769343, "resize": 53.63046547323902 }, "max_cash_weight": 1.1297278064689247e-16, "max_drawdown": -0.10211404330441465, "mean_cash_weight": 3.553531438138383e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2140994.739920176, "start_session": "2014-12-31", "total_return": 0.0564566946438565, "traded_notional_by_category": { "entry": 2178389.673978352, "exit": 2083821.175538686, "resize": 107260.93094647804 }, "transaction_cost": 2184.7358902317583, "transaction_cost_over_anchor_nav": 0.0010204302932165135, "two_sided_turnover": 2.0048987655505357 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3483620429315861, "annualized_volatility": 0.11518534894640223, "cagr": 0.016481649103213147, "end_nav": 2299147.544607656, "end_session": "2016-12-30", "fee_by_category": { "entry": 745.9208183386697, "exit": 702.4790936943274, "resize": 44.18801860966353 }, "max_cash_weight": 0.3340229084365088, "max_drawdown": -0.08708647086326549, "mean_cash_weight": 0.16332821915295748, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2261868.2261859523, "start_session": "2015-12-31", "total_return": 0.016481649103213147, "traded_notional_by_category": { "entry": 1491841.6366773397, "exit": 1404958.1873886548, "resize": 88376.03721932706 }, "transaction_cost": 1492.587930642661, "transaction_cost_over_anchor_nav": 0.0006598916388509153, "two_sided_turnover": 1.3483620429315861 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3791470393768401, "annualized_volatility": 0.08429013961464257, "cagr": 0.25724612931903623, "end_nav": 2890594.351191342, "end_session": "2017-12-29", "fee_by_category": { "entry": 818.6243080501935, "exit": 797.3906057610541, "resize": 81.73227245782701 }, "max_cash_weight": 0.0, "max_drawdown": -0.046331254047859094, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2299147.544607656, "start_session": "2016-12-30", "total_return": 0.25724612931903623, "traded_notional_by_category": { "entry": 1637248.616100387, "exit": 1594781.2115221082, "resize": 163464.544915654 }, "transaction_cost": 1697.7471862690747, "transaction_cost_over_anchor_nav": 0.0007384246349265032, "two_sided_turnover": 1.3791470393768401 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3501161398863857, "annualized_volatility": 0.1973371553206322, "cagr": -0.0780344028045663, "end_nav": 2665028.5472458727, "end_session": "2018-12-31", "fee_by_category": { "entry": 1041.2715108727052, "exit": 1014.1807418537132, "resize": 53.00064616274601 }, "max_cash_weight": 1.8741447187028272e-16, "max_drawdown": -0.24630106185371503, "mean_cash_weight": 5.0871375851154e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2890594.351191342, "start_session": "2017-12-29", "total_return": -0.0780344028045663, "traded_notional_by_category": { "entry": 2082543.0217454105, "exit": 2028361.4837074266, "resize": 106001.29232549202 }, "transaction_cost": 2108.4528988891648, "transaction_cost_over_anchor_nav": 0.0007294184664894879, "two_sided_turnover": 1.3501161398863857 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6765320860279482, "annualized_volatility": 0.09827524506338621, "cagr": 0.2827898649397331, "end_nav": 3418671.610182066, "end_session": "2019-12-31", "fee_by_category": { "entry": 2054.9687999300377, "exit": 2015.7514999584287, "resize": 41.27329676993785 }, "max_cash_weight": 0.3395458948594939, "max_drawdown": -0.02930513258373124, "mean_cash_weight": 0.16718747997173983, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2665028.5472458727, "start_session": "2018-12-31", "total_return": 0.2827898649397331, "traded_notional_by_category": { "entry": 4109937.599860075, "exit": 4031502.999916857, "resize": 82546.5935398757 }, "transaction_cost": 4111.9935966584035, "transaction_cost_over_anchor_nav": 0.0015429454220698205, "two_sided_turnover": 2.6765320860279482 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.398215887930733, "annualized_volatility": 0.3336758747660813, "cagr": 0.18471550914100598, "end_nav": 4050153.277242749, "end_session": "2020-12-31", "fee_by_category": { "entry": 1273.6505664935596, "exit": 1149.4227423678233, "resize": 232.1014887581889 }, "max_cash_weight": 1.811989101617985e-16, "max_drawdown": -0.3031642488925358, "mean_cash_weight": 7.080311972947104e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3418671.610182066, "start_session": "2019-12-31", "total_return": 0.18471550914100598, "traded_notional_by_category": { "entry": 2547301.1329871193, "exit": 2298845.4847356463, "resize": 464202.9775163778 }, "transaction_cost": 2655.1747976195716, "transaction_cost_over_anchor_nav": 0.0007766685720007388, "two_sided_turnover": 1.398215887930733 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3436845221640041, "annualized_volatility": 0.13832050544759636, "cagr": 0.22976091370392981, "end_nav": 4980720.194863008, "end_session": "2021-12-31", "fee_by_category": { "entry": 1611.0143981096764, "exit": 1597.4236120497553, "resize": 36.88360302541324 }, "max_cash_weight": 0.0, "max_drawdown": -0.07582757645361737, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4050153.277242749, "start_session": "2020-12-31", "total_return": 0.22976091370392981, "traded_notional_by_category": { "entry": 3222028.7962193526, "exit": 3194847.2240995103, "resize": 73767.20605082647 }, "transaction_cost": 3245.321613184845, "transaction_cost_over_anchor_nav": 0.0008012836529965071, "two_sided_turnover": 1.3436845221640041 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0549305447841446, "annualized_volatility": 0.19961391637008738, "cagr": 0.06114974974682852, "end_nav": 5285289.988337857, "end_session": "2022-12-30", "fee_by_category": { "entry": 2350.7110774075772, "exit": 2353.062964428495, "resize": 141.66924722107686 }, "max_cash_weight": 0.0, "max_drawdown": -0.14290747733003717, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4980720.194863008, "start_session": "2021-12-31", "total_return": 0.06114974974682852, "traded_notional_by_category": { "entry": 4701422.154815154, "exit": 4706125.92885699, "resize": 283338.4944421537 }, "transaction_cost": 4845.443289057149, "transaction_cost_over_anchor_nav": 0.0009728398905151546, "two_sided_turnover": 2.0549305447841446 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666222296283953, "annualized_volatility": 0.15553103911997287, "cagr": 0.0786497008707665, "end_nav": 5700976.464935886, "end_session": "2023-12-29", "fee_by_category": { "entry": 3451.646426614666, "exit": 3362.37587749446, "resize": 92.72392223337665 }, "max_cash_weight": 0.0, "max_drawdown": -0.13064519489019832, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5285289.988337857, "start_session": "2022-12-30", "total_return": 0.0786497008707665, "traded_notional_by_category": { "entry": 6903292.853229331, "exit": 6724751.75498892, "resize": 185447.8444667533 }, "transaction_cost": 6906.746226342502, "transaction_cost_over_anchor_nav": 0.0013067866174954327, "two_sided_turnover": 2.666222296283953 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0023339565558795, "annualized_volatility": 0.12228809833265314, "cagr": 0.13962541233907078, "end_nav": 6496977.654587897, "end_session": "2024-12-31", "fee_by_category": { "entry": 3103.959966272878, "exit": 3018.5742014212974, "resize": 96.54213913963758 }, "max_cash_weight": 1.4552873913515007e-16, "max_drawdown": -0.07964934920616584, "mean_cash_weight": 4.654180185828142e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 5700976.464935886, "start_session": "2023-12-29", "total_return": 0.13962541233907078, "traded_notional_by_category": { "entry": 6207919.932545756, "exit": 6037148.402842594, "resize": 193084.27827927517 }, "transaction_cost": 6219.076306833813, "transaction_cost_over_anchor_nav": 0.0010908791406322273, "two_sided_turnover": 2.0023339565558795 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.002024798371521, "annualized_volatility": 0.1671664802680011, "cagr": 0.2006753680588691, "end_nav": 7800761.036692571, "end_session": "2025-12-31", "fee_by_category": { "entry": 3603.829991805848, "exit": 3474.1426873905643, "resize": 140.72069099389856 }, "max_cash_weight": 1.4385865792836158e-16, "max_drawdown": -0.13736152166951765, "mean_cash_weight": 2.144456619142274e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 6496977.654587897, "start_session": "2024-12-31", "total_return": 0.2006753680588691, "traded_notional_by_category": { "entry": 7207659.9836116955, "exit": 6948285.374781129, "resize": 281441.3819877971 }, "transaction_cost": 7218.693370190311, "transaction_cost_over_anchor_nav": 0.0011110848388239058, "two_sided_turnover": 2.002024798371521 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.7788195394710402, "annualized_volatility": 0.17546039854877601, "cagr": 0.08055814027765762, "end_nav": 7800761.036692571, "end_session": "2025-12-31", "fee_by_category": { "entry": 29411.41318585938, "exit": 28680.302381375364, "resize": 1334.1638199210227 }, "max_cash_weight": 1.0, "max_drawdown": -0.4960621166974829, "mean_cash_weight": 0.08053117583845146, "nonzero_trade_event_count": 49, "order_count": 204, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 1124432.757384372, "start_session": "2000-12-29", "total_return": 5.93750781046126, "traded_notional_by_category": { "entry": 58822826.37171876, "exit": 57360604.76275072, "resize": 2668327.639842045 }, "transaction_cost": 59425.879387155765, "transaction_cost_over_anchor_nav": 0.05284965152152877, "two_sided_turnover": 44.470488486776006 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 9300048.65224753, "end_session": "2026-10-02", "fee_by_category": { "entry": 4452.291048815774, "exit": 4149.8890034088745, "resize": 465.04406534676093 }, "max_cash_weight": 0.0, "max_drawdown": -0.09396922411874642, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 7800761.036692571, "start_session": "2025-12-31", "total_return": 0.19219760847726697, "traded_notional_by_category": { "entry": 8904582.097631548, "exit": 8299778.006817749, "resize": 930088.1306935218 }, "transaction_cost": 9067.22411757141, "transaction_cost_over_anchor_nav": 0.0011623512212362043, "two_sided_turnover": 2.038004353158021 } }, "monthly_risk": { "beta_intercept_per_month": 0.0008511168889159893, "beta_to_SPY_excess_returns": 0.772021453302716, "monthly_return_volatility_annualized": 0.1428760429235614, "months": 300, "sharpe_monthly_annualized": 0.49582984082347814, "tracking_error_monthly_annualized": 0.0900534070221284 }, "phase": [ 2, 8 ], "policy": "A", "run_id": "SMIX-02-08-5bps", "signal": "mixed" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6666666666666665, "annualized_volatility": 0.1839619862280222, "cagr": -0.036932526166604585, "end_nav": 857919.7882690381, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.22919666028921726, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 890820.0220428717, "start_session": "2000-12-29", "total_return": -0.036932526166604585, "traded_notional_by_category": { "entry": 1030393.0444508893, "exit": 976941.9220725218, "resize": 53451.12237836755 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3333333333333333, "annualized_volatility": 0.21164420758343208, "cagr": -0.13812907888457482, "end_nav": 739416.1181585864, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6705867298542538, "max_drawdown": -0.25677467222396233, "mean_cash_weight": 0.1661731146683768, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 857919.7882690381, "start_session": "2001-12-31", "total_return": -0.13812907888457482, "traded_notional_by_category": { "entry": 300744.67741911893, "exit": 727345.6203364432, "resize": 60088.04033456283 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3333333333333333 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3451867979601353, "annualized_volatility": 0.07510833091397147, "cagr": 0.16325349548138512, "end_nav": 860128.3840632526, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.03545249796406591, "mean_cash_weight": 0.6637673536583116, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 739416.1181585864, "start_session": "2002-12-31", "total_return": 0.16325349548138512, "traded_notional_by_category": { "entry": 743248.5810239632, "exit": 256559.59777207603, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3451867979601353 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6666666666666665, "annualized_volatility": 0.1340926364097184, "cagr": 0.17170987822931139, "end_nav": 1007820.924152328, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4448501829805157e-16, "max_drawdown": -0.08756059326236354, "mean_cash_weight": 6.739377476892123e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 860128.3840632526, "start_session": "2003-12-31", "total_return": 0.17170987822931139, "traded_notional_by_category": { "entry": 1189378.1883074176, "exit": 1140265.9687222652, "resize": 49112.2195851524 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3333333333333335, "annualized_volatility": 0.1477363374158307, "cagr": 0.1579545538560092, "end_nav": 1167010.82859356, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.1327692248215619e-16, "max_drawdown": -0.1004815320207918, "mean_cash_weight": 5.065660589134172e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1007820.924152328, "start_session": "2004-12-31", "total_return": 0.1579545538560092, "traded_notional_by_category": { "entry": 767880.9926003829, "exit": 672820.9267558034, "resize": 95060.0658445796 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3333333333333335 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.333333333333333, "annualized_volatility": 0.11463048962820666, "cagr": 0.12117031812839163, "end_nav": 1308417.9019535196, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9696505246611128e-16, "max_drawdown": -0.10016100244779336, "mean_cash_weight": 4.749807887958761e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1167010.82859356, "start_session": "2005-12-30", "total_return": 0.12117031812839163, "traded_notional_by_category": { "entry": 2024364.7316991435, "exit": 2001915.0974491532, "resize": 22449.634249990107 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.333333333333333 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.684623213149461, "annualized_volatility": 0.16718941665215029, "cagr": 0.10113961320196996, "end_nav": 1440750.7824636316, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.09043661110250356, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1308417.9019535196, "start_session": "2006-12-29", "total_return": 0.10113961320196996, "traded_notional_by_category": { "entry": 1885773.1057734624, "exit": 1863328.46969738, "resize": 46632.352504162234 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.684623213149461 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0, "annualized_volatility": 0.22909020514091039, "cagr": -0.21831759050451371, "end_nav": 1126209.5431186787, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.7150648921533194, "max_drawdown": -0.26243194687757887, "mean_cash_weight": 0.17639597726569642, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1440750.7824636316, "start_session": "2007-12-31", "total_return": -0.21831759050451371, "traded_notional_by_category": { "entry": 883308.8503715262, "exit": 1587718.272186764, "resize": 79188.31942909025 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.2788911296548875, "annualized_volatility": 0.08187848864167101, "cagr": 0.057936651448844634, "end_nav": 1191458.3528767081, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06468332830649925, "mean_cash_weight": 0.6771625020216003, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1126209.5431186787, "start_session": "2008-12-31", "total_return": 0.057936651448844634, "traded_notional_by_category": { "entry": 1086656.6387809226, "exit": 303058.89753659477, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.2788911296548875 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.003714407305719, "annualized_volatility": 0.1736611630190858, "cagr": 0.13867855284887098, "end_nav": 1356688.0730333496, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.048315339677031e-16, "max_drawdown": -0.15344981370987232, "mean_cash_weight": 4.698773476238487e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1191458.3528767081, "start_session": "2009-12-31", "total_return": 0.13867855284887098, "traded_notional_by_category": { "entry": 1263780.201961179, "exit": 1241895.0496695968, "resize": 26624.779268418497 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.003714407305719 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3333333333333335, "annualized_volatility": 0.22975359989958768, "cagr": -0.09039918461021934, "end_nav": 1234044.577460725, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.23365556725288306, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1356688.0730333496, "start_session": "2010-12-31", "total_return": -0.09039918461021934, "traded_notional_by_category": { "entry": 2060642.2361117215, "exit": 2028215.8429401927, "resize": 32426.393171528995 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.3333333333333335 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.009759159242011, "annualized_volatility": 0.1122370458151583, "cagr": 0.06529978823150695, "end_nav": 1314627.42703715, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.07681507191894843, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1234044.577460725, "start_session": "2011-12-30", "total_return": 0.06529978823150695, "traded_notional_by_category": { "entry": 1308264.9790166626, "exit": 1298660.5530662667, "resize": 22791.83746163454 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.009759159242011 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0, "annualized_volatility": 0.11064205113577218, "cagr": 0.2893265746782936, "end_nav": 1694984.077479947, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.07026504304509706, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1314627.42703715, "start_session": "2012-12-31", "total_return": 0.2893265746782936, "traded_notional_by_category": { "entry": 1506072.0112581232, "exit": 1423078.218236245, "resize": 82993.79302187829 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3333333333333335, "annualized_volatility": 0.12636236905055007, "cagr": 0.12722647316110858, "end_nav": 1910630.9237219559, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4071254792002128e-16, "max_drawdown": -0.08206740603245288, "mean_cash_weight": 9.735981899980153e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1694984.077479947, "start_session": "2013-12-31", "total_return": 0.12722647316110858, "traded_notional_by_category": { "entry": 1189220.2613911575, "exit": 1131277.6182886406, "resize": 57942.643102517 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3333333333333335 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3639298453986368, "annualized_volatility": 0.1516971455207083, "cagr": 0.06660878102240164, "end_nav": 2037895.7205347805, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2458317239960985e-16, "max_drawdown": -0.10818085822514445, "mean_cash_weight": 2.8822166275867745e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1910630.9237219559, "start_session": "2014-12-31", "total_return": 0.06660878102240164, "traded_notional_by_category": { "entry": 1308883.8634753944, "exit": 1262180.0936952604, "resize": 104742.48209154641 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3639298453986368 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666666666666667, "annualized_volatility": 0.1165432771706947, "cagr": 0.0888194048205837, "end_nav": 2218900.4055190943, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.08773377267346394, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2037895.7205347805, "start_session": "2015-12-31", "total_return": 0.0888194048205837, "traded_notional_by_category": { "entry": 2771571.8568740203, "exit": 2699159.1057684077, "resize": 72412.75110561273 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.666666666666667 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6752467929606412, "annualized_volatility": 0.08678531458527794, "cagr": 0.2792827838107985, "end_nav": 2838601.0877713766, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.03293390120679163, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2218900.4055190943, "start_session": "2016-12-30", "total_return": 0.2792827838107985, "traded_notional_by_category": { "entry": 792703.5531597594, "exit": 782494.5560989284, "resize": 32748.248957810923 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.6752467929606412 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3347261192864832, "annualized_volatility": 0.19435441680772403, "cagr": -0.03895625927051449, "end_nav": 2728019.8078305903, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.8343224293588252e-16, "max_drawdown": -0.20676585689779503, "mean_cash_weight": 4.0364919756563804e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2838601.0877713766, "start_session": "2017-12-29", "total_return": -0.03895625927051449, "traded_notional_by_category": { "entry": 2004924.6512001688, "exit": 1881824.7929236148, "resize": 127048.77057221346 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3347261192864832 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.00556743042051, "annualized_volatility": 0.11197429061953772, "cagr": 0.30366603888920496, "end_nav": 3556426.776885796, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.765190186503183e-16, "max_drawdown": -0.0389431526257652, "mean_cash_weight": 7.302282019750437e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2728019.8078305903, "start_session": "2018-12-31", "total_return": 0.30366603888920496, "traded_notional_by_category": { "entry": 3201518.2966499683, "exit": 3119935.039465798, "resize": 98978.81974118156 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.00556743042051 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3882114739588682, "annualized_volatility": 0.3341788582627896, "cagr": 0.19294717506385162, "end_nav": 4242629.276807349, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.742689887579018e-16, "max_drawdown": -0.3034308536452539, "mean_cash_weight": 6.213610493794006e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3556426.776885796, "start_session": "2019-12-31", "total_return": 0.19294717506385162, "traded_notional_by_category": { "entry": 2601593.770453201, "exit": 2370320.2992668124, "resize": 395858.63932027924 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3882114739588682 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666666666666666, "annualized_volatility": 0.15102803165834122, "cagr": 0.2273043978406264, "end_nav": 5206997.569833056, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.1279187998552747e-16, "max_drawdown": -0.07601731845749049, "mean_cash_weight": 2.5983324194616848e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4242629.276807349, "start_session": "2020-12-31", "total_return": 0.2273043978406264, "traded_notional_by_category": { "entry": 6088618.29249277, "exit": 5997311.414053336, "resize": 91306.87843943178 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.666666666666666 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.024262078513293, "annualized_volatility": 0.21027344047229077, "cagr": 0.0038648321383327744, "end_nav": 5227121.741385167, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9980174766748567e-16, "max_drawdown": -0.13047575571144288, "mean_cash_weight": 4.606284728384992e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 5206997.569833056, "start_session": "2021-12-31", "total_return": 0.0038648321383327744, "traded_notional_by_category": { "entry": 4886957.687525278, "exit": 4791716.504372024, "resize": 208166.82266250532 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.024262078513293 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0046992586909127, "annualized_volatility": 0.14049907660272257, "cagr": 0.08947620407775503, "end_nav": 5694824.753056617, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9278976728250224e-16, "max_drawdown": -0.09790561583423574, "mean_cash_weight": 4.535811679130339e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5227121.741385167, "start_session": "2022-12-30", "total_return": 0.08947620407775503, "traded_notional_by_category": { "entry": 5203468.252147808, "exit": 5028715.424396837, "resize": 199473.62470129412 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0046992586909127 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.000532227926551, "annualized_volatility": 0.13016976460396598, "cagr": 0.18886388566535617, "end_nav": 6770371.484102142, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5594808429756743e-16, "max_drawdown": -0.09259074113434917, "mean_cash_weight": 7.351672379300137e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 5694824.753056617, "start_session": "2023-12-29", "total_return": 0.18886388566535617, "traded_notional_by_category": { "entry": 6659726.587064625, "exit": 6427585.233397095, "resize": 235776.76975469384 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.000532227926551 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3812624402875056, "annualized_volatility": 0.14378593649361174, "cagr": 0.12923412762527442, "end_nav": 7645334.536549117, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4433679230966308e-16, "max_drawdown": -0.10246742821172572, "mean_cash_weight": 6.498959218586538e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 6770371.484102142, "start_session": "2024-12-31", "total_return": 0.12923412762527442, "traded_notional_by_category": { "entry": 4984359.618889818, "exit": 4920151.481057731, "resize": 402152.47687709983 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3812624402875056 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.953357828323558, "annualized_volatility": 0.164680035379965, "cagr": 0.08979361969731636, "end_nav": 7645334.536549117, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.3034308536452539, "mean_cash_weight": 0.06750725795705266, "nonzero_trade_event_count": 50, "order_count": 213, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 890820.0220428717, "start_session": "2000-12-29", "total_return": 7.5823559724403875, "traded_notional_by_category": { "entry": 57744054.93009848, "exit": 55934475.99922579, "resize": 2597427.4845755515 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 48.83394570808895 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7555254.721041368, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2610732969693717e-16, "max_drawdown": -0.1012021482997899, "mean_cash_weight": 8.278310520558503e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 7645334.536549117, "start_session": "2025-12-31", "total_return": -0.011782324903784835, "traded_notional_by_category": { "entry": 9917648.584195806, "exit": 9646757.391505415, "resize": 270891.1926903925 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 } }, "monthly_risk": { "beta_intercept_per_month": 0.0018464871420198377, "beta_to_SPY_excess_returns": 0.7104139093777426, "monthly_return_volatility_annualized": 0.13247293608170138, "months": 300, "sharpe_monthly_annualized": 0.5883139988375816, "tracking_error_monthly_annualized": 0.08963125895771358 }, "phase": [ 3, 9 ], "policy": "A", "run_id": "SMIX-03-09-0bps", "signal": "mixed" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6657780739753414, "annualized_volatility": 0.18399411449051, "cagr": -0.03949813934299762, "end_nav": 853540.8329155347, "end_session": "2001-12-31", "fee_by_category": { "entry": 1025.8278044092292, "exit": 973.8944046136273, "resize": 53.98710911373832 }, "max_cash_weight": 0.0, "max_drawdown": -0.23022405561039128, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 888640.4783554462, "start_session": "2000-12-29", "total_return": -0.03949813934299762, "traded_notional_by_category": { "entry": 1025827.8044092292, "exit": 973894.4046136274, "resize": 53987.10911373832 }, "transaction_cost": 2053.709318136595, "transaction_cost_over_anchor_nav": 0.0023110688384770316, "two_sided_turnover": 2.6657780739753414 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3337779259753249, "annualized_volatility": 0.21162303922722783, "cagr": -0.13927823998495859, "end_nav": 734661.1679517635, "end_session": "2002-12-31", "fee_by_category": { "entry": 299.01009044855704, "exit": 723.3253119533774, "resize": 60.326681559064106 }, "max_cash_weight": 0.6705867298542538, "max_drawdown": -0.2567746722239622, "mean_cash_weight": 0.1661731146683769, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 853540.8329155347, "start_session": "2001-12-31", "total_return": -0.13927823998495859, "traded_notional_by_category": { "entry": 299010.09044855705, "exit": 723325.3119533774, "resize": 60326.681559064105 }, "transaction_cost": 1082.6620839609986, "transaction_cost_over_anchor_nav": 0.0012684361921653225, "two_sided_turnover": 1.3337779259753249 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3441877969611344, "annualized_volatility": 0.07491978482164313, "cagr": 0.16169026546659793, "end_nav": 853448.727225885, "end_session": "2003-12-31", "fee_by_category": { "entry": 737.4765991220901, "exit": 254.9097444857738, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.0354524979640658, "mean_cash_weight": 0.6637673536583116, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 734661.1679517635, "start_session": "2002-12-31", "total_return": 0.16169026546659793, "traded_notional_by_category": { "entry": 737476.59912209, "exit": 254909.74448577382, "resize": 0.0 }, "transaction_cost": 992.3863436078639, "transaction_cost_over_anchor_nav": 0.001350808218671253, "two_sided_turnover": 1.3441877969611344 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778073975341, "annualized_volatility": 0.13395650411665178, "cagr": 0.16858844137865137, "end_nav": 997330.3179454908, "end_session": "2004-12-31", "fee_by_category": { "entry": 1177.754303494431, "exit": 1130.6430494846622, "resize": 49.469120483231094 }, "max_cash_weight": 1.4581020287929976e-16, "max_drawdown": -0.08877677374451953, "mean_cash_weight": 6.801189554191139e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 853448.727225885, "start_session": "2003-12-31", "total_return": 0.16858844137865137, "traded_notional_by_category": { "entry": 1177754.303494431, "exit": 1130643.0494846622, "resize": 49469.12048323109 }, "transaction_cost": 2357.8664734623244, "transaction_cost_over_anchor_nav": 0.002762751174433775, "two_sided_turnover": 2.665778073975341 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3337779259753249, "annualized_volatility": 0.14768116623271257, "cagr": 0.15641061462253125, "end_nav": 1153323.3659570296, "end_session": "2005-12-30", "fee_by_category": { "entry": 759.1141636344548, "exit": 665.5953671370689, "resize": 95.03854457272996 }, "max_cash_weight": 0.0, "max_drawdown": -0.10108141095909107, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 997330.3179454908, "start_session": "2004-12-31", "total_return": 0.15641061462253125, "traded_notional_by_category": { "entry": 759114.1636344548, "exit": 665595.3671370689, "resize": 95038.54457272997 }, "transaction_cost": 1519.7480753442537, "transaction_cost_over_anchor_nav": 0.0015238161800545159, "two_sided_turnover": 1.3337779259753249 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.330891034989669, "annualized_volatility": 0.11457559663654626, "cagr": 0.11743880777248727, "end_nav": 1288768.287031175, "end_session": "2006-12-29", "fee_by_category": { "entry": 1995.5481846030384, "exit": 1976.863157206361, "resize": 22.680118857344088 }, "max_cash_weight": 0.0, "max_drawdown": -0.10195888256278263, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1153323.3659570296, "start_session": "2005-12-30", "total_return": 0.11743880777248727, "traded_notional_by_category": { "entry": 1995548.1846030385, "exit": 1976863.157206361, "resize": 22680.11885734409 }, "transaction_cost": 3995.0914606667434, "transaction_cost_over_anchor_nav": 0.0034639820700689697, "two_sided_turnover": 3.330891034989669 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6823970794576404, "annualized_volatility": 0.16701112815988112, "cagr": 0.09818742524278923, "end_nav": 1415309.1268693262, "end_session": "2007-12-31", "fee_by_category": { "entry": 1853.3560093693945, "exit": 1834.376744878538, "resize": 45.932035145112195 }, "max_cash_weight": 0.0, "max_drawdown": -0.09043661110250334, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1288768.287031175, "start_session": "2006-12-29", "total_return": 0.09818742524278923, "traded_notional_by_category": { "entry": 1853356.0093693945, "exit": 1834376.744878538, "resize": 45932.0351451122 }, "transaction_cost": 3733.664789393045, "transaction_cost_over_anchor_nav": 0.0028970799692735827, "two_sided_turnover": 2.6823970794576404 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9997779999753331, "annualized_volatility": 0.22896171100635834, "cagr": -0.21988008696110484, "end_nav": 1104110.8329764535, "end_session": "2008-12-31", "fee_by_category": { "entry": 866.5542819575649, "exit": 1558.7148460238977, "resize": 78.56509894025385 }, "max_cash_weight": 0.7150648921533194, "max_drawdown": -0.2629238228716585, "mean_cash_weight": 0.17639597726569642, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1415309.1268693262, "start_session": "2007-12-31", "total_return": -0.21988008696110484, "traded_notional_by_category": { "entry": 866554.2819575649, "exit": 1558714.8460238976, "resize": 78565.09894025384 }, "transaction_cost": 2503.8342269217164, "transaction_cost_over_anchor_nav": 0.0017691076665775592, "two_sided_turnover": 1.9997779999753331 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.2778921286558869, "annualized_volatility": 0.08213066188735192, "cagr": 0.05658501728373522, "end_nav": 1166586.9635435853, "end_session": "2009-12-31", "fee_by_category": { "entry": 1063.9729585085167, "exit": 297.11221490226217, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06587830152812468, "mean_cash_weight": 0.6771625020216002, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1104110.8329764535, "start_session": "2008-12-31", "total_return": 0.05658501728373522, "traded_notional_by_category": { "entry": 1063972.9585085167, "exit": 297112.21490226215, "resize": 0.0 }, "transaction_cost": 1361.085173410779, "transaction_cost_over_anchor_nav": 0.0012327432471082418, "two_sided_turnover": 1.2778921286558869 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0030467250640314, "annualized_volatility": 0.17361635438835604, "cagr": 0.13639874362256177, "end_nav": 1325707.9596973895, "end_session": "2010-12-31", "fee_by_category": { "entry": 1235.4710759518534, "exit": 1215.4176762009256, "resize": 26.607957800439095 }, "max_cash_weight": 0.0, "max_drawdown": -0.15344981370987232, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1166586.9635435853, "start_session": "2009-12-31", "total_return": 0.13639874362256177, "traded_notional_by_category": { "entry": 1235471.0759518535, "exit": 1215417.6762009258, "resize": 26607.957800439093 }, "transaction_cost": 2477.4967099532187, "transaction_cost_over_anchor_nav": 0.0021237136942004377, "two_sided_turnover": 2.0030467250640314 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 3.330891034989669, "annualized_volatility": 0.22996817834188382, "cagr": -0.09342654344008161, "end_nav": 1201851.6474118594, "end_session": "2011-12-30", "fee_by_category": { "entry": 2008.717778031495, "exit": 1980.441346195394, "resize": 32.29788884917623 }, "max_cash_weight": 0.0, "max_drawdown": -0.2351867249606694, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1325707.9596973895, "start_session": "2010-12-31", "total_return": -0.09342654344008161, "traded_notional_by_category": { "entry": 2008717.778031495, "exit": 1980441.3461953942, "resize": 32297.888849176234 }, "transaction_cost": 4021.457013076066, "transaction_cost_over_anchor_nav": 0.0030334411011562583, "two_sided_turnover": 3.330891034989669 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.009089462754426, "annualized_volatility": 0.11214038232826017, "cagr": 0.06316046580713897, "end_nav": 1277761.1572934696, "end_session": "2012-12-31", "fee_by_category": { "entry": 1272.141316145203, "exit": 1264.1977209820047, "resize": 22.736461165443238 }, "max_cash_weight": 0.0, "max_drawdown": -0.07696079860758731, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1201851.6474118594, "start_session": "2011-12-30", "total_return": 0.06316046580713897, "traded_notional_by_category": { "entry": 1272141.316145203, "exit": 1264197.720982005, "resize": 22736.461165443237 }, "transaction_cost": 2559.075498292651, "transaction_cost_over_anchor_nav": 0.0021292773561558285, "two_sided_turnover": 2.009089462754426 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9997779999753333, "annualized_volatility": 0.11054529096519414, "cagr": 0.28674935382766265, "end_nav": 1644158.3434934583, "end_session": "2013-12-31", "fee_by_category": { "entry": 1461.5464142910141, "exit": 1382.536877618912, "resize": 81.93555551953102 }, "max_cash_weight": 0.0, "max_drawdown": -0.07026504304509684, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1277761.1572934696, "start_session": "2012-12-31", "total_return": 0.28674935382766265, "traded_notional_by_category": { "entry": 1461546.414291014, "exit": 1382536.8776189121, "resize": 81935.55551953102 }, "transaction_cost": 2926.0188474294573, "transaction_cost_over_anchor_nav": 0.0022899575798870715, "two_sided_turnover": 1.9997779999753333 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3337779259753249, "annualized_volatility": 0.12641269485879053, "cagr": 0.12572350469733484, "end_nav": 1850867.6927148204, "end_session": "2014-12-31", "fee_by_category": { "entry": 1152.3930563071165, "exit": 1096.977610556309, "resize": 57.722538956627716 }, "max_cash_weight": 1.3920811655652957e-16, "max_drawdown": -0.08267956514813635, "mean_cash_weight": 3.2630173804749984e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1644158.3434934583, "start_session": "2013-12-31", "total_return": 0.12572350469733484, "traded_notional_by_category": { "entry": 1152393.0563071165, "exit": 1096977.610556309, "resize": 57722.538956627715 }, "transaction_cost": 2307.0932058200533, "transaction_cost_over_anchor_nav": 0.0014032062148697983, "two_sided_turnover": 1.3337779259753249 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3634957512910753, "annualized_volatility": 0.15172695429182445, "cagr": 0.06515450799387068, "end_nav": 1971460.066595405, "end_session": "2015-12-31", "fee_by_category": { "entry": 1266.2528425812218, "exit": 1222.699961988204, "resize": 102.2550052689599 }, "max_cash_weight": 1.2860587642163465e-16, "max_drawdown": -0.10818085822514445, "mean_cash_weight": 6.009163711083202e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1850867.6927148204, "start_session": "2014-12-31", "total_return": 0.06515450799387068, "traded_notional_by_category": { "entry": 1266252.8425812218, "exit": 1222699.961988204, "resize": 102255.00526895991 }, "transaction_cost": 2591.2078098383854, "transaction_cost_over_anchor_nav": 0.0013999962396218863, "two_sided_turnover": 1.3634957512910753 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6657780739753414, "annualized_volatility": 0.11648830948101141, "cagr": 0.08591878831382838, "end_nav": 2140845.526726382, "end_session": "2016-12-30", "fee_by_category": { "entry": 2675.8257434238512, "exit": 2609.3908622312147, "resize": 71.79188968797959 }, "max_cash_weight": 1.2945849590131358e-16, "max_drawdown": -0.08773377267346394, "mean_cash_weight": 1.1650698558731976e-16, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1971460.066595405, "start_session": "2015-12-31", "total_return": 0.08591878831382838, "traded_notional_by_category": { "entry": 2675825.743423851, "exit": 2609390.8622312145, "resize": 71791.8896879796 }, "transaction_cost": 5357.008495343045, "transaction_cost_over_anchor_nav": 0.0027172797390688625, "two_sided_turnover": 2.6657780739753414 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6754662301925687, "annualized_volatility": 0.08681183387453698, "cagr": 0.27841867880907323, "end_nav": 2736896.9098118558, "end_session": "2017-12-29", "fee_by_category": { "entry": 764.3083501017356, "exit": 754.9685267285519, "resize": 32.594608594718736 }, "max_cash_weight": 1.0801488209744995e-16, "max_drawdown": -0.03357882691455616, "mean_cash_weight": 2.5589132730156362e-17, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2140845.526726382, "start_session": "2016-12-30", "total_return": 0.27841867880907323, "traded_notional_by_category": { "entry": 764308.3501017357, "exit": 754968.5267285518, "resize": 32594.60859471874 }, "transaction_cost": 1551.8714854250063, "transaction_cost_over_anchor_nav": 0.0007248871840828283, "two_sided_turnover": 0.6754662301925687 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3347258033273657, "annualized_volatility": 0.19442633032887202, "cagr": -0.0402385611264412, "end_nav": 2626768.1162096234, "end_session": "2018-12-31", "fee_by_category": { "entry": 1931.118244539314, "exit": 1813.783249413014, "resize": 123.79401733848104 }, "max_cash_weight": 0.0, "max_drawdown": -0.207294855992895, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2736896.9098118558, "start_session": "2017-12-29", "total_return": -0.0402385611264412, "traded_notional_by_category": { "entry": 1931118.244539314, "exit": 1813783.249413014, "resize": 123794.01733848103 }, "transaction_cost": 3868.695511290809, "transaction_cost_over_anchor_nav": 0.0014135335157935331, "two_sided_turnover": 1.3347258033273657 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0044521635409525, "annualized_volatility": 0.1120078078008655, "cagr": 0.30105406555512415, "end_nav": 3417567.336865105, "end_session": "2019-12-31", "fee_by_category": { "entry": 3077.851926284589, "exit": 3002.8129696184697, "resize": 95.28206738987426 }, "max_cash_weight": 1.477437519384448e-16, "max_drawdown": -0.03894315262576542, "mean_cash_weight": 3.6121030189176877e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2626768.1162096234, "start_session": "2018-12-31", "total_return": 0.30105406555512415, "traded_notional_by_category": { "entry": 3077851.926284589, "exit": 3002812.9696184695, "resize": 95282.06738987425 }, "transaction_cost": 6175.946963292933, "transaction_cost_over_anchor_nav": 0.002351158035298794, "two_sided_turnover": 2.0044521635409525 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3877488909952034, "annualized_volatility": 0.33417087015621233, "cagr": 0.1912917511754415, "end_nav": 4071319.777494021, "end_session": "2020-12-31", "fee_by_category": { "entry": 2496.5462404535047, "exit": 2277.647013712055, "resize": 382.00361300466153 }, "max_cash_weight": 1.813497253774446e-16, "max_drawdown": -0.3034308536452538, "mean_cash_weight": 3.4227178766097625e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3417567.336865105, "start_session": "2019-12-31", "total_return": 0.1912917511754415, "traded_notional_by_category": { "entry": 2496546.2404535045, "exit": 2277647.013712055, "resize": 382003.6130046615 }, "transaction_cost": 5156.196867170221, "transaction_cost_over_anchor_nav": 0.001508733072074577, "two_sided_turnover": 1.3877488909952034 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6657780739753414, "annualized_volatility": 0.150820676843963, "cagr": 0.22403485710739823, "end_nav": 4983437.322083418, "end_session": "2021-12-31", "fee_by_category": { "entry": 5830.9701767845045, "exit": 5751.226333392095, "resize": 91.41745735994657 }, "max_cash_weight": 0.0, "max_drawdown": -0.07601731845749049, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4071319.777494021, "start_session": "2020-12-31", "total_return": 0.22403485710739823, "traded_notional_by_category": { "entry": 5830970.176784504, "exit": 5751226.333392095, "resize": 91417.45735994657 }, "transaction_cost": 11673.613967536545, "transaction_cost_over_anchor_nav": 0.002867280048122844, "two_sided_turnover": 2.6657780739753414 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.023587549330183, "annualized_volatility": 0.21009989981632732, "cagr": 0.0018343479453410971, "end_nav": 4992578.6800959185, "end_session": "2022-12-30", "fee_by_category": { "entry": 4669.879888863591, "exit": 4584.081352181941, "resize": 201.13836163004558 }, "max_cash_weight": 0.0, "max_drawdown": -0.13047575571144288, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4983437.322083418, "start_session": "2021-12-31", "total_return": 0.0018343479453410971, "traded_notional_by_category": { "entry": 4669879.8888635915, "exit": 4584081.352181941, "resize": 201138.36163004558 }, "transaction_cost": 9455.099602675578, "transaction_cost_over_anchor_nav": 0.0018973048102314044, "two_sided_turnover": 2.023587549330183 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.004031248274821, "annualized_volatility": 0.14038000410517185, "cagr": 0.08729383432029003, "end_nav": 5428400.016227224, "end_session": "2023-12-29", "fee_by_category": { "entry": 4962.239532155366, "exit": 4800.9282826653925, "resize": 192.601993030912 }, "max_cash_weight": 0.0, "max_drawdown": -0.09910800754921834, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4992578.6800959185, "start_session": "2022-12-30", "total_return": 0.08729383432029003, "traded_notional_by_category": { "entry": 4962239.532155366, "exit": 4800928.282665392, "resize": 192601.993030912 }, "transaction_cost": 9955.769807851671, "transaction_cost_over_anchor_nav": 0.0019941137527872466, "two_sided_turnover": 2.004031248274821 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9997779999753331, "annualized_volatility": 0.13021540301654505, "cagr": 0.18648747858985337, "end_nav": 6440728.648030559, "end_session": "2024-12-31", "fee_by_category": { "entry": 6338.144922337574, "exit": 6123.983380591979, "resize": 226.85052056909353 }, "max_cash_weight": 1.4584501557837011e-16, "max_drawdown": -0.09259074113434917, "mean_cash_weight": 3.601569855589015e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 5428400.016227224, "start_session": "2023-12-29", "total_return": 0.18648747858985337, "traded_notional_by_category": { "entry": 6338144.922337574, "exit": 6123983.380591979, "resize": 226850.52056909353 }, "transaction_cost": 12688.978823498648, "transaction_cost_over_anchor_nav": 0.002337517276834285, "two_sided_turnover": 1.9997779999753331 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3808021728965403, "annualized_volatility": 0.14376925936639762, "cagr": 0.1276749508042998, "end_nav": 7263048.361311705, "end_session": "2025-12-31", "fee_by_category": { "entry": 4735.1289585957475, "exit": 4680.369804591261, "resize": 385.62192017886883 }, "max_cash_weight": 1.472344314453444e-16, "max_drawdown": -0.10251043181182029, "mean_cash_weight": 6.699742097636516e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 6440728.648030559, "start_session": "2024-12-31", "total_return": 0.1276749508042998, "traded_notional_by_category": { "entry": 4735128.958595747, "exit": 4680369.804591261, "resize": 385621.9201788688 }, "transaction_cost": 9801.120683365876, "transaction_cost_over_anchor_nav": 0.001521740973571811, "two_sided_turnover": 1.3808021728965403 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9526594058589801, "annualized_volatility": 0.16465051745442666, "cagr": 0.08766640293687633, "end_nav": 7263048.361311705, "end_session": "2025-12-31", "fee_by_category": { "entry": 55657.150862394956, "exit": 53976.89780935329, "resize": 2532.6505650162326 }, "max_cash_weight": 1.0, "max_drawdown": -0.3034308536452538, "mean_cash_weight": 0.06750725795705266, "nonzero_trade_event_count": 50, "order_count": 213, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 888640.4783554462, "start_session": "2000-12-29", "total_return": 7.17321350784402, "traded_notional_by_category": { "entry": 55657150.86239496, "exit": 53976897.80935329, "resize": 2532650.5650162324 }, "transaction_cost": 112166.69923676449, "transaction_cost_over_anchor_nav": 0.12622281110167824, "two_sided_turnover": 48.816485146474506 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7158351.9676506, "end_session": "2026-10-02", "fee_by_category": { "entry": 9402.877253977818, "exit": 9158.16362677807, "resize": 263.53820628679034 }, "max_cash_weight": 1.38096129177923e-16, "max_drawdown": -0.10120214829979002, "mean_cash_weight": 4.262242233497353e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 7263048.361311705, "start_session": "2025-12-31", "total_return": -0.014414938253584308, "traded_notional_by_category": { "entry": 9402877.253977818, "exit": 9158163.62677807, "resize": 263538.2062867903 }, "transaction_cost": 18824.57908704268, "transaction_cost_over_anchor_nav": 0.002591828960869395, "two_sided_turnover": 2.6657780739753414 } }, "monthly_risk": { "beta_intercept_per_month": 0.0016868358539803008, "beta_to_SPY_excess_returns": 0.7096423265828891, "monthly_return_volatility_annualized": 0.13239848456704434, "months": 300, "sharpe_monthly_annualized": 0.5737352762959672, "tracking_error_monthly_annualized": 0.08971808109411818 }, "phase": [ 3, 9 ], "policy": "A", "run_id": "SMIX-03-09-10bps", "signal": "mixed" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6644462947543714, "annualized_volatility": 0.18407872078361137, "cagr": -0.04333694713484437, "end_nav": 847011.4650403308, "end_session": "2001-12-31", "fee_by_category": { "entry": 2547.54044771686, "exit": 2423.352403386578, "resize": 136.95767063462714 }, "max_cash_weight": 0.0, "max_drawdown": -0.2317638654173133, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 885381.1825423548, "start_session": "2000-12-29", "total_return": -0.04333694713484437, "traded_notional_by_category": { "entry": 1019016.179086744, "exit": 969340.9613546312, "resize": 54783.068253850855 }, "transaction_cost": 5107.850521738064, "transaction_cost_over_anchor_nav": 0.005769097675049939, "two_sided_turnover": 2.6644462947543714 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.334445371142619, "annualized_volatility": 0.21159916619467653, "cagr": -0.1410019799565585, "end_nav": 727581.1714237388, "end_session": "2002-12-31", "fee_by_category": { "entry": 741.0636816681549, "exit": 1793.3336841256682, "resize": 151.69306504915272 }, "max_cash_weight": 0.6705867298542538, "max_drawdown": -0.25677467222396233, "mean_cash_weight": 0.16617311466837684, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 847011.4650403308, "start_session": "2001-12-31", "total_return": -0.1410019799565585, "traded_notional_by_category": { "entry": 296425.47266726196, "exit": 717333.4736502673, "resize": 60677.22601966109 }, "transaction_cost": 2686.0904308429763, "transaction_cost_over_anchor_nav": 0.0031712562836620837, "two_sided_turnover": 1.334445371142619 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3426930323741004, "annualized_volatility": 0.07466539435808202, "cagr": 0.15935126793823695, "end_nav": 843522.1536180994, "end_session": "2003-12-31", "fee_by_category": { "entry": 1822.2472812059445, "exit": 631.1328902049125, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.0354524979640658, "mean_cash_weight": 0.6637673536583116, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 727581.1714237388, "start_session": "2002-12-31", "total_return": 0.15935126793823695, "traded_notional_by_category": { "entry": 728898.9124823778, "exit": 252453.15608196502, "resize": 0.0 }, "transaction_cost": 2453.380171410857, "transaction_cost_over_anchor_nav": 0.0033719676481045488, "two_sided_turnover": 1.3426930323741004 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664446294754371, "annualized_volatility": 0.13380255592026644, "cagr": 0.16391798044778239, "end_nav": 981790.6015021424, "end_session": "2004-12-31", "fee_by_category": { "entry": 2901.3083535455135, "exit": 2790.887787648955, "resize": 124.96346491182383 }, "max_cash_weight": 1.478217913056916e-16, "max_drawdown": -0.0905995255079507, "mean_cash_weight": 1.0019034358251728e-16, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 843522.1536180994, "start_session": "2003-12-31", "total_return": 0.16391798044778239, "traded_notional_by_category": { "entry": 1160523.3414182053, "exit": 1116355.115059582, "resize": 49985.38596472953 }, "transaction_cost": 5817.159606106292, "transaction_cost_over_anchor_nav": 0.006896273655830956, "two_sided_turnover": 2.664446294754371 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3344453711426187, "annualized_volatility": 0.14760972889831672, "cagr": 0.15409470802807923, "end_nav": 1133079.3375853272, "end_session": "2005-12-30", "fee_by_category": { "entry": 1865.3581296422794, "exit": 1637.2409538047482, "resize": 237.4673419009008 }, "max_cash_weight": 1.2294966020682056e-16, "max_drawdown": -0.1019819798406073, "mean_cash_weight": 2.776212693013056e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 981790.6015021424, "start_session": "2004-12-31", "total_return": 0.15409470802807923, "traded_notional_by_category": { "entry": 746143.2518569117, "exit": 654896.3815218993, "resize": 94986.93676036032 }, "transaction_cost": 3740.0664253479285, "transaction_cost_over_anchor_nav": 0.003809433925753227, "two_sided_turnover": 1.3344453711426187 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.327235616205116, "annualized_volatility": 0.11458821459909314, "cagr": 0.11186294764561233, "end_nav": 1259828.9322039597, "end_session": "2006-12-29", "fee_by_category": { "entry": 4882.670142197308, "exit": 4849.631561694126, "resize": 57.51311755680217 }, "max_cash_weight": 0.0, "max_drawdown": -0.1046489774979289, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1133079.3375853272, "start_session": "2005-12-30", "total_return": 0.11186294764561233, "traded_notional_by_category": { "entry": 1953068.0568789232, "exit": 1939852.6246776502, "resize": 23005.24702272087 }, "transaction_cost": 9789.814821448235, "transaction_cost_over_anchor_nav": 0.00864000824718155, "two_sided_turnover": 3.327235616205116 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6790656376700226, "annualized_volatility": 0.16679525410905835, "cagr": 0.09377394194748612, "end_nav": 1377968.0573562172, "end_session": "2007-12-31", "fee_by_category": { "entry": 4514.376216553039, "exit": 4479.416765686971, "resize": 112.25157263165515 }, "max_cash_weight": 0.0, "max_drawdown": -0.09043661110250345, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1259828.9322039597, "start_session": "2006-12-29", "total_return": 0.09377394194748612, "traded_notional_by_category": { "entry": 1805750.4866212155, "exit": 1791766.7062747884, "resize": 44900.62905266206 }, "transaction_cost": 9106.044554871665, "transaction_cost_over_anchor_nav": 0.007228000819874364, "two_sided_turnover": 2.6790656376700226 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9994458329484952, "annualized_volatility": 0.2287877652285261, "cagr": -0.22222057691233243, "end_nav": 1071755.2006837525, "end_session": "2008-12-31", "fee_by_category": { "entry": 2105.0093042440417, "exit": 3790.449594732995, "resize": 194.05680286370756 }, "max_cash_weight": 0.7150648921533195, "max_drawdown": -0.26366225222056894, "mean_cash_weight": 0.17639597726569642, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1377968.0573562172, "start_session": "2007-12-31", "total_return": -0.22222057691233243, "traded_notional_by_category": { "entry": 842003.7216976166, "exit": 1516179.837893198, "resize": 77622.72114548302 }, "transaction_cost": 6089.515701840744, "transaction_cost_over_anchor_nav": 0.004419199464989158, "two_sided_turnover": 1.9994458329484952 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.2763973640688526, "annualized_volatility": 0.08252997662729625, "cagr": 0.05456262202421924, "end_nav": 1130232.9746011514, "end_session": "2009-12-31", "fee_by_category": { "entry": 2577.041745215207, "exit": 721.0135794287579, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06766629138591851, "mean_cash_weight": 0.6771625020216002, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1071755.2006837525, "start_session": "2008-12-31", "total_return": 0.05456262202421924, "traded_notional_by_category": { "entry": 1030816.6980860828, "exit": 288405.4317715032, "resize": 0.0 }, "transaction_cost": 3298.055324643965, "transaction_cost_over_anchor_nav": 0.0030772468587415202, "two_sided_turnover": 1.2763973640688526 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.002046035609378, "annualized_volatility": 0.17357334771751068, "cagr": 0.13298568629156038, "end_nav": 1280537.7823978374, "end_session": "2010-12-31", "fee_by_category": { "entry": 2985.4305621669546, "exit": 2941.847048280545, "resize": 66.40345683017469 }, "max_cash_weight": 1.079636887096182e-16, "max_drawdown": -0.15344981370987243, "mean_cash_weight": 2.476654385577227e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1130232.9746011514, "start_session": "2009-12-31", "total_return": 0.13298568629156038, "traded_notional_by_category": { "entry": 1194172.2248667816, "exit": 1176738.819312218, "resize": 26561.382732069877 }, "transaction_cost": 5993.681067277674, "transaction_cost_over_anchor_nav": 0.005303049196023313, "two_sided_turnover": 2.002046035609378 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 3.327235616205116, "annualized_volatility": 0.23033384741021082, "cagr": -0.09795021556723171, "end_nav": 1155108.8305699844, "end_session": "2011-12-30", "fee_by_category": { "entry": 4833.105211062942, "exit": 4777.12295669075, "resize": 80.20834565571495 }, "max_cash_weight": 0.0, "max_drawdown": -0.23747773399975147, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1280537.7823978374, "start_session": "2010-12-31", "total_return": -0.09795021556723171, "traded_notional_by_category": { "entry": 1933242.0844251765, "exit": 1910849.1826762995, "resize": 32083.33826228598 }, "transaction_cost": 9690.436513409404, "transaction_cost_over_anchor_nav": 0.0075674741086232, "two_sided_turnover": 3.327235616205116 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.008085754446639, "annualized_volatility": 0.11203337619633494, "cagr": 0.05995774988239133, "end_nav": 1224366.556920241, "end_session": "2012-12-31", "fee_by_category": { "entry": 3049.4829092876444, "exit": 3035.4713487412664, "resize": 56.572216266102046 }, "max_cash_weight": 0.0, "max_drawdown": -0.07789689129558153, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1155108.8305699844, "start_session": "2011-12-30", "total_return": 0.05995774988239133, "traded_notional_by_category": { "entry": 1219793.1637150575, "exit": 1214188.5394965066, "resize": 22628.886506440816 }, "transaction_cost": 6141.526474295013, "transaction_cost_over_anchor_nav": 0.0053168379565278695, "two_sided_turnover": 2.008085754446639 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9994458329484948, "annualized_volatility": 0.11043831800993684, "cagr": 0.28288889099105696, "end_nav": 1570726.254373947, "end_session": "2013-12-31", "fee_by_category": { "entry": 3492.9576695161595, "exit": 3309.6306458915424, "resize": 200.83558337156546 }, "max_cash_weight": 0.0, "max_drawdown": -0.07026504304509684, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1224366.556920241, "start_session": "2012-12-31", "total_return": 0.28288889099105696, "traded_notional_by_category": { "entry": 1397183.0678064637, "exit": 1323852.2583566168, "resize": 80334.23334862618 }, "transaction_cost": 7003.423898779267, "transaction_cost_over_anchor_nav": 0.005720038544989016, "two_sided_turnover": 1.9994458329484948 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.334445371142619, "annualized_volatility": 0.12650125312026683, "cagr": 0.12346905419757981, "end_nav": 1764662.3394048053, "end_session": "2014-12-31", "fee_by_category": { "entry": 2748.1280548336667, "exit": 2618.6061126849545, "resize": 143.29702011780262 }, "max_cash_weight": 1.4600855911339003e-16, "max_drawdown": -0.08359856965875401, "mean_cash_weight": 3.4224187344107554e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1570726.254373947, "start_session": "2013-12-31", "total_return": 0.12346905419757981, "traded_notional_by_category": { "entry": 1099251.2219334666, "exit": 1047442.4450739817, "resize": 57318.80804712104 }, "transaction_cost": 5510.031187636424, "transaction_cost_over_anchor_nav": 0.0035079512883246402, "two_sided_turnover": 1.334445371142619 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3628451778011759, "annualized_volatility": 0.15179342981992472, "cagr": 0.06297499639228588, "end_nav": 1875791.9438624259, "end_session": "2015-12-31", "fee_by_category": { "entry": 3012.1533621125914, "exit": 2914.3798119727617, "resize": 246.5487884143452 }, "max_cash_weight": 1.3643315119571417e-16, "max_drawdown": -0.10818085822514445, "mean_cash_weight": 1.271424969894375e-16, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1764662.3394048053, "start_session": "2014-12-31", "total_return": 0.06297499639228588, "traded_notional_by_category": { "entry": 1204861.3448450365, "exit": 1165751.9247891046, "resize": 98619.51536573807 }, "transaction_cost": 6173.0819624996975, "transaction_cost_over_anchor_nav": 0.003498166093679875, "two_sided_turnover": 1.3628451778011759 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664446294754371, "annualized_volatility": 0.11646318094545695, "cagr": 0.08157873060374743, "end_nav": 2028816.6695194584, "end_session": "2016-12-30", "fee_by_category": { "entry": 6345.7399639699215, "exit": 6200.586307290163, "resize": 176.9618770505354 }, "max_cash_weight": 1.3606106785245005e-16, "max_drawdown": -0.08773377267346405, "mean_cash_weight": 3.120003031372808e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1875791.9438624259, "start_session": "2015-12-31", "total_return": 0.08157873060374743, "traded_notional_by_category": { "entry": 2538295.9855879685, "exit": 2480234.5229160646, "resize": 70784.75082021416 }, "transaction_cost": 12723.288148310618, "transaction_cost_over_anchor_nav": 0.006782888789954078, "two_sided_turnover": 2.664446294754371 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6757956677134987, "annualized_volatility": 0.08686124272792073, "cagr": 0.277121495138164, "end_nav": 2591045.378337921, "end_session": "2017-12-29", "fee_by_category": { "entry": 1808.9675477653864, "exit": 1788.6539603952428, "resize": 80.77335274466401 }, "max_cash_weight": 0.0, "max_drawdown": -0.03454702230569573, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2028816.6695194584, "start_session": "2016-12-30", "total_return": 0.277121495138164, "traded_notional_by_category": { "entry": 723587.0191061546, "exit": 715461.5841580972, "resize": 32309.341097865603 }, "transaction_cost": 3678.394860905293, "transaction_cost_over_anchor_nav": 0.0018130740525591949, "two_sided_turnover": 0.6757956677134987 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.334725885524498, "annualized_volatility": 0.19454244641877688, "cagr": -0.0421604090201918, "end_nav": 2481805.845397317, "end_session": "2018-12-31", "fee_by_category": { "entry": 4563.5232438606145, "exit": 4290.622000145217, "resize": 297.59400533001667 }, "max_cash_weight": 0.0, "max_drawdown": -0.20808901643591393, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2591045.378337921, "start_session": "2017-12-29", "total_return": -0.0421604090201918, "traded_notional_by_category": { "entry": 1825409.2975442458, "exit": 1716248.8000580864, "resize": 119037.60213200666 }, "transaction_cost": 9151.739249335847, "transaction_cost_over_anchor_nav": 0.0035320644423473655, "two_sided_turnover": 1.334725885524498 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0027845446773878, "annualized_volatility": 0.11209534515597903, "cagr": 0.29714589414888315, "end_nav": 3219264.2624318274, "end_session": "2019-12-31", "fee_by_category": { "entry": 7252.882169023284, "exit": 7088.06495810153, "resize": 224.9777054972149 }, "max_cash_weight": 0.0, "max_drawdown": -0.03894315262576542, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2481805.845397317, "start_session": "2018-12-31", "total_return": 0.29714589414888315, "traded_notional_by_category": { "entry": 2901152.8676093137, "exit": 2835225.9832406114, "resize": 89991.08219888597 }, "transaction_cost": 14565.92483262203, "transaction_cost_over_anchor_nav": 0.0058690831354255854, "two_sided_turnover": 2.0027845446773878 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.387055594296954, "annualized_volatility": 0.3341689301413637, "cagr": 0.1888110095795683, "end_nav": 3827096.797925005, "end_session": "2020-12-31", "fee_by_category": { "entry": 5866.96983096739, "exit": 5363.277444916665, "resize": 905.2453374718655 }, "max_cash_weight": 1.3878326744714355e-16, "max_drawdown": -0.3034308536452538, "mean_cash_weight": 3.2420666011839295e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3219264.2624318274, "start_session": "2019-12-31", "total_return": 0.1888110095795683, "traded_notional_by_category": { "entry": 2346787.932386956, "exit": 2145310.977966666, "resize": 362098.13498874614 }, "transaction_cost": 12135.492613355922, "transaction_cost_over_anchor_nav": 0.0037696478524533394, "two_sided_turnover": 1.387055594296954 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6644462947543714, "annualized_volatility": 0.1505545497758606, "cagr": 0.21914279521827185, "end_nav": 4665777.487793189, "end_session": "2021-12-31", "fee_by_category": { "entry": 13661.463791303042, "exit": 13501.756876935557, "resize": 228.18542961210886 }, "max_cash_weight": 1.2503841880147736e-16, "max_drawdown": -0.07601731845749049, "mean_cash_weight": 8.410908341784428e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3827096.797925005, "start_session": "2020-12-31", "total_return": 0.21914279521827185, "traded_notional_by_category": { "entry": 5464585.516521216, "exit": 5400702.7507742215, "resize": 91274.17184484354 }, "transaction_cost": 27391.406097850708, "transaction_cost_over_anchor_nav": 0.00715722845387708, "two_sided_turnover": 2.6644462947543714 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.022576598014947, "annualized_volatility": 0.20986028769627071, "cagr": -0.001205381283352347, "end_nav": 4660153.446937116, "end_session": "2022-12-30", "fee_by_category": { "entry": 10905.067434276476, "exit": 10723.012089741467, "resize": 477.4901155767299 }, "max_cash_weight": 0.0, "max_drawdown": -0.13186694029560753, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4665777.487793189, "start_session": "2021-12-31", "total_return": -0.001205381283352347, "traded_notional_by_category": { "entry": 4362026.97371059, "exit": 4289204.835896587, "resize": 190996.04623069195 }, "transaction_cost": 22105.569639594672, "transaction_cost_over_anchor_nav": 0.004737810514416564, "two_sided_turnover": 2.022576598014947 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0030300669684395, "annualized_volatility": 0.14023198122465594, "cagr": 0.08402665525655295, "end_nav": 5051730.554065538, "end_session": "2023-12-29", "fee_by_category": { "entry": 11552.504758212714, "exit": 11195.65199707037, "resize": 456.7150080298842 }, "max_cash_weight": 0.0, "max_drawdown": -0.10091009338349732, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4660153.446937116, "start_session": "2022-12-30", "total_return": 0.08402665525655295, "traded_notional_by_category": { "entry": 4621001.903285086, "exit": 4478260.798828148, "resize": 182686.00321195368 }, "transaction_cost": 23204.87176331297, "transaction_cost_over_anchor_nav": 0.0049794222502618155, "two_sided_turnover": 2.0030300669684395 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9994458329484952, "annualized_volatility": 0.1303155677705699, "cagr": 0.1829278181139664, "end_nav": 5975832.602020405, "end_session": "2024-12-31", "fee_by_category": { "entry": 14710.960544003265, "exit": 14237.506264905714, "resize": 547.1934296940559 }, "max_cash_weight": 0.0, "max_drawdown": -0.09259074113434906, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 5051730.554065538, "start_session": "2023-12-29", "total_return": 0.1829278181139664, "traded_notional_by_category": { "entry": 5884384.217601305, "exit": 5695002.505962285, "resize": 218877.37187762232 }, "transaction_cost": 29495.660238603035, "transaction_cost_over_anchor_nav": 0.005838723962596438, "two_sided_turnover": 1.9994458329484952 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3801123466652847, "annualized_volatility": 0.14376774864760633, "cagr": 0.12533840299650123, "end_nav": 6724833.91693207, "end_session": "2025-12-31", "fee_by_category": { "entry": 10960.602985734866, "exit": 10855.564425315273, "resize": 905.0699782338721 }, "max_cash_weight": 0.0, "max_drawdown": -0.10257488350222044, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5975832.602020405, "start_session": "2024-12-31", "total_return": 0.12533840299650123, "traded_notional_by_category": { "entry": 4384241.194293946, "exit": 4342225.770126109, "resize": 362027.99129354884 }, "transaction_cost": 22721.23738928401, "transaction_cost_over_anchor_nav": 0.0038021877288868587, "two_sided_turnover": 1.3801123466652847 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9516457491812895, "annualized_volatility": 0.16463342493344735, "cagr": 0.08448125820879859, "end_nav": 6724833.91693207, "end_session": "2025-12-31", "fee_by_category": { "entry": 131706.55534008527, "exit": 127958.21346979272, "resize": 6108.9746854453215 }, "max_cash_weight": 1.0, "max_drawdown": -0.3034308536452538, "mean_cash_weight": 0.06750725795705266, "nonzero_trade_event_count": 50, "order_count": 213, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 885381.1825423548, "start_session": "2000-12-29", "total_return": 6.595410936588736, "traded_notional_by_category": { "entry": 52682622.1360341, "exit": 51183285.38791709, "resize": 2443589.874178129 }, "transaction_cost": 265773.7434953233, "transaction_cost_over_anchor_nav": 0.3001800227244035, "two_sided_turnover": 48.79114372953224 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6601406.346881724, "end_session": "2026-10-02", "fee_by_category": { "entry": 21699.867785812163, "exit": 21177.170178783424, "resize": 631.4688741255436 }, "max_cash_weight": 0.0, "max_drawdown": -0.1012021482997899, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 6724833.91693207, "start_session": "2025-12-31", "total_return": -0.018353995291924496, "traded_notional_by_category": { "entry": 8679947.114324864, "exit": 8470868.07151337, "resize": 252587.5496502174 }, "transaction_cost": 43508.506838721136, "transaction_cost_over_anchor_nav": 0.006469826225622255, "two_sided_turnover": 2.6644462947543714 } }, "monthly_risk": { "beta_intercept_per_month": 0.0014475561841751187, "beta_to_SPY_excess_returns": 0.7084879154034128, "monthly_return_volatility_annualized": 0.13231735487087762, "months": 300, "sharpe_monthly_annualized": 0.5517294608034021, "tracking_error_monthly_annualized": 0.08989248707623401 }, "phase": [ 3, 9 ], "policy": "A", "run_id": "SMIX-03-09-25bps", "signal": "mixed" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666222296283953, "annualized_volatility": 0.18397561842029378, "cagr": -0.0382159742650372, "end_nav": 855727.6980479454, "end_session": "2001-12-31", "fee_by_category": { "entry": 514.0540008680531, "exit": 487.7084858231517, "resize": 26.859826201347563 }, "max_cash_weight": 0.0, "max_drawdown": -0.22971044355181403, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 889729.5808110633, "start_session": "2000-12-29", "total_return": -0.0382159742650372, "traded_notional_by_category": { "entry": 1028108.0017361061, "exit": 975416.9716463034, "resize": 53719.65240269512 }, "transaction_cost": 1028.6223128925524, "transaction_cost_over_anchor_nav": 0.0011561066812624985, "two_sided_turnover": 2.666222296283953 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3335555925987665, "annualized_volatility": 0.21163309890155435, "cagr": -0.1387036594826857, "end_nav": 737035.1348080006, "end_session": "2002-12-31", "fee_by_category": { "entry": 149.93811457810776, "exit": 362.6664413044741, "resize": 30.103928997321578 }, "max_cash_weight": 0.6705867298542538, "max_drawdown": -0.25677467222396233, "mean_cash_weight": 0.1661731146683768, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 855727.6980479454, "start_session": "2001-12-31", "total_return": -0.1387036594826857, "traded_notional_by_category": { "entry": 299876.2291562155, "exit": 725332.8826089483, "resize": 60207.85799464316 }, "transaction_cost": 542.7084848799035, "transaction_cost_over_anchor_nav": 0.0006342069867761791, "two_sided_turnover": 1.3335555925987665 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.344687047835198, "annualized_volatility": 0.07501216486176435, "cagr": 0.16247148986179383, "end_nav": 856782.3312407446, "end_session": "2003-12-31", "fee_by_category": { "entry": 370.1786057407083, "exit": 127.86672692579351, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.0354524979640658, "mean_cash_weight": 0.6637673536583116, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 737035.1348080006, "start_session": "2002-12-31", "total_return": 0.16247148986179383, "traded_notional_by_category": { "entry": 740357.2114814166, "exit": 255733.45385158702, "resize": 0.0 }, "transaction_cost": 498.0453326665018, "transaction_cost_over_anchor_nav": 0.0006757416426236501, "two_sided_turnover": 1.344687047835198 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6662222962839524, "annualized_volatility": 0.13402122190784513, "cagr": 0.17014837931465832, "end_nav": 1002562.4563267919, "end_session": "2004-12-31", "fee_by_category": { "entry": 591.7762519615943, "exit": 567.7223469071671, "resize": 24.645977342532948 }, "max_cash_weight": 0.0, "max_drawdown": -0.08816878483492663, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 856782.3312407446, "start_session": "2003-12-31", "total_return": 0.17014837931465832, "traded_notional_by_category": { "entry": 1183552.5039231884, "exit": 1135444.693814334, "resize": 49291.954685065895 }, "transaction_cost": 1184.1445762112942, "transaction_cost_over_anchor_nav": 0.0013820833285584705, "two_sided_turnover": 2.6662222962839524 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.333555592598766, "annualized_volatility": 0.1477079987396046, "cagr": 0.15718258417488928, "end_nav": 1160147.8140089617, "end_session": "2005-12-30", "fee_by_category": { "entry": 381.742768963549, "exit": 334.59939718665976, "resize": 47.525305512720664 }, "max_cash_weight": 0.0, "max_drawdown": -0.10078142149169711, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1002562.4563267919, "start_session": "2004-12-31", "total_return": 0.15718258417488928, "traded_notional_by_category": { "entry": 763485.5379270979, "exit": 669198.7943733195, "resize": 95050.61102544132 }, "transaction_cost": 763.8674716629293, "transaction_cost_over_anchor_nav": 0.00076191509750086, "two_sided_turnover": 1.333555592598766 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.332111647892101, "annualized_volatility": 0.11459669576307327, "cagr": 0.11930313273908943, "end_nav": 1298557.0826606373, "end_session": "2006-12-29", "fee_by_category": { "entry": 1004.953180643713, "exit": 994.6755008936268, "resize": 11.283135658684216 }, "max_cash_weight": 0.0, "max_drawdown": -0.10106039175069415, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1160147.8140089617, "start_session": "2005-12-30", "total_return": 0.11930313273908943, "traded_notional_by_category": { "entry": 2009906.3612874262, "exit": 1989351.0017872534, "resize": 22566.27131736843 }, "transaction_cost": 2010.911817196024, "transaction_cost_over_anchor_nav": 0.0017333237997037595, "two_sided_turnover": 3.332111647892101 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6835096280448703, "annualized_volatility": 0.16709682912993265, "cagr": 0.0996625305067631, "end_nav": 1427974.5675260765, "end_session": "2007-12-31", "fee_by_category": { "entry": 934.7478952850316, "exit": 924.3987814711172, "resize": 23.140455176819493 }, "max_cash_weight": 0.0, "max_drawdown": -0.09043661110250345, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1298557.0826606373, "start_session": "2006-12-29", "total_return": 0.0996625305067631, "traded_notional_by_category": { "entry": 1869495.790570063, "exit": 1848797.5629422343, "resize": 46280.91035363899 }, "transaction_cost": 1882.2871319329684, "transaction_cost_over_anchor_nav": 0.0014495220557238161, "two_sided_turnover": 2.6835096280448703 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998889444413592, "annualized_volatility": 0.2290247053582237, "cagr": -0.21909905580171407, "end_nav": 1115106.688072252, "end_session": "2008-12-31", "fee_by_category": { "entry": 437.4461683520923, "exit": 786.5755580632704, "resize": 39.43862077494359 }, "max_cash_weight": 0.7150648921533193, "max_drawdown": -0.26267784387811977, "mean_cash_weight": 0.17639597726569642, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1427974.5675260765, "start_session": "2007-12-31", "total_return": -0.21909905580171407, "traded_notional_by_category": { "entry": 874892.3367041845, "exit": 1573151.1161265406, "resize": 78877.24154988717 }, "transaction_cost": 1263.460347190306, "transaction_cost_over_anchor_nav": 0.0008847919115108707, "two_sided_turnover": 1.9998889444413592 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.2783913795299502, "annualized_volatility": 0.0820031570841529, "cagr": 0.057260496626618584, "end_nav": 1178958.2508229332, "end_session": "2009-12-31", "fee_by_category": { "entry": 537.6280282936818, "exit": 150.03557978519464, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06528111351132015, "mean_cash_weight": 0.6771625020216002, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1115106.688072252, "start_session": "2008-12-31", "total_return": 0.057260496626618584, "traded_notional_by_category": { "entry": 1075256.0565873636, "exit": 300071.15957038925, "resize": 0.0 }, "transaction_cost": 687.6636080788765, "transaction_cost_over_anchor_nav": 0.00061667965535, "two_sided_turnover": 1.2783913795299502 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.00338051055396, "annualized_volatility": 0.17363714351441525, "cagr": 0.1375382040033113, "end_nav": 1341110.0512360048, "end_session": "2010-12-31", "fee_by_category": { "entry": 624.7734212902906, "exit": 614.2931247979399, "resize": 13.308916208379756 }, "max_cash_weight": 0.0, "max_drawdown": -0.15344981370987243, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1178958.2508229332, "start_session": "2009-12-31", "total_return": 0.1375382040033113, "traded_notional_by_category": { "entry": 1249546.842580581, "exit": 1228586.2495958796, "resize": 26617.832416759513 }, "transaction_cost": 1252.37546229661, "transaction_cost_over_anchor_nav": 0.0010622729527720175, "two_sided_turnover": 2.00338051055396 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 3.332111647892101, "annualized_volatility": 0.2298579539377142, "cagr": -0.09191402434967, "end_nav": 1217843.2293311115, "end_session": "2011-12-30", "fee_by_category": { "entry": 1017.2582976854475, "exit": 1002.0942423775923, "resize": 16.181822489131186 }, "max_cash_weight": 0.0, "max_drawdown": -0.2344215287049043, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1341110.0512360048, "start_session": "2010-12-31", "total_return": -0.09191402434967, "traded_notional_by_category": { "entry": 2034516.5953708948, "exit": 2004188.4847551845, "resize": 32363.644978262368 }, "transaction_cost": 2035.5343625521705, "transaction_cost_over_anchor_nav": 0.0015177981558457225, "two_sided_turnover": 3.332111647892101 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0094242551994776, "annualized_volatility": 0.11218618199140634, "cagr": 0.06422970873345868, "end_nav": 1296064.9452340635, "end_session": "2012-12-31", "fee_by_category": { "entry": 645.0392092486279, "exit": 640.6574129415433, "resize": 11.382922490707163 }, "max_cash_weight": 0.0, "max_drawdown": -0.07681507191894821, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1217843.2293311115, "start_session": "2011-12-30", "total_return": 0.06422970873345868, "traded_notional_by_category": { "entry": 1290078.4184972558, "exit": 1281314.8258830868, "resize": 22765.844981414324 }, "transaction_cost": 1297.0795446808784, "transaction_cost_over_anchor_nav": 0.0010650628204364914, "two_sided_turnover": 2.0094242551994776 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998889444413597, "annualized_volatility": 0.11059112848491788, "cagr": 0.2880376062140819, "end_nav": 1669380.3895572685, "end_session": "2013-12-31", "fee_by_category": { "entry": 741.8221859980686, "exit": 701.331522345654, "resize": 41.232856935053945 }, "max_cash_weight": 0.0, "max_drawdown": -0.07026504304509684, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1296064.9452340635, "start_session": "2012-12-31", "total_return": 0.2880376062140819, "traded_notional_by_category": { "entry": 1483644.3719961373, "exit": 1402663.044691308, "resize": 82465.7138701079 }, "transaction_cost": 1484.3865652787765, "transaction_cost_over_anchor_nav": 0.0011453026105961866, "two_sided_turnover": 1.9998889444413597 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3335555925987665, "annualized_volatility": 0.1263866610725344, "cagr": 0.1264749888665493, "end_nav": 1880515.25574056, "end_session": "2014-12-31", "fee_by_category": { "entry": 585.3319273677462, "exit": 556.9986957301693, "resize": 28.91885637731437 }, "max_cash_weight": 1.429183374454838e-16, "max_drawdown": -0.08237343456853141, "mean_cash_weight": 9.889672445472792e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1669380.3895572685, "start_session": "2013-12-31", "total_return": 0.1264749888665493, "traded_notional_by_category": { "entry": 1170663.8547354923, "exit": 1113997.3914603386, "resize": 57837.71275462874 }, "transaction_cost": 1171.2494794752297, "transaction_cost_over_anchor_nav": 0.0007016073069996069, "two_sided_turnover": 1.3335555925987665 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.363712760476002, "annualized_volatility": 0.1517105964635534, "cagr": 0.06588151789801322, "end_nav": 2004406.4552191184, "end_session": "2015-12-31", "fee_by_category": { "entry": 643.697167981816, "exit": 621.1427053274775, "resize": 51.74615010708396 }, "max_cash_weight": 1.2657831997663824e-16, "max_drawdown": -0.10818085822514445, "mean_cash_weight": 2.928374125507567e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1880515.25574056, "start_session": "2014-12-31", "total_return": 0.06588151789801322, "traded_notional_by_category": { "entry": 1287394.335963632, "exit": 1242285.410654955, "resize": 103492.30021416792 }, "transaction_cost": 1316.5860234163774, "transaction_cost_over_anchor_nav": 0.000700119831199081, "two_sided_turnover": 1.363712760476002 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6662222962839524, "annualized_volatility": 0.11651196930154932, "cagr": 0.08736837129217379, "end_nav": 2179528.182619132, "end_session": "2016-12-30", "fee_by_category": { "entry": 1361.6417533213898, "exit": 1326.9502418649793, "resize": 36.05383437118924 }, "max_cash_weight": 0.0, "max_drawdown": -0.08773377267346383, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2004406.4552191184, "start_session": "2015-12-31", "total_return": 0.08736837129217379, "traded_notional_by_category": { "entry": 2723283.5066427793, "exit": 2653900.4837299585, "resize": 72107.66874237848 }, "transaction_cost": 2724.6458295575585, "transaction_cost_over_anchor_nav": 0.0013593280057859845, "two_sided_turnover": 2.6662222962839524 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.675356492810606, "annualized_volatility": 0.08679793266099199, "cagr": 0.27885079967310644, "end_nav": 2787291.3592525492, "end_session": "2017-12-29", "fee_by_category": { "entry": 389.1891063923949, "exit": 384.3049768077989, "resize": 16.33763629237656 }, "max_cash_weight": 0.0, "max_drawdown": -0.03325631030790621, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2179528.182619132, "start_session": "2016-12-30", "total_return": 0.27885079967310644, "traded_notional_by_category": { "entry": 778378.2127847897, "exit": 768609.9536155978, "resize": 32675.27258475311 }, "transaction_cost": 789.8317194925703, "transaction_cost_over_anchor_nav": 0.0003623865595274992, "two_sided_turnover": 0.675356492810606 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3347259242312108, "annualized_volatility": 0.19438982345260208, "cagr": -0.0395975172623213, "end_nav": 2676921.5415394274, "end_session": "2018-12-31", "fee_by_category": { "entry": 983.8399454547111, "exit": 923.7474470435774, "resize": 62.706482525779926 }, "max_cash_weight": 0.0, "max_drawdown": -0.2070303123547389, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2787291.3592525492, "start_session": "2017-12-29", "total_return": -0.0395975172623213, "traded_notional_by_category": { "entry": 1967679.8909094224, "exit": 1847494.894087155, "resize": 125412.96505155985 }, "transaction_cost": 1970.2938750240687, "transaction_cost_over_anchor_nav": 0.0007068847928235354, "two_sided_turnover": 1.3347259242312108 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0050094442292616, "annualized_volatility": 0.11198855584419744, "cagr": 0.3023593983454862, "end_nav": 3486313.92825736, "end_session": "2019-12-31", "fee_by_category": { "entry": 1569.5416245061722, "exit": 1530.4103676487978, "resize": 48.55653930499114 }, "max_cash_weight": 0.0, "max_drawdown": -0.03894315262576542, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2676921.5415394274, "start_session": "2018-12-31", "total_return": 0.3023593983454862, "traded_notional_by_category": { "entry": 3139083.2490123445, "exit": 3060820.7352975956, "resize": 97113.07860998227 }, "transaction_cost": 3148.508531459961, "transaction_cost_over_anchor_nav": 0.00117616765474917, "two_sided_turnover": 2.0050094442292616 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3879801439348793, "annualized_volatility": 0.3341741938620985, "cagr": 0.19211930338294447, "end_nav": 4156102.131528421, "end_session": "2020-12-31", "fee_by_category": { "entry": 1274.2675248411279, "exit": 1161.7635455819675, "resize": 194.43567592421698 }, "max_cash_weight": 0.0, "max_drawdown": -0.3034308536452538, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3486313.92825736, "start_session": "2019-12-31", "total_return": 0.19211930338294447, "traded_notional_by_category": { "entry": 2548535.049682256, "exit": 2323527.091163935, "resize": 388871.35184843396 }, "transaction_cost": 2630.4667463473124, "transaction_cost_over_anchor_nav": 0.000754512301668185, "two_sided_turnover": 1.3879801439348793 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666222296283953, "annualized_volatility": 0.15092136430746525, "cagr": 0.2256688099525448, "end_nav": 5094004.753591674, "end_session": "2021-12-31", "fee_by_category": { "entry": 2979.208505436906, "exit": 2936.4972352043355, "resize": 45.69196908743481 }, "max_cash_weight": 0.0, "max_drawdown": -0.07601731845749038, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4156102.131528421, "start_session": "2020-12-31", "total_return": 0.2256688099525448, "traded_notional_by_category": { "entry": 5958417.010873811, "exit": 5872994.470408671, "resize": 91383.93817486963 }, "transaction_cost": 5961.397709728677, "transaction_cost_over_anchor_nav": 0.0014343722846715398, "two_sided_turnover": 2.666222296283953 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.02392475772034, "annualized_volatility": 0.21018529057474108, "cagr": 0.002849189817390352, "end_nav": 5108518.540065346, "end_session": "2022-12-30", "fee_by_category": { "entry": 2388.5995721700406, "exit": 2343.3808300646106, "resize": 102.31272594805668 }, "max_cash_weight": 0.0, "max_drawdown": -0.130475755711443, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 5094004.753591674, "start_session": "2021-12-31", "total_return": 0.002849189817390352, "traded_notional_by_category": { "entry": 4777199.144340081, "exit": 4686761.660129221, "resize": 204625.45189611334 }, "transaction_cost": 4834.293128182708, "transaction_cost_over_anchor_nav": 0.0009490162184819617, "two_sided_turnover": 2.02392475772034 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0043651978246086, "annualized_volatility": 0.14043750179194806, "cagr": 0.08838459371524943, "end_nav": 5560032.875715841, "end_session": "2023-12-29", "fee_by_category": { "entry": 2540.7186258151132, "exit": 2456.7578104683867, "resize": 98.00565280131775 }, "max_cash_weight": 0.0, "max_drawdown": -0.09850691187433958, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5108518.540065346, "start_session": "2022-12-30", "total_return": 0.08838459371524943, "traded_notional_by_category": { "entry": 5081437.251630226, "exit": 4913515.620936773, "resize": 196011.3056026355 }, "transaction_cost": 5095.482089084817, "transaction_cost_over_anchor_nav": 0.0009974480955920416, "two_sided_turnover": 2.0043651978246086 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9999767580783787, "annualized_volatility": 0.13019046739367895, "cagr": 0.1876752998048159, "end_nav": 6603513.712590444, "end_session": "2024-12-31", "fee_by_category": { "entry": 3248.4829382186895, "exit": 3136.983348299259, "resize": 115.04260521162091 }, "max_cash_weight": 0.0, "max_drawdown": -0.09259074113434917, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 5560032.875715841, "start_session": "2023-12-29", "total_return": 0.1876752998048159, "traded_notional_by_category": { "entry": 6496965.876437379, "exit": 6273966.696598518, "resize": 230085.21042324184 }, "transaction_cost": 6500.50889172957, "transaction_cost_over_anchor_nav": 0.0011691493624293805, "two_sided_turnover": 1.9999767580783787 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3810322682427985, "annualized_volatility": 0.1437760290699813, "cagr": 0.12845439127599767, "end_nav": 7451764.046823953, "end_session": "2025-12-31", "fee_by_category": { "entry": 2429.0808745466115, "exit": 2399.3889673547424, "resize": 196.9025411556305 }, "max_cash_weight": 1.4798744432763662e-16, "max_drawdown": -0.10248893359480915, "mean_cash_weight": 6.663334761415283e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 6603513.712590444, "start_session": "2024-12-31", "total_return": 0.12845439127599767, "traded_notional_by_category": { "entry": 4858161.749093223, "exit": 4798777.934709485, "resize": 393805.082311261 }, "transaction_cost": 5025.372383056984, "transaction_cost_over_anchor_nav": 0.0007610149083927044, "two_sided_turnover": 1.3810322682427985 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.953001348652423, "annualized_volatility": 0.16466346139941593, "cagr": 0.08872963027761127, "end_nav": 7451764.046823953, "end_session": "2025-12-31", "fee_by_category": { "entry": 28344.957694961686, "exit": 27472.951292219288, "resize": 1281.8144368946548 }, "max_cash_weight": 1.0, "max_drawdown": -0.3034308536452538, "mean_cash_weight": 0.06750725795705263, "nonzero_trade_event_count": 50, "order_count": 213, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 889729.5808110633, "start_session": "2000-12-29", "total_return": 7.375313362101599, "traded_notional_by_category": { "entry": 56689915.38992337, "exit": 54945902.58443857, "resize": 2563628.87378931 }, "transaction_cost": 57099.72342407563, "transaction_cost_over_anchor_nav": 0.06417649211125973, "two_sided_turnover": 48.82503371631057 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7354151.2297422215, "end_session": "2026-10-02", "fee_by_category": { "entry": 4828.432608171783, "exit": 4699.658082893633, "resize": 133.6053733103387 }, "max_cash_weight": 0.0, "max_drawdown": -0.10120214829979002, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 7451764.046823953, "start_session": "2025-12-31", "total_return": -0.013099289841757122, "traded_notional_by_category": { "entry": 9656865.216343565, "exit": 9399316.165787265, "resize": 267210.7466206774 }, "transaction_cost": 9661.696064375752, "transaction_cost_over_anchor_nav": 0.0012965649480667202, "two_sided_turnover": 2.6662222962839524 } }, "monthly_risk": { "beta_intercept_per_month": 0.0017666481707511172, "beta_to_SPY_excess_returns": 0.7100279216686747, "monthly_return_volatility_annualized": 0.1324336722398562, "months": 300, "sharpe_monthly_annualized": 0.5810342503220277, "tracking_error_monthly_annualized": 0.08967171309268607 }, "phase": [ 3, 9 ], "policy": "A", "run_id": "SMIX-03-09-5bps", "signal": "mixed" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3668486192033813, "annualized_volatility": 0.1470465877130563, "cagr": -0.09266837763277047, "end_nav": 882448.6187845214, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6700438529978155, "max_drawdown": -0.1468524753481102, "mean_cash_weight": 0.10954255332683129, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 972575.6239843285, "start_session": "2000-12-29", "total_return": -0.09266837763277047, "traded_notional_by_category": { "entry": 318507.74815673905, "exit": 894522.1621468964, "resize": 41516.1068322474 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3668486192033813 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 2.001779952225439, "annualized_volatility": 0.21624817310561895, "cagr": -0.14916415571934605, "end_nav": 750818.9155978252, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6692832646378414, "max_drawdown": -0.2563169496097203, "mean_cash_weight": 0.32290014498545677, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 882448.6187845214, "start_session": "2001-12-31", "total_return": -0.14916415571934605, "traded_notional_by_category": { "entry": 880609.9947726742, "exit": 779889.0147538399, "resize": 15451.51315574997 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.001779952225439 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3436852654989249, "annualized_volatility": 0.05573190496281517, "cagr": 0.12440233559390279, "end_nav": 844222.542306276, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.03463121633790145, "mean_cash_weight": 0.728676872950735, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 750818.9155978252, "start_session": "2002-12-31", "total_return": 0.12440233559390279, "traded_notional_by_category": { "entry": 762189.8351035815, "exit": 261953.4158381561, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3436852654989249 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3608463956734935, "annualized_volatility": 0.11287500845218149, "cagr": 0.17683596080104036, "end_nav": 993511.4467049034, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.07024335261374504, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 844222.542306276, "start_session": "2003-12-31", "total_return": 0.17683596080104036, "traded_notional_by_category": { "entry": 597919.3226843246, "exit": 537398.1894166474, "resize": 84103.90655228967 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3608463956734935 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3505684728198597, "annualized_volatility": 0.1513884902976962, "cagr": 0.18025068266980204, "end_nav": 1172592.5632137249, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.1103985677770003, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 993511.4467049034, "start_session": "2004-12-31", "total_return": 0.18025068266980204, "traded_notional_by_category": { "entry": 728615.2858020014, "exit": 671666.6777268548, "resize": 76584.51296053891 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3505684728198597 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.333333333333333, "annualized_volatility": 0.12565801192592196, "cagr": 0.09353774521022129, "end_nav": 1282274.2276270106, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.10673044262722664, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1172592.5632137249, "start_session": "2005-12-30", "total_return": 0.09353774521022129, "traded_notional_by_category": { "entry": 2060727.3831443174, "exit": 2046658.5071620508, "resize": 14068.875982266676 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.333333333333333 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3343253018274037, "annualized_volatility": 0.16297932754759098, "cagr": 0.11399518552828858, "end_nav": 1428447.3161034945, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7507376506994654e-16, "max_drawdown": -0.09086924035492872, "mean_cash_weight": 2.723199593455773e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1282274.2276270106, "start_session": "2006-12-29", "total_return": 0.11399518552828858, "traded_notional_by_category": { "entry": 2337606.009438619, "exit": 2338272.7049484923, "resize": 666.6955098732724 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.3343253018274037 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9999999999999996, "annualized_volatility": 0.3301138573388028, "cagr": -0.30966947155172575, "end_nav": 986100.7905862444, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6914204219896661, "max_drawdown": -0.4342713842948226, "mean_cash_weight": 0.10958776573206477, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1428447.3161034945, "start_session": "2007-12-31", "total_return": -0.30966947155172575, "traded_notional_by_category": { "entry": 925370.9884742403, "exit": 1451559.9262472652, "resize": 135755.19252717198 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.9999999999999996 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.312931112921792, "annualized_volatility": 0.061975616423386774, "cagr": 0.06251845583508087, "end_nav": 1047750.2893114488, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06707382255926841, "mean_cash_weight": 0.7329534334806994, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 986100.7905862444, "start_session": "2008-12-31", "total_return": 0.06251845583508087, "traded_notional_by_category": { "entry": 963431.968394239, "exit": 301487.83809404186, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.312931112921792 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0226848666236954, "annualized_volatility": 0.1685401422594748, "cagr": 0.0796238695741891, "end_nav": 1131176.2216939025, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.512198481134372e-16, "max_drawdown": -0.15566347176265516, "mean_cash_weight": 1.5137238692413748e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1047750.2893114488, "start_session": "2009-12-31", "total_return": 0.0796238695741891, "traded_notional_by_category": { "entry": 1081747.051716539, "exit": 1082006.0739744427, "resize": 24239.31556805811 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0226848666236954 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3351625463844847, "annualized_volatility": 0.20894647714615963, "cagr": 0.0012170461665974575, "end_nav": 1132552.9153782614, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.33790362194943907, "max_drawdown": -0.2041273456438324, "mean_cash_weight": 0.054615370848624695, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1131176.2216939025, "start_session": "2010-12-31", "total_return": 0.0012170461665974575, "traded_notional_by_category": { "entry": 1177765.1824606608, "exit": 1501946.4886750756, "resize": 39549.41753674438 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.3351625463844847 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6871403041136679, "annualized_volatility": 0.1037773182865697, "cagr": 0.04844993141631582, "end_nav": 1187425.0264536866, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.3253231700850437, "max_drawdown": -0.0735542682505842, "mean_cash_weight": 0.10480906707853938, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1132552.9153782614, "start_session": "2011-12-30", "total_return": 0.04844993141631582, "traded_notional_by_category": { "entry": 1162158.4878710988, "exit": 761498.4732847475, "resize": 39168.99987664429 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6871403041136679 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.005874080521118, "annualized_volatility": 0.11071427390960635, "cagr": 0.3013786257129405, "end_nav": 1545289.5490634507, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.06997502980043724, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1187425.0264536866, "start_session": "2012-12-31", "total_return": 0.3013786257129405, "traded_notional_by_category": { "entry": 1434059.3521195096, "exit": 1395813.9206798752, "resize": 46409.468538137095 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.005874080521118 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3333333333333335, "annualized_volatility": 0.12620104808090984, "cagr": 0.15707589331853322, "end_nav": 1788017.2854183854, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3505576888475395e-16, "max_drawdown": -0.07468822283569565, "mean_cash_weight": 2.1295098831720034e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1545289.5490634507, "start_session": "2013-12-31", "total_return": 0.15707589331853322, "traded_notional_by_category": { "entry": 1100336.165085937, "exit": 1038553.251324058, "resize": 61782.913761879085 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3333333333333335 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6666666666666665, "annualized_volatility": 0.14465889259162482, "cagr": 0.06436180808230696, "end_nav": 1903097.3107903309, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.34306679765823045, "max_drawdown": -0.10819638654898345, "mean_cash_weight": 0.05585397546762653, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1788017.2854183854, "start_session": "2014-12-31", "total_return": 0.06436180808230696, "traded_notional_by_category": { "entry": 1224957.4015350784, "exit": 1824779.6221712313, "resize": 37752.228187266155 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6666666666666665 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6900320434485694, "annualized_volatility": 0.100163480930917, "cagr": 0.12600093417649094, "end_nav": 2142889.34977868, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.35170429199016545, "max_drawdown": -0.0474402199561873, "mean_cash_weight": 0.10945063287041681, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1903097.3107903309, "start_session": "2015-12-31", "total_return": 0.12600093417649094, "traded_notional_by_category": { "entry": 1985142.9335130393, "exit": 1288702.9148352626, "resize": 95972.12707827135 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6900320434485694 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0250201514443775, "annualized_volatility": 0.07768194460026379, "cagr": 0.28206658536766405, "end_nav": 2747326.831491486, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0819586058527631e-16, "max_drawdown": -0.02626776674280973, "mean_cash_weight": 3.3327384477682826e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2142889.34977868, "start_session": "2016-12-30", "total_return": 0.28206658536766405, "traded_notional_by_category": { "entry": 2549092.5622705906, "exit": 2538091.227456126, "resize": 77356.00016374001 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0250201514443775 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6666666666666665, "annualized_volatility": 0.18822301062403038, "cagr": -0.07476749367852364, "end_nav": 2541916.089985108, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.2028774494035387, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2747326.831491486, "start_session": "2017-12-29", "total_return": -0.07476749367852364, "traded_notional_by_category": { "entry": 3553838.042022927, "exit": 3507484.238323602, "resize": 46353.80369932507 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3524500966057693, "annualized_volatility": 0.11656136211863194, "cagr": 0.338493932300437, "end_nav": 3402339.2628619187, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4486755356038722e-16, "max_drawdown": -0.04835643906123188, "mean_cash_weight": 2.2981676562472186e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2541916.089985108, "start_session": "2018-12-31", "total_return": 0.338493932300437, "traded_notional_by_category": { "entry": 1995255.2236306558, "exit": 1949848.1517025435, "resize": 107453.31210975721 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3524500966057693 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9999999999999998, "annualized_volatility": 0.3058159437843689, "cagr": 0.04175160680540002, "end_nav": 3544392.3939835043, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.3033212478631231, "mean_cash_weight": 0.5059288537549408, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3402339.2628619187, "start_session": "2019-12-31", "total_return": 0.04175160680540002, "traded_notional_by_category": { "entry": 3168632.368307019, "exit": 3168632.3683070187, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.9999999999999998 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 3.333333333333333, "annualized_volatility": 0.1558698528049732, "cagr": 0.13993347946529489, "end_nav": 4040371.5542639424, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.367401726581134e-16, "max_drawdown": -0.07639677465968475, "mean_cash_weight": 1.220081560361618e-16, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3544392.3939835043, "start_session": "2020-12-31", "total_return": 0.13993347946529489, "traded_notional_by_category": { "entry": 6532970.519351985, "exit": 6455205.239561131, "resize": 77765.27979085338 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.333333333333333 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3800502826591419, "annualized_volatility": 0.19460279844219733, "cagr": 0.12441913461919651, "end_nav": 4543071.08658548, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.688822033480295, "max_drawdown": -0.1462736954773166, "mean_cash_weight": 0.11259951406771619, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4040371.5542639424, "start_session": "2021-12-31", "total_return": 0.12441913461919651, "traded_notional_by_category": { "entry": 1421034.5468474403, "exit": 3980625.7336197374, "resize": 703314.4821105474 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3800502826591419 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3505303258762293, "annualized_volatility": 0.11815081837830559, "cagr": 0.14566407985947794, "end_nav": 5204833.356149152, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.7018102545135362, "max_drawdown": -0.08469059313663474, "mean_cash_weight": 0.21984662676243566, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4543071.08658548, "start_session": "2022-12-30", "total_return": 0.14566407985947794, "traded_notional_by_category": { "entry": 4562088.66480218, "exit": 1488775.7214392882, "resize": 151114.75954273366 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3505303258762293 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.01490866367996, "annualized_volatility": 0.14102124614862419, "cagr": 0.17577112188129895, "end_nav": 6119692.7543646945, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.728952570864941e-16, "max_drawdown": -0.09312807025215641, "mean_cash_weight": 8.072964600296984e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 5204833.356149152, "start_session": "2023-12-29", "total_return": 0.17577112188129895, "traded_notional_by_category": { "entry": 5650408.122928254, "exit": 5589748.977570694, "resize": 152491.91869864822 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.01490866367996 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.670999515921453, "annualized_volatility": 0.1619151042485359, "cagr": 0.05906456510146607, "end_nav": 6481149.745455838, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5299337951555697e-16, "max_drawdown": -0.1332613369429979, "mean_cash_weight": 9.640466148984809e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 6119692.7543646945, "start_session": "2024-12-31", "total_return": 0.05906456510146607, "traded_notional_by_category": { "entry": 8696339.99764597, "exit": 8639051.978352426, "resize": 84392.31388067408 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.670999515921453 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9575668532312838, "annualized_volatility": 0.16433375497800595, "cagr": 0.07882039216463, "end_nav": 6481149.745455838, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.4342713842948226, "mean_cash_weight": 0.1268395368154293, "nonzero_trade_event_count": 50, "order_count": 204, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 972575.6239843285, "start_session": "2000-12-29", "total_return": 5.663903130642591, "traded_notional_by_category": { "entry": 56870805.158079624, "exit": 55494172.81761151, "resize": 2113263.1440634173 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 48.939171330782095 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7021924.45170829, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5457997133351939e-16, "max_drawdown": -0.1063681704593149, "mean_cash_weight": 1.360214122393572e-16, "nonzero_trade_event_count": 1, "order_count": 5, "rebalance_count": 1, "scheduled_reset_count": 1, "session_count": 189, "start_nav": 6481149.745455838, "start_session": "2025-12-31", "total_return": 0.08343808236055783, "traded_notional_by_category": { "entry": 4670937.537103513, "exit": 4500316.1072394755, "resize": 170621.42986403732 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3333333333333333 } }, "monthly_risk": { "beta_intercept_per_month": 0.001046794044883944, "beta_to_SPY_excess_returns": 0.7057862917652141, "monthly_return_volatility_annualized": 0.1338784360212919, "months": 300, "sharpe_monthly_annualized": 0.5078661565340962, "tracking_error_monthly_annualized": 0.09283834435075482 }, "phase": [ 4, 10 ], "policy": "A", "run_id": "SMIX-04-10-0bps", "signal": "mixed" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3663714330543106, "annualized_volatility": 0.1469654088940728, "cagr": -0.09390770639242008, "end_nav": 878603.167083489, "end_session": "2001-12-31", "fee_by_category": { "entry": 317.33140982462004, "exit": 891.4517311446485, "resize": 41.12420939542097 }, "max_cash_weight": 0.6700438529978157, "max_drawdown": -0.1468524753481104, "mean_cash_weight": 0.10954255332683127, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 969661.8912686657, "start_session": "2000-12-29", "total_return": -0.09390770639242008, "traded_notional_by_category": { "entry": 317331.40982462006, "exit": 891451.7311446485, "resize": 41124.20939542097 }, "transaction_cost": 1249.9073503646896, "transaction_cost_over_anchor_nav": 0.00128901358465203, "two_sided_turnover": 1.3663714330543106 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0006684690403826, "annualized_volatility": 0.21621233779674223, "cagr": -0.1508656393614517, "end_nav": 746052.1385364421, "end_session": "2002-12-31", "fee_by_category": { "entry": 875.6031339889877, "exit": 775.846709165106, "resize": 15.529513596128673 }, "max_cash_weight": 0.6692832646378413, "max_drawdown": -0.2563169496097204, "mean_cash_weight": 0.3229001449854567, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 878603.167083489, "start_session": "2001-12-31", "total_return": -0.1508656393614517, "traded_notional_by_category": { "entry": 875603.1339889877, "exit": 775846.709165106, "resize": 15529.513596128672 }, "transaction_cost": 1666.9793567502222, "transaction_cost_over_anchor_nav": 0.0018973063371530256, "two_sided_turnover": 2.0006684690403826 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3426862644999238, "annualized_volatility": 0.055784014776389605, "cagr": 0.12289300207658993, "end_nav": 837736.7255468455, "end_session": "2003-12-31", "fee_by_category": { "entry": 756.3342421068845, "exit": 260.2903336916787, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.03463121633790156, "mean_cash_weight": 0.728676872950735, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 746052.1385364421, "start_session": "2002-12-31", "total_return": 0.12289300207658993, "traded_notional_by_category": { "entry": 756334.2421068845, "exit": 260290.33369167868, "resize": 0.0 }, "transaction_cost": 1016.6245757985632, "transaction_cost_over_anchor_nav": 0.0013626722896243058, "two_sided_turnover": 1.3426862644999238 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 1.360837375856866, "annualized_volatility": 0.11281086357928152, "cagr": 0.17523502306416971, "end_nav": 984537.5399697489, "end_session": "2004-12-31", "fee_by_category": { "entry": 592.7075534651838, "exit": 533.0839400564325, "resize": 83.84134476575593 }, "max_cash_weight": 1.4176346721122517e-16, "max_drawdown": -0.07088855576355324, "mean_cash_weight": 6.659937910961254e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 837736.7255468455, "start_session": "2003-12-31", "total_return": 0.17523502306416971, "traded_notional_by_category": { "entry": 592707.5534651838, "exit": 533083.9400564325, "resize": 83841.34476575593 }, "transaction_cost": 1209.6328382873726, "transaction_cost_over_anchor_nav": 0.0014439295800214157, "two_sided_turnover": 1.360837375856866 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3505628778359065, "annualized_volatility": 0.15136859694421467, "cagr": 0.178657218028357, "end_nav": 1160432.2779052267, "end_session": "2005-12-30", "fee_by_category": { "entry": 721.2954223516456, "exit": 665.3695526709471, "resize": 76.3201841672184 }, "max_cash_weight": 0.0, "max_drawdown": -0.11039856777700041, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 984537.5399697489, "start_session": "2004-12-31", "total_return": 0.178657218028357, "traded_notional_by_category": { "entry": 721295.4223516455, "exit": 665369.5526709472, "resize": 76320.1841672184 }, "transaction_cost": 1462.9851591898114, "transaction_cost_over_anchor_nav": 0.0014859617838795293, "two_sided_turnover": 1.3505628778359065 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.330891034989669, "annualized_volatility": 0.12576632214856043, "cagr": 0.08989820235500523, "end_nav": 1264753.0536436304, "end_session": "2006-12-29", "fee_by_category": { "entry": 2034.1810660008473, "exit": 2023.8078150466304, "resize": 14.445685520784988 }, "max_cash_weight": 0.0, "max_drawdown": -0.10673044262722664, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1160432.2779052267, "start_session": "2005-12-30", "total_return": 0.08989820235500523, "traded_notional_by_category": { "entry": 2034181.0660008474, "exit": 2023807.8150466303, "resize": 14445.685520784988 }, "transaction_cost": 4072.434566568263, "transaction_cost_over_anchor_nav": 0.0035094116598684113, "two_sided_turnover": 3.330891034989669 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.330994307519884, "annualized_volatility": 0.16320288413075432, "cagr": 0.11028744083379238, "end_nav": 1404239.4312167105, "end_session": "2007-12-31", "fee_by_category": { "entry": 2299.7542592336063, "exit": 2304.4269921662376, "resize": 0.06848319803352934 }, "max_cash_weight": 0.0, "max_drawdown": -0.09086924035492872, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1264753.0536436304, "start_session": "2006-12-29", "total_return": 0.11028744083379238, "traded_notional_by_category": { "entry": 2299754.259233606, "exit": 2304426.9921662374, "resize": 68.48319803352933 }, "transaction_cost": 4604.249734597877, "transaction_cost_over_anchor_nav": 0.0036404337758533037, "two_sided_turnover": 3.330994307519884 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9997779999753336, "annualized_volatility": 0.3301160696202049, "cagr": -0.31104936572802344, "end_nav": 967451.6468064723, "end_session": "2008-12-31", "fee_by_category": { "entry": 908.4762198227646, "exit": 1426.2009735429865, "resize": 134.1695321351695 }, "max_cash_weight": 0.6914204219896662, "max_drawdown": -0.4342713842948227, "mean_cash_weight": 0.10958776573206463, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1404239.4312167105, "start_session": "2007-12-31", "total_return": -0.31104936572802344, "traded_notional_by_category": { "entry": 908476.2198227646, "exit": 1426200.9735429864, "resize": 134169.5321351695 }, "transaction_cost": 2468.8467255009205, "transaction_cost_over_anchor_nav": 0.0017581380145135046, "two_sided_turnover": 1.9997779999753336 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3119321119227911, "annualized_volatility": 0.06188462748426229, "cagr": 0.06112483591628015, "end_nav": 1026586.9699744529, "end_session": "2009-12-31", "fee_by_category": { "entry": 943.9717796311348, "exit": 295.78609837925484, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06707382255926841, "mean_cash_weight": 0.7329534334806994, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 967451.6468064723, "start_session": "2008-12-31", "total_return": 0.06112483591628015, "traded_notional_by_category": { "entry": 943971.7796311348, "exit": 295786.0983792548, "resize": 0.0 }, "transaction_cost": 1239.7578780103897, "transaction_cost_over_anchor_nav": 0.0012814675359774225, "two_sided_turnover": 1.3119321119227911 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0211120949560626, "annualized_volatility": 0.16845434966535125, "cagr": 0.07744280787699331, "end_nav": 1106088.747459209, "end_session": "2010-12-31", "fee_by_category": { "entry": 1058.226372783865, "exit": 1059.6777506252477, "resize": 23.257022609953303 }, "max_cash_weight": 0.0, "max_drawdown": -0.15680214523227742, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1026586.9699744529, "start_session": "2009-12-31", "total_return": 0.07744280787699331, "traded_notional_by_category": { "entry": 1058226.3727838648, "exit": 1059677.7506252476, "resize": 23257.022609953303 }, "transaction_cost": 2141.161146019066, "transaction_cost_over_anchor_nav": 0.0020857084773561367, "two_sided_turnover": 2.0211120949560626 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.333828717666818, "annualized_volatility": 0.2091316340214236, "cagr": -0.0011182874763148165, "end_nav": 1104851.8222652327, "end_session": "2011-12-30", "fee_by_category": { "entry": 1149.7553492887098, "exit": 1467.7431648300499, "resize": 38.442851090696465 }, "max_cash_weight": 0.3379036219494391, "max_drawdown": -0.20518890344581842, "mean_cash_weight": 0.05461537084862463, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1106088.747459209, "start_session": "2010-12-31", "total_return": -0.0011182874763148165, "traded_notional_by_category": { "entry": 1149755.3492887097, "exit": 1467743.16483005, "resize": 38442.851090696466 }, "transaction_cost": 2655.9413652094563, "transaction_cost_over_anchor_nav": 0.0024012009626808027, "two_sided_turnover": 2.333828717666818 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6870225559036922, "annualized_volatility": 0.1036904917616683, "cagr": 0.046681886010370155, "end_nav": 1156428.389090568, "end_session": "2012-12-31", "fee_by_category": { "entry": 1132.3220351202108, "exit": 742.4967383338576, "resize": 39.089893521502326 }, "max_cash_weight": 0.32532317008504374, "max_drawdown": -0.07363297586342732, "mean_cash_weight": 0.10480906707853938, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1104851.8222652327, "start_session": "2011-12-30", "total_return": 0.046681886010370155, "traded_notional_by_category": { "entry": 1132322.0351202106, "exit": 742496.7383338576, "resize": 39089.89352150232 }, "transaction_cost": 1913.9086669755707, "transaction_cost_over_anchor_nav": 0.0017322763364335696, "two_sided_turnover": 1.6870225559036922 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0052056786282417, "annualized_volatility": 0.11074478621533738, "cagr": 0.2987702600985598, "end_nav": 1501934.7996845157, "end_session": "2013-12-31", "fee_by_category": { "entry": 1394.4262623542604, "exit": 1358.76886091602, "resize": 45.800638863769706 }, "max_cash_weight": 0.0, "max_drawdown": -0.06997502980043735, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1156428.389090568, "start_session": "2012-12-31", "total_return": 0.2987702600985598, "traded_notional_by_category": { "entry": 1394426.2623542605, "exit": 1358768.8609160199, "resize": 45800.63886376971 }, "transaction_cost": 2798.99576213405, "transaction_cost_over_anchor_nav": 0.0024203796694538264, "two_sided_turnover": 2.0052056786282417 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3337779259753253, "annualized_volatility": 0.12619258558815874, "cagr": 0.1555331256323078, "end_nav": 1735535.4135753827, "end_session": "2014-12-31", "fee_by_category": { "entry": 1068.376150623787, "exit": 1009.0602803161117, "resize": 61.45476150011551 }, "max_cash_weight": 1.3913979937979634e-16, "max_drawdown": -0.07468822283569565, "mean_cash_weight": 2.1939053797449043e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1501934.7996845157, "start_session": "2013-12-31", "total_return": 0.1555331256323078, "traded_notional_by_category": { "entry": 1068376.150623787, "exit": 1009060.2803161116, "resize": 61454.761500115506 }, "transaction_cost": 2138.8911924400145, "transaction_cost_over_anchor_nav": 0.001424090574963236, "two_sided_turnover": 1.3337779259753253 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6664447407902057, "annualized_volatility": 0.14453379354668683, "cagr": 0.06258858115246357, "end_nav": 1844160.11265092, "end_session": "2015-12-31", "fee_by_category": { "entry": 1187.4176514329392, "exit": 1770.4256603072954, "resize": 37.81699767971539 }, "max_cash_weight": 0.3430667976582305, "max_drawdown": -0.10819638654898345, "mean_cash_weight": 0.055853975467626535, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1735535.4135753827, "start_session": "2014-12-31", "total_return": 0.06258858115246357, "traded_notional_by_category": { "entry": 1187417.651432939, "exit": 1770425.6603072952, "resize": 37816.997679715394 }, "transaction_cost": 2995.6603094199495, "transaction_cost_over_anchor_nav": 0.0017260727070089448, "two_sided_turnover": 1.6664447407902057 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6894688871528518, "annualized_volatility": 0.10016940437311625, "cagr": 0.12409936516962405, "end_nav": 2073019.2119020417, "end_session": "2016-12-30", "fee_by_category": { "entry": 1921.2749761277112, "exit": 1248.1497451285834, "resize": 93.56723920124571 }, "max_cash_weight": 0.3517042919901655, "max_drawdown": -0.0474402199561873, "mean_cash_weight": 0.10945063287041681, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1844160.11265092, "start_session": "2015-12-31", "total_return": 0.12409936516962405, "traded_notional_by_category": { "entry": 1921274.9761277111, "exit": 1248149.7451285832, "resize": 93567.23920124571 }, "transaction_cost": 3262.9919604575407, "transaction_cost_over_anchor_nav": 0.0017693647845832086, "two_sided_turnover": 1.6894688871528518 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.023885451277084, "annualized_volatility": 0.07764683571673518, "cagr": 0.27947298968461487, "end_nav": 2652372.0887259496, "end_session": "2017-12-29", "fee_by_category": { "entry": 2462.0139634604193, "exit": 2454.1732644164117, "resize": 74.6604332797823 }, "max_cash_weight": 0.0, "max_drawdown": -0.02626776674280973, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2073019.2119020417, "start_session": "2016-12-30", "total_return": 0.27947298968461487, "traded_notional_by_category": { "entry": 2462013.9634604193, "exit": 2454173.2644164115, "resize": 74660.4332797823 }, "transaction_cost": 4990.847661156613, "transaction_cost_over_anchor_nav": 0.002407526004825299, "two_sided_turnover": 2.023885451277084 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664890960989661, "annualized_volatility": 0.1881317778206843, "cagr": -0.0772319045995622, "end_nav": 2447524.3406069255, "end_session": "2018-12-31", "fee_by_category": { "entry": 3423.572362823919, "exit": 3384.602768650839, "resize": 45.82359289745148 }, "max_cash_weight": 0.0, "max_drawdown": -0.2034090416346802, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2652372.0887259496, "start_session": "2017-12-29", "total_return": -0.0772319045995622, "traded_notional_by_category": { "entry": 3423572.362823919, "exit": 3384602.768650839, "resize": 45823.59289745148 }, "transaction_cost": 6853.99872437221, "transaction_cost_over_anchor_nav": 0.0025841015118148393, "two_sided_turnover": 2.664890960989661 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3519994301290594, "annualized_volatility": 0.11665822231651597, "cagr": 0.33668432336089826, "end_nav": 3271567.417133497, "end_session": "2019-12-31", "fee_by_category": { "entry": 1918.6025324881145, "exit": 1877.4423084152081, "resize": 104.6439688552121 }, "max_cash_weight": 0.0, "max_drawdown": -0.04835643906123166, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2447524.3406069255, "start_session": "2018-12-31", "total_return": 0.33668432336089826, "traded_notional_by_category": { "entry": 1918602.5324881144, "exit": 1877442.308415208, "resize": 104643.9688552121 }, "transaction_cost": 3900.6888097585347, "transaction_cost_over_anchor_nav": 0.0015937283013051711, "two_sided_turnover": 1.3519994301290594 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.999000999000999, "annualized_volatility": 0.30587508086649134, "cagr": 0.039670185013581216, "end_nav": 3401351.101855587, "end_session": "2020-12-31", "fee_by_category": { "entry": 3040.755649857237, "exit": 3046.84324875585, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.303321247863123, "mean_cash_weight": 0.5059288537549407, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3271567.417133497, "start_session": "2019-12-31", "total_return": 0.039670185013581216, "traded_notional_by_category": { "entry": 3040755.649857237, "exit": 3046843.24875585, "resize": 0.0 }, "transaction_cost": 6087.598898613087, "transaction_cost_over_anchor_nav": 0.0018607591170922463, "two_sided_turnover": 1.999000999000999 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 3.330891034989669, "annualized_volatility": 0.15579237416953765, "cagr": 0.1361395210319607, "end_nav": 3864409.4117237385, "end_session": "2021-12-31", "fee_by_category": { "entry": 6253.345670117706, "exit": 6189.6634901575435, "resize": 76.20139051094792 }, "max_cash_weight": 0.0, "max_drawdown": -0.07639677465968464, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3401351.101855587, "start_session": "2020-12-31", "total_return": 0.1361395210319607, "traded_notional_by_category": { "entry": 6253345.670117706, "exit": 6189663.490157544, "resize": 76201.39051094791 }, "transaction_cost": 12519.210550786198, "transaction_cost_over_anchor_nav": 0.003680658119638521, "two_sided_turnover": 3.330891034989669 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3800348636799071, "annualized_volatility": 0.19459086528696695, "cagr": 0.12286793177355126, "end_nav": 4339221.40366848, "end_session": "2022-12-30", "fee_by_category": { "entry": 1358.1778289074093, "exit": 3805.3449223886882, "resize": 673.4917621578339 }, "max_cash_weight": 0.6888220334802951, "max_drawdown": -0.1462736954773166, "mean_cash_weight": 0.11259951406771622, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3864409.4117237385, "start_session": "2021-12-31", "total_return": 0.12286793177355126, "traded_notional_by_category": { "entry": 1358177.8289074092, "exit": 3805344.922388688, "resize": 673491.7621578339 }, "transaction_cost": 5837.0145134539325, "transaction_cost_over_anchor_nav": 0.0015104544812839342, "two_sided_turnover": 1.3800348636799071 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3496270391155674, "annualized_volatility": 0.1181221421126046, "cagr": 0.14411838231215324, "end_nav": 4964582.9728594525, "end_session": "2023-12-29", "fee_by_category": { "entry": 4353.423996682724, "exit": 1421.006564198528, "resize": 143.30286361203576 }, "max_cash_weight": 0.7018102545135363, "max_drawdown": -0.08469059313663485, "mean_cash_weight": 0.2198466267624357, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4339221.40366848, "start_session": "2022-12-30", "total_return": 0.14411838231215324, "traded_notional_by_category": { "entry": 4353423.996682724, "exit": 1421006.564198528, "resize": 143302.86361203576 }, "transaction_cost": 5917.733424493288, "transaction_cost_over_anchor_nav": 0.0013637777089434285, "two_sided_turnover": 1.3496270391155674 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.014237251262872, "annualized_volatility": 0.14110128266560404, "cagr": 0.17340390767878922, "end_nav": 5825461.060348862, "end_session": "2024-12-31", "fee_by_category": { "entry": 5381.074075424224, "exit": 5329.11601353443, "resize": 147.62775982242962 }, "max_cash_weight": 0.0, "max_drawdown": -0.09312807025215619, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4964582.9728594525, "start_session": "2023-12-29", "total_return": 0.17340390767878922, "traded_notional_by_category": { "entry": 5381074.075424224, "exit": 5329116.0135344295, "resize": 147627.75982242962 }, "transaction_cost": 10857.817848781084, "transaction_cost_over_anchor_nav": 0.0021870553696330514, "two_sided_turnover": 2.014237251262872 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.668777921948802, "annualized_volatility": 0.16198537497595317, "cagr": 0.05623957634285848, "end_nav": 6153082.522384701, "end_session": "2025-12-31", "fee_by_category": { "entry": 8260.105998154271, "exit": 8219.469388724598, "resize": 80.3347746427257 }, "max_cash_weight": 0.0, "max_drawdown": -0.1332613369429979, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5825461.060348862, "start_session": "2024-12-31", "total_return": 0.05623957634285848, "traded_notional_by_category": { "entry": 8260105.998154271, "exit": 8219469.388724597, "resize": 80334.77464272571 }, "transaction_cost": 16559.91016152159, "transaction_cost_over_anchor_nav": 0.0028426780283945267, "two_sided_turnover": 2.668777921948802 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9565970971264752, "annualized_volatility": 0.16434194858208695, "cagr": 0.07671037157209737, "end_nav": 6153082.522384701, "end_session": "2025-12-31", "fee_by_category": { "entry": 54812.52596207318, "exit": 53560.248315563185, "resize": 2051.014903023929 }, "max_cash_weight": 1.0, "max_drawdown": -0.4342713842948227, "mean_cash_weight": 0.12683953681542928, "nonzero_trade_event_count": 50, "order_count": 204, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 969661.8912686657, "start_session": "2000-12-29", "total_return": 5.345595900787915, "traded_notional_by_category": { "entry": 54812525.962073185, "exit": 53560248.31556318, "resize": 2051014.903023929 }, "transaction_cost": 110423.7891806603, "transaction_cost_over_anchor_nav": 0.11387865211056852, "two_sided_turnover": 48.91492742816188 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6657598.245314978, "end_session": "2026-10-02", "fee_by_category": { "entry": 4428.590162833624, "exit": 4272.516061533153, "resize": 164.9401476725112 }, "max_cash_weight": 0.0, "max_drawdown": -0.10636817045931479, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 1, "order_count": 5, "rebalance_count": 1, "scheduled_reset_count": 1, "session_count": 189, "start_nav": 6153082.522384701, "start_session": "2025-12-31", "total_return": 0.081993979618324, "traded_notional_by_category": { "entry": 4428590.1628336245, "exit": 4272516.061533153, "resize": 164940.14767251117 }, "transaction_cost": 8866.046372039289, "transaction_cost_over_anchor_nav": 0.0014409113383064373, "two_sided_turnover": 1.3328890369876707 } }, "monthly_risk": { "beta_intercept_per_month": 0.0008854055475326222, "beta_to_SPY_excess_returns": 0.7053295295815242, "monthly_return_volatility_annualized": 0.1338511860478962, "months": 300, "sharpe_monthly_annualized": 0.493248682579612, "tracking_error_monthly_annualized": 0.0929132488231814 }, "phase": [ 4, 10 ], "policy": "A", "run_id": "SMIX-04-10-10bps", "signal": "mixed" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3656585484508255, "annualized_volatility": 0.1468558348903341, "cagr": -0.09576349792585448, "end_nav": 872865.129670429, "end_session": "2001-12-31", "fee_by_category": { "entry": 788.9377903774975, "exit": 2217.1641611156015, "resize": 101.35365162064483 }, "max_cash_weight": 0.6700438529978155, "max_drawdown": -0.1468524753481102, "mean_cash_weight": 0.10954255332683122, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 965306.2309122044, "start_session": "2000-12-29", "total_return": -0.09576349792585448, "traded_notional_by_category": { "entry": 315575.11615099903, "exit": 886865.6644462405, "resize": 40541.460648257926 }, "transaction_cost": 3107.455603113744, "transaction_cost_over_anchor_nav": 0.003219139692258311, "two_sided_turnover": 1.3656585484508255 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.999006511565098, "annualized_volatility": 0.2161781122652778, "cagr": -0.15341149639149587, "end_nav": 738957.5839797314, "end_session": "2002-12-31", "fee_by_category": { "entry": 2170.3658982638976, "exit": 1924.5569787010627, "resize": 39.110319823624884 }, "max_cash_weight": 0.6692832646378413, "max_drawdown": -0.2563169496097203, "mean_cash_weight": 0.3229001449854567, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 872865.129670429, "start_session": "2001-12-31", "total_return": -0.15341149639149587, "traded_notional_by_category": { "entry": 868146.359305559, "exit": 769822.791480425, "resize": 15644.127929449955 }, "transaction_cost": 4134.033196788585, "transaction_cost_over_anchor_nav": 0.004736164908259639, "two_sided_turnover": 1.999006511565098 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.34119149991289, "annualized_volatility": 0.05589898152985269, "cagr": 0.12063464768659582, "end_nav": 828101.4717784644, "end_session": "2003-12-31", "fee_by_category": { "entry": 1869.088103533719, "exit": 644.5377815530704, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.03463121633790156, "mean_cash_weight": 0.728676872950735, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 738957.5839797314, "start_session": "2002-12-31", "total_return": 0.12063464768659582, "traded_notional_by_category": { "entry": 747635.2414134876, "exit": 257815.11262122818, "resize": 0.0 }, "transaction_cost": 2513.6258850867894, "transaction_cost_over_anchor_nav": 0.003401583446169401, "two_sided_turnover": 1.34119149991289 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3608244131384963, "annualized_volatility": 0.11273019325569902, "cagr": 0.17283569693772938, "end_nav": 971226.9667884548, "end_session": "2004-12-31", "fee_by_category": { "entry": 1462.4366512149704, "exit": 1316.6940828765473, "resize": 208.61317262863756 }, "max_cash_weight": 1.4356235189522388e-16, "max_drawdown": -0.07185555465585547, "mean_cash_weight": 6.744448120397369e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 828101.4717784644, "start_session": "2003-12-31", "total_return": 0.17283569693772938, "traded_notional_by_category": { "entry": 584974.6604859883, "exit": 526677.633150619, "resize": 83445.26905145502 }, "transaction_cost": 2987.7439067201553, "transaction_cost_over_anchor_nav": 0.0036079442055616143, "two_sided_turnover": 1.3608244131384963 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3505550480890711, "annualized_volatility": 0.15134998689689969, "cagr": 0.1762690621099685, "end_nav": 1142424.2333201652, "end_session": "2005-12-30", "fee_by_category": { "entry": 1776.1279158136404, "exit": 1640.0824157422257, "resize": 189.80339208747188 }, "max_cash_weight": 0.0, "max_drawdown": -0.11039856777700019, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 971226.9667884548, "start_session": "2004-12-31", "total_return": 0.1762690621099685, "traded_notional_by_category": { "entry": 710451.1663254562, "exit": 656032.9662968903, "resize": 75921.35683498875 }, "transaction_cost": 3606.0137236433384, "transaction_cost_over_anchor_nav": 0.0037128434927700816, "two_sided_turnover": 1.3505550480890711 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.327235616205116, "annualized_volatility": 0.12601359052862277, "cagr": 0.08445976591750726, "end_nav": 1238913.116644874, "end_session": "2006-12-29", "fee_by_category": { "entry": 4987.488130682664, "exit": 4975.016126953484, "resize": 37.47194423385343 }, "max_cash_weight": 0.0, "max_drawdown": -0.10673044262722653, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1142424.2333201652, "start_session": "2005-12-30", "total_return": 0.08445976591750726, "traded_notional_by_category": { "entry": 1994995.2522730655, "exit": 1990006.4507813936, "resize": 14988.777693541371 }, "transaction_cost": 9999.976201870002, "transaction_cost_over_anchor_nav": 0.00875329488836876, "two_sided_turnover": 3.327235616205116 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3272356162051158, "annualized_volatility": 0.16360131202810593, "cagr": 0.10474737924935207, "end_nav": 1368686.0187310714, "end_session": "2007-12-31", "fee_by_category": { "entry": 5610.281460882532, "exit": 5636.408963732543, "resize": 1.994208733359119 }, "max_cash_weight": 0.0, "max_drawdown": -0.09086924035492883, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1238913.116644874, "start_session": "2006-12-29", "total_return": 0.10474737924935207, "traded_notional_by_category": { "entry": 2244112.584353013, "exit": 2254563.585493017, "resize": 797.6834933436476 }, "transaction_cost": 11248.684633348434, "transaction_cost_over_anchor_nav": 0.009079478199255189, "two_sided_turnover": 3.3272356162051158 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9994458329484952, "annualized_volatility": 0.3301318399982353, "cagr": -0.31311633262561733, "end_nav": 940128.0720300413, "end_session": "2008-12-31", "fee_by_category": { "entry": 2209.259010284971, "exit": 3472.4555528406163, "resize": 329.54115989086466 }, "max_cash_weight": 0.6914204219896662, "max_drawdown": -0.4342713842948227, "mean_cash_weight": 0.10958776573206463, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1368686.0187310714, "start_session": "2007-12-31", "total_return": -0.31311633262561733, "traded_notional_by_category": { "entry": 883703.6041139882, "exit": 1388982.2211362466, "resize": 131816.46395634586 }, "transaction_cost": 6011.255723016452, "transaction_cost_over_anchor_nav": 0.004391990303656038, "two_sided_turnover": 1.9994458329484952 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3104373473357571, "annualized_volatility": 0.0617816732160778, "cagr": 0.059039619080169414, "end_nav": 995632.8752892689, "end_session": "2009-12-31", "fee_by_category": { "entry": 2288.771834814598, "exit": 718.5806528949013, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06707382255926853, "mean_cash_weight": 0.7329534334806994, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 940128.0720300413, "start_session": "2008-12-31", "total_return": 0.059039619080169414, "traded_notional_by_category": { "entry": 915508.7339258392, "exit": 287432.2611579605, "resize": 0.0 }, "transaction_cost": 3007.3524877094997, "transaction_cost_over_anchor_nav": 0.0031988753204822942, "two_sided_turnover": 1.3104373473357571 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.018758262077906, "annualized_volatility": 0.1683516203837453, "cagr": 0.07418122812058159, "end_nav": 1069490.1447354527, "end_session": "2010-12-31", "fee_by_category": { "entry": 2559.7362418547823, "exit": 2567.598462334028, "resize": 54.6020167449693 }, "max_cash_weight": 1.3263160194984516e-16, "max_drawdown": -0.15850589605964316, "mean_cash_weight": 7.9948850633507e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 995632.8752892689, "start_session": "2009-12-31", "total_return": 0.07418122812058159, "traded_notional_by_category": { "entry": 1023894.4967419129, "exit": 1027039.3849336114, "resize": 21840.80669798772 }, "transaction_cost": 5181.93672093378, "transaction_cost_over_anchor_nav": 0.00520466614707578, "two_sided_turnover": 2.018758262077906 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3322231473771855, "annualized_volatility": 0.20943296721036458, "cagr": -0.004612271231670184, "end_nav": 1064557.3661083346, "end_session": "2011-12-30", "fee_by_category": { "entry": 2772.445452335623, "exit": 3544.7142578742173, "resize": 93.22723351858178 }, "max_cash_weight": 0.33790362194943907, "max_drawdown": -0.20677804557507662, "mean_cash_weight": 0.05461537084862466, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1069490.1447354527, "start_session": "2010-12-31", "total_return": -0.004612271231670184, "traded_notional_by_category": { "entry": 1108978.1809342492, "exit": 1417885.703149687, "resize": 37290.89340743271 }, "transaction_cost": 6410.386943728423, "transaction_cost_over_anchor_nav": 0.0059938719167104484, "two_sided_turnover": 2.3322231473771855 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6868466363926262, "annualized_volatility": 0.10358737343996378, "cagr": 0.04403295380013561, "end_nav": 1111432.971427777, "end_session": "2012-12-31", "fee_by_category": { "entry": 2722.470246002051, "exit": 1787.185477691838, "resize": 97.3321663374352 }, "max_cash_weight": 0.3253231700850437, "max_drawdown": -0.07456104357163895, "mean_cash_weight": 0.10480906707853936, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1064557.3661083346, "start_session": "2011-12-30", "total_return": 0.04403295380013561, "traded_notional_by_category": { "entry": 1088988.0984008205, "exit": 714874.1910767353, "resize": 38932.86653497408 }, "transaction_cost": 4606.987890031325, "transaction_cost_over_anchor_nav": 0.004327608860453364, "two_sided_turnover": 1.6868466363926262 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.004203910595622, "annualized_volatility": 0.11082814244693677, "cagr": 0.29486533682970717, "end_nav": 1439156.028911471, "end_session": "2013-12-31", "fee_by_category": { "entry": 3342.5178727088796, "exit": 3262.55976507158, "resize": 112.2128337567077 }, "max_cash_weight": 0.0, "max_drawdown": -0.06997502980043724, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1111432.971427777, "start_session": "2012-12-31", "total_return": 0.29486533682970717, "traded_notional_by_category": { "entry": 1337007.149083552, "exit": 1305023.9060286318, "resize": 44885.13350268308 }, "transaction_cost": 6717.290471537168, "transaction_cost_over_anchor_nav": 0.006043810687843779, "two_sided_turnover": 2.004203910595622 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.334445371142619, "annualized_volatility": 0.12619310773712836, "cagr": 0.1532189763570242, "end_nav": 1659662.0424793265, "end_session": "2014-12-31", "fee_by_category": { "entry": 2555.385078783644, "exit": 2415.9298669597197, "resize": 152.26415958725016 }, "max_cash_weight": 0.0, "max_drawdown": -0.07468822283569576, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1439156.028911471, "start_session": "2013-12-31", "total_return": 0.1532189763570242, "traded_notional_by_category": { "entry": 1022154.0315134577, "exit": 966371.9467838879, "resize": 60905.66383490007 }, "transaction_cost": 5123.579105330615, "transaction_cost_over_anchor_nav": 0.003560127604236156, "two_sided_turnover": 1.334445371142619 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6661129637377865, "annualized_volatility": 0.14437112346066736, "cagr": 0.059931399596470314, "end_nav": 1759127.911542249, "end_session": "2015-12-31", "fee_by_category": { "entry": 2833.0881423690153, "exit": 4229.725903895094, "resize": 94.61058102502807 }, "max_cash_weight": 0.34306679765823045, "max_drawdown": -0.10819638654898345, "mean_cash_weight": 0.055853975467626486, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1659662.0424793265, "start_session": "2014-12-31", "total_return": 0.059931399596470314, "traded_notional_by_category": { "entry": 1133235.256947606, "exit": 1691890.3615580378, "resize": 37844.23241001123 }, "transaction_cost": 7157.424627289138, "transaction_cost_over_anchor_nav": 0.00431257957589778, "two_sided_turnover": 1.6661129637377865 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6886248560685124, "annualized_volatility": 0.1002059439654456, "cagr": 0.12125228729190751, "end_nav": 1972426.1944557829, "end_session": "2016-12-30", "fee_by_category": { "entry": 4573.18013016395, "exit": 2974.1984202008043, "resize": 225.15992058168456 }, "max_cash_weight": 0.35170429199016545, "max_drawdown": -0.04744021995618719, "mean_cash_weight": 0.1094506328704168, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1759127.911542249, "start_session": "2015-12-31", "total_return": 0.12125228729190751, "traded_notional_by_category": { "entry": 1829272.0520655802, "exit": 1189679.3680803217, "resize": 90063.96823267383 }, "transaction_cost": 7772.538470946439, "transaction_cost_over_anchor_nav": 0.00441840438091404, "two_sided_turnover": 1.6886248560685124 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0221887551750113, "annualized_volatility": 0.07764964326493638, "cagr": 0.2755923779767082, "end_nav": 2516011.819769401, "end_session": "2017-12-29", "fee_by_category": { "entry": 5842.248516160633, "exit": 5833.562319567713, "resize": 176.99556695630628 }, "max_cash_weight": 0.0, "max_drawdown": -0.02626776674280984, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1972426.1944557829, "start_session": "2016-12-30", "total_return": 0.2755923779767082, "traded_notional_by_category": { "entry": 2336899.406464253, "exit": 2333424.927827085, "resize": 70798.22678252251 }, "transaction_cost": 11852.806402684651, "transaction_cost_over_anchor_nav": 0.006009252176837465, "two_sided_turnover": 2.0221887551750113 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6622351543992395, "annualized_volatility": 0.1880395612361245, "cagr": -0.08091776248150295, "end_nav": 2312421.772936647, "end_session": "2018-12-31", "fee_by_category": { "entry": 8092.529041482268, "exit": 8020.627104129464, "resize": 112.46599269858066 }, "max_cash_weight": 0.0, "max_drawdown": -0.20600540178538562, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2516011.819769401, "start_session": "2017-12-29", "total_return": -0.08091776248150295, "traded_notional_by_category": { "entry": 3237011.6165929073, "exit": 3208250.8416517857, "resize": 44986.39707943227 }, "transaction_cost": 16225.622138310313, "transaction_cost_over_anchor_nav": 0.006448945116560475, "two_sided_turnover": 2.6622351543992395 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3513239932780376, "annualized_volatility": 0.11683134226147565, "cagr": 0.33397229776215664, "end_nav": 3084706.585839539, "end_session": "2019-12-31", "fee_by_category": { "entry": 4522.6757025666075, "exit": 4434.520220476333, "resize": 251.3495992461572 }, "max_cash_weight": 0.0, "max_drawdown": -0.04835643906123166, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2312421.772936647, "start_session": "2018-12-31", "total_return": 0.33397229776215664, "traded_notional_by_category": { "entry": 1809070.2810266428, "exit": 1773808.0881905332, "resize": 100539.83969846286 }, "transaction_cost": 9208.545522289098, "transaction_cost_over_anchor_nav": 0.003982208449194265, "two_sided_turnover": 1.3513239932780376 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9975062344139651, "annualized_volatility": 0.3059756389402442, "cagr": 0.03655583819290431, "end_nav": 3197470.6206640755, "end_session": "2020-12-31", "fee_by_category": { "entry": 7146.224076759261, "exit": 7182.044748823217, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.303321247863123, "mean_cash_weight": 0.5059288537549407, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3084706.585839539, "start_session": "2019-12-31", "total_return": 0.03655583819290431, "traded_notional_by_category": { "entry": 2858489.6307037044, "exit": 2872817.8995292867, "resize": 0.0 }, "transaction_cost": 14328.268825582478, "transaction_cost_over_anchor_nav": 0.004644937347155458, "two_sided_turnover": 1.9975062344139651 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 3.327235616205116, "annualized_volatility": 0.15574605302977396, "cagr": 0.130470347015607, "end_nav": 3614645.7221143255, "end_session": "2021-12-31", "fee_by_category": { "entry": 14640.155717057867, "exit": 14528.939098282735, "resize": 184.60085795837745 }, "max_cash_weight": 0.0, "max_drawdown": -0.07639677465968497, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3197470.6206640755, "start_session": "2020-12-31", "total_return": 0.130470347015607, "traded_notional_by_category": { "entry": 5856062.286823147, "exit": 5811575.639313094, "resize": 73840.34318335098 }, "transaction_cost": 29353.69567329898, "transaction_cost_over_anchor_nav": 0.009180286281161382, "two_sided_turnover": 3.327235616205116 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.380012310209919, "annualized_volatility": 0.19458216244703336, "cagr": 0.12054319626160925, "end_nav": 4050366.6708113393, "end_session": "2022-12-30", "fee_by_category": { "entry": 3172.593907616561, "exit": 8891.76534198278, "resize": 1577.7359694135487 }, "max_cash_weight": 0.6888220334802951, "max_drawdown": -0.14627369547731672, "mean_cash_weight": 0.11259951406771623, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3614645.7221143255, "start_session": "2021-12-31", "total_return": 0.12054319626160925, "traded_notional_by_category": { "entry": 1269037.5630466244, "exit": 3556706.1367931124, "resize": 631094.3877654194 }, "transaction_cost": 13642.095219012892, "transaction_cost_over_anchor_nav": 0.003774116820232435, "two_sided_turnover": 1.380012310209919 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3482749317821103, "annualized_volatility": 0.1180936940934829, "cagr": 0.14180565841050097, "end_nav": 4624731.58336969, "end_session": "2023-12-29", "fee_by_category": { "entry": 10145.226994037548, "exit": 3312.654524746472, "resize": 330.8076236480649 }, "max_cash_weight": 0.7018102545135362, "max_drawdown": -0.08469059313663485, "mean_cash_weight": 0.2198466267624357, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4050366.6708113393, "start_session": "2022-12-30", "total_return": 0.14180565841050097, "traded_notional_by_category": { "entry": 4058090.797615019, "exit": 1325061.8098985888, "resize": 132323.04945922596 }, "transaction_cost": 13788.689142432086, "transaction_cost_over_anchor_nav": 0.003404306390776724, "two_sided_turnover": 1.3482749317821103 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0132309712039564, "annualized_volatility": 0.141250519734636, "cagr": 0.16986004180917624, "end_nav": 5410288.683477083, "end_session": "2024-12-31", "fee_by_category": { "entry": 12502.069508463714, "exit": 12401.647987778833, "resize": 351.39533234800217 }, "max_cash_weight": 0.0, "max_drawdown": -0.0931280702521563, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4624731.58336969, "start_session": "2023-12-29", "total_return": 0.16986004180917624, "traded_notional_by_category": { "entry": 5000827.803385485, "exit": 4960659.195111533, "resize": 140558.13293920085 }, "transaction_cost": 25255.11282859055, "transaction_cost_over_anchor_nav": 0.005460881863805179, "two_sided_turnover": 2.0132309712039564 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6654532840700154, "annualized_volatility": 0.1621415021527058, "cagr": 0.052016200661696876, "end_nav": 5691711.345274535, "end_session": "2025-12-31", "fee_by_category": { "entry": 19115.64648002179, "exit": 19069.508765459348, "resize": 186.52357196993776 }, "max_cash_weight": 0.0, "max_drawdown": -0.1332613369429979, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5410288.683477083, "start_session": "2024-12-31", "total_return": 0.052016200661696876, "traded_notional_by_category": { "entry": 7646258.592008716, "exit": 7627803.506183738, "resize": 74609.4287879751 }, "transaction_cost": 38371.67881745108, "transaction_cost_over_anchor_nav": 0.007092353303556138, "two_sided_turnover": 2.6654532840700154 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9552106732792196, "annualized_volatility": 0.1643808491148718, "cagr": 0.07355206165054873, "end_nav": 5691711.345274535, "end_session": "2025-12-31", "fee_by_category": { "entry": 129700.94990425269, "exit": 127002.67898168422, "resize": 4909.171274809089 }, "max_cash_weight": 1.0, "max_drawdown": -0.4342713842948227, "mean_cash_weight": 0.12683953681542928, "nonzero_trade_event_count": 50, "order_count": 204, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 965306.2309122044, "start_session": "2000-12-29", "total_return": 4.896275361131697, "traded_notional_by_category": { "entry": 51880379.96170107, "exit": 50801071.59267369, "resize": 1963668.5099236353 }, "transaction_cost": 261612.800160746, "transaction_cost_over_anchor_nav": 0.2710153439220263, "two_sided_turnover": 48.88026683198049 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6146078.551084982, "end_session": "2026-10-02", "fee_by_category": { "entry": 10220.826643636692, "exit": 9880.384365002477, "resize": 391.6744923867798 }, "max_cash_weight": 0.0, "max_drawdown": -0.1063681704593149, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 1, "order_count": 5, "rebalance_count": 1, "scheduled_reset_count": 1, "session_count": 189, "start_nav": 5691711.345274535, "start_session": "2025-12-31", "total_return": 0.07982962913038083, "traded_notional_by_category": { "entry": 4088330.657454677, "exit": 3952153.746000991, "resize": 156669.7969547119 }, "transaction_cost": 20492.88550102595, "transaction_cost_over_anchor_nav": 0.003600478706292772, "two_sided_turnover": 1.3322231473771857 } }, "monthly_risk": { "beta_intercept_per_month": 0.0006436166023634018, "beta_to_SPY_excess_returns": 0.7046437421258743, "monthly_return_volatility_annualized": 0.13383894835111027, "months": 300, "sharpe_monthly_annualized": 0.47123742697085397, "tracking_error_monthly_annualized": 0.09306683962643816 }, "phase": [ 4, 10 ], "policy": "A", "run_id": "SMIX-04-10-25bps", "signal": "mixed" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 1.366609832817839, "annualized_volatility": 0.14700518502881094, "cagr": -0.09328825594354972, "end_nav": 880523.8775032809, "end_session": "2001-12-31", "fee_by_category": { "entry": 158.95951490809583, "exit": 446.4928189073918, "resize": 20.659908444532718 }, "max_cash_weight": 0.6700438529978155, "max_drawdown": -0.1468524753481102, "mean_cash_weight": 0.10954255332683123, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 971117.7596134247, "start_session": "2000-12-29", "total_return": -0.09328825594354972, "traded_notional_by_category": { "entry": 317919.02981619164, "exit": 892985.6378147835, "resize": 41319.816889065434 }, "transaction_cost": 626.1122422600204, "transaction_cost_over_anchor_nav": 0.0006447335928747287, "two_sided_turnover": 1.366609832817839 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0012238588268922, "annualized_volatility": 0.2162289501595765, "cagr": -0.15001532295113806, "end_nav": 748431.8036534379, "end_session": "2002-12-31", "fee_by_category": { "entry": 439.0514910340338, "exit": 388.93260793443665, "resize": 7.7453367056704305 }, "max_cash_weight": 0.6692832646378414, "max_drawdown": -0.2563169496097203, "mean_cash_weight": 0.3229001449854568, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 880523.8775032809, "start_session": "2001-12-31", "total_return": -0.15001532295113806, "traded_notional_by_category": { "entry": 878102.9820680675, "exit": 777865.2158688733, "resize": 15490.67341134086 }, "transaction_cost": 835.7294356741409, "transaction_cost_over_anchor_nav": 0.0009491275103678569, "two_sided_turnover": 2.0012238588268922 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3431855153739873, "annualized_volatility": 0.05575549210830422, "cagr": 0.12364729169043942, "end_nav": 840973.3691901763, "end_session": "2003-12-31", "fee_by_category": { "entry": 379.6281913051676, "exit": 130.56028785104976, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.03463121633790156, "mean_cash_weight": 0.728676872950735, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 748431.8036534379, "start_session": "2002-12-31", "total_return": 0.12364729169043942, "traded_notional_by_category": { "entry": 759256.3826103352, "exit": 261120.5757020995, "resize": 0.0 }, "transaction_cost": 510.18847915621734, "transaction_cost_over_anchor_nav": 0.000681676642635647, "two_sided_turnover": 1.3431855153739873 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3608418479642657, "annualized_volatility": 0.1128419005821564, "cagr": 0.17603535314516594, "end_nav": 989014.4132212489, "end_session": "2004-12-31", "fee_by_category": { "entry": 297.6538768633986, "exit": 267.61835135842034, "resize": 41.9863887319426 }, "max_cash_weight": 0.0, "max_drawdown": -0.0705660079466186, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 840973.3691901763, "start_session": "2003-12-31", "total_return": 0.17603535314516594, "traded_notional_by_category": { "entry": 595307.7537267972, "exit": 535236.7027168407, "resize": 83972.7774638852 }, "transaction_cost": 607.2586169537615, "transaction_cost_over_anchor_nav": 0.0007220901864449373, "two_sided_turnover": 1.3608418479642657 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.350565637812324, "annualized_volatility": 0.15137779511384392, "cagr": 0.17945381419105932, "end_nav": 1166496.8219637345, "end_session": "2005-12-30", "fee_by_category": { "entry": 362.4731289591615, "exit": 334.2553981040279, "resize": 38.22625376900786 }, "max_cash_weight": 0.0, "max_drawdown": -0.11039856777700019, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 989014.4132212489, "start_session": "2004-12-31", "total_return": 0.17945381419105932, "traded_notional_by_category": { "entry": 724946.257918323, "exit": 668510.7962080559, "resize": 76452.50753801572 }, "transaction_cost": 734.9547808321973, "transaction_cost_over_anchor_nav": 0.0007431183721968501, "two_sided_turnover": 1.350565637812324 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.332111647892101, "annualized_volatility": 0.12570648361144285, "cagr": 0.09171657882051854, "end_nav": 1273483.9196792557, "end_session": "2006-12-29", "fee_by_category": { "entry": 1023.7058087954093, "exit": 1017.6006389750876, "resize": 7.129387738076097 }, "max_cash_weight": 0.0, "max_drawdown": -0.10673044262722664, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1166496.8219637345, "start_session": "2005-12-30", "total_return": 0.09171657882051854, "traded_notional_by_category": { "entry": 2047411.6175908186, "exit": 2035201.277950175, "resize": 14258.775476152194 }, "transaction_cost": 2048.435835508573, "transaction_cost_over_anchor_nav": 0.001756057793676747, "two_sided_turnover": 3.332111647892101 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3326589723412328, "annualized_volatility": 0.16308687515532627, "cagr": 0.11213964497651285, "end_nav": 1416291.9543153855, "end_session": "2007-12-31", "fee_by_category": { "entry": 1159.3015560047647, "exit": 1160.6443164547904, "resize": 0.182696165713307 }, "max_cash_weight": 0.0, "max_drawdown": -0.09086924035492872, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1273483.9196792557, "start_session": "2006-12-29", "total_return": 0.11213964497651285, "traded_notional_by_category": { "entry": 2318603.1120095295, "exit": 2321288.632909581, "resize": 365.39233142661396 }, "transaction_cost": 2320.1285686252686, "transaction_cost_over_anchor_nav": 0.0018218750411937864, "two_sided_turnover": 3.3326589723412328 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998889444413595, "annualized_volatility": 0.33011413265914435, "cagr": -0.31035961034086446, "end_nav": 976732.135245161, "end_session": "2008-12-31", "fee_by_category": { "entry": 458.44249425285835, "exit": 719.412437951696, "resize": 67.4803202407083 }, "max_cash_weight": 0.6914204219896662, "max_drawdown": -0.4342713842948227, "mean_cash_weight": 0.10958776573206463, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1416291.9543153855, "start_session": "2007-12-31", "total_return": -0.31035961034086446, "traded_notional_by_category": { "entry": 916884.9885057167, "exit": 1438824.875903392, "resize": 134960.6404814166 }, "transaction_cost": 1245.3352524452625, "transaction_cost_over_anchor_nav": 0.0008792927536238382, "two_sided_turnover": 1.9998889444413595 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3124313627968545, "annualized_volatility": 0.061927884438331686, "cagr": 0.06182129764481603, "end_nav": 1037114.9832974089, "end_session": "2009-12-31", "fee_by_category": { "entry": 476.82627244418114, "exit": 149.31174513964973, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06707382255926853, "mean_cash_weight": 0.7329534334806994, "nonzero_trade_event_count": 2, "order_count": 4, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 976732.135245161, "start_session": "2008-12-31", "total_return": 0.06182129764481603, "traded_notional_by_category": { "entry": 953652.5448883623, "exit": 298623.49027929944, "resize": 0.0 }, "transaction_cost": 626.1380175838309, "transaction_cost_over_anchor_nav": 0.0006410539747693153, "two_sided_turnover": 1.3124313627968545 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.021898125130268, "annualized_volatility": 0.16849551092621343, "cagr": 0.07853266978936735, "end_nav": 1118562.3918143096, "end_session": "2010-12-31", "fee_by_category": { "entry": 534.9611475913051, "exit": 535.3919833981527, "resize": 11.872138642939419 }, "max_cash_weight": 0.0, "max_drawdown": -0.1562330930235709, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1037114.9832974089, "start_session": "2009-12-31", "total_return": 0.07853266978936735, "traded_notional_by_category": { "entry": 1069922.2951826102, "exit": 1070783.9667963053, "resize": 23744.277285878838 }, "transaction_cost": 1082.2252696323972, "transaction_cost_over_anchor_nav": 0.001043495935418428, "two_sided_turnover": 2.021898125130268 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3344952987351175, "annualized_volatility": 0.20903747811102844, "cagr": 4.871195281319629e-05, "end_nav": 1118616.8791727584, "end_session": "2011-12-30", "fee_by_category": { "entry": 581.8380635142572, "exit": 742.3732497391478, "resize": 19.49618097031448 }, "max_cash_weight": 0.3379036219494391, "max_drawdown": -0.2046583898016473, "mean_cash_weight": 0.05461537084862464, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1118562.3918143096, "start_session": "2010-12-31", "total_return": 4.871195281319629e-05, "traded_notional_by_category": { "entry": 1163676.1270285144, "exit": 1484746.4994782954, "resize": 38992.361940628965 }, "transaction_cost": 1343.7074942237196, "transaction_cost_over_anchor_nav": 0.001201280772585447, "two_sided_turnover": 2.3344952987351175 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.687081383148576, "annualized_volatility": 0.10373209873330391, "cagr": 0.04756569955534573, "end_nav": 1171824.6735650282, "end_session": "2012-12-31", "fee_by_category": { "entry": 573.5718020513793, "exit": 375.9688746313943, "resize": 19.56604251702418 }, "max_cash_weight": 0.3253231700850437, "max_drawdown": -0.07355426825058409, "mean_cash_weight": 0.10480906707853938, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1118616.8791727584, "start_session": "2011-12-30", "total_return": 0.04756569955534573, "traded_notional_by_category": { "entry": 1147143.6041027585, "exit": 751937.7492627887, "resize": 39132.08503404836 }, "transaction_cost": 969.1067191997977, "transaction_cost_over_anchor_nav": 0.0008663437296927552, "two_sided_turnover": 1.687081383148576 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.005539823883804, "annualized_volatility": 0.11072701902894683, "cagr": 0.3000739340291929, "end_nav": 1523458.713354161, "end_session": "2013-12-31", "fee_by_category": { "entry": 707.0522730674963, "exit": 688.5836735358051, "resize": 23.052617846059206 }, "max_cash_weight": 0.0, "max_drawdown": -0.06997502980043735, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1171824.6735650282, "start_session": "2012-12-31", "total_return": 0.3000739340291929, "traded_notional_by_category": { "entry": 1414104.5461349925, "exit": 1377167.3470716102, "resize": 46105.23569211841 }, "transaction_cost": 1418.6885644493607, "transaction_cost_over_anchor_nav": 0.0012106662339966792, "two_sided_turnover": 2.005539823883804 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3335555925987665, "annualized_volatility": 0.12619593701930912, "cagr": 0.15630450941108864, "end_nav": 1761582.1801530314, "end_session": "2014-12-31", "fee_by_category": { "entry": 542.1195553488672, "exit": 511.8505563784014, "resize": 30.811389721189975 }, "max_cash_weight": 0.0, "max_drawdown": -0.07468822283569565, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1523458.713354161, "start_session": "2013-12-31", "total_return": 0.15630450941108864, "traded_notional_by_category": { "entry": 1084239.1106977342, "exit": 1023701.1127568028, "resize": 61622.77944237995 }, "transaction_cost": 1084.7815014484586, "transaction_cost_over_anchor_nav": 0.0007120517884335193, "two_sided_turnover": 1.3335555925987665 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6665556296358077, "annualized_volatility": 0.14459467871475856, "cagr": 0.06347501728283578, "end_nav": 1873398.6394833806, "end_session": "2015-12-31", "fee_by_category": { "entry": 603.0212380717525, "exit": 898.6992308378879, "resize": 18.89472427028755 }, "max_cash_weight": 0.34306679765823056, "max_drawdown": -0.10819638654898334, "mean_cash_weight": 0.05585397546762656, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1761582.1801530314, "start_session": "2014-12-31", "total_return": 0.06347501728283578, "traded_notional_by_category": { "entry": 1206042.476143505, "exit": 1797398.4616757755, "resize": 37789.448540575104 }, "transaction_cost": 1520.6151931799277, "transaction_cost_over_anchor_nav": 0.0008632099088603573, "two_sided_turnover": 1.6665556296358077 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6897504183788397, "annualized_volatility": 0.10016459607424674, "cagr": 0.12504979760080293, "end_nav": 2107666.760176397, "end_session": "2016-12-30", "fee_by_category": { "entry": 976.474849758368, "exit": 634.1326903547531, "resize": 47.38131288557342 }, "max_cash_weight": 0.35170429199016556, "max_drawdown": -0.0474402199561873, "mean_cash_weight": 0.10945063287041684, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1873398.6394833806, "start_session": "2015-12-31", "total_return": 0.12504979760080293, "traded_notional_by_category": { "entry": 1952949.6995167362, "exit": 1268265.3807095063, "resize": 94762.62577114685 }, "transaction_cost": 1657.9888529986947, "transaction_cost_over_anchor_nav": 0.0008850165779216705, "two_sided_turnover": 1.6897504183788397 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0244524437533675, "annualized_volatility": 0.0776606830707606, "cagr": 0.2807691341050056, "end_nav": 2699434.531413026, "end_session": "2017-12-29", "fee_by_category": { "entry": 1252.5886352633904, "exit": 1247.8910434428196, "resize": 37.99790699654852 }, "max_cash_weight": 1.1000399195882518e-16, "max_drawdown": -0.02626776674280973, "mean_cash_weight": 3.3884340068649526e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2107666.760176397, "start_session": "2016-12-30", "total_return": 0.2807691341050056, "traded_notional_by_category": { "entry": 2505177.2705267807, "exit": 2495782.0868856395, "resize": 75995.81399309705 }, "transaction_cost": 2538.477585702759, "transaction_cost_over_anchor_nav": 0.0012044017743536963, "two_sided_turnover": 2.0244524437533675 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6657782960495084, "annualized_volatility": 0.18817441091367096, "cagr": -0.07600041773750787, "end_nav": 2494276.3793705823, "end_session": "2018-12-31", "fee_by_category": { "entry": 1744.0502539475058, "exit": 1722.7493381580912, "resize": 23.04583850471949 }, "max_cash_weight": 0.0, "max_drawdown": -0.2031432012123724, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2699434.531413026, "start_session": "2017-12-29", "total_return": -0.07600041773750787, "traded_notional_by_category": { "entry": 3488100.5078950115, "exit": 3445498.676316182, "resize": 46091.67700943898 }, "transaction_cost": 3489.8454306103163, "transaction_cost_over_anchor_nav": 0.0012928061006849266, "two_sided_turnover": 2.6657782960495084 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 1.352224725818133, "annualized_volatility": 0.1166079310919293, "cagr": 0.33758896853151166, "end_nav": 3336316.5695148106, "end_session": "2019-12-31", "fee_by_category": { "entry": 978.277909252299, "exit": 956.6523866213726, "resize": 53.020624976040565 }, "max_cash_weight": 0.0, "max_drawdown": -0.04835643906123166, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2494276.3793705823, "start_session": "2018-12-31", "total_return": 0.33758896853151166, "traded_notional_by_category": { "entry": 1956555.818504598, "exit": 1913304.773242745, "resize": 106041.24995208113 }, "transaction_cost": 1987.9509208497122, "transaction_cost_over_anchor_nav": 0.0007970050702045141, "two_sided_turnover": 1.352224725818133 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9995002498750625, "annualized_volatility": 0.30584472024362397, "cagr": 0.04071037581409054, "end_nav": 3472139.270894536, "end_session": "2020-12-31", "fee_by_category": { "entry": 1552.01959293528, "exit": 1553.5723889262104, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.303321247863123, "mean_cash_weight": 0.5059288537549407, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3336316.5695148106, "start_session": "2019-12-31", "total_return": 0.04071037581409054, "traded_notional_by_category": { "entry": 3104039.18587056, "exit": 3107144.7778524207, "resize": 0.0 }, "transaction_cost": 3105.5919818614902, "transaction_cost_over_anchor_nav": 0.000930844515846746, "two_sided_turnover": 1.9995002498750625 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 3.332111647892101, "annualized_volatility": 0.1558264423990714, "cagr": 0.13803504610221062, "end_nav": 3951416.1752257594, "end_session": "2021-12-31", "fee_by_category": { "entry": 3195.8182694033712, "exit": 3160.523367789512, "resize": 38.49231859175128 }, "max_cash_weight": 1.2887519408852789e-16, "max_drawdown": -0.07639677465968475, "mean_cash_weight": 6.165383638793959e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3472139.270894536, "start_session": "2020-12-31", "total_return": 0.13803504610221062, "traded_notional_by_category": { "entry": 6391636.538806742, "exit": 6321046.735579024, "resize": 76984.63718350255 }, "transaction_cost": 6394.833955784635, "transaction_cost_over_anchor_nav": 0.0018417561787886227, "two_sided_turnover": 3.332111647892101 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 1.380042534835436, "annualized_volatility": 0.19459621874914287, "cagr": 0.12364339519318635, "end_nav": 4439982.6869519465, "end_session": "2022-12-30", "fee_by_category": { "entry": 694.6262605504263, "exit": 1946.0018210981702, "resize": 344.1213457242963 }, "max_cash_weight": 0.6888220334802951, "max_drawdown": -0.14627369547731672, "mean_cash_weight": 0.11259951406771616, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3951416.1752257594, "start_session": "2021-12-31", "total_return": 0.12364339519318635, "traded_notional_by_category": { "entry": 1389252.5211008526, "exit": 3892003.6421963405, "resize": 688242.6914485926 }, "transaction_cost": 2984.749427372893, "transaction_cost_over_anchor_nav": 0.0007553619499981834, "two_sided_turnover": 1.380042534835436 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3500784939573025, "annualized_volatility": 0.11813550696764084, "cagr": 0.1448908421467885, "end_nav": 5083295.517581575, "end_session": "2023-12-29", "fee_by_category": { "entry": 2228.2704441985634, "exit": 727.249183002467, "resize": 73.57893540058018 }, "max_cash_weight": 0.7018102545135363, "max_drawdown": -0.08469059313663485, "mean_cash_weight": 0.2198466267624357, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4439982.6869519465, "start_session": "2022-12-30", "total_return": 0.1448908421467885, "traded_notional_by_category": { "entry": 4456540.888397127, "exit": 1454498.366004934, "resize": 147157.87080116034 }, "transaction_cost": 3029.098562601611, "transaction_cost_over_anchor_nav": 0.0006822320662428282, "two_sided_turnover": 1.3500784939573025 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.014572901529705, "annualized_volatility": 0.14105931388881984, "cagr": 0.1745870505975382, "end_nav": 5970773.089311828, "end_session": "2024-12-31", "fee_by_category": { "entry": 2757.0522579343733, "exit": 2728.9419439299245, "resize": 75.02231890632841 }, "max_cash_weight": 0.0, "max_drawdown": -0.09312807025215641, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 5083295.517581575, "start_session": "2023-12-29", "total_return": 0.1745870505975382, "traded_notional_by_category": { "entry": 5514104.515868748, "exit": 5457883.887859849, "resize": 150044.63781265682 }, "transaction_cost": 5561.016520770627, "transaction_cost_over_anchor_nav": 0.0010939786013889534, "two_sided_turnover": 2.014572901529705 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.669888201054694, "annualized_volatility": 0.16194684203414483, "cagr": 0.057651128187361955, "end_nav": 6314994.894061396, "end_session": "2025-12-31", "fee_by_category": { "entry": 4237.713933441162, "exit": 4213.330629058537, "resize": 41.169334547400474 }, "max_cash_weight": 0.0, "max_drawdown": -0.1332613369429979, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5970773.089311828, "start_session": "2024-12-31", "total_return": 0.057651128187361955, "traded_notional_by_category": { "entry": 8475427.866882324, "exit": 8426661.258117074, "resize": 82338.66909480095 }, "transaction_cost": 8492.213897047099, "transaction_cost_over_anchor_nav": 0.0014222972084216123, "two_sided_turnover": 2.669888201054694 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9570817354617338, "annualized_volatility": 0.16433607325763822, "cagr": 0.07776492144605562, "end_nav": 6314994.894061396, "end_session": "2025-12-31", "fee_by_category": { "entry": 27915.498820896868, "exit": 27258.740963579196, "resize": 1040.9333222967048 }, "max_cash_weight": 1.0, "max_drawdown": -0.4342713842948227, "mean_cash_weight": 0.12683953681542928, "nonzero_trade_event_count": 50, "order_count": 204, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 971117.7596134247, "start_session": "2000-12-29", "total_return": 5.502810633980396, "traded_notional_by_category": { "entry": 55830997.641793735, "exit": 54517481.92715839, "resize": 2081866.6445934095 }, "transaction_cost": 56215.17310677277, "transaction_cost_over_anchor_nav": 0.057887081716176715, "two_sided_turnover": 48.927043386543346 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6837345.447584925, "end_session": "2026-10-02", "fee_by_category": { "entry": 2274.078404353858, "exit": 2192.471579506819, "resize": 83.8820408593996 }, "max_cash_weight": 1.404937535218089e-16, "max_drawdown": -0.1063681704593149, "mean_cash_weight": 7.68743657647242e-17, "nonzero_trade_event_count": 1, "order_count": 5, "rebalance_count": 1, "scheduled_reset_count": 1, "session_count": 189, "start_nav": 6314994.894061396, "start_session": "2025-12-31", "total_return": 0.08271591066759942, "traded_notional_by_category": { "entry": 4548156.808707716, "exit": 4384943.159013638, "resize": 167764.0817187992 }, "transaction_cost": 4550.432024720077, "transaction_cost_over_anchor_nav": 0.0007205757250887551, "two_sided_turnover": 1.3331111481419764 } }, "monthly_risk": { "beta_intercept_per_month": 0.0009660793009501015, "beta_to_SPY_excess_returns": 0.7055579470730242, "monthly_return_volatility_annualized": 0.13386289698039738, "months": 300, "sharpe_monthly_annualized": 0.5005634366300078, "tracking_error_monthly_annualized": 0.09287303649627979 }, "phase": [ 4, 10 ], "policy": "A", "run_id": "SMIX-04-10-5bps", "signal": "mixed" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3517619371215353, "annualized_volatility": 0.1626633121095607, "cagr": -0.1278380658984063, "end_nav": 794693.2026694745, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.20998968941739116, "mean_cash_weight": 0.08064516129032265, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 911176.2066158975, "start_session": "2000-12-29", "total_return": -0.1278380658984063, "traded_notional_by_category": { "entry": 588226.9940558462, "exit": 1391050.3483835561, "resize": 8130.151658235176 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.3517619371215353 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6666666666666667, "annualized_volatility": 0.2196811087630277, "cagr": -0.10101368778883568, "end_nav": 714418.3116071103, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.23917053589917947, "mean_cash_weight": 0.46880060229978593, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 794693.2026694745, "start_session": "2001-12-31", "total_return": -0.10101368778883568, "traded_notional_by_category": { "entry": 794693.2026694745, "exit": 477682.83198744885, "resize": 5539.980181414518 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6666666666666667 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3419149478101904, "annualized_volatility": 0.0561505153877864, "cagr": 0.09359345553977372, "end_nav": 781283.1900913105, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6889831916852335, "max_drawdown": -0.03585640625794484, "mean_cash_weight": 0.6135770046691418, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 714418.3116071103, "start_session": "2002-12-31", "total_return": 0.09359345553977372, "traded_notional_by_category": { "entry": 733238.228749192, "exit": 247973.35027159596, "resize": 2042.0663087327848 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3419149478101904 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6666666666666665, "annualized_volatility": 0.11799420227466192, "cagr": 0.13345606069226412, "end_nav": 885550.1669259822, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.09771086193626433, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 781283.1900913105, "start_session": "2003-12-31", "total_return": 0.13345606069226412, "traded_notional_by_category": { "entry": 1073008.5638126314, "exit": 1034470.9111394796, "resize": 38537.65267315187 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.34835991031547, "annualized_volatility": 0.1443118392316152, "cagr": 0.17125126007820968, "end_nav": 1037201.7488745257, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2143717658707634e-16, "max_drawdown": -0.10688762878155378, "mean_cash_weight": 6.708190574189359e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 885550.1669259822, "start_session": "2004-12-31", "total_return": 0.17125126007820968, "traded_notional_by_category": { "entry": 662020.0550316036, "exit": 609537.0741343934, "resize": 68011.12990794971 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.34835991031547 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.333333333333333, "annualized_volatility": 0.1474595601361223, "cagr": 0.15750953423418856, "end_nav": 1200570.913246638, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.978368089638519e-16, "max_drawdown": -0.10898324910597379, "mean_cash_weight": 5.948581324138752e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1037201.7488745257, "start_session": "2005-12-30", "total_return": 0.15750953423418856, "traded_notional_by_category": { "entry": 1906000.2402488922, "exit": 1887770.876111618, "resize": 18229.364137274446 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.333333333333333 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6758025446585885, "annualized_volatility": 0.1335443636032884, "cagr": 0.17977280994997868, "end_nav": 1416400.919865198, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9514152084879525e-16, "max_drawdown": -0.07585275457527052, "mean_cash_weight": 1.8271822343481493e-16, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1200570.913246638, "start_session": "2006-12-29", "total_return": 0.17977280994997868, "traded_notional_by_category": { "entry": 1800870.503870611, "exit": 1787805.5285241348, "resize": 25012.55842837639 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6758025446585885 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6671495522330382, "annualized_volatility": 0.4307266168665434, "cagr": -0.4209664493527827, "end_nav": 820143.6537695302, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.5328382718045199, "mean_cash_weight": 0.0869565217391305, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1416400.919865198, "start_session": "2007-12-31", "total_return": -0.4209664493527827, "traded_notional_by_category": { "entry": 487818.728276483, "exit": 1258948.832926181, "resize": 49720.230988503376 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6671495522330382 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9999999999999999, "annualized_volatility": 0.027540936677691225, "cagr": 0.025432947235335845, "end_nav": 841002.3240412462, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.016007443185796055, "mean_cash_weight": 0.9126984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 820143.6537695302, "start_session": "2008-12-31", "total_return": 0.025432947235335845, "traded_notional_by_category": { "entry": 820143.6537695301, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.9999999999999999 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3641594643065114, "annualized_volatility": 0.1827123919093595, "cagr": 0.1887176876479435, "end_nav": 999714.3379408566, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4551095288075961e-16, "max_drawdown": -0.15890634645679902, "mean_cash_weight": 5.4541574707598223e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 841002.3240412462, "start_session": "2009-12-31", "total_return": 0.1887176876479435, "traded_notional_by_category": { "entry": 604374.1482039684, "exit": 591568.6789209272, "resize": 39268.65872786747 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3641594643065114 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666666666666666, "annualized_volatility": 0.2049368843942103, "cagr": 0.057225456950042775, "end_nav": 1056923.4477490315, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.56661857093045e-16, "max_drawdown": -0.166557534554587, "mean_cash_weight": 1.176004882190802e-16, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 999714.3379408566, "start_session": "2010-12-31", "total_return": 0.057225456950042775, "traded_notional_by_category": { "entry": 1410123.1238402226, "exit": 1384287.145506957, "resize": 25835.978333265288 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.666666666666666 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.006467570516413, "annualized_volatility": 0.10685397260948923, "cagr": 0.15046640755288831, "end_nav": 1215954.9219902412, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.145665557226496e-16, "max_drawdown": -0.07803025382035633, "mean_cash_weight": 9.99584333622312e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1056923.4477490315, "start_session": "2011-12-30", "total_return": 0.15046640755288831, "traded_notional_by_category": { "entry": 1171747.1114882152, "exit": 1166627.5857019536, "resize": 12939.05370983074 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.006467570516413 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.040011901648236, "annualized_volatility": 0.11112341744838229, "cagr": 0.33790076014769266, "end_nav": 1626827.014436072, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.05252805021476248, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1215954.9219902412, "start_session": "2012-12-31", "total_return": 0.33790076014769266, "traded_notional_by_category": { "entry": 1544082.0171014923, "exit": 1540645.158579659, "resize": 61748.822233066836 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.040011901648236 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6666666666666665, "annualized_volatility": 0.12713878998761963, "cagr": 0.03693644247772565, "end_nav": 1686916.2168760002, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.09886969955619374, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1626827.014436072, "start_session": "2013-12-31", "total_return": 0.03693644247772565, "traded_notional_by_category": { "entry": 2245176.9221205553, "exit": 2178605.3100356013, "resize": 66571.61208495393 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3343592167776759, "annualized_volatility": 0.16202091149056974, "cagr": 0.042767402260901255, "end_nav": 1759061.2413035738, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3456753774491906e-16, "max_drawdown": -0.11940075964589225, "mean_cash_weight": 1.1496593587878785e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1686916.2168760002, "start_session": "2014-12-31", "total_return": 0.042767402260901255, "traded_notional_by_category": { "entry": 1175958.5825887215, "exit": 1111494.409303484, "resize": 66259.68252230622 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3343592167776759 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.075225284388427, "annualized_volatility": 0.12470611810303174, "cagr": 0.09476570174685683, "end_nav": 1925759.914251404, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4374961778296045e-16, "max_drawdown": -0.07922720216128498, "mean_cash_weight": 1.17479433947336e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1759061.2413035738, "start_session": "2015-12-31", "total_return": 0.09476570174685683, "traded_notional_by_category": { "entry": 1828694.7399162117, "exit": 1865214.2713888732, "resize": 102973.30967162701 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.075225284388427 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6666666666666665, "annualized_volatility": 0.07139285508411276, "cagr": 0.25519841994257475, "end_nav": 2417210.8015571106, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.026806356604257564, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1925759.914251404, "start_session": "2016-12-30", "total_return": 0.25519841994257475, "traded_notional_by_category": { "entry": 3049053.0341672376, "exit": 3010341.5630815197, "resize": 38711.471085718134 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 3.333333333333333, "annualized_volatility": 0.1778956933771497, "cagr": -0.08728944674060057, "end_nav": 2206213.8080337867, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.20696134904291252, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2417210.8015571106, "start_session": "2017-12-29", "total_return": -0.08728944674060057, "traded_notional_by_category": { "entry": 4105946.561416817, "exit": 4054958.2646639603, "resize": 50988.29675285646 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.333333333333333 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3815213153289305, "annualized_volatility": 0.10776815470509284, "cagr": 0.285269038486599, "end_nav": 2835578.2997474433, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.049432808173728526, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2206213.8080337867, "start_session": "2018-12-31", "total_return": 0.285269038486599, "traded_notional_by_category": { "entry": 1587317.9117101433, "exit": 1568157.1380426437, "resize": 151109.03117424378 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3815213153289305 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0307417016194167, "annualized_volatility": 0.33289351369064696, "cagr": 0.18204757889741763, "end_nav": 3351788.4639905216, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.441672646013082e-16, "max_drawdown": -0.303775045236652, "mean_cash_weight": 1.2314028288523626e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2835578.2997474433, "start_session": "2019-12-31", "total_return": 0.18204757889741763, "traded_notional_by_category": { "entry": 3112188.394078117, "exit": 2965819.532505754, "resize": 232058.84970242903 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0307417016194167 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666666666666666, "annualized_volatility": 0.1614824768036221, "cagr": 0.1472649757890787, "end_nav": 3845389.510990199, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4085693137724227e-16, "max_drawdown": -0.08331437803586383, "mean_cash_weight": 5.304480712503446e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3351788.4639905216, "start_session": "2020-12-31", "total_return": 0.1472649757890787, "traded_notional_by_category": { "entry": 5003169.419878102, "exit": 4881372.894483079, "resize": 121796.525395022 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.666666666666666 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6666666666666665, "annualized_volatility": 0.21656959722325206, "cagr": -0.12505174072313863, "end_nav": 3364516.858882376, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5828070452810748e-16, "max_drawdown": -0.24384151629643924, "mean_cash_weight": 7.363559553401528e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3845389.510990199, "start_session": "2021-12-31", "total_return": -0.12505174072313863, "traded_notional_by_category": { "entry": 4517504.4551085, "exit": 4462220.921700323, "resize": 55283.53340817732 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666666666666666, "annualized_volatility": 0.12173309837806982, "cagr": 0.04726058603159644, "end_nav": 3523525.897346343, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5176085944838444e-16, "max_drawdown": -0.11107670411485482, "mean_cash_weight": 7.194248502821923e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 3364516.858882376, "start_session": "2022-12-30", "total_return": 0.04726058603159644, "traded_notional_by_category": { "entry": 4366791.949492529, "exit": 4257396.492246252, "resize": 109395.45724627725 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.666666666666666 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666666666666666, "annualized_volatility": 0.13094581690273085, "cagr": 0.14267282138304682, "end_nav": 4026237.278336977, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2700498653423685e-16, "max_drawdown": -0.08278344587897435, "mean_cash_weight": 5.913983046382622e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3523525.897346343, "start_session": "2023-12-29", "total_return": 0.14267282138304682, "traded_notional_by_category": { "entry": 5206949.004598291, "exit": 5072879.682729774, "resize": 134069.32186851674 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.666666666666666 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0031348416477526, "annualized_volatility": 0.15517443850588858, "cagr": 0.1241314936423803, "end_nav": 4526020.125455578, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.13253070673029055, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4026237.278336977, "start_session": "2024-12-31", "total_return": 0.1241314936423803, "traded_notional_by_category": { "entry": 4466287.826358322, "exit": 4368348.261964486, "resize": 111493.28849732433 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0031348416477526 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.171491074201554, "annualized_volatility": 0.17716114216681886, "cagr": 0.06621445086106537, "end_nav": 4526020.125455578, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.5328382718045199, "mean_cash_weight": 0.08664850595771752, "nonzero_trade_event_count": 49, "order_count": 218, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 911176.2066158975, "start_session": "2000-12-29", "total_return": 3.9672281745209164, "traded_notional_by_category": { "entry": 54261385.37255171, "exit": 53175177.064333655, "resize": 1595726.0266971209 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 54.28727685503885 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 5493847.664721726, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.0792420026894759, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 1, "order_count": 5, "rebalance_count": 1, "scheduled_reset_count": 1, "session_count": 189, "start_nav": 4526020.125455578, "start_session": "2025-12-31", "total_return": 0.21383633135496272, "traded_notional_by_category": { "entry": 3510238.692339477, "exit": 3207097.3537201937, "resize": 303141.33861928317 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3333333333333333 } }, "monthly_risk": { "beta_intercept_per_month": -0.00021557895446774368, "beta_to_SPY_excess_returns": 0.7648674302845726, "monthly_return_volatility_annualized": 0.14278475008994576, "months": 300, "sharpe_monthly_annualized": 0.40291650067017215, "tracking_error_monthly_annualized": 0.09158697618390695 }, "phase": [ 5, 11 ], "policy": "A", "run_id": "SMIX-05-11-0bps", "signal": "mixed" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.3504115255959395, "annualized_volatility": 0.1627533311184751, "cagr": -0.12988682758297632, "end_nav": 789355.008838454, "end_session": "2001-12-31", "fee_by_category": { "entry": 584.8605565512579, "exit": 1383.8911345601618, "resize": 7.699118360977853 }, "max_cash_weight": 1.0, "max_drawdown": -0.21105652844614142, "mean_cash_weight": 0.0806451612903227, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 907186.5980901801, "start_session": "2000-12-29", "total_return": -0.12988682758297632, "traded_notional_by_category": { "entry": 584860.5565512578, "exit": 1383891.1345601617, "resize": 7699.118360977853 }, "transaction_cost": 1976.4508094723976, "transaction_cost_over_anchor_nav": 0.002178659620449911, "two_sided_turnover": 2.3504115255959395 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6658899619886616, "annualized_volatility": 0.21974400382846818, "cagr": -0.10251070113718885, "end_nav": 708437.6734362722, "end_session": "2002-12-31", "fee_by_category": { "entry": 788.566442396058, "exit": 474.0000922981161, "resize": 5.657154944196431 }, "max_cash_weight": 1.0, "max_drawdown": -0.23993060529388544, "mean_cash_weight": 0.46880060229978593, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 789355.008838454, "start_session": "2001-12-31", "total_return": -0.10251070113718885, "traded_notional_by_category": { "entry": 788566.442396058, "exit": 474000.09229811607, "resize": 5657.154944196431 }, "transaction_cost": 1268.2236896383706, "transaction_cost_over_anchor_nav": 0.0016066581898360004, "two_sided_turnover": 1.6658899619886616 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3414677918795639, "annualized_volatility": 0.05602209163075804, "cagr": 0.09212692712941939, "end_nav": 773703.8593526711, "end_session": "2003-12-31", "fee_by_category": { "entry": 726.2866258047006, "exit": 245.89748119056867, "resize": 2.1859246507076024 }, "max_cash_weight": 0.6889831916852335, "max_drawdown": -0.03585640625794506, "mean_cash_weight": 0.6135770046691418, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 708437.6734362722, "start_session": "2002-12-31", "total_return": 0.09212692712941939, "traded_notional_by_category": { "entry": 726286.6258047005, "exit": 245897.48119056865, "resize": 2185.9246507076023 }, "transaction_cost": 974.3700316459768, "transaction_cost_over_anchor_nav": 0.0013753786228219648, "two_sided_turnover": 1.3414677918795639 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6648909609896605, "annualized_volatility": 0.11801832805337736, "cagr": 0.13043703414985153, "end_nav": 874623.4960769273, "end_session": "2004-12-31", "fee_by_category": { "entry": 1060.2831449956038, "exit": 1023.932398078415, "resize": 38.473435896159266 }, "max_cash_weight": 0.0, "max_drawdown": -0.09771086193626433, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 773703.8593526711, "start_session": "2003-12-31", "total_return": 0.13043703414985153, "traded_notional_by_category": { "entry": 1060283.1449956037, "exit": 1023932.3980784148, "resize": 38473.435896159266 }, "transaction_cost": 2122.6889789701777, "transaction_cost_over_anchor_nav": 0.0027435419292675517, "two_sided_turnover": 2.6648909609896605 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.348355051273704, "annualized_volatility": 0.14419205572001556, "cagr": 0.16967252981481185, "end_nav": 1023023.0772917747, "end_session": "2005-12-30", "fee_by_category": { "entry": 653.183755829634, "exit": 601.8079344591797, "resize": 67.56132296207367 }, "max_cash_weight": 1.1379540150268986e-16, "max_drawdown": -0.10688762878155378, "mean_cash_weight": 9.37750126216098e-18, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 874623.4960769273, "start_session": "2004-12-31", "total_return": 0.16967252981481185, "traded_notional_by_category": { "entry": 653183.755829634, "exit": 601807.9344591798, "resize": 67561.32296207367 }, "transaction_cost": 1322.5530132508875, "transaction_cost_over_anchor_nav": 0.0015121398169419436, "two_sided_turnover": 1.348355051273704 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3308910349896688, "annualized_volatility": 0.1474959741356354, "cagr": 0.15365707868464873, "end_nav": 1180217.8147754085, "end_session": "2006-12-29", "fee_by_category": { "entry": 1875.1176072048554, "exit": 1860.413974925416, "resize": 18.457621483052847 }, "max_cash_weight": 1.1225710937227417e-16, "max_drawdown": -0.1101708755650127, "mean_cash_weight": 4.460210137649743e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1023023.0772917747, "start_session": "2005-12-30", "total_return": 0.15365707868464873, "traded_notional_by_category": { "entry": 1875117.6072048554, "exit": 1860413.9749254158, "resize": 18457.621483052848 }, "transaction_cost": 3753.989203613324, "transaction_cost_over_anchor_nav": 0.0036695058859778345, "two_sided_turnover": 3.3308910349896688 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.673579350209851, "annualized_volatility": 0.13344547015542987, "cagr": 0.17662018619047637, "end_nav": 1388668.1049663583, "end_session": "2007-12-31", "fee_by_category": { "entry": 1766.4654886292242, "exit": 1756.5906339953553, "resize": 24.58852428004489 }, "max_cash_weight": 0.0, "max_drawdown": -0.07647708752438465, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1180217.8147754085, "start_session": "2006-12-29", "total_return": 0.17662018619047637, "traded_notional_by_category": { "entry": 1766465.4886292242, "exit": 1756590.6339953556, "resize": 24588.52428004489 }, "transaction_cost": 3547.6446469046246, "transaction_cost_over_anchor_nav": 0.0030059236545075616, "two_sided_turnover": 2.673579350209851 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6669272431519873, "annualized_volatility": 0.4307800550441812, "cagr": -0.421931269979806, "end_nav": 802745.6078574522, "end_session": "2008-12-31", "fee_by_category": { "entry": 477.9483765810981, "exit": 1233.762628385894, "resize": 48.74671992719808 }, "max_cash_weight": 1.0, "max_drawdown": -0.5331498346880116, "mean_cash_weight": 0.08695652173913043, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1388668.1049663583, "start_session": "2007-12-31", "total_return": -0.421931269979806, "traded_notional_by_category": { "entry": 477948.37658109807, "exit": 1233762.628385894, "resize": 48746.71992719808 }, "transaction_cost": 1760.45772489419, "transaction_cost_over_anchor_nav": 0.0012677310860659816, "two_sided_turnover": 1.6669272431519873 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9990009990009991, "annualized_volatility": 0.02730908699422948, "cagr": 0.02440853869663928, "end_nav": 822339.4550903981, "end_session": "2009-12-31", "fee_by_category": { "entry": 801.9436641932591, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.016007443185795722, "mean_cash_weight": 0.9126984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 802745.6078574522, "start_session": "2008-12-31", "total_return": 0.02440853869663928, "traded_notional_by_category": { "entry": 801943.6641932591, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 801.9436641932591, "transaction_cost_over_anchor_nav": 0.0009990009990009992, "two_sided_turnover": 0.9990009990009991 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.363704896007842, "annualized_volatility": 0.18268882492882232, "cagr": 0.18709717999707998, "end_nav": 976196.8481381469, "end_session": "2010-12-31", "fee_by_category": { "entry": 590.3413499496091, "exit": 578.2224486389562, "resize": 38.395172108717325 }, "max_cash_weight": 1.2243795758027887e-16, "max_drawdown": -0.1594902600454886, "mean_cash_weight": 1.0474256045341017e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 822339.4550903981, "start_session": "2009-12-31", "total_return": 0.18709717999707998, "traded_notional_by_category": { "entry": 590341.3499496093, "exit": 578222.4486389562, "resize": 38395.17210871732 }, "transaction_cost": 1206.9589706972827, "transaction_cost_over_anchor_nav": 0.0014677138050789552, "two_sided_turnover": 1.363704896007842 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778073975342, "annualized_volatility": 0.205052189507189, "cagr": 0.05440900676719851, "end_nav": 1029310.7490546132, "end_session": "2011-12-30", "fee_by_category": { "entry": 1374.2181616824757, "exit": 1350.845027649653, "resize": 26.124321543698258 }, "max_cash_weight": 1.20557554617454e-16, "max_drawdown": -0.1676684208797391, "mean_cash_weight": 4.693827957515112e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 976196.8481381469, "start_session": "2010-12-31", "total_return": 0.05440900676719851, "traded_notional_by_category": { "entry": 1374218.1616824758, "exit": 1350845.0276496531, "resize": 26124.321543698257 }, "transaction_cost": 2751.187510875827, "transaction_cost_over_anchor_nav": 0.002818271249413511, "two_sided_turnover": 2.665778073975342 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.005351404396001, "annualized_volatility": 0.10702061045565754, "cagr": 0.14816034503981346, "end_nav": 1181813.7847877336, "end_session": "2012-12-31", "fee_by_category": { "entry": 1139.3236247969057, "exit": 1135.6227821628556, "resize": 12.548550179873011 }, "max_cash_weight": 0.0, "max_drawdown": -0.07803025382035622, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1029310.7490546132, "start_session": "2011-12-30", "total_return": 0.14816034503981346, "traded_notional_by_category": { "entry": 1139323.6247969058, "exit": 1135622.7821628556, "resize": 12548.550179873011 }, "transaction_cost": 2287.4949571396346, "transaction_cost_over_anchor_nav": 0.0022223560370282936, "two_sided_turnover": 2.005351404396001 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0393321242734777, "annualized_volatility": 0.11112838958141767, "cagr": 0.33517359592949814, "end_nav": 1577926.5607540882, "end_session": "2013-12-31", "fee_by_category": { "entry": 1498.2976552668072, "exit": 1496.6816821642974, "resize": 60.679241053093634 }, "max_cash_weight": 0.0, "max_drawdown": -0.05252805021476237, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1181813.7847877336, "start_session": "2012-12-31", "total_return": 0.33517359592949814, "traded_notional_by_category": { "entry": 1498297.6552668072, "exit": 1496681.6821642974, "resize": 60679.24105309363 }, "transaction_cost": 3055.658578484198, "transaction_cost_over_anchor_nav": 0.002585566878485029, "two_sided_turnover": 2.0393321242734777 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778073975341, "annualized_volatility": 0.12718554739842497, "cagr": 0.03417404225947962, "end_nav": 1631850.6897236537, "end_session": "2014-12-31", "fee_by_category": { "entry": 2173.3387599786815, "exit": 2111.7398938663323, "resize": 65.94989466085507 }, "max_cash_weight": 1.5250967701228889e-16, "max_drawdown": -0.09886969955619362, "mean_cash_weight": 7.158982448140976e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1577926.5607540882, "start_session": "2013-12-31", "total_return": 0.03417404225947962, "traded_notional_by_category": { "entry": 2173338.759978682, "exit": 2111739.8938663322, "resize": 65949.89466085506 }, "transaction_cost": 4351.0285485058685, "transaction_cost_over_anchor_nav": 0.0027574341269891037, "two_sided_turnover": 2.665778073975341 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3343590230786408, "annualized_volatility": 0.16196651980097376, "cagr": 0.0413764403341248, "end_nav": 1699370.862421205, "end_session": "2015-12-31", "fee_by_category": { "entry": 1136.4307906196414, "exit": 1074.8524322041403, "resize": 64.83799341393193 }, "max_cash_weight": 1.5251065504489214e-16, "max_drawdown": -0.11940075964589225, "mean_cash_weight": 8.290889383981109e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1631850.6897236537, "start_session": "2014-12-31", "total_return": 0.0413764403341248, "traded_notional_by_category": { "entry": 1136430.7906196415, "exit": 1074852.4322041404, "resize": 64837.99341393192 }, "transaction_cost": 2276.121216237714, "transaction_cost_over_anchor_nav": 0.0013948097277350568, "two_sided_turnover": 1.3343590230786408 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0740398372425095, "annualized_volatility": 0.12474210074149965, "cagr": 0.09249619555712596, "end_nav": 1856556.2020357985, "end_session": "2016-12-30", "fee_by_category": { "entry": 1763.8447656504623, "exit": 1801.0360653228129, "resize": 99.28475003006612 }, "max_cash_weight": 1.4879882119076482e-16, "max_drawdown": -0.07922720216128487, "mean_cash_weight": 1.216931592393858e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1699370.862421205, "start_session": "2015-12-31", "total_return": 0.09249619555712596, "traded_notional_by_category": { "entry": 1763844.765650462, "exit": 1801036.0653228129, "resize": 99284.75003006612 }, "transaction_cost": 3664.165581003341, "transaction_cost_over_anchor_nav": 0.0021561894828435297, "two_sided_turnover": 2.0740398372425095 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778073975342, "annualized_volatility": 0.07150184329906863, "cagr": 0.25185456949316265, "end_nav": 2324138.3650393854, "end_session": "2017-12-29", "fee_by_category": { "entry": 2933.5146843109665, "exit": 2900.1355639501617, "resize": 39.25202263169689 }, "max_cash_weight": 0.0, "max_drawdown": -0.026806356604257675, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1856556.2020357985, "start_session": "2016-12-30", "total_return": 0.25185456949316265, "traded_notional_by_category": { "entry": 2933514.684310966, "exit": 2900135.5639501614, "resize": 39252.02263169689 }, "transaction_cost": 5872.902270892825, "transaction_cost_over_anchor_nav": 0.003163331260563467, "two_sided_turnover": 2.665778073975342 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3308910349896683, "annualized_volatility": 0.177700382570623, "cagr": -0.09032715548686521, "end_nav": 2114205.557567484, "end_session": "2018-12-31", "fee_by_category": { "entry": 3937.8856674407025, "exit": 3895.803506567294, "resize": 49.96581586327998 }, "max_cash_weight": 0.0, "max_drawdown": -0.2096007624226912, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2324138.3650393854, "start_session": "2017-12-29", "total_return": -0.09032715548686521, "traded_notional_by_category": { "entry": 3937885.667440702, "exit": 3895803.506567294, "resize": 49965.815863279975 }, "transaction_cost": 7883.6549898712765, "transaction_cost_over_anchor_nav": 0.00339207643936366, "two_sided_turnover": 3.3308910349896683 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3810609616750391, "annualized_volatility": 0.10779805567931072, "cagr": 0.2834940861166322, "end_nav": 2713570.329972783, "end_session": "2019-12-31", "fee_by_category": { "entry": 1519.0926981996113, "exit": 1502.758492543214, "resize": 145.61028506229727 }, "max_cash_weight": 0.0, "max_drawdown": -0.049432808173728526, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2114205.557567484, "start_session": "2018-12-31", "total_return": 0.2834940861166322, "traded_notional_by_category": { "entry": 1519092.6981996112, "exit": 1502758.492543214, "resize": 145610.28506229725 }, "transaction_cost": 3167.461475805123, "transaction_cost_over_anchor_nav": 0.0014981804699489441, "two_sided_turnover": 1.3810609616750391 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0300650132816562, "annualized_volatility": 0.3328732104434185, "cagr": 0.17964904389088776, "end_nav": 3201060.645283074, "end_session": "2020-12-31", "fee_by_category": { "entry": 2973.419566361289, "exit": 2836.8183031189424, "resize": 223.39805431543581 }, "max_cash_weight": 0.0, "max_drawdown": -0.303775045236652, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2713570.329972783, "start_session": "2019-12-31", "total_return": 0.17964904389088776, "traded_notional_by_category": { "entry": 2973419.566361289, "exit": 2836818.3031189423, "resize": 223398.05431543582 }, "transaction_cost": 6033.635923795668, "transaction_cost_over_anchor_nav": 0.0022235045309683147, "two_sided_turnover": 2.0300650132816562 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778073975342, "annualized_volatility": 0.16150558754343275, "cagr": 0.14420866019471767, "end_nav": 3662681.3121413845, "end_session": "2021-12-31", "fee_by_category": { "entry": 4768.648261374473, "exit": 4658.734824167797, "resize": 119.4602805727902 }, "max_cash_weight": 1.3383917605033726e-16, "max_drawdown": -0.08453621825174418, "mean_cash_weight": 1.1327832337880344e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3201060.645283074, "start_session": "2020-12-31", "total_return": 0.14420866019471767, "traded_notional_by_category": { "entry": 4768648.261374473, "exit": 4658734.824167797, "resize": 119460.28057279019 }, "transaction_cost": 9546.84336611506, "transaction_cost_over_anchor_nav": 0.0029824000304970225, "two_sided_turnover": 2.665778073975342 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6648909609896605, "annualized_volatility": 0.2166065344999149, "cagr": -0.12738221660976556, "end_nav": 3196120.8478656504, "end_session": "2022-12-30", "fee_by_category": { "entry": 4293.532315951408, "exit": 4248.111907516796, "resize": 54.0160687268069 }, "max_cash_weight": 1.5451243508318294e-16, "max_drawdown": -0.24535232245768512, "mean_cash_weight": 5.66000280078976e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3662681.3121413845, "start_session": "2021-12-31", "total_return": -0.12738221660976556, "traded_notional_by_category": { "entry": 4293532.315951408, "exit": 4248111.907516796, "resize": 54016.0687268069 }, "transaction_cost": 8595.660292195013, "transaction_cost_over_anchor_nav": 0.0023468217842762752, "two_sided_turnover": 2.6648909609896605 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778073975342, "annualized_volatility": 0.1215552857534099, "cagr": 0.04447068227963458, "end_nav": 3338254.5226184004, "end_session": "2023-12-29", "fee_by_category": { "entry": 4139.839282855936, "exit": 4041.518515844216, "resize": 106.6087335439648 }, "max_cash_weight": 0.0, "max_drawdown": -0.11107670411485471, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 3196120.8478656504, "start_session": "2022-12-30", "total_return": 0.04447068227963458, "traded_notional_by_category": { "entry": 4139839.2828559363, "exit": 4041518.5158442156, "resize": 106608.7335439648 }, "transaction_cost": 8287.966532244118, "transaction_cost_over_anchor_nav": 0.0025931330280514176, "two_sided_turnover": 2.665778073975342 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6648909609896605, "annualized_volatility": 0.13114828982547902, "cagr": 0.13962924545921074, "end_nav": 3804372.4827624056, "end_session": "2024-12-31", "fee_by_category": { "entry": 4922.392935307803, "exit": 4803.658076105498, "resize": 128.58949971343065 }, "max_cash_weight": 0.0, "max_drawdown": -0.08339512747558708, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3338254.5226184004, "start_session": "2023-12-29", "total_return": 0.13962924545921074, "traded_notional_by_category": { "entry": 4922392.935307803, "exit": 4803658.076105498, "resize": 128589.49971343065 }, "transaction_cost": 9854.640511126732, "transaction_cost_over_anchor_nav": 0.002952033898061531, "two_sided_turnover": 2.6648909609896605 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0024673525302426, "annualized_volatility": 0.15525722587514443, "cagr": 0.1218814602840872, "end_nav": 4268054.956426086, "end_session": "2025-12-31", "fee_by_category": { "entry": 4213.541041096194, "exit": 4125.7818559137295, "resize": 107.18891614239523 }, "max_cash_weight": 0.0, "max_drawdown": -0.13253070673029044, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 3804372.4827624056, "start_session": "2024-12-31", "total_return": 0.1218814602840872, "traded_notional_by_category": { "entry": 4213541.041096194, "exit": 4125781.8559137294, "resize": 107188.91614239523 }, "transaction_cost": 8446.511813152318, "transaction_cost_over_anchor_nav": 0.0022202115727162426, "two_sided_turnover": 2.0024673525302426 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.1704543143364456, "annualized_volatility": 0.1771732615059923, "cagr": 0.06390128902996062, "end_nav": 4268054.956426086, "end_session": "2025-12-31", "fee_by_category": { "entry": 52112.31722302866, "exit": 51142.6176556298, "resize": 1555.2794220667438 }, "max_cash_weight": 1.0, "max_drawdown": -0.5331498346880116, "mean_cash_weight": 0.0866485059577175, "nonzero_trade_event_count": 49, "order_count": 218, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 907186.5980901801, "start_session": "2000-12-29", "total_return": 3.704715617945906, "traded_notional_by_category": { "entry": 52112317.22302866, "exit": 51142617.655629806, "resize": 1555279.4220667437 }, "transaction_cost": 104810.2143007252, "transaction_cost_over_anchor_nav": 0.11553324808961343, "two_sided_turnover": 54.261357858411145 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 5173814.845210873, "end_session": "2026-10-02", "fee_by_category": { "entry": 3305.756942130192, "exit": 3024.30554369412, "resize": 288.0695304523481 }, "max_cash_weight": 0.0, "max_drawdown": -0.07924200268947612, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 1, "order_count": 5, "rebalance_count": 1, "scheduled_reset_count": 1, "session_count": 189, "start_nav": 4268054.956426086, "start_session": "2025-12-31", "total_return": 0.21221842221620246, "traded_notional_by_category": { "entry": 3305756.9421301917, "exit": 3024305.54369412, "resize": 288069.53045234806 }, "transaction_cost": 6618.13201627666, "transaction_cost_over_anchor_nav": 0.001550620149891051, "two_sided_turnover": 1.3328890369876707 } }, "monthly_risk": { "beta_intercept_per_month": -0.00039914736405501083, "beta_to_SPY_excess_returns": 0.7651551355572729, "monthly_return_volatility_annualized": 0.1427981930308216, "months": 300, "sharpe_monthly_annualized": 0.3876262570907331, "tracking_error_monthly_annualized": 0.09153800061728236 }, "phase": [ 5, 11 ], "policy": "A", "run_id": "SMIX-05-11-10bps", "signal": "mixed" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.34839095972223, "annualized_volatility": 0.16292065858179305, "cagr": -0.13295115880663055, "end_nav": 781417.3833779099, "end_session": "2001-12-31", "fee_by_category": { "entry": 1449.624848914434, "exit": 3433.0712779416394, "resize": 17.6521000152528 }, "max_cash_weight": 1.0, "max_drawdown": -0.21265279631958367, "mean_cash_weight": 0.08064516129032263, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 901238.0228804642, "start_session": "2000-12-29", "total_return": -0.13295115880663055, "traded_notional_by_category": { "entry": 579849.9395657736, "exit": 1373228.5111766558, "resize": 7060.84000610112 }, "transaction_cost": 4900.348226871326, "transaction_cost_over_anchor_nav": 0.005437351845419514, "two_sided_turnover": 2.34839095972223 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6647289199852748, "annualized_volatility": 0.21984989195344107, "cagr": -0.10475136951885167, "end_nav": 699562.8423032362, "end_session": "2002-12-31", "fee_by_category": { "entry": 1948.6717789972818, "exit": 1171.32882334794, "resize": 14.572868718297977 }, "max_cash_weight": 1.0, "max_drawdown": -0.24106786623359522, "mean_cash_weight": 0.46880060229978593, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 781417.3833779099, "start_session": "2001-12-31", "total_return": -0.10475136951885167, "traded_notional_by_category": { "entry": 779468.7115989127, "exit": 468531.529339176, "resize": 5829.147487319191 }, "transaction_cost": 3134.5734710635197, "transaction_cost_over_anchor_nav": 0.004011394598765375, "two_sided_turnover": 1.6647289199852748 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3407976164631379, "annualized_volatility": 0.055859474219245496, "cagr": 0.0899308086446522, "end_nav": 762475.0944093176, "end_session": "2003-12-31", "fee_by_category": { "entry": 1789.9629134594297, "exit": 607.0426069469715, "resize": 5.990859626467282 }, "max_cash_weight": 0.6889831916852335, "max_drawdown": -0.03585640625794484, "mean_cash_weight": 0.6135770046691418, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 699562.8423032362, "start_session": "2002-12-31", "total_return": 0.0899308086446522, "traded_notional_by_category": { "entry": 715985.1653837718, "exit": 242817.04277878863, "resize": 2396.3438505869126 }, "transaction_cost": 2402.9963800328687, "transaction_cost_over_anchor_nav": 0.003434997164974141, "two_sided_turnover": 1.3407976164631379 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6622351543992395, "annualized_volatility": 0.11812472907390868, "cagr": 0.12592167403594345, "end_nav": 858487.2347080528, "end_session": "2004-12-31", "fee_by_category": { "entry": 2603.701633765987, "exit": 2520.8260180399698, "resize": 95.92675173486874 }, "max_cash_weight": 1.3994484190888806e-16, "max_drawdown": -0.09771086193626433, "mean_cash_weight": 1.1955521054812686e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 762475.0944093176, "start_session": "2003-12-31", "total_return": 0.12592167403594345, "traded_notional_by_category": { "entry": 1041480.6535063948, "exit": 1008330.4072159879, "resize": 38370.700693947496 }, "transaction_cost": 5220.454403540825, "transaction_cost_over_anchor_nav": 0.00684672121334673, "two_sided_turnover": 2.6622351543992395 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.348348324520988, "annualized_volatility": 0.1440243161663859, "cagr": 0.16730645020384838, "end_nav": 1002117.6864923752, "end_session": "2005-12-30", "fee_by_category": { "entry": 1600.3752944763137, "exit": 1475.9955659774769, "resize": 167.2215483703099 }, "max_cash_weight": 1.4061724049215443e-16, "max_drawdown": -0.10688762878155378, "mean_cash_weight": 6.270117766773186e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 858487.2347080528, "start_session": "2004-12-31", "total_return": 0.16730645020384838, "traded_notional_by_category": { "entry": 640150.1177905255, "exit": 590398.2263909907, "resize": 66888.61934812396 }, "transaction_cost": 3243.5924088241004, "transaction_cost_over_anchor_nav": 0.0037782651595595993, "two_sided_turnover": 1.348348324520988 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.327235616205116, "annualized_volatility": 0.1476231009832551, "cagr": 0.14790049455638865, "end_nav": 1150331.3879283015, "end_session": "2006-12-29", "fee_by_category": { "entry": 4574.3239037297235, "exit": 4550.299333944158, "resize": 46.95351165889675 }, "max_cash_weight": 1.1459892887418569e-16, "max_drawdown": -0.11195083195657818, "mean_cash_weight": 4.5532555326485875e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1002117.6864923752, "start_session": "2005-12-30", "total_return": 0.14790049455638865, "traded_notional_by_category": { "entry": 1829729.5614918894, "exit": 1820119.733577663, "resize": 18781.4046635587 }, "transaction_cost": 9171.576749332778, "transaction_cost_over_anchor_nav": 0.00915219526903596, "two_sided_turnover": 3.327235616205116 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6702523136158627, "annualized_volatility": 0.13336071027767904, "cagr": 0.17190701529922303, "end_nav": 1348081.4234320684, "end_session": "2007-12-31", "fee_by_category": { "entry": 4290.214889402747, "exit": 4276.96155597196, "resize": 59.914684620218466 }, "max_cash_weight": 0.0, "max_drawdown": -0.07741280718167498, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1150331.3879283015, "start_session": "2006-12-29", "total_return": 0.17190701529922303, "traded_notional_by_category": { "entry": 1716085.9557610985, "exit": 1710784.6223887838, "resize": 23965.873848087387 }, "transaction_cost": 8627.091129994924, "transaction_cost_over_anchor_nav": 0.007499657247058131, "two_sided_turnover": 2.6702523136158627 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6672226855713095, "annualized_volatility": 0.43086622891624143, "cagr": -0.4233774793791434, "end_nav": 777334.1083815517, "end_session": "2008-12-31", "fee_by_category": { "entry": 1158.7863471175249, "exit": 2992.3047799718042, "resize": 120.4958054309011 }, "max_cash_weight": 1.0, "max_drawdown": -0.5336175240617268, "mean_cash_weight": 0.08695652173913043, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1348081.4234320684, "start_session": "2007-12-31", "total_return": -0.4233774793791434, "traded_notional_by_category": { "entry": 463514.53884700994, "exit": 1196921.9119887217, "resize": 48198.32217236044 }, "transaction_cost": 4271.58693252023, "transaction_cost_over_anchor_nav": 0.0031686416400911713, "two_sided_turnover": 1.6672226855713095 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9975062344139652, "annualized_volatility": 0.02702845831565716, "cagr": 0.022875757840734146, "end_nav": 795116.215206231, "end_session": "2009-12-31", "fee_by_category": { "entry": 1938.489048333047, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.016007443185795833, "mean_cash_weight": 0.9126984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 777334.1083815517, "start_session": "2008-12-31", "total_return": 0.022875757840734146, "traded_notional_by_category": { "entry": 775395.6193332188, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 1938.489048333047, "transaction_cost_over_anchor_nav": 0.0024937655860349135, "two_sided_turnover": 0.9975062344139652 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3630236112970973, "annualized_volatility": 0.18266306672505978, "cagr": 0.18467051150856295, "end_nav": 941950.7333771182, "end_session": "2010-12-31", "fee_by_category": { "entry": 1424.7473524879301, "exit": 1396.9095796673462, "resize": 92.80279695656085 }, "max_cash_weight": 1.268893839636601e-16, "max_drawdown": -0.16036540114427433, "mean_cash_weight": 1.0855064257336472e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 795116.215206231, "start_session": "2009-12-31", "total_return": 0.18467051150856295, "traded_notional_by_category": { "entry": 569898.9409951721, "exit": 558763.8318669385, "resize": 37121.11878262434 }, "transaction_cost": 2914.459729111837, "transaction_cost_over_anchor_nav": 0.0036654512552682724, "two_sided_turnover": 1.3630236112970973 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6644462947543714, "annualized_volatility": 0.2052566570055824, "cagr": 0.05019488321703425, "end_nav": 989231.8404351826, "end_session": "2011-12-30", "fee_by_category": { "entry": 3305.1525951433377, "exit": 3255.4657215898014, "resize": 66.25405448157252 }, "max_cash_weight": 1.2494061596497926e-16, "max_drawdown": -0.16933336291577072, "mean_cash_weight": 5.86124719404803e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 941950.7333771182, "start_session": "2010-12-31", "total_return": 0.05019488321703425, "traded_notional_by_category": { "entry": 1322061.0380573352, "exit": 1302186.2886359207, "resize": 26501.621792629012 }, "transaction_cost": 6626.872371214713, "transaction_cost_over_anchor_nav": 0.007035264304594566, "two_sided_turnover": 2.6644462947543714 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.003682440034897, "annualized_volatility": 0.10730894535829381, "cagr": 0.1447098960162898, "end_nav": 1132383.4772005607, "end_session": "2012-12-31", "fee_by_category": { "entry": 2730.88948825979, "exit": 2726.61347484796, "resize": 29.970063251326213 }, "max_cash_weight": 1.1836438993204e-16, "max_drawdown": -0.07803025382035622, "mean_cash_weight": 4.6959060570198134e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 989231.8404351826, "start_session": "2011-12-30", "total_return": 0.1447098960162898, "traded_notional_by_category": { "entry": 1092355.795303916, "exit": 1090645.3899391838, "resize": 11988.025300530484 }, "transaction_cost": 5487.473026359076, "transaction_cost_over_anchor_nav": 0.005547206228162883, "two_sided_turnover": 2.003682440034897 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0383133072255477, "annualized_volatility": 0.11117407103347385, "cagr": 0.33109097360634365, "end_nav": 1507305.4251626313, "end_session": "2013-12-31", "fee_by_category": { "entry": 3580.3592974302283, "exit": 3582.6704757353177, "resize": 147.73337596067404 }, "max_cash_weight": 0.0, "max_drawdown": -0.05252805021476237, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1132383.4772005607, "start_session": "2012-12-31", "total_return": 0.33109097360634365, "traded_notional_by_category": { "entry": 1432143.718972091, "exit": 1433068.190294127, "resize": 59093.35038426961 }, "transaction_cost": 7310.76314912622, "transaction_cost_over_anchor_nav": 0.0064560842650226895, "two_sided_turnover": 2.0383133072255477 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6644462947543714, "annualized_volatility": 0.12730751237513857, "cagr": 0.030040791160063973, "end_nav": 1552586.0726543732, "end_session": "2014-12-31", "fee_by_category": { "entry": 5174.618673167346, "exit": 5038.132666716036, "resize": 162.42394466267635 }, "max_cash_weight": 0.0, "max_drawdown": -0.09886969955619385, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1507305.4251626313, "start_session": "2013-12-31", "total_return": 0.030040791160063973, "traded_notional_by_category": { "entry": 2069847.4692669383, "exit": 2015253.066686414, "resize": 64969.57786507055 }, "transaction_cost": 10375.175284546058, "transaction_cost_over_anchor_nav": 0.006883260095362971, "two_sided_turnover": 2.6644462947543714 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3344453711426187, "annualized_volatility": 0.161895277427878, "cagr": 0.03929151333787373, "end_nav": 1613589.5290362695, "end_session": "2015-12-31", "fee_by_category": { "entry": 2699.0068579961217, "exit": 2555.325004333162, "resize": 157.21071009401697 }, "max_cash_weight": 0.0, "max_drawdown": -0.11940075964589214, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1552586.0726543732, "start_session": "2014-12-31", "total_return": 0.03929151333787373, "traded_notional_by_category": { "entry": 1079602.7431984488, "exit": 1022130.0017332649, "resize": 62884.28403760679 }, "transaction_cost": 5411.542572423301, "transaction_cost_over_anchor_nav": 0.00348550245795486, "two_sided_turnover": 1.3344453711426187 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0722649938161815, "annualized_volatility": 0.12483063593058578, "cagr": 0.08910083596187035, "end_nav": 1757361.7049727219, "end_session": "2016-12-30", "fee_by_category": { "entry": 4177.080110777315, "exit": 4272.155927832462, "resize": 235.00679737590923 }, "max_cash_weight": 1.3859630595830579e-16, "max_drawdown": -0.07922720216128476, "mean_cash_weight": 1.1121756985274712e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1613589.5290362695, "start_session": "2015-12-31", "total_return": 0.08910083596187035, "traded_notional_by_category": { "entry": 1670832.044310926, "exit": 1708862.3711329852, "resize": 94002.71895036369 }, "transaction_cost": 8684.242835985686, "transaction_cost_over_anchor_nav": 0.005381940499559653, "two_sided_turnover": 2.0722649938161815 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664446294754371, "annualized_volatility": 0.07175740777703489, "cagr": 0.24685132142829969, "end_nav": 2191168.764072728, "end_session": "2017-12-29", "fee_by_category": { "entry": 6920.804527536884, "exit": 6855.769309632196, "resize": 99.7259674161498 }, "max_cash_weight": 1.322731712537677e-16, "max_drawdown": -0.026806356604257564, "mean_cash_weight": 5.112177737936998e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1757361.7049727219, "start_session": "2016-12-30", "total_return": 0.24685132142829969, "traded_notional_by_category": { "entry": 2768321.8110147538, "exit": 2742307.7238528784, "resize": 39890.38696645992 }, "transaction_cost": 13876.29980458523, "transaction_cost_over_anchor_nav": 0.007896097750007942, "two_sided_turnover": 2.664446294754371 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3272356162051153, "annualized_volatility": 0.17746943733678938, "cagr": -0.09486629311743755, "end_nav": 1983300.705830431, "end_session": "2018-12-31", "fee_by_category": { "entry": 9246.354722294855, "exit": 9171.628940379542, "resize": 121.07342463358101 }, "max_cash_weight": 0.0, "max_drawdown": -0.21354474178197735, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2191168.764072728, "start_session": "2017-12-29", "total_return": -0.09486629311743755, "traded_notional_by_category": { "entry": 3698541.8889179416, "exit": 3668651.576151817, "resize": 48429.36985343241 }, "transaction_cost": 18539.057087307978, "transaction_cost_over_anchor_nav": 0.00846080748835129, "two_sided_turnover": 3.3272356162051153 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 1.380371006157133, "annualized_volatility": 0.10787369921156079, "cagr": 0.280834183458887, "end_nav": 2540279.3401057543, "end_session": "2019-12-31", "fee_by_category": { "entry": 3555.4619619349123, "exit": 3524.2812226626384, "resize": 344.30979145914546 }, "max_cash_weight": 0.0, "max_drawdown": -0.05117209374235254, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1983300.705830431, "start_session": "2018-12-31", "total_return": 0.280834183458887, "traded_notional_by_category": { "entry": 1422184.784773965, "exit": 1409712.4890650553, "resize": 137723.9165836582 }, "transaction_cost": 7424.052976056696, "transaction_cost_over_anchor_nav": 0.003743281568060633, "two_sided_turnover": 1.380371006157133 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.029050825931141, "annualized_volatility": 0.332855556241561, "cagr": 0.17605835067044673, "end_nav": 2987516.7309669843, "end_session": "2020-12-31", "fee_by_category": { "entry": 6941.809514331268, "exit": 6634.268368746704, "resize": 527.4651432919252 }, "max_cash_weight": 0.0, "max_drawdown": -0.3037750452366521, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2540279.3401057543, "start_session": "2019-12-31", "total_return": 0.17605835067044673, "traded_notional_by_category": { "entry": 2776723.805732507, "exit": 2653707.3474986814, "resize": 210986.05731677008 }, "transaction_cost": 14103.543026369896, "transaction_cost_over_anchor_nav": 0.005551965409356418, "two_sided_turnover": 2.029050825931141 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6644462947543714, "annualized_volatility": 0.16158122395235844, "cagr": 0.13963563717397198, "end_nav": 3404680.5332634607, "end_session": "2021-12-31", "fee_by_category": { "entry": 11093.030030800684, "exit": 10858.941658513068, "resize": 289.69253284300385 }, "max_cash_weight": 0.0, "max_drawdown": -0.08636745254698508, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2987516.7309669843, "start_session": "2020-12-31", "total_return": 0.13963563717397198, "traded_notional_by_category": { "entry": 4437212.012320273, "exit": 4343576.6634052275, "resize": 115877.01313720155 }, "transaction_cost": 22241.66422215676, "transaction_cost_over_anchor_nav": 0.007444866832580947, "two_sided_turnover": 2.6644462947543714 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.66223515439924, "annualized_volatility": 0.21669988237472165, "cagr": -0.1308677566396622, "end_nav": 2959117.6298005427, "end_session": "2022-12-30", "fee_by_category": { "entry": 9945.299961020271, "exit": 9864.905376999992, "resize": 130.24571164443972 }, "max_cash_weight": 0.0, "max_drawdown": -0.24761288030493556, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3404680.5332634607, "start_session": "2021-12-31", "total_return": -0.1308677566396622, "traded_notional_by_category": { "entry": 3978119.984408108, "exit": 3945962.150799996, "resize": 52098.28465777589 }, "transaction_cost": 19940.4510496647, "transaction_cost_over_anchor_nav": 0.005856775945598439, "two_sided_turnover": 2.66223515439924 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664446294754371, "annualized_volatility": 0.12134433694726714, "cagr": 0.040296278920595396, "end_nav": 3078359.0591698363, "end_session": "2023-12-29", "fee_by_category": { "entry": 9553.060609539252, "exit": 9344.877070037192, "resize": 256.06855508872485 }, "max_cash_weight": 0.0, "max_drawdown": -0.11107670411485471, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 2959117.6298005427, "start_session": "2022-12-30", "total_return": 0.040296278920595396, "traded_notional_by_category": { "entry": 3821224.2438157005, "exit": 3737950.828014876, "resize": 102427.42203548993 }, "transaction_cost": 19154.00623466517, "transaction_cost_over_anchor_nav": 0.006472877604381084, "two_sided_turnover": 2.664446294754371 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6622351543992395, "annualized_volatility": 0.1315129146237269, "cagr": 0.1350771684446248, "end_nav": 3494175.0843383567, "end_session": "2024-12-31", "fee_by_category": { "entry": 11310.777201934528, "exit": 11065.622915888971, "resize": 301.8499111179111 }, "max_cash_weight": 0.0, "max_drawdown": -0.08431341511020196, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3078359.0591698363, "start_session": "2023-12-29", "total_return": 0.1350771684446248, "traded_notional_by_category": { "entry": 4524310.880773811, "exit": 4426249.166355588, "resize": 120739.96444716444 }, "transaction_cost": 22678.25002894141, "transaction_cost_over_anchor_nav": 0.007366993126220051, "two_sided_turnover": 2.6622351543992395 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0014669525206514, "annualized_volatility": 0.15540779425060136, "cagr": 0.1185129776522531, "end_nav": 3908280.1780216084, "end_session": "2025-12-31", "fee_by_category": { "entry": 9652.148037082352, "exit": 9467.078797360544, "resize": 252.4418268070597 }, "max_cash_weight": 0.0, "max_drawdown": -0.13253070673029044, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 3494175.0843383567, "start_session": "2024-12-31", "total_return": 0.1185129776522531, "traded_notional_by_category": { "entry": 3860859.21483294, "exit": 3786831.518944218, "resize": 100976.73072282388 }, "transaction_cost": 19371.668661249954, "transaction_cost_over_anchor_nav": 0.005543989122948628, "two_sided_turnover": 2.0014669525206514 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.168930949271914, "annualized_volatility": 0.17722105127203344, "cagr": 0.06043938055880793, "end_nav": 3908280.1780216084, "end_session": "2025-12-31", "fee_by_category": { "entry": 122664.75159993356, "exit": 120642.47647308485, "resize": 3743.00273725989 }, "max_cash_weight": 1.0, "max_drawdown": -0.5336175240617268, "mean_cash_weight": 0.0866485059577175, "nonzero_trade_event_count": 49, "order_count": 218, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 901238.0228804642, "start_session": "2000-12-29", "total_return": 3.336568230366356, "traded_notional_by_category": { "entry": 49065900.639973424, "exit": 48256990.58923394, "resize": 1497201.094903956 }, "transaction_cost": 247050.2308102783, "transaction_cost_over_anchor_nav": 0.27412317782673695, "two_sided_turnover": 54.223273731797846 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 4728212.265126471, "end_session": "2026-10-02", "fee_by_category": { "entry": 7552.609141867105, "exit": 6923.430889112831, "resize": 667.0359426884459 }, "max_cash_weight": 0.0, "max_drawdown": -0.0792420026894759, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 1, "order_count": 5, "rebalance_count": 1, "scheduled_reset_count": 1, "session_count": 189, "start_nav": 3908280.1780216084, "start_session": "2025-12-31", "total_return": 0.20979357921056652, "traded_notional_by_category": { "entry": 3021043.656746842, "exit": 2769372.3556451323, "resize": 266814.3770753783 }, "transaction_cost": 15143.075973668381, "transaction_cost_over_anchor_nav": 0.003874613713424682, "two_sided_turnover": 1.3322231473771857 } }, "monthly_risk": { "beta_intercept_per_month": -0.0006741764421310604, "beta_to_SPY_excess_returns": 0.7655859779700177, "monthly_return_volatility_annualized": 0.14285061476577432, "months": 300, "sharpe_monthly_annualized": 0.36464127751613845, "tracking_error_monthly_annualized": 0.09151502009055903 }, "phase": [ 5, 11 ], "policy": "A", "run_id": "SMIX-05-11-25bps", "signal": "mixed" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.351086393924573, "annualized_volatility": 0.16270616011332661, "cagr": -0.1288630353351582, "end_nav": 792019.438189157, "end_session": "2001-12-31", "fee_by_category": { "entry": 293.2705803515115, "exit": 693.7328198411569, "resize": 3.9570401748829753 }, "max_cash_weight": 1.0, "max_drawdown": -0.2105233755082353, "mean_cash_weight": 0.08064516129032258, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 909179.0043530937, "start_session": "2000-12-29", "total_return": -0.1288630353351582, "traded_notional_by_category": { "entry": 586541.160703023, "exit": 1387465.6396823137, "resize": 7914.080349765951 }, "transaction_cost": 990.9604403675512, "transaction_cost_over_anchor_nav": 0.0010899508629465629, "two_sided_turnover": 2.351086393924573 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 1.6662780461744453, "annualized_volatility": 0.2197117843526878, "cagr": -0.10176251858562235, "end_nav": 711421.5453902588, "end_session": "2002-12-31", "fee_by_category": { "entry": 395.81181318798446, "exit": 237.91886884473797, "resize": 2.799410459967636 }, "max_cash_weight": 1.0, "max_drawdown": -0.23955076051891988, "mean_cash_weight": 0.468800602299786, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 792019.438189157, "start_session": "2001-12-31", "total_return": -0.10176251858562235, "traded_notional_by_category": { "entry": 791623.6263759689, "exit": 475837.73768947594, "resize": 5598.820919935271 }, "transaction_cost": 636.5300924926901, "transaction_cost_over_anchor_nav": 0.0008036798868826101, "two_sided_turnover": 1.6662780461744453 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3416913325880924, "annualized_volatility": 0.056084308188768923, "cagr": 0.0928599461473485, "end_nav": 777484.1117832616, "end_session": "2003-12-31", "fee_by_category": { "entry": 364.87698720435395, "exit": 123.4665889715018, "resize": 1.0571784451093262 }, "max_cash_weight": 0.6889831916852335, "max_drawdown": -0.03585640625794495, "mean_cash_weight": 0.6135770046691418, "nonzero_trade_event_count": 2, "order_count": 5, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 711421.5453902588, "start_session": "2002-12-31", "total_return": 0.0928599461473485, "traded_notional_by_category": { "entry": 729753.9744087078, "exit": 246933.1779430036, "resize": 2114.3568902186526 }, "transaction_cost": 489.40075462096513, "transaction_cost_over_anchor_nav": 0.0006879195011622799, "two_sided_turnover": 1.3416913325880924 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778296049508, "annualized_volatility": 0.1180015646711172, "cagr": 0.13194566710202538, "end_nav": 880069.7715737298, "end_session": "2004-12-31", "fee_by_category": { "entry": 533.3133274430903, "exit": 514.5939181050074, "resize": 19.252989455584583 }, "max_cash_weight": 0.0, "max_drawdown": -0.09771086193626433, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 777484.1117832616, "start_session": "2003-12-31", "total_return": 0.13194566710202538, "traded_notional_by_category": { "entry": 1066626.6548861805, "exit": 1029187.836210015, "resize": 38505.978911169164 }, "transaction_cost": 1067.1602350036824, "transaction_cost_over_anchor_nav": 0.0013725814056264258, "two_sided_turnover": 2.665778296049508 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3483574433403462, "annualized_volatility": 0.1442511530175709, "cagr": 0.1704617604732841, "end_nav": 1030088.0141755089, "end_session": "2005-12-30", "fee_by_category": { "entry": 328.7935255075288, "exit": 302.83006553663836, "resize": 33.89304793485475 }, "max_cash_weight": 0.0, "max_drawdown": -0.10688762878155378, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 880069.7715737298, "start_session": "2004-12-31", "total_return": 0.1704617604732841, "traded_notional_by_category": { "entry": 657587.0510150575, "exit": 605660.1310732767, "resize": 67786.0958697095 }, "transaction_cost": 665.5166389790219, "transaction_cost_over_anchor_nav": 0.0007562089512391197, "two_sided_turnover": 1.3483574433403462 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3321116478921016, "annualized_volatility": 0.14747291443925503, "cagr": 0.15558182989225755, "end_nav": 1190350.9923710162, "end_session": "2006-12-29", "fee_by_category": { "entry": 945.2479219913375, "exit": 937.0212664335522, "resize": 9.172376340167538 }, "max_cash_weight": 0.0, "max_drawdown": -0.10957716128787287, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1030088.0141755089, "start_session": "2005-12-30", "total_return": 0.15558182989225755, "traded_notional_by_category": { "entry": 1890495.8439826749, "exit": 1874042.5328671045, "resize": 18344.752680335077 }, "transaction_cost": 1891.4415647650574, "transaction_cost_over_anchor_nav": 0.0018361941297598567, "two_sided_turnover": 3.3321116478921016 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6746904294204352, "annualized_volatility": 0.13349066759919856, "cagr": 0.17819544480925953, "end_nav": 1402466.116935713, "end_session": "2007-12-31", "fee_by_category": { "entry": 891.7925350516404, "exit": 886.0647637875592, "resize": 12.39981887718753 }, "max_cash_weight": 0.0, "max_drawdown": -0.0761649730689038, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1190350.9923710162, "start_session": "2006-12-29", "total_return": 0.17819544480925953, "traded_notional_by_category": { "entry": 1783585.0701032807, "exit": 1772129.5275751182, "resize": 24799.637754375057 }, "transaction_cost": 1790.257117716387, "transaction_cost_over_anchor_nav": 0.001503974146440992, "two_sided_turnover": 2.6746904294204352 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 1.667038379169843, "annualized_volatility": 0.4307529352526343, "cagr": -0.42144898836926037, "end_nav": 811398.190730992, "end_session": "2008-12-31", "fee_by_category": { "entry": 241.4291925128949, "exit": 623.146114460066, "resize": 24.615537278184405 }, "max_cash_weight": 1.0, "max_drawdown": -0.5329940792055128, "mean_cash_weight": 0.08695652173913043, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1402466.116935713, "start_session": "2007-12-31", "total_return": -0.42144898836926037, "traded_notional_by_category": { "entry": 482858.3850257898, "exit": 1246292.228920132, "resize": 49231.07455636881 }, "transaction_cost": 889.1908442511452, "transaction_cost_over_anchor_nav": 0.0006340194843309034, "two_sided_turnover": 1.667038379169843 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.9995002498750625, "annualized_volatility": 0.027420586797441925, "cagr": 0.02492048699184002, "end_nav": 831618.6287883063, "end_session": "2009-12-31", "fee_by_category": { "entry": 405.4963471919001, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.016007443185795833, "mean_cash_weight": 0.9126984126984127, "nonzero_trade_event_count": 1, "order_count": 3, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 811398.190730992, "start_session": "2008-12-31", "total_return": 0.02492048699184002, "traded_notional_by_category": { "entry": 810992.6943838001, "exit": 0.0, "resize": 0.0 }, "transaction_cost": 405.4963471919001, "transaction_cost_over_anchor_nav": 0.0004997501249375313, "two_sided_turnover": 0.9995002498750625 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3639321422827977, "annualized_volatility": 0.18269996822990126, "cagr": 0.18790716068277602, "end_nav": 987885.7240948204, "end_session": "2010-12-31", "fee_by_category": { "entry": 298.6582998293721, "exit": 292.4287756677208, "resize": 19.41473169272809 }, "max_cash_weight": 1.5023339665162347e-16, "max_drawdown": -0.15919835190250098, "mean_cash_weight": 1.2328381181636378e-16, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 831618.6287883063, "start_session": "2009-12-31", "total_return": 0.18790716068277602, "traded_notional_by_category": { "entry": 597316.5996587442, "exit": 584857.5513354416, "resize": 38829.46338545618 }, "transaction_cost": 610.501807189821, "transaction_cost_over_anchor_nav": 0.0007341127123130235, "two_sided_turnover": 1.3639321422827977 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666222296283953, "annualized_volatility": 0.2049924309381029, "cagr": 0.05581652762867706, "end_nav": 1043026.0749077345, "end_session": "2011-12-30", "fee_by_category": { "entry": 696.0275976844098, "exit": 683.7320052803466, "resize": 12.991968189640408 }, "max_cash_weight": 0.0, "max_drawdown": -0.1671130702755972, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 987885.7240948204, "start_session": "2010-12-31", "total_return": 0.05581652762867706, "traded_notional_by_category": { "entry": 1392055.1953688194, "exit": 1367464.010560693, "resize": 25983.936379280814 }, "transaction_cost": 1392.7515711543967, "transaction_cost_over_anchor_nav": 0.0014098306486112517, "two_sided_turnover": 2.666222296283953 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0059091344800395, "annualized_volatility": 0.1069347168214843, "cagr": 0.14931279882871595, "end_nav": 1198763.2174035383, "end_session": "2012-12-31", "fee_by_category": { "entry": 577.7110057044993, "exit": 575.5106262185814, "resize": 6.371038221255789 }, "max_cash_weight": 0.0, "max_drawdown": -0.07803025382035622, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1043026.0749077345, "start_session": "2011-12-30", "total_return": 0.14931279882871595, "traded_notional_by_category": { "entry": 1155422.0114089986, "exit": 1151021.2524371627, "resize": 12742.076442511578 }, "transaction_cost": 1159.5926701443366, "transaction_cost_over_anchor_nav": 0.0011117580835617303, "two_sided_turnover": 2.0059091344800395 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0396719563221817, "annualized_volatility": 0.11112335120308828, "cagr": 0.33653663586752414, "end_nav": 1602190.9577902546, "end_session": "2013-12-31", "fee_by_category": { "entry": 760.5090668676678, "exit": 759.2524085609556, "resize": 30.606410911226646 }, "max_cash_weight": 0.0, "max_drawdown": -0.05252805021476237, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1198763.2174035383, "start_session": "2012-12-31", "total_return": 0.33653663586752414, "traded_notional_by_category": { "entry": 1521018.1337353354, "exit": 1518504.8171219113, "resize": 61212.82182245329 }, "transaction_cost": 1550.36788633985, "transaction_cost_over_anchor_nav": 0.0012933061874369736, "two_sided_turnover": 2.0396719563221817 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666222296283953, "annualized_volatility": 0.12715870552579125, "cagr": 0.035554551653403266, "end_nav": 1659156.1389576239, "end_session": "2014-12-31", "fee_by_category": { "entry": 1104.4835334850543, "exit": 1072.4565113400818, "resize": 33.13205819648336 }, "max_cash_weight": 0.0, "max_drawdown": -0.09886969955619362, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1602190.9577902546, "start_session": "2013-12-31", "total_return": 0.035554551653403266, "traded_notional_by_category": { "entry": 2208967.0669701085, "exit": 2144913.0226801634, "resize": 66264.11639296671 }, "transaction_cost": 2210.072103021619, "transaction_cost_over_anchor_nav": 0.001379406176445881, "two_sided_turnover": 2.666222296283953 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3343590828626315, "annualized_volatility": 0.1619930262340699, "cagr": 0.04207180522498266, "end_nav": 1728959.8328736832, "end_session": "2015-12-31", "fee_by_category": { "entry": 578.0132895399074, "exit": 546.5103023817812, "resize": 32.773086804746015 }, "max_cash_weight": 1.4995065245370593e-16, "max_drawdown": -0.11940075964589214, "mean_cash_weight": 6.981655337985683e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1659156.1389576239, "start_session": "2014-12-31", "total_return": 0.04207180522498266, "traded_notional_by_category": { "entry": 1156026.579079815, "exit": 1093020.6047635626, "resize": 65546.17360949202 }, "transaction_cost": 1157.2966787264347, "transaction_cost_over_anchor_nav": 0.0006975212588813457, "two_sided_turnover": 1.3343590828626315 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 2.07463233860184, "annualized_volatility": 0.1247217991833567, "cagr": 0.09363035413506915, "end_nav": 1890842.9543109562, "end_session": "2016-12-30", "fee_by_category": { "entry": 897.9892906647663, "exit": 916.4228506856117, "resize": 50.55593630220578 }, "max_cash_weight": 1.3018734627392515e-16, "max_drawdown": -0.07922720216128487, "mean_cash_weight": 7.464144429297796e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1728959.8328736832, "start_session": "2015-12-31", "total_return": 0.09363035413506915, "traded_notional_by_category": { "entry": 1795978.5813295327, "exit": 1832845.7013712232, "resize": 101111.87260441156 }, "transaction_cost": 1864.9680776525838, "transaction_cost_over_anchor_nav": 0.0010786647799404588, "two_sided_turnover": 2.07463233860184 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6662222962839524, "annualized_volatility": 0.07144117917976273, "cagr": 0.25352565861587517, "end_nav": 2370220.1596418284, "end_session": "2017-12-29", "fee_by_category": { "entry": 1495.3643211917642, "exit": 1477.3635525679495, "resize": 19.496881001194822 }, "max_cash_weight": 1.2293554323308567e-16, "max_drawdown": -0.026806356604257564, "mean_cash_weight": 4.7512911451381756e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1890842.9543109562, "start_session": "2016-12-30", "total_return": 0.25352565861587517, "traded_notional_by_category": { "entry": 2990728.642383528, "exit": 2954727.105135899, "resize": 38993.762002389645 }, "transaction_cost": 2992.224754760908, "transaction_cost_over_anchor_nav": 0.0015824819020209468, "two_sided_turnover": 2.6662222962839524 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 3.332111647892101, "annualized_volatility": 0.17779389843692261, "cagr": -0.08880946540516255, "end_nav": 2159722.1743714986, "end_session": "2018-12-31", "fee_by_category": { "entry": 2010.521088573347, "exit": 1987.2939200852393, "resize": 25.23869534010673 }, "max_cash_weight": 0.0, "max_drawdown": -0.20828206736579036, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2370220.1596418284, "start_session": "2017-12-29", "total_return": -0.08880946540516255, "traded_notional_by_category": { "entry": 4021042.1771466937, "exit": 3974587.8401704784, "resize": 50477.39068021346 }, "transaction_cost": 4023.053703998693, "transaction_cost_over_anchor_nav": 0.001697333341644782, "two_sided_turnover": 3.332111647892101 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3812911001455732, "annualized_volatility": 0.1077810481931646, "cagr": 0.2843813937824833, "end_nav": 2773906.9765022006, "end_session": "2019-12-31", "fee_by_category": { "entry": 776.4162784839104, "exit": 767.555649320317, "resize": 74.16748335304392 }, "max_cash_weight": 0.0, "max_drawdown": -0.049432808173728415, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2159722.1743714986, "start_session": "2018-12-31", "total_return": 0.2843813937824833, "traded_notional_by_category": { "entry": 1552832.556967821, "exit": 1535111.298640634, "resize": 148334.9667060878 }, "transaction_cost": 1618.1394111572713, "transaction_cost_over_anchor_nav": 0.0007492349851101411, "two_sided_turnover": 1.3812911001455732 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0304033010692386, "annualized_volatility": 0.3328825076387058, "cagr": 0.18084783694269446, "end_nav": 3275562.053082873, "end_session": "2020-12-31", "fee_by_category": { "entry": 1521.0083064042424, "exit": 1450.3026819500487, "resize": 113.84446005395085 }, "max_cash_weight": 0.0, "max_drawdown": -0.3037750452366519, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 2773906.9765022006, "start_session": "2019-12-31", "total_return": 0.18084783694269446, "traded_notional_by_category": { "entry": 3042016.6128084846, "exit": 2900605.3639000976, "resize": 227688.92010790168 }, "transaction_cost": 3085.1554484082417, "transaction_cost_over_anchor_nav": 0.0011122058073838202, "two_sided_turnover": 2.0304033010692386 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666222296283953, "annualized_volatility": 0.16149129602310602, "cagr": 0.14573605378560317, "end_nav": 3752929.5406290395, "end_session": "2021-12-31", "fee_by_category": { "entry": 2442.254291201776, "exit": 2384.3805574278886, "resize": 60.317209803103935 }, "max_cash_weight": 0.0, "max_drawdown": -0.083925399946855, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3275562.053082873, "start_session": "2020-12-31", "total_return": 0.14573605378560317, "traded_notional_by_category": { "entry": 4884508.582403553, "exit": 4768761.1148557775, "resize": 120634.41960620787 }, "transaction_cost": 4886.952058432769, "transaction_cost_over_anchor_nav": 0.0014919430556454573, "two_sided_turnover": 2.666222296283953 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778296049508, "annualized_volatility": 0.2165855265095057, "cagr": -0.1262176582107517, "end_nav": 3279243.56258089, "end_session": "2022-12-30", "fee_by_category": { "entry": 2202.0508870587846, "exit": 2176.928416066827, "resize": 27.32562345524819 }, "max_cash_weight": 1.623424873362017e-16, "max_drawdown": -0.244597296889846, "mean_cash_weight": 7.552522444927407e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3752929.5406290395, "start_session": "2021-12-31", "total_return": -0.1262176582107517, "traded_notional_by_category": { "entry": 4404101.774117569, "exit": 4353856.832133654, "resize": 54651.24691049638 }, "transaction_cost": 4406.3049265808595, "transaction_cost_over_anchor_nav": 0.0011740974294556848, "two_sided_turnover": 2.665778296049508 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6662222962839524, "annualized_volatility": 0.12164047903934032, "cagr": 0.04586493656338653, "end_nav": 3429645.860554556, "end_session": "2023-12-29", "fee_by_category": { "entry": 2125.904586820818, "exit": 2074.030147745927, "resize": 54.00140714574745 }, "max_cash_weight": 0.0, "max_drawdown": -0.11107670411485482, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 3279243.56258089, "start_session": "2022-12-30", "total_return": 0.04586493656338653, "traded_notional_by_category": { "entry": 4251809.173641636, "exit": 4148060.2954918537, "resize": 108002.8142914949 }, "transaction_cost": 4253.936141712493, "transaction_cost_over_anchor_nav": 0.0012972309194271873, "two_sided_turnover": 2.6662222962839524 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778296049508, "annualized_volatility": 0.1310429644596316, "cagr": 0.1411501459437332, "end_nav": 3913740.874307152, "end_session": "2024-12-31", "fee_by_category": { "entry": 2531.34089526882, "exit": 2468.2213693307017, "resize": 65.6521331369871 }, "max_cash_weight": 0.0, "max_drawdown": -0.08308923569531756, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3429645.860554556, "start_session": "2023-12-29", "total_return": 0.1411501459437332, "traded_notional_by_category": { "entry": 5062681.79053764, "exit": 4936442.738661403, "resize": 131304.2662739742 }, "transaction_cost": 5065.2143977365085, "transaction_cost_over_anchor_nav": 0.0014768913770349134, "two_sided_turnover": 2.665778296049508 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0028010414741733, "annualized_volatility": 0.15521406863904524, "cagr": 0.12300603867728688, "end_nav": 4395154.635665056, "end_session": "2025-12-31", "fee_by_category": { "entry": 2169.0414594920394, "exit": 2122.670706342504, "resize": 54.662359105806686 }, "max_cash_weight": 0.0, "max_drawdown": -0.13253070673029033, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 3913740.874307152, "start_session": "2024-12-31", "total_return": 0.12300603867728688, "traded_notional_by_category": { "entry": 4338082.918984078, "exit": 4245341.412685009, "resize": 109324.71821161336 }, "transaction_cost": 4346.37452494035, "transaction_cost_over_anchor_nav": 0.0011105422317234498, "two_sided_turnover": 2.0028010414741733 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.170972481483351, "annualized_volatility": 0.1771652228735781, "cagr": 0.06505734181016609, "end_nav": 4395154.635665056, "end_session": "2025-12-31", "fee_by_category": { "entry": 26587.326428713423, "exit": 26073.834886952704, "resize": 787.6988816794145 }, "max_cash_weight": 1.0, "max_drawdown": -0.5329940792055128, "mean_cash_weight": 0.0866485059577175, "nonzero_trade_event_count": 49, "order_count": 218, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 909179.0043530937, "start_session": "2000-12-29", "total_return": 3.834201641944351, "traded_notional_by_category": { "entry": 53174652.857426845, "exit": 52147669.773905404, "resize": 1575397.763358829 }, "transaction_cost": 53448.86019734554, "transaction_cost_over_anchor_nav": 0.058788049373594914, "two_sided_turnover": 54.27431203708377 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 5331442.305786451, "end_session": "2026-10-02", "fee_by_category": { "entry": 1703.2357110956707, "exit": 1557.1836194402265, "resize": 147.75617941041804 }, "max_cash_weight": 0.0, "max_drawdown": -0.07924200268947601, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 1, "order_count": 5, "rebalance_count": 1, "scheduled_reset_count": 1, "session_count": 189, "start_nav": 4395154.635665056, "start_session": "2025-12-31", "total_return": 0.21302724198228806, "traded_notional_by_category": { "entry": 3406471.4221913414, "exit": 3114367.2388804527, "resize": 295512.35882083606 }, "transaction_cost": 3408.1755099463153, "transaction_cost_over_anchor_nav": 0.0007754392717585475, "two_sided_turnover": 1.3331111481419764 } }, "monthly_risk": { "beta_intercept_per_month": -0.0003073852549333187, "beta_to_SPY_excess_returns": 0.7650113476439919, "monthly_return_volatility_annualized": 0.14278931695837124, "months": 300, "sharpe_monthly_annualized": 0.395275123931913, "tracking_error_monthly_annualized": 0.09155911588672004 }, "phase": [ 5, 11 ], "policy": "A", "run_id": "SMIX-05-11-5bps", "signal": "mixed" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0, "annualized_volatility": 0.16757388035793813, "cagr": -0.11309417485054973, "end_nav": 844594.9051026731, "end_session": "2001-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.5469722333489125e-16, "max_drawdown": -0.2097642474352286, "mean_cash_weight": 1.337849778691428e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 952293.7849239546, "start_session": "2000-12-29", "total_return": -0.11309417485054973, "traded_notional_by_category": { "entry": 938200.9222681429, "exit": 830834.2354118915, "resize": 107366.68685625162 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0156321890661375, "annualized_volatility": 0.2429785023588439, "cagr": -0.12732157782574594, "end_nav": 737059.7491614146, "end_session": "2002-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7645320135095756e-16, "max_drawdown": -0.2749225576337895, "mean_cash_weight": 1.4607149058229226e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 844594.9051026731, "start_session": "2001-12-31", "total_return": -0.12732157782574594, "traded_notional_by_category": { "entry": 835856.2677056426, "exit": 797427.2818688336, "resize": 51302.48282888165 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0156321890661375 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0202372104633124, "annualized_volatility": 0.10773812422178969, "cagr": 0.2041943685480998, "end_nav": 887563.1992236504, "end_session": "2003-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.6810947135698503, "max_drawdown": -0.0580729053021205, "mean_cash_weight": 0.3257270820940017, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 737059.7491614146, "start_session": "2002-12-31", "total_return": 0.2041943685480998, "traded_notional_by_category": { "entry": 766961.7536761877, "exit": 746001.2184740345, "resize": 20960.535202152998 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0202372104633124 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6666666666666665, "annualized_volatility": 0.12471813201065775, "cagr": 0.11822441719307974, "end_nav": 992494.8411738918, "end_session": "2004-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3432601593340372e-16, "max_drawdown": -0.07785926120443976, "mean_cash_weight": 6.353409205678022e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 887563.1992236504, "start_session": "2003-12-31", "total_return": 0.11822441719307974, "traded_notional_by_category": { "entry": 1204158.5104556065, "exit": 1185660.1197903878, "resize": 18498.3906652187 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.333333333333333, "annualized_volatility": 0.1436525456686708, "cagr": 0.18373749945087603, "end_nav": 1174853.361509077, "end_session": "2005-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2123823585552596e-16, "max_drawdown": -0.10533392710502176, "mean_cash_weight": 5.497102522278095e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 992494.8411738918, "start_session": "2004-12-31", "total_return": 0.18373749945087603, "traded_notional_by_category": { "entry": 702450.2219505776, "exit": 625917.3037864229, "resize": 76532.91816415434 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.333333333333333 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0532452507696157, "annualized_volatility": 0.13021063649156112, "cagr": 0.1805958336102178, "end_nav": 1387026.9837005753, "end_session": "2006-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.932801187951002e-16, "max_drawdown": -0.07714839270607621, "mean_cash_weight": 9.027408490242222e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1174853.361509077, "start_session": "2005-12-30", "total_return": 0.1805958336102178, "traded_notional_by_category": { "entry": 1235783.3432508667, "exit": 1237690.1455113853, "resize": 62820.336682953406 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0532452507696157 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666666666666666, "annualized_volatility": 0.14096107028978117, "cagr": 0.09296241346711809, "end_nav": 1515968.359649398, "end_session": "2007-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.7051189484637744e-16, "max_drawdown": -0.07636405638322441, "mean_cash_weight": 7.99816847263765e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1387026.9837005753, "start_session": "2006-12-29", "total_return": 0.09296241346711809, "traded_notional_by_category": { "entry": 1897584.3426266555, "exit": 1844892.7956734279, "resize": 52691.546953227255 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.666666666666666 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.047244708182374, "annualized_volatility": 0.3639275040412743, "cagr": -0.3200472506764389, "end_nav": 1030786.8540311371, "end_session": "2008-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.4275667515759598, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1515968.359649398, "start_session": "2007-12-31", "total_return": -0.3200472506764389, "traded_notional_by_category": { "entry": 1520030.1597585282, "exit": 1488888.080191611, "resize": 103150.11870560149 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.047244708182374 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0, "annualized_volatility": 0.14014048053172615, "cagr": 0.2835968596042666, "end_nav": 1323114.768755729, "end_session": "2009-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06624414338409768, "mean_cash_weight": 0.49206349206349204, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1030786.8540311371, "start_session": "2008-12-31", "total_return": 0.2835968596042666, "traded_notional_by_category": { "entry": 1036668.3548836975, "exit": 1036668.3548836975, "resize": 0.0 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0093111845016374, "annualized_volatility": 0.17384378381362525, "cagr": 0.14044110641592011, "end_nav": 1508934.470795028, "end_session": "2010-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.14650265728398837, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1323114.768755729, "start_session": "2009-12-31", "total_return": 0.14044110641592011, "traded_notional_by_category": { "entry": 1251899.1525250352, "exit": 1222579.8513661483, "resize": 41767.84322085453 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0093111845016374 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0, "annualized_volatility": 0.21814963902264375, "cagr": 0.07883470995617925, "end_nav": 1627890.8821430346, "end_session": "2011-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.17272755880790303, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1508934.470795028, "start_session": "2010-12-31", "total_return": 0.07883470995617925, "traded_notional_by_category": { "entry": 1600896.228471938, "exit": 1558609.659377441, "resize": 42286.56909449742 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3533378128047984, "annualized_volatility": 0.08891746449364801, "cagr": 0.11487237701747821, "end_nav": 1814890.5772998843, "end_session": "2012-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.4351599561882807e-16, "max_drawdown": -0.06544012211475059, "mean_cash_weight": 1.3389425630205103e-16, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1627890.8821430346, "start_session": "2011-12-30", "total_return": 0.11487237701747821, "traded_notional_by_category": { "entry": 1138494.5825787452, "exit": 1121668.361821537, "resize": 51782.20240013767 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3533378128047984 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3364379454493285, "annualized_volatility": 0.12058450907854744, "cagr": 0.39079240772600454, "end_nav": 2524136.0357621443, "end_session": "2013-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2609640361160525e-16, "max_drawdown": -0.054685329516608316, "mean_cash_weight": 5.625303225019553e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1814890.5772998843, "start_session": "2012-12-31", "total_return": 0.39079240772600454, "traded_notional_by_category": { "entry": 1228513.4832667056, "exit": 1186608.970407852, "resize": 48656.62608979724 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3364379454493285 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666666666666667, "annualized_volatility": 0.13626257451756332, "cagr": 0.009682261505161938, "end_nav": 2548575.380934996, "end_session": "2014-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.11428182759444339, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2524136.0357621443, "start_session": "2013-12-31", "total_return": 0.009682261505161938, "traded_notional_by_category": { "entry": 3503163.6360821947, "exit": 3477979.24531869, "resize": 25184.390763505362 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.666666666666667 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3333333333333335, "annualized_volatility": 0.15961248067722483, "cagr": 0.003018545818812779, "end_nav": 2556268.372495047, "end_session": "2015-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 2.0178376494382697e-16, "max_drawdown": -0.12419653987844526, "mean_cash_weight": 9.377999789667409e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2548575.380934996, "start_session": "2014-12-31", "total_return": 0.003018545818812779, "traded_notional_by_category": { "entry": 4242298.068661513, "exit": 4152164.695980702, "resize": 90133.37268081168 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.3333333333333335 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9999999999999996, "annualized_volatility": 0.12732696606790658, "cagr": 0.04743791428911859, "end_nav": 2677532.4124494516, "end_session": "2016-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.9840216255969578e-16, "max_drawdown": -0.08184228867358956, "mean_cash_weight": 1.7932285005482364e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2556268.372495047, "start_session": "2015-12-31", "total_return": 0.04743791428911859, "traded_notional_by_category": { "entry": 2616351.4700832795, "exit": 2533246.116580504, "resize": 83105.35350277508 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.9999999999999996 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666666666666666, "annualized_volatility": 0.09124721424403673, "cagr": 0.22960133566185092, "end_nav": 3292297.4306257437, "end_session": "2017-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.054317027384265804, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2677532.4124494516, "start_session": "2016-12-30", "total_return": 0.22960133566185092, "traded_notional_by_category": { "entry": 3729074.650426589, "exit": 3600956.8687263867, "resize": 128117.78170020203 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.666666666666666 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3484129527128883, "annualized_volatility": 0.18117857471045049, "cagr": -0.07701019603393566, "end_nav": 3038756.9600912323, "end_session": "2018-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.24498573757296327, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3292297.4306257437, "start_session": "2017-12-29", "total_return": -0.07701019603393566, "traded_notional_by_category": { "entry": 2271072.9285933212, "exit": 2192555.693458939, "resize": 128356.3075206792 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3484129527128883 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666666666666667, "annualized_volatility": 0.10226301907266028, "cagr": 0.25434168697710935, "end_nav": 3811639.531634269, "end_session": "2019-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.3962873022047084e-16, "max_drawdown": -0.04856815698240091, "mean_cash_weight": 6.624997019136253e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3038756.9600912323, "start_session": "2018-12-31", "total_return": 0.25434168697710935, "traded_notional_by_category": { "entry": 4122230.92348067, "exit": 4083506.3089312008, "resize": 38724.6145494699 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.666666666666667 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.014895281728999, "annualized_volatility": 0.3488921771164073, "cagr": 0.15907401430659784, "end_nav": 4417972.333021052, "end_session": "2020-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.72406564794051e-16, "max_drawdown": -0.326113868585583, "mean_cash_weight": 1.238682623069201e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3811639.531634269, "start_session": "2019-12-31", "total_return": 0.15907401430659784, "traded_notional_by_category": { "entry": 3697614.3646256533, "exit": 3432127.239918505, "resize": 322506.9867507685 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.014895281728999 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9999999999999998, "annualized_volatility": 0.1596131925996119, "cagr": 0.21310321049828929, "end_nav": 5359456.421080456, "end_session": "2021-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.06846003855882754, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4417972.333021052, "start_session": "2020-12-31", "total_return": 0.21310321049828929, "traded_notional_by_category": { "entry": 4823858.4242300745, "exit": 4702061.823084731, "resize": 121796.60114534409 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.9999999999999998 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3333333333333335, "annualized_volatility": 0.254438091283519, "cagr": -0.19261877164631358, "end_nav": 4327124.508559991, "end_session": "2022-12-30", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2351595812677604e-16, "max_drawdown": -0.30652406345549754, "mean_cash_weight": 5.699660233207355e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 5359456.421080456, "start_session": "2021-12-31", "total_return": -0.19261877164631358, "traded_notional_by_category": { "entry": 7524093.810153233, "exit": 7516793.165459737, "resize": 7300.644693497103 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.3333333333333335 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.030369585063358, "annualized_volatility": 0.14231033642197924, "cagr": 0.09483600285843696, "end_nav": 4737491.700822598, "end_session": "2023-12-29", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.12590492694238287, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4327124.508559991, "start_session": "2022-12-30", "total_return": 0.09483600285843696, "traded_notional_by_category": { "entry": 4369552.500216359, "exit": 4158373.804716984, "resize": 342419.4662220904 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.030369585063358 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3520889890721985, "annualized_volatility": 0.14285150926230758, "cagr": 0.21253181770543828, "end_nav": 5744359.423362854, "end_session": "2024-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.09040645903286815, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4737491.700822598, "start_session": "2023-12-29", "total_return": 0.21253181770543828, "traded_notional_by_category": { "entry": 3310092.7273751297, "exit": 3182311.5539827803, "resize": 217044.683528475 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3520889890721985 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6869509469909603, "annualized_volatility": 0.15694472726843883, "cagr": 0.16771095775575628, "end_nav": 6707751.443948342, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 0.0, "max_drawdown": -0.1323494469373061, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5744359.423362854, "start_session": "2024-12-31", "total_return": 0.16771095775575628, "traded_notional_by_category": { "entry": 1927711.7746291535, "exit": 1809564.0326494453, "resize": 242382.2092366591 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.6869509469909603 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.0640598956055576, "annualized_volatility": 0.18039283465805342, "cagr": 0.08121544389686997, "end_nav": 6707751.443948342, "end_session": "2025-12-31", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.4275667515759598, "mean_cash_weight": 0.03277926271475883, "nonzero_trade_event_count": 50, "order_count": 222, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 952293.7849239546, "start_session": "2000-12-29", "total_return": 6.043783704294563, "traded_notional_by_category": { "entry": 61494612.6019755, "exit": 59725086.927373275, "resize": 2424888.6691580056 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 51.60149739013894 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 8084836.162658122, "end_session": "2026-10-02", "fee_by_category": { "entry": 0.0, "exit": 0.0, "resize": 0.0 }, "max_cash_weight": 1.2419356024991232e-16, "max_drawdown": -0.07024943670816108, "mean_cash_weight": 4.135958129851214e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 6707751.443948342, "start_session": "2025-12-31", "total_return": 0.20529751738970137, "traded_notional_by_category": { "entry": 9560189.547251368, "exit": 9206880.935031353, "resize": 353308.6122200154 }, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6666666666666665 } }, "monthly_risk": { "beta_intercept_per_month": 0.0007328607428474763, "beta_to_SPY_excess_returns": 0.7950818154701756, "monthly_return_volatility_annualized": 0.14108872539625786, "months": 300, "sharpe_monthly_annualized": 0.5051629834523437, "tracking_error_monthly_annualized": 0.08081748604279733 }, "phase": [ 6, 12 ], "policy": "A", "run_id": "SMIX-06-12-0bps", "signal": "mixed" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9997779999753331, "annualized_volatility": 0.16759430387604177, "cagr": -0.11486700124691263, "end_nav": 841502.9492404911, "end_session": "2001-12-31", "fee_by_category": { "entry": 935.1920020331247, "exit": 829.0818482191575, "resize": 107.98241007429374 }, "max_cash_weight": 1.5526563130896346e-16, "max_drawdown": -0.21134384107614357, "mean_cash_weight": 1.3423279856597046e-16, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 950707.9166926788, "start_session": "2000-12-29", "total_return": -0.11486700124691263, "traded_notional_by_category": { "entry": 935192.0020331246, "exit": 829081.8482191574, "resize": 107982.41007429373 }, "transaction_cost": 1872.2562603265758, "transaction_cost_over_anchor_nav": 0.0019693285681682106, "two_sided_turnover": 1.9997779999753331 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0149605355542857, "annualized_volatility": 0.24305079357750226, "cagr": -0.12907919703234239, "end_nav": 732882.4242521806, "end_session": "2002-12-31", "fee_by_category": { "entry": 831.4999776369599, "exit": 794.1761962046297, "resize": 51.437567387408755 }, "max_cash_weight": 1.4398829724082368e-16, "max_drawdown": -0.2754171122914808, "mean_cash_weight": 6.666977859702214e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 841502.9492404911, "start_session": "2001-12-31", "total_return": -0.12907919703234239, "traded_notional_by_category": { "entry": 831499.9776369599, "exit": 794176.1962046297, "resize": 51437.56738740875 }, "transaction_cost": 1677.1137412289986, "transaction_cost_over_anchor_nav": 0.0019929980551377726, "two_sided_turnover": 2.0149605355542857 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0191072884588372, "annualized_volatility": 0.10757635465812898, "cagr": 0.2017640568396113, "end_nav": 880751.7553557496, "end_session": "2003-12-31", "fee_by_category": { "entry": 761.0758438744275, "exit": 741.5933985872605, "resize": 21.006120650278785 }, "max_cash_weight": 0.6810947135698503, "max_drawdown": -0.058072905302120614, "mean_cash_weight": 0.3257270820940017, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 732882.4242521806, "start_session": "2002-12-31", "total_return": 0.2017640568396113, "traded_notional_by_category": { "entry": 761075.8438744275, "exit": 741593.3985872604, "resize": 21006.120650278783 }, "transaction_cost": 1523.6753631119668, "transaction_cost_over_anchor_nav": 0.002079017469502965, "two_sided_turnover": 2.0191072884588372 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778073975342, "annualized_volatility": 0.12491715471894353, "cagr": 0.11524546568982097, "end_nav": 982254.4015588502, "end_session": "2004-12-31", "fee_by_category": { "entry": 1192.5186342384604, "exit": 1175.7712297654355, "resize": 19.13482916619489 }, "max_cash_weight": 0.0, "max_drawdown": -0.07785926120443964, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 880751.7553557496, "start_session": "2003-12-31", "total_return": 0.11524546568982097, "traded_notional_by_category": { "entry": 1192518.63423846, "exit": 1175771.2297654354, "resize": 19134.82916619489 }, "transaction_cost": 2387.4246931700904, "transaction_cost_over_anchor_nav": 0.00271066697131449, "two_sided_turnover": 2.665778073975342 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.333777925975325, "annualized_volatility": 0.14367977718809716, "cagr": 0.1821591829604272, "end_nav": 1161181.0608060937, "end_session": "2005-12-30", "fee_by_category": { "entry": 694.4942922038915, "exit": 619.2505340332038, "resize": 76.63413713405863 }, "max_cash_weight": 0.0, "max_drawdown": -0.10533392710502176, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 982254.4015588502, "start_session": "2004-12-31", "total_return": 0.1821591829604272, "traded_notional_by_category": { "entry": 694494.2922038916, "exit": 619250.5340332037, "resize": 76634.13713405863 }, "transaction_cost": 1390.378963371154, "transaction_cost_over_anchor_nav": 0.0014154978192661748, "two_sided_turnover": 1.333777925975325 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.051658356368582, "annualized_volatility": 0.1299719971320154, "cagr": 0.17817476913087438, "end_nav": 1368074.2282343633, "end_session": "2006-12-29", "fee_by_category": { "entry": 1219.4237149813537, "exit": 1222.6964457963209, "resize": 61.51607908035681 }, "max_cash_weight": 0.0, "max_drawdown": -0.07714839270607643, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1161181.0608060937, "start_session": "2005-12-30", "total_return": 0.17817476913087438, "traded_notional_by_category": { "entry": 1219423.7149813538, "exit": 1222696.4457963207, "resize": 61516.07908035681 }, "transaction_cost": 2503.6362398580313, "transaction_cost_over_anchor_nav": 0.0021561118453998925, "two_sided_turnover": 2.051658356368582 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778073975342, "annualized_volatility": 0.1407989142647198, "cagr": 0.09005075997919354, "end_nav": 1491270.3521948163, "end_session": "2007-12-31", "fee_by_category": { "entry": 1867.8870999144478, "exit": 1818.4472095652297, "resize": 53.17940406276059 }, "max_cash_weight": 0.0, "max_drawdown": -0.07759516060663896, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1368074.2282343633, "start_session": "2006-12-29", "total_return": 0.09005075997919354, "traded_notional_by_category": { "entry": 1867887.0999144479, "exit": 1818447.2095652297, "resize": 53179.40406276059 }, "transaction_cost": 3739.5137135424384, "transaction_cost_over_anchor_nav": 0.0027334143399285102, "two_sided_turnover": 2.665778073975342 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0465625206754825, "annualized_volatility": 0.363939424954204, "cagr": -0.32143816968563965, "end_nav": 1011919.1396788554, "end_session": "2008-12-31", "fee_by_category": { "entry": 1492.9167548834084, "exit": 1463.9874674487282, "resize": 102.0162854513069 }, "max_cash_weight": 0.0, "max_drawdown": -0.42797528200654134, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1491270.3521948163, "start_session": "2007-12-31", "total_return": -0.32143816968563965, "traded_notional_by_category": { "entry": 1492916.7548834085, "exit": 1463987.4674487282, "resize": 102016.2854513069 }, "transaction_cost": 3058.9205077834436, "transaction_cost_over_anchor_nav": 0.0020512179453453204, "two_sided_turnover": 2.0465625206754825 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.999000999000999, "annualized_volatility": 0.1401485268189492, "cagr": 0.28103223051414794, "end_nav": 1296301.0326027619, "end_session": "2009-12-31", "fee_by_category": { "entry": 1015.6596318292926, "exit": 1017.6929844455677, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06624414338409756, "mean_cash_weight": 0.49206349206349215, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1011919.1396788554, "start_session": "2008-12-31", "total_return": 0.28103223051414794, "traded_notional_by_category": { "entry": 1015659.6318292926, "exit": 1017692.9844455677, "resize": 0.0 }, "transaction_cost": 2033.3526162748603, "transaction_cost_over_anchor_nav": 0.002009402269948337, "two_sided_turnover": 1.999000999000999 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0086416372892075, "annualized_volatility": 0.17376851323544618, "cagr": 0.1381513961236882, "end_nav": 1475386.8300534121, "end_session": "2010-12-31", "fee_by_category": { "entry": 1224.6476617217695, "exit": 1197.290881150267, "resize": 41.42631995669828 }, "max_cash_weight": 0.0, "max_drawdown": -0.14764027453519268, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1296301.0326027619, "start_session": "2009-12-31", "total_return": 0.1381513961236882, "traded_notional_by_category": { "entry": 1224647.6617217693, "exit": 1197290.881150267, "resize": 41426.31995669828 }, "transaction_cost": 2463.3648628287347, "transaction_cost_over_anchor_nav": 0.0019003030938598408, "two_sided_turnover": 2.0086416372892075 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9997779999753336, "annualized_volatility": 0.21806937106628177, "cagr": 0.07667823900189252, "end_nav": 1588516.8940284923, "end_session": "2011-12-30", "fee_by_category": { "entry": 1562.8340442369422, "exit": 1523.2491405311077, "resize": 42.713700591193394 }, "max_cash_weight": 0.0, "max_drawdown": -0.17383022117536973, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1475386.8300534121, "start_session": "2010-12-31", "total_return": 0.07667823900189252, "traded_notional_by_category": { "entry": 1562834.0442369422, "exit": 1523249.1405311078, "resize": 42713.700591193396 }, "transaction_cost": 3128.7968853592433, "transaction_cost_over_anchor_nav": 0.0021206620674836677, "two_sided_turnover": 1.9997779999753336 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3528868505212917, "annualized_volatility": 0.08886122901578139, "cagr": 0.11336459092691231, "end_nav": 1768598.4619005218, "end_session": "2012-12-31", "fee_by_category": { "entry": 1109.8212877183178, "exit": 1094.1441008230686, "resize": 50.519878346950165 }, "max_cash_weight": 0.0, "max_drawdown": -0.0654401221147507, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1588516.8940284923, "start_session": "2011-12-30", "total_return": 0.11336459092691231, "traded_notional_by_category": { "entry": 1109821.2877183175, "exit": 1094144.1008230688, "resize": 50519.878346950165 }, "transaction_cost": 2254.485266888337, "transaction_cost_over_anchor_nav": 0.001419239087329404, "two_sided_turnover": 1.3528868505212917 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3359946843194435, "annualized_volatility": 0.12041071661710427, "cagr": 0.38893432221945257, "end_nav": 2456467.1059581675, "end_session": "2013-12-31", "fee_by_category": { "entry": 1195.5822865229868, "exit": 1156.3423306009706, "resize": 48.20682308488013 }, "max_cash_weight": 1.2956961120494083e-16, "max_drawdown": -0.054685329516608316, "mean_cash_weight": 5.780246945192036e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1768598.4619005218, "start_session": "2012-12-31", "total_return": 0.38893432221945257, "traded_notional_by_category": { "entry": 1195582.2865229868, "exit": 1156342.3306009707, "resize": 48206.82308488013 }, "transaction_cost": 2400.131440208838, "transaction_cost_over_anchor_nav": 0.0013570810401076997, "two_sided_turnover": 1.3359946843194435 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6648909609896605, "annualized_volatility": 0.1362475177726195, "cagr": 0.0069929137195714475, "end_nav": 2473644.9684850983, "end_session": "2014-12-31", "fee_by_category": { "entry": 3401.799047548517, "exit": 3383.0103305568377, "resize": 25.599125495279324 }, "max_cash_weight": 0.0, "max_drawdown": -0.11428182759444316, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2456467.1059581675, "start_session": "2013-12-31", "total_return": 0.0069929137195714475, "traded_notional_by_category": { "entry": 3401799.047548517, "exit": 3383010.330556838, "resize": 25599.125495279324 }, "transaction_cost": 6810.4085036006345, "transaction_cost_over_anchor_nav": 0.0027724403421002346, "two_sided_turnover": 2.6648909609896605 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3308910349896688, "annualized_volatility": 0.159611984849863, "cagr": -0.000319728509689865, "end_nav": 2472854.073665823, "end_session": "2015-12-31", "fee_by_category": { "entry": 4107.159825226565, "exit": 4026.9818173132353, "resize": 88.40055010597524 }, "max_cash_weight": 0.0, "max_drawdown": -0.1253638887089974, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2473644.9684850983, "start_session": "2014-12-31", "total_return": -0.000319728509689865, "traded_notional_by_category": { "entry": 4107159.825226565, "exit": 4026981.8173132353, "resize": 88400.55010597524 }, "transaction_cost": 8222.542192645775, "transaction_cost_over_anchor_nav": 0.0033240591505261153, "two_sided_turnover": 3.3308910349896688 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9997779999753331, "annualized_volatility": 0.12743945381767954, "cagr": 0.045344202047810755, "end_nav": 2584983.6684168777, "end_session": "2016-12-30", "fee_by_category": { "entry": 2526.995939842898, "exit": 2449.4665954614547, "resize": 82.58839531205885 }, "max_cash_weight": 0.0, "max_drawdown": -0.08245459791755505, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2472854.073665823, "start_session": "2015-12-31", "total_return": 0.045344202047810755, "traded_notional_by_category": { "entry": 2526995.939842898, "exit": 2449466.595461455, "resize": 82588.39531205886 }, "transaction_cost": 5059.050930616411, "transaction_cost_over_anchor_nav": 0.002045834804605653, "two_sided_turnover": 1.9997779999753331 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778073975342, "annualized_volatility": 0.09126953200869158, "cagr": 0.22632567588286556, "end_nav": 3170031.8443174968, "end_session": "2017-12-29", "fee_by_category": { "entry": 3592.8883260041953, "exit": 3474.0149205258517, "resize": 126.06637509997434 }, "max_cash_weight": 0.0, "max_drawdown": -0.05431702738426569, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2584983.6684168777, "start_session": "2016-12-30", "total_return": 0.22632567588286556, "traded_notional_by_category": { "entry": 3592888.326004195, "exit": 3474014.9205258517, "resize": 126066.37509997434 }, "transaction_cost": 7192.969621630022, "transaction_cost_over_anchor_nav": 0.002782597704392931, "two_sided_turnover": 2.665778073975342 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.348408075996215, "annualized_volatility": 0.1811482443749215, "cagr": -0.07825434344303805, "end_nav": 2921963.083646908, "end_session": "2018-12-31", "fee_by_category": { "entry": 2184.491735476548, "exit": 2110.4054803720273, "resize": 125.0485310717813 }, "max_cash_weight": 0.0, "max_drawdown": -0.24498573757296327, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3170031.8443174968, "start_session": "2017-12-29", "total_return": -0.07825434344303805, "traded_notional_by_category": { "entry": 2184491.735476548, "exit": 2110405.4803720275, "resize": 125048.5310717813 }, "transaction_cost": 4419.945746920357, "transaction_cost_over_anchor_nav": 0.0013942906456423832, "two_sided_turnover": 1.348408075996215 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664890960989661, "annualized_volatility": 0.10269324126007641, "cagr": 0.25100067449540364, "end_nav": 3655377.7884929515, "end_session": "2019-12-31", "fee_by_category": { "entry": 3955.146104345403, "exit": 3924.4460312406354, "resize": 38.61828352387715 }, "max_cash_weight": 0.0, "max_drawdown": -0.04856815698240102, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2921963.083646908, "start_session": "2018-12-31", "total_return": 0.25100067449540364, "traded_notional_by_category": { "entry": 3955146.1043454027, "exit": 3924446.0312406356, "resize": 38618.28352387715 }, "transaction_cost": 7918.210419109915, "transaction_cost_over_anchor_nav": 0.002709894065200571, "two_sided_turnover": 2.664890960989661 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0142238737710754, "annualized_volatility": 0.34886375423319926, "cagr": 0.15674043236131774, "end_nav": 4228323.2835052945, "end_session": "2020-12-31", "fee_by_category": { "entry": 3540.5178692893587, "exit": 3290.0005291251455, "resize": 310.6733058067525 }, "max_cash_weight": 1.333854800133276e-16, "max_drawdown": -0.3261138685855831, "mean_cash_weight": 6.080445331662991e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3655377.7884929515, "start_session": "2019-12-31", "total_return": 0.15674043236131774, "traded_notional_by_category": { "entry": 3540517.869289359, "exit": 3290000.529125145, "resize": 310673.3058067525 }, "transaction_cost": 7141.191704221257, "transaction_cost_over_anchor_nav": 0.0019536124902606706, "two_sided_turnover": 2.0142238737710754 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9997779999753331, "annualized_volatility": 0.15965379192595516, "cagr": 0.21067835170032012, "end_nav": 5119139.463330275, "end_session": "2021-12-31", "fee_by_category": { "entry": 4609.444520737383, "exit": 4498.099048387067, "resize": 120.57358950894861 }, "max_cash_weight": 0.0, "max_drawdown": -0.06846003855882765, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4228323.2835052945, "start_session": "2020-12-31", "total_return": 0.21067835170032012, "traded_notional_by_category": { "entry": 4609444.5207373835, "exit": 4498099.048387067, "resize": 120573.58950894861 }, "transaction_cost": 9228.117158633399, "transaction_cost_over_anchor_nav": 0.0021824530765261773, "two_sided_turnover": 1.9997779999753331 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3308910349896688, "annualized_volatility": 0.25430653819922505, "cagr": -0.19530592039262884, "end_nav": 4119341.218826328, "end_session": "2022-12-30", "fee_by_category": { "entry": 7169.629801328767, "exit": 7174.727607703278, "resize": 9.255806841361103 }, "max_cash_weight": 1.2974621455634636e-16, "max_drawdown": -0.30790962976227965, "mean_cash_weight": 5.987156240628993e-17, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 5119139.463330275, "start_session": "2021-12-31", "total_return": -0.19530592039262884, "traded_notional_by_category": { "entry": 7169629.801328767, "exit": 7174727.607703279, "resize": 9255.806841361104 }, "transaction_cost": 14353.613215873407, "transaction_cost_over_anchor_nav": 0.002803911344610176, "two_sided_turnover": 3.3308910349896688 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0296930207231174, "annualized_volatility": 0.1423879127076848, "cagr": 0.09261483870710285, "end_nav": 4500853.341387449, "end_session": "2023-12-29", "fee_by_category": { "entry": 4153.119290552972, "exit": 3956.82182689696, "resize": 327.76284045914844 }, "max_cash_weight": 0.0, "max_drawdown": -0.12590492694238276, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4119341.218826328, "start_session": "2022-12-30", "total_return": 0.09261483870710285, "traded_notional_by_category": { "entry": 4153119.290552972, "exit": 3956821.82689696, "resize": 327762.8404591484 }, "transaction_cost": 8437.70395790908, "transaction_cost_over_anchor_nav": 0.0020483139195526822, "two_sided_turnover": 2.0296930207231174 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3516384429245571, "annualized_volatility": 0.1429216002897793, "cagr": 0.21089346682473797, "end_nav": 5450053.906222354, "end_session": "2024-12-31", "fee_by_category": { "entry": 3141.4983952344846, "exit": 3022.305673749982, "resize": 206.11369672237709 }, "max_cash_weight": 0.0, "max_drawdown": -0.09040645903286804, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4500853.341387449, "start_session": "2023-12-29", "total_return": 0.21089346682473797, "traded_notional_by_category": { "entry": 3141498.3952344847, "exit": 3022305.6737499814, "resize": 206113.6967223771 }, "transaction_cost": 6369.917765706843, "transaction_cost_over_anchor_nav": 0.0014152689018174561, "two_sided_turnover": 1.3516384429245571 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6867220396444123, "annualized_volatility": 0.15694572698434298, "cagr": 0.16690907485400697, "end_nav": 6359717.361614393, "end_session": "2025-12-31", "fee_by_category": { "entry": 1827.7148610286363, "exit": 1716.853141986554, "resize": 229.8875571656155 }, "max_cash_weight": 0.0, "max_drawdown": -0.13234944693730621, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5450053.906222354, "start_session": "2024-12-31", "total_return": 0.16690907485400697, "traded_notional_by_category": { "entry": 1827714.8610286363, "exit": 1716853.141986554, "resize": 229887.5571656155 }, "transaction_cost": 3774.4555601808056, "transaction_cost_over_anchor_nav": 0.0006925538031599083, "two_sided_turnover": 0.6867220396444123 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.063251458600354, "annualized_volatility": 0.1803856062299153, "cagr": 0.07898554908834798, "end_nav": 6359717.361614393, "end_session": "2025-12-31", "fee_by_category": { "entry": 59313.95894841111, "exit": 57680.856770489976, "resize": 2366.3616120995307 }, "max_cash_weight": 1.0, "max_drawdown": -0.42797528200654134, "mean_cash_weight": 0.03277926271475879, "nonzero_trade_event_count": 50, "order_count": 222, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 950707.9166926788, "start_session": "2000-12-29", "total_return": 5.689454510633053, "traded_notional_by_category": { "entry": 59313958.94841111, "exit": 57680856.770489976, "resize": 2366361.6120995306 }, "transaction_cost": 119361.17733100062, "transaction_cost_over_anchor_nav": 0.12554978793721852, "two_sided_turnover": 51.581286465008844 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7644931.039381346, "end_session": "2026-10-02", "fee_by_category": { "entry": 9045.669392022537, "exit": 8723.203359253199, "resize": 340.57548100161506 }, "max_cash_weight": 1.5190918416552221e-16, "max_drawdown": -0.07024943670816097, "mean_cash_weight": 9.199150525267848e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 6359717.361614393, "start_session": "2025-12-31", "total_return": 0.20208660301858217, "traded_notional_by_category": { "entry": 9045669.392022539, "exit": 8723203.3592532, "resize": 340575.48100161506 }, "transaction_cost": 18109.448232277355, "transaction_cost_over_anchor_nav": 0.00284752406476132, "two_sided_turnover": 2.665778073975342 } }, "monthly_risk": { "beta_intercept_per_month": 0.0005627999286170922, "beta_to_SPY_excess_returns": 0.7945973519785078, "monthly_return_volatility_annualized": 0.14107317432324626, "months": 300, "sharpe_monthly_annualized": 0.49050262486955215, "tracking_error_monthly_annualized": 0.08092517492147552 }, "phase": [ 6, 12 ], "policy": "A", "run_id": "SMIX-06-12-10bps", "signal": "mixed" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9994458329484952, "annualized_volatility": 0.1676496638619938, "cagr": -0.11752254798332584, "end_nav": 836883.7856073199, "end_session": "2001-12-31", "fee_by_category": { "entry": 2326.7380542533692, "exit": 2066.151750065063, "resize": 272.2491515780475 }, "max_cash_weight": 1.5612261691432236e-16, "max_drawdown": -0.21370994118983577, "mean_cash_weight": 6.905415645721226e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 948334.4687106037, "start_session": "2000-12-29", "total_return": -0.11752254798332584, "traded_notional_by_category": { "entry": 930695.2217013476, "exit": 826460.7000260252, "resize": 108899.66063121898 }, "transaction_cost": 4665.138955896479, "transaction_cost_over_anchor_nav": 0.004919297051639811, "two_sided_turnover": 1.9994458329484952 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 2.013953894154342, "annualized_volatility": 0.24317610841581455, "cagr": -0.13171045945621174, "end_nav": 726657.437693526, "end_session": "2002-12-31", "fee_by_category": { "entry": 2062.5111103855306, "exit": 1973.305637742269, "resize": 129.09125549663062 }, "max_cash_weight": 1.7897917998235338e-16, "max_drawdown": -0.2761583265994284, "mean_cash_weight": 8.087573962725528e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 836883.7856073199, "start_session": "2001-12-31", "total_return": -0.13171045945621174, "traded_notional_by_category": { "entry": 825004.4441542123, "exit": 789322.2550969076, "resize": 51636.50219865225 }, "transaction_cost": 4164.90800362443, "transaction_cost_over_anchor_nav": 0.0049766862200609965, "two_sided_turnover": 2.013953894154342 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0174177417275643, "annualized_volatility": 0.10737354276274814, "cagr": 0.19812774106130449, "end_nav": 870628.4343491399, "end_session": "2003-12-31", "fee_by_category": { "entry": 1880.82018101032, "exit": 1837.5669057076557, "resize": 52.68094538291633 }, "max_cash_weight": 0.6810947135698502, "max_drawdown": -0.05807290530212039, "mean_cash_weight": 0.3257270820940017, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 726657.437693526, "start_session": "2002-12-31", "total_return": 0.19812774106130449, "traded_notional_by_category": { "entry": 752328.072404128, "exit": 735026.7622830622, "resize": 21072.37815316653 }, "transaction_cost": 3771.0680321008917, "transaction_cost_over_anchor_nav": 0.005189609073665564, "two_sided_turnover": 2.0174177417275643 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6644462947543714, "annualized_volatility": 0.12526689339632324, "cagr": 0.11078819896408754, "end_nav": 967083.7905576044, "end_session": "2004-12-31", "fee_by_category": { "entry": 2938.155030664807, "exit": 2902.717316967838, "resize": 50.16530783564012 }, "max_cash_weight": 1.431218252643721e-16, "max_drawdown": -0.07785926120443964, "mean_cash_weight": 6.660677151857907e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 870628.4343491399, "start_session": "2003-12-31", "total_return": 0.11078819896408754, "traded_notional_by_category": { "entry": 1175262.012265923, "exit": 1161086.9267871352, "resize": 20066.12313425605 }, "transaction_cost": 5891.037655468286, "transaction_cost_over_anchor_nav": 0.006766420005420887, "two_sided_turnover": 2.6644462947543714 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.334445371142619, "annualized_volatility": 0.14373217611803327, "cagr": 0.1797917105307456, "end_nav": 1140957.4394885134, "end_session": "2005-12-30", "fee_by_category": { "entry": 1706.804949932085, "exit": 1523.4450804700782, "resize": 191.91528274487385 }, "max_cash_weight": 0.0, "max_drawdown": -0.10533392710502176, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 967083.7905576044, "start_session": "2004-12-31", "total_return": 0.1797917105307456, "traded_notional_by_category": { "entry": 682721.979972834, "exit": 609378.0321880312, "resize": 76766.11309794954 }, "transaction_cost": 3422.165313147037, "transaction_cost_over_anchor_nav": 0.0035386440622418806, "two_sided_turnover": 1.334445371142619 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.049283371757341, "annualized_volatility": 0.12964811296656406, "cagr": 0.17455434885868848, "end_nav": 1340116.5224139073, "end_session": "2006-12-29", "fee_by_category": { "entry": 2988.1952139249643, "exit": 3001.330948785013, "resize": 149.00851893757863 }, "max_cash_weight": 0.0, "max_drawdown": -0.07714839270607632, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1140957.4394885134, "start_session": "2005-12-30", "total_return": 0.17455434885868848, "traded_notional_by_category": { "entry": 1195278.0855699857, "exit": 1200532.379514005, "resize": 59603.40757503145 }, "transaction_cost": 6138.534681647556, "transaction_cost_over_anchor_nav": 0.005380160967616317, "two_sided_turnover": 2.049283371757341 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664446294754372, "annualized_volatility": 0.14060376027421065, "cagr": 0.08569418814699103, "end_nav": 1454956.719824536, "end_session": "2007-12-31", "fee_by_category": { "entry": 4560.473867798265, "exit": 4448.676398061307, "resize": 134.65698787128525 }, "max_cash_weight": 0.0, "max_drawdown": -0.07944027934281395, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1340116.5224139073, "start_session": "2006-12-29", "total_return": 0.08569418814699103, "traded_notional_by_category": { "entry": 1824189.547119306, "exit": 1779470.5592245227, "resize": 53862.795148514095 }, "transaction_cost": 9143.807253730858, "transaction_cost_over_anchor_nav": 0.006823143436259126, "two_sided_turnover": 2.664446294754372 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0455400914395083, "annualized_volatility": 0.3639689013498449, "cagr": -0.32352038871592903, "end_nav": 984248.5562620491, "end_session": "2008-12-31", "fee_by_category": { "entry": 3632.824011787484, "exit": 3568.492008302129, "resize": 250.8287253135268 }, "max_cash_weight": 0.0, "max_drawdown": -0.4285875674145734, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1454956.719824536, "start_session": "2007-12-31", "total_return": -0.32352038871592903, "traded_notional_by_category": { "entry": 1453129.6047149936, "exit": 1427396.8033208514, "resize": 100331.49012541072 }, "transaction_cost": 7452.14474540314, "transaction_cost_over_anchor_nav": 0.005121901321093489, "two_sided_turnover": 2.0455400914395083 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9975062344139651, "annualized_volatility": 0.14018707038504538, "cagr": 0.2771948802546196, "end_nav": 1257077.21695589, "end_session": "2009-12-31", "fee_by_category": { "entry": 2462.318842697516, "exit": 2474.6612930368515, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06624414338409768, "mean_cash_weight": 0.49206349206349204, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 984248.5562620491, "start_session": "2008-12-31", "total_return": 0.2771948802546196, "traded_notional_by_category": { "entry": 984927.5370790064, "exit": 989864.5172147406, "resize": 0.0 }, "transaction_cost": 4936.980135734368, "transaction_cost_over_anchor_nav": 0.005015989207526896, "two_sided_turnover": 1.9975062344139651 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0076381527077145, "annualized_volatility": 0.17367988789268266, "cagr": 0.13472353730617748, "end_nav": 1426435.1062911926, "end_session": "2010-12-31", "fee_by_category": { "entry": 2962.151782421307, "exit": 2900.794686216502, "resize": 102.26350605507963 }, "max_cash_weight": 0.0, "max_drawdown": -0.14934527957446608, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1257077.21695589, "start_session": "2009-12-31", "total_return": 0.13472353730617748, "traded_notional_by_category": { "entry": 1184860.7129685227, "exit": 1160317.8744866007, "resize": 40905.40242203185 }, "transaction_cost": 5965.209974692889, "transaction_cost_over_anchor_nav": 0.004745301159095149, "two_sided_turnover": 2.0076381527077145 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9994458329484952, "annualized_volatility": 0.21796838441221403, "cagr": 0.07344802457335287, "end_nav": 1531203.9470303613, "end_session": "2011-12-30", "fee_by_category": { "entry": 3768.5069335750427, "exit": 3679.2027518638824, "resize": 108.1939407766983 }, "max_cash_weight": 0.0, "max_drawdown": -0.17548283754626104, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1426435.1062911926, "start_session": "2010-12-31", "total_return": 0.07344802457335287, "traded_notional_by_category": { "entry": 1507402.773430017, "exit": 1471681.1007455532, "resize": 43277.57631067932 }, "transaction_cost": 7555.903626215624, "transaction_cost_over_anchor_nav": 0.0052970538883197965, "two_sided_turnover": 1.9994458329484952 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3522109703295242, "annualized_volatility": 0.08879643031052754, "cagr": 0.11110670523801791, "end_nav": 1701330.9726323532, "end_session": "2012-12-31", "fee_by_category": { "entry": 2670.3467091220973, "exit": 2635.2455108476743, "resize": 121.70724396003396 }, "max_cash_weight": 0.0, "max_drawdown": -0.0654401221147507, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1531203.9470303613, "start_session": "2011-12-30", "total_return": 0.11110670523801791, "traded_notional_by_category": { "entry": 1068138.6836488387, "exit": 1054098.2043390698, "resize": 48682.89758401358 }, "transaction_cost": 5427.299463929805, "transaction_cost_over_anchor_nav": 0.0035444654348335417, "two_sided_turnover": 1.3522109703295242 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3353303488277228, "annualized_volatility": 0.12017842931846036, "cagr": 0.386149525430898, "end_nav": 2358299.1203152244, "end_session": "2013-12-31", "fee_by_category": { "entry": 2869.5212257656785, "exit": 2780.9040101494325, "resize": 118.78529753568088 }, "max_cash_weight": 0.0, "max_drawdown": -0.054685329516608316, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1701330.9726323532, "start_session": "2012-12-31", "total_return": 0.386149525430898, "traded_notional_by_category": { "entry": 1147808.4903062715, "exit": 1112361.604059773, "resize": 47514.11901427235 }, "transaction_cost": 5769.210533450791, "transaction_cost_over_anchor_nav": 0.003390998357318145, "two_sided_turnover": 1.3353303488277228 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6622351543992395, "annualized_volatility": 0.13628627050560946, "cagr": 0.0029706325130665068, "end_nav": 2365304.760357569, "end_session": "2014-12-31", "fee_by_category": { "entry": 8137.884440788998, "exit": 8113.30852561933, "resize": 65.36731587537652 }, "max_cash_weight": 0.0, "max_drawdown": -0.11428182759444305, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2358299.1203152244, "start_session": "2013-12-31", "total_return": 0.0029706325130665068, "traded_notional_by_category": { "entry": 3255153.776315599, "exit": 3245323.410247732, "resize": 26146.926350150607 }, "transaction_cost": 16316.560282283706, "transaction_cost_over_anchor_nav": 0.006918783177980721, "two_sided_turnover": 2.6622351543992395 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3272356162051158, "annualized_volatility": 0.15967840782915488, "cagr": -0.005307990351551273, "end_nav": 2352749.7455111127, "end_session": "2015-12-31", "fee_by_category": { "entry": 9780.97649295078, "exit": 9615.414393790787, "resize": 214.58955025248025 }, "max_cash_weight": 0.0, "max_drawdown": -0.12711345398376284, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2365304.760357569, "start_session": "2014-12-31", "total_return": -0.005307990351551273, "traded_notional_by_category": { "entry": 3912390.5971803125, "exit": 3846165.7575163143, "resize": 85835.8201009921 }, "transaction_cost": 19610.980436994047, "transaction_cost_over_anchor_nav": 0.008291100904066758, "two_sided_turnover": 3.3272356162051158 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9994458329484952, "annualized_volatility": 0.12764027799789857, "cagr": 0.042207994960189454, "end_nav": 2452054.594912233, "end_session": "2016-12-30", "fee_by_category": { "entry": 5996.468012706687, "exit": 5822.258711066797, "resize": 204.26678541285335 }, "max_cash_weight": 0.0, "max_drawdown": -0.08337382780841263, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2352749.7455111127, "start_session": "2015-12-31", "total_return": 0.042207994960189454, "traded_notional_by_category": { "entry": 2398587.2050826745, "exit": 2328903.484426719, "resize": 81706.71416514134 }, "transaction_cost": 12022.993509186339, "transaction_cost_over_anchor_nav": 0.0051101879968855155, "two_sided_turnover": 1.9994458329484952 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.664446294754372, "annualized_volatility": 0.09137591871556333, "cagr": 0.221424458349877, "end_nav": 2994999.4554350013, "end_session": "2017-12-29", "fee_by_category": { "entry": 8494.438569443528, "exit": 8229.624748715212, "resize": 307.39246017414786 }, "max_cash_weight": 0.0, "max_drawdown": -0.054317027384265804, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2452054.594912233, "start_session": "2016-12-30", "total_return": 0.221424458349877, "traded_notional_by_category": { "entry": 3397775.4277774114, "exit": 3291849.899486085, "resize": 122956.98406965914 }, "transaction_cost": 17031.45577833289, "transaction_cost_over_anchor_nav": 0.006945789793453804, "two_sided_turnover": 2.664446294754372 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.348401322753213, "annualized_volatility": 0.18111226011201, "cagr": -0.08011897585987515, "end_nav": 2755043.166364665, "end_session": "2018-12-31", "fee_by_category": { "entry": 5151.757258494774, "exit": 4982.131582025659, "resize": 300.52459044953196 }, "max_cash_weight": 0.0, "max_drawdown": -0.24498573757296305, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2994999.4554350013, "start_session": "2017-12-29", "total_return": -0.08011897585987515, "traded_notional_by_category": { "entry": 2060702.9033979096, "exit": 1992852.6328102634, "resize": 120209.83617981279 }, "transaction_cost": 10434.413430969964, "transaction_cost_over_anchor_nav": 0.0034839450177644336, "two_sided_turnover": 1.348401322753213 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.66223515439924, "annualized_volatility": 0.10341070365446593, "cagr": 0.2460037411170335, "end_nav": 3432794.0922292904, "end_session": "2019-12-31", "fee_by_category": { "entry": 9292.515100986227, "exit": 9243.197865975202, "resize": 95.89625807361008 }, "max_cash_weight": 0.0, "max_drawdown": -0.04856815698240091, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2755043.166364665, "start_session": "2018-12-31", "total_return": 0.2460037411170335, "traded_notional_by_category": { "entry": 3717006.040394491, "exit": 3697279.1463900814, "resize": 38358.50322944403 }, "transaction_cost": 18631.60922503504, "transaction_cost_over_anchor_nav": 0.006762728603494015, "two_sided_turnover": 2.66223515439924 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0132176003953366, "annualized_volatility": 0.3488332438604869, "cagr": 0.15324691600679818, "end_nav": 3958859.2001497853, "end_session": "2020-12-31", "fee_by_category": { "entry": 8292.953364519803, "exit": 7719.154913476748, "resize": 734.2633722575242 }, "max_cash_weight": 1.424645086646537e-16, "max_drawdown": -0.3261138685855831, "mean_cash_weight": 6.494317496560359e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3432794.0922292904, "start_session": "2019-12-31", "total_return": 0.15324691600679818, "traded_notional_by_category": { "entry": 3317181.345807921, "exit": 3087661.965390699, "resize": 293705.34890300967 }, "transaction_cost": 16746.371650254077, "transaction_cost_over_anchor_nav": 0.004878350171996136, "two_sided_turnover": 2.0132176003953366 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9994458329484952, "annualized_volatility": 0.1597407558310614, "cagr": 0.20704611456733235, "end_nav": 4778525.615659935, "end_session": "2021-12-31", "fee_by_category": { "entry": 10763.482811728962, "exit": 10521.161513736892, "resize": 296.2735927877011 }, "max_cash_weight": 1.1962558386236213e-16, "max_drawdown": -0.06846003855882765, "mean_cash_weight": 5.4257892853047164e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 3958859.2001497853, "start_session": "2020-12-31", "total_return": 0.20704611456733235, "traded_notional_by_category": { "entry": 4305393.124691584, "exit": 4208464.605494756, "resize": 118509.43711508042 }, "transaction_cost": 21580.91791825355, "transaction_cost_over_anchor_nav": 0.005451297160918738, "two_sided_turnover": 1.9994458329484952 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.3272356162051158, "annualized_volatility": 0.2541527010845423, "cagr": -0.19932122897293458, "end_nav": 3826064.017267948, "end_session": "2022-12-30", "fee_by_category": { "entry": 16671.82915302837, "exit": 16725.814063469934, "resize": 29.583155488406774 }, "max_cash_weight": 0.0, "max_drawdown": -0.3099827963060936, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 4778525.615659935, "start_session": "2021-12-31", "total_return": -0.19932122897293458, "traded_notional_by_category": { "entry": 6668731.661211349, "exit": 6690325.625387974, "resize": 11833.26219536271 }, "transaction_cost": 33427.22637198671, "transaction_cost_over_anchor_nav": 0.006995301283400208, "two_sided_turnover": 3.3272356162051158 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.028679019214013, "annualized_volatility": 0.14253380197308957, "cagr": 0.08928967470449933, "end_nav": 4167692.028768393, "end_session": "2023-12-29", "fee_by_category": { "entry": 9620.603098665282, "exit": 9181.27364461208, "resize": 767.2733054730087 }, "max_cash_weight": 1.2937138682387263e-16, "max_drawdown": -0.12590492694238276, "mean_cash_weight": 6.088116861060708e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 3826064.017267948, "start_session": "2022-12-30", "total_return": 0.08928967470449933, "traded_notional_by_category": { "entry": 3848241.239466113, "exit": 3672509.4578448315, "resize": 306909.32218920346 }, "transaction_cost": 19569.150048750373, "transaction_cost_over_anchor_nav": 0.005114694882372613, "two_sided_turnover": 2.028679019214013 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3509631864168512, "annualized_volatility": 0.1430383461141033, "cagr": 0.20844006048674624, "end_nav": 5036406.007335007, "end_session": "2024-12-31", "fee_by_category": { "entry": 7261.111617166366, "exit": 6992.833368677019, "resize": 476.83118603194833 }, "max_cash_weight": 0.0, "max_drawdown": -0.09040645903286793, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4167692.028768393, "start_session": "2023-12-29", "total_return": 0.20844006048674624, "traded_notional_by_category": { "entry": 2904444.6468665465, "exit": 2797133.347470808, "resize": 190732.47441277932 }, "transaction_cost": 14730.776171875332, "transaction_cost_over_anchor_nav": 0.0035345164830301694, "two_sided_turnover": 1.3509631864168512 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6863789645205267, "annualized_volatility": 0.15695269865090716, "cagr": 0.16570728927900813, "end_nav": 5870975.194519004, "end_session": "2025-12-31", "fee_by_category": { "entry": 4218.218860292935, "exit": 3966.3687858853114, "resize": 530.8342315683554 }, "max_cash_weight": 0.0, "max_drawdown": -0.1323494469373061, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5036406.007335007, "start_session": "2024-12-31", "total_return": 0.16570728927900813, "traded_notional_by_category": { "entry": 1687287.5441171736, "exit": 1586547.5143541244, "resize": 212333.69262734219 }, "transaction_cost": 8715.421877746601, "transaction_cost_over_anchor_nav": 0.0017304843702142928, "two_sided_turnover": 0.6863789645205267 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.062041201082642, "annualized_volatility": 0.18040113879209554, "cagr": 0.07564744105231092, "end_nav": 5870975.194519004, "end_session": "2025-12-31", "fee_by_category": { "entry": 140511.6066941112, "exit": 136905.03641526666, "resize": 5704.6419673329365 }, "max_cash_weight": 1.0, "max_drawdown": -0.4285875674145734, "mean_cash_weight": 0.03277926271475879, "nonzero_trade_event_count": 50, "order_count": 222, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 948334.4687106037, "start_session": "2000-12-29", "total_return": 5.190827591136104, "traded_notional_by_category": { "entry": 56204642.67764448, "exit": 54762014.56610667, "resize": 2281856.7869331744 }, "transaction_cost": 283121.2850767108, "transaction_cost_over_anchor_nav": 0.29854581312609535, "two_sided_turnover": 51.55103002706605 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7029214.455351629, "end_session": "2026-10-02", "fee_by_category": { "entry": 20812.412793045984, "exit": 20111.402160432095, "resize": 805.3335037569684 }, "max_cash_weight": 0.0, "max_drawdown": -0.07024943670816108, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 5870975.194519004, "start_session": "2025-12-31", "total_return": 0.19728226103117064, "traded_notional_by_category": { "entry": 8324965.117218394, "exit": 8044560.864172839, "resize": 322133.40150278737 }, "transaction_cost": 41729.14845723505, "transaction_cost_over_anchor_nav": 0.007107703077368193, "two_sided_turnover": 2.6644462947543714 } }, "monthly_risk": { "beta_intercept_per_month": 0.0003079480750557339, "beta_to_SPY_excess_returns": 0.7938730797398134, "monthly_return_volatility_annualized": 0.14107971476650674, "months": 300, "sharpe_monthly_annualized": 0.4684284480809468, "tracking_error_monthly_annualized": 0.08113771363630909 }, "phase": [ 6, 12 ], "policy": "A", "run_id": "SMIX-06-12-25bps", "signal": "mixed" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998889444413597, "annualized_volatility": 0.16758244197664054, "cagr": -0.11398083433759965, "end_nav": 843047.5919926182, "end_session": "2001-12-31", "fee_by_category": { "entry": 468.34763151675656, "exit": 414.9787327408271, "resize": 53.83748069840754 }, "max_cash_weight": 1.447159359814331e-16, "max_drawdown": -0.21055426369980712, "mean_cash_weight": 6.545941534920349e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 248, "start_nav": 951500.4016446348, "start_session": "2000-12-29", "total_return": -0.11398083433759965, "traded_notional_by_category": { "entry": 936695.2630335132, "exit": 829957.4654816543, "resize": 107674.96139681508 }, "transaction_cost": 937.1638449559914, "transaction_cost_over_anchor_nav": 0.0009849326845644383, "two_sided_turnover": 1.9998889444413597 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 2.0152963063484126, "annualized_volatility": 0.24301352054729128, "cagr": -0.12820073221647743, "end_nav": 734968.2734058264, "end_session": "2002-12-31", "fee_by_category": { "entry": 416.8377205356297, "exit": 397.90007309999623, "resize": 25.685133655026117 }, "max_cash_weight": 0.0, "max_drawdown": -0.27516987616865574, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 843047.5919926182, "start_session": "2001-12-31", "total_return": -0.12820073221647743, "traded_notional_by_category": { "entry": 833675.4410712593, "exit": 795800.1461999924, "resize": 51370.26731005224 }, "transaction_cost": 840.4229272906521, "transaction_cost_over_anchor_nav": 0.0009968866945034949, "two_sided_turnover": 2.0152963063484126 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 2.019671893047655, "annualized_volatility": 0.10765458283525055, "cagr": 0.20297860135797552, "end_nav": 884151.1055842272, "end_session": "2003-12-31", "fee_by_category": { "entry": 382.00664642628294, "exit": 371.89711012034724, "resize": 10.491734051234612 }, "max_cash_weight": 0.6810947135698503, "max_drawdown": -0.0580729053021205, "mean_cash_weight": 0.3257270820940017, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 734968.2734058264, "start_session": "2002-12-31", "total_return": 0.20297860135797552, "traded_notional_by_category": { "entry": 764013.2928525659, "exit": 743794.2202406945, "resize": 20983.468102469225 }, "transaction_cost": 764.3954905978648, "transaction_cost_over_anchor_nav": 0.0010400387584836462, "two_sided_turnover": 2.019671893047655 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 2.6662222962839524, "annualized_volatility": 0.12481421345864224, "cagr": 0.1167341965794031, "end_nav": 987361.7745493931, "end_session": "2004-12-31", "fee_by_category": { "entry": 599.1624140202005, "exit": 590.3527864731448, "resize": 9.409089692148351 }, "max_cash_weight": 1.4055714907783583e-16, "max_drawdown": -0.07785926120443976, "mean_cash_weight": 6.541320931756452e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 884151.1055842272, "start_session": "2003-12-31", "total_return": 0.1167341965794031, "traded_notional_by_category": { "entry": 1198324.8280404008, "exit": 1180705.5729462896, "resize": 18818.1793842967 }, "transaction_cost": 1198.9242901854936, "transaction_cost_over_anchor_nav": 0.0013560174076729468, "two_sided_turnover": 2.6662222962839524 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3335555925987665, "annualized_volatility": 0.1436653920197847, "cagr": 0.1829483411398367, "end_nav": 1167997.9733080901, "end_session": "2005-12-30", "fee_by_category": { "entry": 349.2306709429431, "exit": 311.28764606611907, "resize": 38.29243025045385 }, "max_cash_weight": 1.2190916870417874e-16, "max_drawdown": -0.10533392710502176, "mean_cash_weight": 5.52752350810474e-17, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 987361.7745493931, "start_session": "2004-12-31", "total_return": 0.1829483411398367, "traded_notional_by_category": { "entry": 698461.3418858862, "exit": 622575.2921322382, "resize": 76584.8605009077 }, "transaction_cost": 698.810747259516, "transaction_cost_over_anchor_nav": 0.000707755521099078, "two_sided_turnover": 1.3335555925987665 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 2.052451445748285, "annualized_volatility": 0.13008904528950802, "cagr": 0.1793845546902435, "end_nav": 1377518.769629069, "end_session": "2006-12-29", "fee_by_category": { "entry": 613.7884672027878, "exit": 615.0856235787745, "resize": 31.082627712762857 }, "max_cash_weight": 0.0, "max_drawdown": -0.07714839270607632, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1167997.9733080901, "start_session": "2005-12-30", "total_return": 0.1793845546902435, "traded_notional_by_category": { "entry": 1227576.9344055755, "exit": 1230171.247157549, "resize": 62165.25542552571 }, "transaction_cost": 1259.9567184943253, "transaction_cost_over_anchor_nav": 0.001078731938999674, "two_sided_turnover": 2.052451445748285 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666222296283953, "annualized_volatility": 0.1408767894487443, "cagr": 0.0915058586884181, "end_nav": 1503569.80750339, "end_session": "2007-12-31", "fee_by_category": { "entry": 941.339207844876, "exit": 915.8116426892125, "resize": 26.469375268564534 }, "max_cash_weight": 0.0, "max_drawdown": -0.07697971106985435, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 1377518.769629069, "start_session": "2006-12-29", "total_return": 0.0915058586884181, "traded_notional_by_category": { "entry": 1882678.415689752, "exit": 1831623.285378425, "resize": 52938.75053712906 }, "transaction_cost": 1883.6202258026533, "transaction_cost_over_anchor_nav": 0.0013674007696532983, "two_sided_turnover": 2.666222296283953 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 2.046903557589443, "annualized_volatility": 0.3639326904005597, "cagr": -0.32074298777248567, "end_nav": 1021310.3351202514, "end_session": "2008-12-31", "fee_by_category": { "entry": 753.2068855971478, "exit": 738.1932007639098, "resize": 51.291065505987326 }, "max_cash_weight": 0.0, "max_drawdown": -0.42777105082977995, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 1503569.80750339, "start_session": "2007-12-31", "total_return": -0.32074298777248567, "traded_notional_by_category": { "entry": 1506413.7711942955, "exit": 1476386.4015278195, "resize": 102582.13101197465 }, "transaction_cost": 1542.691151867045, "transaction_cost_over_anchor_nav": 0.0010260189744223545, "two_sided_turnover": 2.046903557589443 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9995002498750627, "annualized_volatility": 0.14014273486455933, "cagr": 0.2823139042223535, "end_nav": 1309640.44325069, "end_session": "2009-12-31", "fee_by_category": { "entry": 513.0555700283692, "exit": 513.5688822545105, "resize": 0.0 }, "max_cash_weight": 1.0, "max_drawdown": -0.06624414338409768, "mean_cash_weight": 0.49206349206349204, "nonzero_trade_event_count": 2, "order_count": 6, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1021310.3351202514, "start_session": "2008-12-31", "total_return": 0.2823139042223535, "traded_notional_by_category": { "entry": 1026111.1400567384, "exit": 1027137.7645090211, "resize": 0.0 }, "transaction_cost": 1026.6244522828797, "transaction_cost_over_anchor_nav": 0.0010052032344918967, "two_sided_turnover": 1.9995002498750627 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 2.008976355109119, "annualized_volatility": 0.17380452894615644, "cagr": 0.13929580369266903, "end_nav": 1492067.8613417181, "end_session": "2010-12-31", "fee_by_category": { "entry": 619.099782251437, "exit": 604.9351768620375, "resize": 20.79884120186788 }, "max_cash_weight": 0.0, "max_drawdown": -0.1470715606952302, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1309640.44325069, "start_session": "2009-12-31", "total_return": 0.13929580369266903, "traded_notional_by_category": { "entry": 1238199.564502874, "exit": 1209870.3537240748, "resize": 41597.68240373576 }, "transaction_cost": 1244.8338003153422, "transaction_cost_over_anchor_nav": 0.0009505156982060743, "two_sided_turnover": 2.008976355109119 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998889444413597, "annualized_volatility": 0.21810821053867113, "cagr": 0.07775617489257236, "end_nav": 1608085.350919791, "end_session": "2011-12-30", "fee_by_category": { "entry": 790.8762281434408, "exit": 770.4148054366549, "resize": 21.252694570861262 }, "max_cash_weight": 0.0, "max_drawdown": -0.1732789818648549, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1492067.8613417181, "start_session": "2010-12-31", "total_return": 0.07775617489257236, "traded_notional_by_category": { "entry": 1581752.4562868816, "exit": 1540829.61087331, "resize": 42505.389141722524 }, "transaction_cost": 1582.543728150957, "transaction_cost_over_anchor_nav": 0.001060637903377853, "two_sided_turnover": 1.9998889444413597 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3531122940891172, "annualized_volatility": 0.08888804287786761, "cagr": 0.11411823082221839, "end_nav": 1791597.2061778838, "end_session": "2012-12-31", "fee_by_category": { "entry": 562.0339361148924, "exit": 553.9110466726938, "resize": 25.573604102648332 }, "max_cash_weight": 0.0, "max_drawdown": -0.06544012211475048, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 1608085.350919791, "start_session": "2011-12-30", "total_return": 0.11411823082221839, "traded_notional_by_category": { "entry": 1124067.8722297847, "exit": 1107822.0933453876, "resize": 51147.20820529666 }, "transaction_cost": 1141.5185868902345, "transaction_cost_over_anchor_nav": 0.0007098619400004544, "two_sided_turnover": 1.3531122940891172 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3362162777795779, "annualized_volatility": 0.12049572209518332, "cagr": 0.3898632094381873, "end_nav": 2490075.0429988834, "end_session": "2013-12-31", "fee_by_category": { "entry": 605.9688286947758, "exit": 585.6896671344184, "resize": 24.216493577317333 }, "max_cash_weight": 0.0, "max_drawdown": -0.054685329516608316, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 1791597.2061778838, "start_session": "2012-12-31", "total_return": 0.3898632094381873, "traded_notional_by_category": { "entry": 1211937.6573895514, "exit": 1171379.3342688368, "resize": 48432.98715463467 }, "transaction_cost": 1215.8749894065115, "transaction_cost_over_anchor_nav": 0.000678654211568239, "two_sided_turnover": 1.3362162777795779 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778296049508, "annualized_volatility": 0.13625094267372687, "cagr": 0.008336803424481065, "end_nav": 2510834.3091445714, "end_session": "2014-12-31", "fee_by_category": { "entry": 1726.056999618265, "exit": 1715.0854893062676, "resize": 12.698430771845684 }, "max_cash_weight": 0.0, "max_drawdown": -0.11428182759444305, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2490075.0429988834, "start_session": "2013-12-31", "total_return": 0.008336803424481065, "traded_notional_by_category": { "entry": 3452113.99923653, "exit": 3430170.978612535, "resize": 25396.861543691368 }, "transaction_cost": 3453.8409196963785, "transaction_cost_over_anchor_nav": 0.0013870429043523116, "two_sided_turnover": 2.665778296049508 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 3.332111647892101, "annualized_volatility": 0.15960773980578458, "cagr": 0.00134812916251148, "end_nav": 2514219.2380989636, "end_session": "2015-12-31", "fee_by_category": { "entry": 2087.0940538178093, "exit": 2044.5498408361912, "resize": 44.63235110449704 }, "max_cash_weight": 0.0, "max_drawdown": -0.12478031155657976, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2510834.3091445714, "start_session": "2014-12-31", "total_return": 0.00134812916251148, "traded_notional_by_category": { "entry": 4174188.107635618, "exit": 4089099.681672382, "resize": 89264.70220899407 }, "transaction_cost": 4176.276245758498, "transaction_cost_over_anchor_nav": 0.001663302206182348, "two_sided_turnover": 3.332111647892101 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998889444413597, "annualized_volatility": 0.12738106463003782, "cagr": 0.04639076730071823, "end_nav": 2630855.7977166018, "end_session": "2016-12-30", "fee_by_category": { "entry": 1285.6449740766693, "exit": 1245.504103832008, "resize": 41.42715836279676 }, "max_cash_weight": 0.0, "max_drawdown": -0.08214839226129622, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2514219.2380989636, "start_session": "2015-12-31", "total_return": 0.04639076730071823, "traded_notional_by_category": { "entry": 2571289.9481533384, "exit": 2491008.207664016, "resize": 82854.31672559353 }, "transaction_cost": 2572.576236271474, "transaction_cost_over_anchor_nav": 0.0010232107834067148, "two_sided_turnover": 1.9998889444413597 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 2.666222296283953, "annualized_volatility": 0.09125350151668732, "cagr": 0.22796268672087505, "end_nav": 3230592.753739269, "end_session": "2017-12-29", "fee_by_category": { "entry": 1830.1775581913844, "exit": 1768.4613779798992, "resize": 63.54727331622905 }, "max_cash_weight": 0.0, "max_drawdown": -0.054317027384265915, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 2630855.7977166018, "start_session": "2016-12-30", "total_return": 0.22796268672087505, "traded_notional_by_category": { "entry": 3660355.116382769, "exit": 3536922.7559597986, "resize": 127094.5466324581 }, "transaction_cost": 3662.186209487513, "transaction_cost_over_anchor_nav": 0.0013920132804945196, "two_sided_turnover": 2.666222296283953 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3484104768988385, "annualized_volatility": 0.1811627756301382, "cagr": -0.07763237572065695, "end_nav": 2979794.1632805504, "end_session": "2018-12-31", "fee_by_category": { "entry": 1113.6831211522358, "exit": 1075.5463698954695, "resize": 63.34709463155351 }, "max_cash_weight": 0.0, "max_drawdown": -0.24498573757296327, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 3230592.753739269, "start_session": "2017-12-29", "total_return": -0.07763237572065695, "traded_notional_by_category": { "entry": 2227366.2423044713, "exit": 2151092.7397909393, "resize": 126694.18926310702 }, "transaction_cost": 2252.5765856792586, "transaction_cost_over_anchor_nav": 0.0006972641732920376, "two_sided_turnover": 1.3484104768988385 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 2.665778296049508, "annualized_volatility": 0.10247326171667344, "cagr": 0.25267020652922834, "end_nav": 3732699.3699312364, "end_session": "2019-12-31", "fee_by_category": { "entry": 2018.916495481572, "exit": 2001.597164601839, "resize": 19.339257338443772 }, "max_cash_weight": 0.0, "max_drawdown": -0.04856815698240091, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 2979794.1632805504, "start_session": "2018-12-31", "total_return": 0.25267020652922834, "traded_notional_by_category": { "entry": 4037832.9909631433, "exit": 4003194.329203678, "resize": 38678.51467688754 }, "transaction_cost": 4039.8529174218547, "transaction_cost_over_anchor_nav": 0.0013557489866931787, "two_sided_turnover": 2.665778296049508 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 2.014559521808698, "annualized_volatility": 0.3488771564515302, "cagr": 0.15790676574975726, "end_nav": 4322117.854953235, "end_session": "2020-12-31", "fee_by_category": { "entry": 1809.1108803616605, "exit": 1680.1599984104844, "resize": 158.268368269608 }, "max_cash_weight": 1.304908727038832e-16, "max_drawdown": -0.3261138685855831, "mean_cash_weight": 5.948493176901091e-17, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 253, "start_nav": 3732699.3699312364, "start_session": "2019-12-31", "total_return": 0.15790676574975726, "traded_notional_by_category": { "entry": 3618221.760723321, "exit": 3360319.9968209686, "resize": 316536.736539216 }, "transaction_cost": 3647.5392470417532, "transaction_cost_over_anchor_nav": 0.000977185378609515, "two_sided_turnover": 2.014559521808698 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 1.9998889444413597, "annualized_volatility": 0.15963175215547548, "cagr": 0.21189044422721692, "end_nav": 5237933.327241662, "end_session": "2021-12-31", "fee_by_category": { "entry": 2357.7223208275177, "exit": 2299.4804673827957, "resize": 60.60075521643611 }, "max_cash_weight": 0.0, "max_drawdown": -0.06846003855882776, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4322117.854953235, "start_session": "2020-12-31", "total_return": 0.21189044422721692, "traded_notional_by_category": { "entry": 4715444.641655035, "exit": 4598960.934765591, "resize": 121201.51043287222 }, "transaction_cost": 4717.8035434267495, "transaction_cost_over_anchor_nav": 0.0010915490279886863, "two_sided_turnover": 1.9998889444413597 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 3.332111647892101, "annualized_volatility": 0.2543694087746805, "cagr": -0.19396337594844637, "end_nav": 4221966.096096991, "end_session": "2022-12-30", "fee_by_category": { "entry": 3672.3712490572875, "exit": 3671.8939347190926, "resize": 4.151522691428312 }, "max_cash_weight": 0.0, "max_drawdown": -0.30721719282735604, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 11, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 251, "start_nav": 5237933.327241662, "start_session": "2021-12-31", "total_return": -0.19396337594844637, "traded_notional_by_category": { "entry": 7344742.498114575, "exit": 7343787.869438185, "resize": 8303.045382856624 }, "transaction_cost": 7348.416706467809, "transaction_cost_over_anchor_nav": 0.0014029229177564854, "two_sided_turnover": 3.332111647892101 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 2.030031246522271, "annualized_volatility": 0.14234715123985436, "cagr": 0.09372498150598285, "end_nav": 4617669.790372567, "end_session": "2023-12-29", "fee_by_category": { "entry": 2129.986554672605, "exit": 2028.178486514764, "resize": 167.50682036633057 }, "max_cash_weight": 0.0, "max_drawdown": -0.12590492694238287, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 9, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 4221966.096096991, "start_session": "2022-12-30", "total_return": 0.09372498150598285, "traded_notional_by_category": { "entry": 4259973.10934521, "exit": 4056356.973029528, "resize": 335013.6407326611 }, "transaction_cost": 4325.671861553699, "transaction_cost_over_anchor_nav": 0.0010245633818690726, "two_sided_turnover": 2.030031246522271 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 1.3518636784591225, "annualized_volatility": 0.14288577898819882, "cagr": 0.21171236732425847, "end_nav": 5595287.5932140555, "end_session": "2024-12-31", "fee_by_category": { "entry": 1612.3514457392766, "exit": 1550.6427416387096, "resize": 105.75458677011693 }, "max_cash_weight": 0.0, "max_drawdown": -0.09040645903286793, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 8, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 252, "start_nav": 4617669.790372567, "start_session": "2023-12-29", "total_return": 0.21171236732425847, "traded_notional_by_category": { "entry": 3224702.8914785534, "exit": 3101285.483277419, "resize": 211509.17354023387 }, "transaction_cost": 3268.7487741481036, "transaction_cost_over_anchor_nav": 0.0007078784154213788, "two_sided_turnover": 1.3518636784591225 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.6868364742452528, "annualized_volatility": 0.15694486182221737, "cagr": 0.16730994700522284, "end_nav": 6531434.8639136795, "end_session": "2025-12-31", "fee_by_category": { "entry": 938.5263885212152, "exit": 881.3020247157914, "resize": 118.02643916276656 }, "max_cash_weight": 0.0, "max_drawdown": -0.1323494469373061, "mean_cash_weight": 0.0, "nonzero_trade_event_count": 2, "order_count": 7, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 250, "start_nav": 5595287.5932140555, "start_session": "2024-12-31", "total_return": 0.16730994700522284, "traded_notional_by_category": { "entry": 1877052.7770424304, "exit": 1762604.0494315827, "resize": 236052.87832553312 }, "transaction_cost": 1937.854852399773, "transaction_cost_over_anchor_nav": 0.0003463369523221642, "two_sided_turnover": 0.6868364742452528 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 2.0636555169848054, "annualized_volatility": 0.18038745860589409, "cagr": 0.08010004697824202, "end_nav": 6531434.8639136795, "end_session": "2025-12-31", "fee_by_category": { "entry": 30196.596030837038, "exit": 29346.42839372596, "resize": 1197.7006282893324 }, "max_cash_weight": 1.0, "max_drawdown": -0.42777105082977995, "mean_cash_weight": 0.03277926271475879, "nonzero_trade_event_count": 50, "order_count": 222, "rebalance_count": 50, "scheduled_reset_count": 50, "session_count": 6287, "start_nav": 951500.4016446348, "start_session": "2000-12-29", "total_return": 5.864353238973232, "traded_notional_by_category": { "entry": 60393192.06167407, "exit": 58692856.787451915, "resize": 2395401.2565786648 }, "transaction_cost": 60740.72505285233, "transaction_cost_over_anchor_nav": 0.06383678340846113, "two_sided_turnover": 51.591387924620136 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7861831.043589731, "end_session": "2026-10-02", "fee_by_category": { "entry": 4649.699357042213, "exit": 4480.902340775214, "resize": 173.44904163672751 }, "max_cash_weight": 1.4781672362276275e-16, "max_drawdown": -0.07024943670816086, "mean_cash_weight": 8.951323767732616e-17, "nonzero_trade_event_count": 2, "order_count": 10, "rebalance_count": 2, "scheduled_reset_count": 2, "session_count": 189, "start_nav": 6531434.8639136795, "start_session": "2025-12-31", "total_return": 0.2036912573417089, "traded_notional_by_category": { "entry": 9299398.714084428, "exit": 8961804.681550426, "resize": 346898.08327345503 }, "transaction_cost": 9304.050739454155, "transaction_cost_over_anchor_nav": 0.0014245033340008087, "two_sided_turnover": 2.6662222962839524 } }, "monthly_risk": { "beta_intercept_per_month": 0.000647814352593987, "beta_to_SPY_excess_returns": 0.7948394219251722, "monthly_return_volatility_annualized": 0.14107895480466573, "months": 300, "sharpe_monthly_annualized": 0.49783880436807665, "tracking_error_monthly_annualized": 0.08086791278679685 }, "phase": [ 6, 12 ], "policy": "A", "run_id": "SMIX-06-12-5bps", "signal": "mixed" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.22085725707124024, "cagr": -0.11758526689296411, "end_nav": 789067.601704524, "end_session": "2001-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.28814294855588374, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 248, "start_nav": 894213.9926949871, "start_session": "2000-12-29", "total_return": -0.11758526689296411, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.2644827689950939, "cagr": -0.21584647367934495, "end_nav": 618750.1423819846, "end_session": "2002-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.3297177286908328, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 789067.601704524, "start_session": "2001-12-31", "total_return": -0.21584647367934495, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.16527245339485958, "cagr": 0.28181585501976114, "end_nav": 793123.7428009625, "end_session": "2003-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.13725465530903946, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 618750.1423819846, "start_session": "2002-12-31", "total_return": 0.28181585501976114, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.11143996588524865, "cagr": 0.10697929546510787, "end_nav": 877971.562022459, "end_session": "2004-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.07530535966954499, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 793123.7428009625, "start_session": "2003-12-31", "total_return": 0.10697929546510787, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.10320336627303427, "cagr": 0.04828271745603052, "end_nav": 920362.4148860192, "end_session": "2005-12-30", "max_cash_weight": 0.0, "max_drawdown": -0.06957392746153013, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 877971.562022459, "start_session": "2004-12-31", "total_return": 0.04828271745603052, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.10009234613141486, "cagr": 0.15845201332555647, "end_nav": 1066195.69251388, "end_session": "2006-12-29", "max_cash_weight": 0.0, "max_drawdown": -0.07593100977306055, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 920362.4148860192, "start_session": "2005-12-30", "total_return": 0.15845201332555647, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.15905586593014023, "cagr": 0.05146273152615177, "end_nav": 1121065.0351920614, "end_session": "2007-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.0992460796639224, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 1066195.69251388, "start_session": "2006-12-29", "total_return": 0.05146273152615177, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.41293337151836734, "cagr": -0.36795003896091494, "end_nav": 708569.111815423, "end_session": "2008-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.4757961282912059, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 253, "start_nav": 1121065.0351920614, "start_session": "2007-12-31", "total_return": -0.36795003896091494, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.2663347023247498, "cagr": 0.26351755290563394, "end_nav": 895289.5102255418, "end_session": "2009-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.2713171628936275, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 708569.111815423, "start_session": "2008-12-31", "total_return": 0.26351755290563394, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.17929510001529445, "cagr": 0.15056156939633025, "end_nav": 1030085.7039491711, "end_session": "2010-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.15699723875066351, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 895289.5102255418, "start_session": "2009-12-31", "total_return": 0.15056156939633025, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.23016991181429386, "cagr": 0.018949748605149308, "end_nav": 1049605.569080766, "end_session": "2011-12-30", "max_cash_weight": 0.0, "max_drawdown": -0.18605470155738346, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1030085.7039491711, "start_session": "2010-12-31", "total_return": 0.018949748605149308, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.12736971528817417, "cagr": 0.1599032308596322, "end_nav": 1217440.8907050434, "end_session": "2012-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.09686960416721802, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 250, "start_nav": 1049605.569080766, "start_session": "2011-12-30", "total_return": 0.1599032308596322, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.11073957411432621, "cagr": 0.3230785357451289, "end_nav": 1610769.9110302744, "end_session": "2013-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.05550557905254194, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1217440.8907050434, "start_session": "2012-12-31", "total_return": 0.3230785357451289, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.11244999263488711, "cagr": 0.13463740498009158, "end_nav": 1827639.7918714033, "end_session": "2014-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.07273504403437336, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1610769.9110302744, "start_session": "2013-12-31", "total_return": 0.13463740498009158, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.15431896163195377, "cagr": 0.012342851500163565, "end_nav": 1850198.078418262, "end_session": "2015-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.11910234541301801, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1827639.7918714033, "start_session": "2014-12-31", "total_return": 0.012342851500163565, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.13061305160548298, "cagr": 0.11997881817898626, "end_nav": 2072182.6572639167, "end_session": "2016-12-30", "max_cash_weight": 0.0, "max_drawdown": -0.10305561118008544, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1850198.078418262, "start_session": "2015-12-31", "total_return": 0.11997881817898626, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.06743836660707839, "cagr": 0.21705388164052253, "end_nav": 2521957.9464912224, "end_session": "2017-12-29", "max_cash_weight": 0.0, "max_drawdown": -0.026101026515280346, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 2072182.6572639167, "start_session": "2016-12-30", "total_return": 0.21705388164052253, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.17036813728420783, "cagr": -0.04568957062921708, "end_nav": 2406730.7707710965, "end_session": "2018-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.1934888903509696, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 2521957.9464912224, "start_session": "2017-12-29", "total_return": -0.04568957062921708, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.1251087112790027, "cagr": 0.3122385536978718, "end_nav": 3158204.9057768276, "end_session": "2019-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.06618379322052592, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 2406730.7707710965, "start_session": "2018-12-31", "total_return": 0.3122385536978718, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.3339798056350936, "cagr": 0.18331596055607924, "end_nav": 3737154.271712228, "end_session": "2020-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.33717268745960116, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 253, "start_nav": 3158204.9057768276, "start_session": "2019-12-31", "total_return": 0.18331596055607924, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.12988746256785405, "cagr": 0.2872878506096057, "end_nav": 4810793.28982894, "end_session": "2021-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.051141397039380365, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 3737154.271712228, "start_session": "2020-12-31", "total_return": 0.2872878506096057, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.24242953217528337, "cagr": -0.18175374511131448, "end_nav": 3936413.592446149, "end_session": "2022-12-30", "max_cash_weight": 0.0, "max_drawdown": -0.24496393992794452, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 4810793.28982894, "start_session": "2021-12-31", "total_return": -0.18175374511131448, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.13075545004272035, "cagr": 0.26175809256215166, "end_nav": 4966801.70594058, "end_session": "2023-12-29", "max_cash_weight": 0.0, "max_drawdown": -0.09974318833807849, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 250, "start_nav": 3936413.592446149, "start_session": "2022-12-30", "total_return": 0.26175809256215166, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.12568975147342304, "cagr": 0.24886467926331335, "end_nav": 6202863.21945396, "end_session": "2024-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.08405611776742916, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 4966801.70594058, "start_session": "2023-12-29", "total_return": 0.24886467926331335, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.1948675019695948, "cagr": 0.1771905127643969, "end_nav": 7301951.733916425, "end_session": "2025-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.1875522908467664, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 250, "start_nav": 6202863.21945396, "start_session": "2024-12-31", "total_return": 0.1771905127643969, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.19190581666097725, "cagr": 0.08762679861348932, "end_nav": 7301951.733916425, "end_session": "2025-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.5518945416625735, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 6287, "start_nav": 894213.9926949871, "start_session": "2000-12-29", "total_return": 7.165776641349307, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 8305621.433038547, "end_session": "2026-10-02", "max_cash_weight": 0.0, "max_drawdown": -0.08884972983911332, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 189, "start_nav": 7301951.733916425, "start_session": "2025-12-31", "total_return": 0.13745225053463894, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 } }, "monthly_risk": { "beta_intercept_per_month": 1.734723475976807e-18, "beta_to_SPY_excess_returns": 0.9999999999999998, "monthly_return_volatility_annualized": 0.15060527871254747, "months": 300, "sharpe_monthly_annualized": 0.5217815407289326, "tracking_error_monthly_annualized": 0.0 }, "phase": null, "run_id": "SPY-0bps", "signal": "benchmark" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.22085725707124018, "cagr": -0.11758526689296411, "end_nav": 788279.322382142, "end_session": "2001-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.28814294855588374, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 248, "start_nav": 893320.6720229642, "start_session": "2000-12-29", "total_return": -0.11758526689296411, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.2644827689950936, "cagr": -0.21584647367934495, "end_nav": 618132.0103716131, "end_session": "2002-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.32971772869083293, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 788279.322382142, "start_session": "2001-12-31", "total_return": -0.21584647367934495, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.16527245339485946, "cagr": 0.2818158550197609, "end_nav": 792331.411389573, "end_session": "2003-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.13725465530903935, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 618132.0103716131, "start_session": "2002-12-31", "total_return": 0.2818158550197609, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.11143996588524868, "cagr": 0.10697929546510809, "end_nav": 877094.4675549042, "end_session": "2004-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.07530535966954499, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 792331.411389573, "start_session": "2003-12-31", "total_return": 0.10697929546510809, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.1032033662730341, "cagr": 0.04828271745603052, "end_nav": 919442.9719141051, "end_session": "2005-12-30", "max_cash_weight": 0.0, "max_drawdown": -0.06957392746153024, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 877094.4675549042, "start_session": "2004-12-31", "total_return": 0.04828271745603052, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.10009234613141504, "cagr": 0.15845201332555647, "end_nav": 1065130.561951928, "end_session": "2006-12-29", "max_cash_weight": 0.0, "max_drawdown": -0.07593100977306055, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 919442.9719141051, "start_session": "2005-12-30", "total_return": 0.15845201332555647, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.1590558659301403, "cagr": 0.051462731526151995, "end_nav": 1119945.0901019596, "end_session": "2007-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.09924607966392218, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 1065130.561951928, "start_session": "2006-12-29", "total_return": 0.051462731526151995, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.41293337151836745, "cagr": -0.36795003896091505, "end_nav": 707861.2505648581, "end_session": "2008-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.4757961282912059, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 253, "start_nav": 1119945.0901019596, "start_session": "2007-12-31", "total_return": -0.36795003896091505, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.26633470232474976, "cagr": 0.26351755290563417, "end_nav": 894395.1151104314, "end_session": "2009-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.2713171628936276, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 707861.2505648581, "start_session": "2008-12-31", "total_return": 0.26351755290563417, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.1792951000152943, "cagr": 0.15056156939633003, "end_nav": 1029056.6473018694, "end_session": "2010-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.15699723875066351, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 894395.1151104314, "start_session": "2009-12-31", "total_return": 0.15056156939633003, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.230169911814294, "cagr": 0.018949748605149308, "end_nav": 1048557.0120686975, "end_session": "2011-12-30", "max_cash_weight": 0.0, "max_drawdown": -0.18605470155738324, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1029056.6473018694, "start_session": "2010-12-31", "total_return": 0.018949748605149308, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.12736971528817417, "cagr": 0.1599032308596322, "end_nav": 1216224.6660390045, "end_session": "2012-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.09686960416721813, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 250, "start_nav": 1048557.0120686975, "start_session": "2011-12-30", "total_return": 0.1599032308596322, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.11073957411432643, "cagr": 0.3230785357451289, "end_nav": 1609160.7502799944, "end_session": "2013-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.05550557905254172, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1216224.6660390045, "start_session": "2012-12-31", "total_return": 0.3230785357451289, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.11244999263488706, "cagr": 0.13463740498009158, "end_nav": 1825813.97789351, "end_session": "2014-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.07273504403437325, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1609160.7502799944, "start_session": "2013-12-31", "total_return": 0.13463740498009158, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.15431896163195372, "cagr": 0.012342851500163565, "end_nav": 1848349.7286895725, "end_session": "2015-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.11910234541301812, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1825813.97789351, "start_session": "2014-12-31", "total_return": 0.012342851500163565, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.1306130516054828, "cagr": 0.11997881817898648, "end_nav": 2070112.5447191976, "end_session": "2016-12-30", "max_cash_weight": 0.0, "max_drawdown": -0.10305561118008544, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1848349.7286895725, "start_session": "2015-12-31", "total_return": 0.11997881817898648, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.06743836660707848, "cagr": 0.2170538816405223, "end_nav": 2519438.507983239, "end_session": "2017-12-29", "max_cash_weight": 0.0, "max_drawdown": -0.026101026515280457, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 2070112.5447191976, "start_session": "2016-12-30", "total_return": 0.2170538816405223, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.17036813728420774, "cagr": -0.04568957062921697, "end_nav": 2404326.4443267696, "end_session": "2018-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.1934888903509696, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 2519438.507983239, "start_session": "2017-12-29", "total_return": -0.04568957062921697, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.1251087112790025, "cagr": 0.312238553697872, "end_nav": 3155049.855920907, "end_session": "2019-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.06618379322052581, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 2404326.4443267696, "start_session": "2018-12-31", "total_return": 0.312238553697872, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.3339798056350936, "cagr": 0.18331596055607902, "end_nav": 3733420.850861367, "end_session": "2020-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.33717268745960105, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 253, "start_nav": 3155049.855920907, "start_session": "2019-12-31", "total_return": 0.18331596055607902, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.1298874625678541, "cagr": 0.2872878506096057, "end_nav": 4805987.302526414, "end_session": "2021-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.051141397039380254, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 3733420.850861367, "start_session": "2020-12-31", "total_return": 0.2872878506096057, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.24242953217528346, "cagr": -0.1817537451113146, "end_nav": 3932481.111334814, "end_session": "2022-12-30", "max_cash_weight": 0.0, "max_drawdown": -0.24496393992794452, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 4805987.302526414, "start_session": "2021-12-31", "total_return": -0.1817537451113146, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.13075545004272035, "cagr": 0.26175809256215166, "end_nav": 4961839.866074505, "end_session": "2023-12-29", "max_cash_weight": 0.0, "max_drawdown": -0.09974318833807838, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 250, "start_nav": 3932481.111334814, "start_session": "2022-12-30", "total_return": 0.26175809256215166, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.12568975147342287, "cagr": 0.24886467926331357, "end_nav": 6196666.552901059, "end_session": "2024-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.08405611776742916, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 4961839.866074505, "start_session": "2023-12-29", "total_return": 0.24886467926331357, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.19486750196959488, "cagr": 0.1771905127643969, "end_nav": 7294657.076839586, "end_session": "2025-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.1875522908467666, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 250, "start_nav": 6196666.552901059, "start_session": "2024-12-31", "total_return": 0.1771905127643969, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.19190581666097722, "cagr": 0.08762679861348932, "end_nav": 7294657.076839586, "end_session": "2025-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.5518945416625735, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 6287, "start_nav": 893320.6720229642, "start_session": "2000-12-29", "total_return": 7.165776641349305, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 8297324.108929617, "end_session": "2026-10-02", "max_cash_weight": 0.0, "max_drawdown": -0.08884972983911343, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 189, "start_nav": 7294657.076839586, "start_session": "2025-12-31", "total_return": 0.13745225053463894, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 } }, "monthly_risk": { "beta_intercept_per_month": 2.6020852139652106e-18, "beta_to_SPY_excess_returns": 0.9999999999999997, "monthly_return_volatility_annualized": 0.1506052787125475, "months": 300, "sharpe_monthly_annualized": 0.5217815407289322, "tracking_error_monthly_annualized": 0.0 }, "phase": null, "run_id": "SPY-10bps", "signal": "benchmark" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.2208572570712403, "cagr": -0.11758526689296411, "end_nav": 787099.8520743382, "end_session": "2001-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.28814294855588374, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 248, "start_nav": 891984.0326134536, "start_session": "2000-12-29", "total_return": -0.11758526689296411, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.2644827689950936, "cagr": -0.21584647367934495, "end_nav": 617207.1245705583, "end_session": "2002-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.3297177286908328, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 787099.8520743382, "start_session": "2001-12-31", "total_return": -0.21584647367934495, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.16527245339485944, "cagr": 0.2818158550197609, "end_nav": 791145.8781056983, "end_session": "2003-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.13725465530903957, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 617207.1245705583, "start_session": "2002-12-31", "total_return": 0.2818158550197609, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.11143996588524885, "cagr": 0.10697929546510809, "end_nav": 875782.1067555702, "end_session": "2004-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.0753053596695451, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 791145.8781056983, "start_session": "2003-12-31", "total_return": 0.10697929546510809, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.10320336627303418, "cagr": 0.04828271745603052, "end_nav": 918067.2467690965, "end_session": "2005-12-30", "max_cash_weight": 0.0, "max_drawdown": -0.06957392746153024, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 875782.1067555702, "start_session": "2004-12-31", "total_return": 0.04828271745603052, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.10009234613141507, "cagr": 0.15845201332555647, "end_nav": 1063536.8503879104, "end_session": "2006-12-29", "max_cash_weight": 0.0, "max_drawdown": -0.07593100977306055, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 918067.2467690965, "start_session": "2005-12-30", "total_return": 0.15845201332555647, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.15905586593014037, "cagr": 0.05146273152615177, "end_nav": 1118269.3617875925, "end_session": "2007-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.0992460796639223, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 1063536.8503879104, "start_session": "2006-12-29", "total_return": 0.05146273152615177, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.41293337151836734, "cagr": -0.36795003896091505, "end_nav": 706802.1065490503, "end_session": "2008-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.47579612829120577, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 253, "start_nav": 1118269.3617875925, "start_session": "2007-12-31", "total_return": -0.36795003896091505, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.2663347023247497, "cagr": 0.26351755290563417, "end_nav": 893056.8680554033, "end_session": "2009-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.2713171628936276, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 706802.1065490503, "start_session": "2008-12-31", "total_return": 0.26351755290563417, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.17929510001529425, "cagr": 0.15056156939633025, "end_nav": 1027516.9116699962, "end_session": "2010-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.15699723875066351, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 893056.8680554033, "start_session": "2009-12-31", "total_return": 0.15056156939633025, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.23016991181429386, "cagr": 0.018949748605149308, "end_nav": 1046988.098833682, "end_session": "2011-12-30", "max_cash_weight": 0.0, "max_drawdown": -0.18605470155738335, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1027516.9116699962, "start_session": "2010-12-31", "total_return": 0.018949748605149308, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.12736971528817426, "cagr": 0.15990323085963198, "end_nav": 1214404.8785087715, "end_session": "2012-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.09686960416721813, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 250, "start_nav": 1046988.098833682, "start_session": "2011-12-30", "total_return": 0.15990323085963198, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.11073957411432629, "cagr": 0.3230785357451289, "end_nav": 1606753.0284591266, "end_session": "2013-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.05550557905254183, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1214404.8785087715, "start_session": "2012-12-31", "total_return": 0.3230785357451289, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.11244999263488707, "cagr": 0.13463740498009158, "end_nav": 1823082.0866547667, "end_session": "2014-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.07273504403437314, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1606753.0284591266, "start_session": "2013-12-31", "total_return": 0.13463740498009158, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.15431896163195372, "cagr": 0.012342851500163565, "end_nav": 1845584.1181229549, "end_session": "2015-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.11910234541301801, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1823082.0866547667, "start_session": "2014-12-31", "total_return": 0.012342851500163565, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.13061305160548306, "cagr": 0.11997881817898648, "end_nav": 2067015.1194652538, "end_session": "2016-12-30", "max_cash_weight": 0.0, "max_drawdown": -0.10305561118008555, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1845584.1181229549, "start_session": "2015-12-31", "total_return": 0.11997881817898648, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.06743836660707837, "cagr": 0.2170538816405223, "end_nav": 2515668.774554835, "end_session": "2017-12-29", "max_cash_weight": 0.0, "max_drawdown": -0.026101026515280235, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 2067015.1194652538, "start_session": "2016-12-30", "total_return": 0.2170538816405223, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.17036813728420774, "cagr": -0.04568957062921708, "end_nav": 2400728.948400096, "end_session": "2018-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.1934888903509695, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 2515668.774554835, "start_session": "2017-12-29", "total_return": -0.04568957062921708, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.1251087112790027, "cagr": 0.312238553697872, "end_nav": 3150329.083069155, "end_session": "2019-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.06618379322052592, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 2400728.948400096, "start_session": "2018-12-31", "total_return": 0.312238553697872, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.3339798056350937, "cagr": 0.18331596055607902, "end_nav": 3727834.684999729, "end_session": "2020-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.33717268745960116, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 253, "start_nav": 3150329.083069155, "start_session": "2019-12-31", "total_return": 0.18331596055607902, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.12988746256785413, "cagr": 0.2872878506096055, "end_nav": 4798796.299081237, "end_session": "2021-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.051141397039380365, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 3727834.684999729, "start_session": "2020-12-31", "total_return": 0.2872878506096055, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.2424295321752834, "cagr": -0.18175374511131448, "end_nav": 3926597.0996969067, "end_session": "2022-12-30", "max_cash_weight": 0.0, "max_drawdown": -0.24496393992794452, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 4798796.299081237, "start_session": "2021-12-31", "total_return": -0.18175374511131448, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.1307554500427203, "cagr": 0.26175809256215166, "end_nav": 4954415.666773646, "end_session": "2023-12-29", "max_cash_weight": 0.0, "max_drawdown": -0.09974318833807838, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 250, "start_nav": 3926597.0996969067, "start_session": "2022-12-30", "total_return": 0.26175809256215166, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.12568975147342315, "cagr": 0.24886467926331335, "end_nav": 6187394.732622405, "end_session": "2024-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.08405611776742927, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 4954415.666773646, "start_session": "2023-12-29", "total_return": 0.24886467926331335, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.1948675019695949, "cagr": 0.1771905127643969, "end_nav": 7283742.377971497, "end_session": "2025-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.1875522908467665, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 250, "start_nav": 6187394.732622405, "start_session": "2024-12-31", "total_return": 0.1771905127643969, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.19190581666097725, "cagr": 0.08762679861348932, "end_nav": 7283742.377971497, "end_session": "2025-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.5518945416625736, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 6287, "start_nav": 891984.0326134536, "start_session": "2000-12-29", "total_return": 7.165776641349307, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 8284909.160138202, "end_session": "2026-10-02", "max_cash_weight": 0.0, "max_drawdown": -0.08884972983911332, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 189, "start_nav": 7283742.377971497, "start_session": "2025-12-31", "total_return": 0.13745225053463894, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 } }, "monthly_risk": { "beta_intercept_per_month": 2.6020852139652106e-18, "beta_to_SPY_excess_returns": 0.9999999999999997, "monthly_return_volatility_annualized": 0.1506052787125475, "months": 300, "sharpe_monthly_annualized": 0.5217815407289329, "tracking_error_monthly_annualized": 0.0 }, "phase": null, "run_id": "SPY-25bps", "signal": "benchmark" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": { "2001": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.22085725707124035, "cagr": -0.11758526689296422, "end_nav": 788673.265071988, "end_session": "2001-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.28814294855588374, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 248, "start_nav": 893767.109140417, "start_session": "2000-12-29", "total_return": -0.11758526689296422, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2002": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.2644827689950937, "cagr": -0.21584647367934484, "end_nav": 618440.9219210242, "end_session": "2002-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.3297177286908328, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 788673.265071988, "start_session": "2001-12-31", "total_return": -0.21584647367934484, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2003": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.1652724533948596, "cagr": 0.2818158550197609, "end_nav": 792727.3791114069, "end_session": "2003-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.13725465530903946, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 618440.9219210242, "start_session": "2002-12-31", "total_return": 0.2818158550197609, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2004": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.11143996588524882, "cagr": 0.10697929546510787, "end_nav": 877532.7956246467, "end_session": "2004-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.07530535966954488, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 792727.3791114069, "start_session": "2003-12-31", "total_return": 0.10697929546510787, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2005": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.10320336627303434, "cagr": 0.04828271745603052, "end_nav": 919902.463654192, "end_session": "2005-12-30", "max_cash_weight": 0.0, "max_drawdown": -0.06957392746153024, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 877532.7956246467, "start_session": "2004-12-31", "total_return": 0.04828271745603052, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2006": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.10009234613141503, "cagr": 0.1584520133255567, "end_nav": 1065662.8610833385, "end_session": "2006-12-29", "max_cash_weight": 0.0, "max_drawdown": -0.07593100977306066, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 919902.463654192, "start_session": "2005-12-30", "total_return": 0.1584520133255567, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2007": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.1590558659301401, "cagr": 0.05146273152615177, "end_nav": 1120504.7828006612, "end_session": "2007-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.0992460796639223, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 1065662.8610833385, "start_session": "2006-12-29", "total_return": 0.05146273152615177, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2008": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.41293337151836734, "cagr": -0.36795003896091494, "end_nav": 708215.0043132664, "end_session": "2008-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.4757961282912059, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 253, "start_nav": 1120504.7828006612, "start_session": "2007-12-31", "total_return": -0.36795003896091494, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2009": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.26633470232474993, "cagr": 0.26351755290563394, "end_nav": 894842.0891809514, "end_session": "2009-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.27131716289362773, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 708215.0043132664, "start_session": "2008-12-31", "total_return": 0.26351755290563394, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2010": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.17929510001529428, "cagr": 0.15056156939633003, "end_nav": 1029570.9184899261, "end_session": "2010-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.15699723875066351, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 894842.0891809514, "start_session": "2009-12-31", "total_return": 0.15056156939633003, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2011": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.23016991181429375, "cagr": 0.018949748605149308, "end_nav": 1049081.028566483, "end_session": "2011-12-30", "max_cash_weight": 0.0, "max_drawdown": -0.18605470155738335, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1029570.9184899261, "start_session": "2010-12-31", "total_return": 0.018949748605149308, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2012": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.1273697152881743, "cagr": 0.15990323085963198, "end_nav": 1216832.4744678095, "end_session": "2012-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.09686960416721813, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 250, "start_nav": 1049081.028566483, "start_session": "2011-12-30", "total_return": 0.15990323085963198, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2013": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.11073957411432628, "cagr": 0.3230785357451289, "end_nav": 1609964.9285659913, "end_session": "2013-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.05550557905254183, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1216832.4744678095, "start_session": "2012-12-31", "total_return": 0.3230785357451289, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2014": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.11244999263488717, "cagr": 0.13463740498009158, "end_nav": 1826726.428657075, "end_session": "2014-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.07273504403437325, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1609964.9285659913, "start_session": "2013-12-31", "total_return": 0.13463740498009158, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2015": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.15431896163195377, "cagr": 0.012342851500163565, "end_nav": 1849273.4416974133, "end_session": "2015-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.11910234541301801, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1826726.428657075, "start_session": "2014-12-31", "total_return": 0.012342851500163565, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2016": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.13061305160548278, "cagr": 0.11997881817898648, "end_nav": 2071147.083722056, "end_session": "2016-12-30", "max_cash_weight": 0.0, "max_drawdown": -0.10305561118008544, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 1849273.4416974133, "start_session": "2015-12-31", "total_return": 0.11997881817898648, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2017": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.06743836660707843, "cagr": 0.2170538816405223, "end_nav": 2520697.597692376, "end_session": "2017-12-29", "max_cash_weight": 0.0, "max_drawdown": -0.026101026515280346, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 2071147.083722056, "start_session": "2016-12-30", "total_return": 0.2170538816405223, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2018": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.17036813728420766, "cagr": -0.04568957062921697, "end_nav": 2405528.0067677125, "end_session": "2018-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.1934888903509695, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 2520697.597692376, "start_session": "2017-12-29", "total_return": -0.04568957062921697, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2019": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.1251087112790027, "cagr": 0.312238553697872, "end_nav": 3156626.592480588, "end_session": "2019-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.06618379322052581, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 2405528.0067677125, "start_session": "2018-12-31", "total_return": 0.312238553697872, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2020": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.33397980563509366, "cagr": 0.18331596055607902, "end_nav": 3735286.628398029, "end_session": "2020-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.33717268745960105, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 253, "start_nav": 3156626.592480588, "start_session": "2019-12-31", "total_return": 0.18331596055607902, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2021": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.12988746256785413, "cagr": 0.2872878506096055, "end_nav": 4808389.095281299, "end_session": "2021-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.051141397039380476, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 3735286.628398029, "start_session": "2020-12-31", "total_return": 0.2872878506096055, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2022": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.24242953217528357, "cagr": -0.18175374511131448, "end_nav": 3934446.369261518, "end_session": "2022-12-30", "max_cash_weight": 0.0, "max_drawdown": -0.24496393992794463, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 251, "start_nav": 4808389.095281299, "start_session": "2021-12-31", "total_return": -0.18175374511131448, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2023": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.13075545004272035, "cagr": 0.26175809256215166, "end_nav": 4964319.546167496, "end_session": "2023-12-29", "max_cash_weight": 0.0, "max_drawdown": -0.09974318833807849, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 250, "start_nav": 3934446.369261518, "start_session": "2022-12-30", "total_return": 0.26175809256215166, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2024": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.1256897514734231, "cagr": 0.24886467926331357, "end_nav": 6199763.337785068, "end_session": "2024-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.08405611776742905, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 252, "start_nav": 4964319.546167496, "start_session": "2023-12-29", "total_return": 0.24886467926331357, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "2025": { "annualization_years": 1, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.19486750196959488, "cagr": 0.1771905127643969, "end_nav": 7298302.5826251125, "end_session": "2025-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.1875522908467664, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 250, "start_nav": 6199763.337785068, "start_session": "2024-12-31", "total_return": 0.1771905127643969, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 } }, "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 0.0, "annualized_volatility": 0.19190581666097725, "cagr": 0.08762679861348932, "end_nav": 7298302.5826251125, "end_session": "2025-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.5518945416625736, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 6287, "start_nav": 893767.109140417, "start_session": "2000-12-29", "total_return": 7.165776641349305, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 8301470.697689702, "end_session": "2026-10-02", "max_cash_weight": 0.0, "max_drawdown": -0.08884972983911343, "mean_cash_weight": 0.0, "rebalance_count": 0, "session_count": 189, "start_nav": 7298302.5826251125, "start_session": "2025-12-31", "total_return": 0.13745225053463894, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.0 } }, "monthly_risk": { "beta_intercept_per_month": 2.6020852139652106e-18, "beta_to_SPY_excess_returns": 0.9999999999999996, "monthly_return_volatility_annualized": 0.15060527871254753, "months": 300, "sharpe_monthly_annualized": 0.5217815407289326, "tracking_error_monthly_annualized": 0.0 }, "phase": null, "run_id": "SPY-5bps", "signal": "benchmark" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": [ { "annualization_years": 1, "annualized_two_sided_turnover": 2.6827825486142873, "annualized_volatility": 0.15825980879813073, "cagr": -0.05716376871060136, "end_nav": 876338.6308637508, "end_session": "2001-12-31", "max_cash_weight": 0.11573464703151469, "max_drawdown": -0.18333022807078958, "mean_cash_weight": 0.014059433321736958, "rebalance_count": 12, "session_count": 248, "start_nav": 929470.6777075088, "start_session": "2000-12-29", "total_return": -0.05716376871060136, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6827825486142873, "year": 2001 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.2914991205308475, "annualized_volatility": 0.18276305812608096, "cagr": -0.10957843299920378, "end_nav": 780310.8169170333, "end_session": "2002-12-31", "max_cash_weight": 0.5203444131241526, "max_drawdown": -0.2239957566234898, "mean_cash_weight": 0.2532689299197003, "rebalance_count": 12, "session_count": 252, "start_nav": 876338.6308637508, "start_session": "2001-12-31", "total_return": -0.10957843299920378, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.2914991205308475, "year": 2002 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.3209635811932545, "annualized_volatility": 0.06939389646579672, "cagr": 0.11683835946586996, "end_nav": 871481.0526390923, "end_session": "2003-12-31", "max_cash_weight": 0.8901290193176574, "max_drawdown": -0.045342883115246924, "mean_cash_weight": 0.5936783204483059, "rebalance_count": 12, "session_count": 252, "start_nav": 780310.8169170333, "start_session": "2002-12-31", "total_return": 0.11683835946586996, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.3209635811932545, "year": 2003 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.491380401646949, "annualized_volatility": 0.11853200372067386, "cagr": 0.14997337227967744, "end_nav": 1002180.0049812201, "end_session": "2004-12-31", "max_cash_weight": 6.71932407772777e-17, "max_drawdown": -0.08089437430071533, "mean_cash_weight": 3.164498299811784e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 871481.0526390923, "start_session": "2003-12-31", "total_return": 0.14997337227967744, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.491380401646949, "year": 2004 }, { "annualization_years": 1, "annualized_two_sided_turnover": 0.9600207800983183, "annualized_volatility": 0.1440183121543155, "cagr": 0.18280530109807702, "end_nav": 1185383.8225462844, "end_session": "2005-12-30", "max_cash_weight": 6.01120663593469e-17, "max_drawdown": -0.10415581308211896, "mean_cash_weight": 2.1220699232672073e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1002180.0049812201, "start_session": "2004-12-31", "total_return": 0.18280530109807702, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.9600207800983183, "year": 2005 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.4905704891027707, "annualized_volatility": 0.11704945875777475, "cagr": 0.16944997384827132, "end_nav": 1386247.0802769163, "end_session": "2006-12-29", "max_cash_weight": 3.33173122918741e-17, "max_drawdown": -0.07794428485111304, "mean_cash_weight": 2.302632856195345e-17, "rebalance_count": 12, "session_count": 251, "start_nav": 1185383.8225462844, "start_session": "2005-12-30", "total_return": 0.16944997384827132, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.4905704891027707, "year": 2006 }, { "annualization_years": 1, "annualized_two_sided_turnover": 3.2480910057083348, "annualized_volatility": 0.14962747272766191, "cagr": 0.08563717510462787, "end_nav": 1504961.3642288696, "end_session": "2007-12-31", "max_cash_weight": 2.823446380420363e-17, "max_drawdown": -0.08871615324513848, "mean_cash_weight": 6.674623427058051e-18, "rebalance_count": 12, "session_count": 251, "start_nav": 1386247.0802769163, "start_session": "2006-12-29", "total_return": 0.08563717510462787, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 3.2480910057083348, "year": 2007 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.9755883513857044, "annualized_volatility": 0.33332916664548634, "cagr": -0.3153710034265519, "end_nav": 1030340.1886738185, "end_session": "2008-12-31", "max_cash_weight": 0.4199623077434046, "max_drawdown": -0.4089037636870234, "mean_cash_weight": 0.06429263454371137, "rebalance_count": 12, "session_count": 253, "start_nav": 1504961.3642288696, "start_session": "2007-12-31", "total_return": -0.3153710034265519, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.9755883513857044, "year": 2008 }, { "annualization_years": 1, "annualized_two_sided_turnover": 0.9738727080923688, "annualized_volatility": 0.0475859556292486, "cagr": -0.01107056822211716, "end_nav": 1018933.7373231159, "end_session": "2009-12-31", "max_cash_weight": 1.0, "max_drawdown": -0.06957670539569172, "mean_cash_weight": 0.8711755577138081, "rebalance_count": 12, "session_count": 252, "start_nav": 1030340.1886738185, "start_session": "2008-12-31", "total_return": -0.01107056822211716, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 0.9738727080923688, "year": 2009 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.0811368151616847, "annualized_volatility": 0.17303471737847087, "cagr": 0.16045326392996162, "end_nav": 1182424.981204964, "end_session": "2010-12-31", "max_cash_weight": 0.43811959463293143, "max_drawdown": -0.1622918196924631, "mean_cash_weight": 0.06131130124154962, "rebalance_count": 12, "session_count": 252, "start_nav": 1018933.7373231159, "start_session": "2009-12-31", "total_return": 0.16045326392996162, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0811368151616847, "year": 2010 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.080091935350318, "annualized_volatility": 0.21736602489455736, "cagr": 0.03343193324442861, "end_nav": 1221955.7342431531, "end_session": "2011-12-30", "max_cash_weight": 1.8547323511331232e-17, "max_drawdown": -0.186957234696572, "mean_cash_weight": 6.6290901014149564e-18, "rebalance_count": 12, "session_count": 252, "start_nav": 1182424.981204964, "start_session": "2010-12-31", "total_return": 0.03343193324442861, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.080091935350318, "year": 2011 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.696713933126388, "annualized_volatility": 0.0906666874440044, "cagr": 0.10945410887241747, "end_nav": 1355703.810216278, "end_session": "2012-12-31", "max_cash_weight": 2.992658135100652e-17, "max_drawdown": -0.06999084391897148, "mean_cash_weight": 1.5742326422721682e-17, "rebalance_count": 12, "session_count": 250, "start_nav": 1221955.7342431531, "start_session": "2011-12-30", "total_return": 0.10945410887241747, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.696713933126388, "year": 2012 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.7516271608804674, "annualized_volatility": 0.11210924794965982, "cagr": 0.3441053539439607, "end_nav": 1822208.7496739265, "end_session": "2013-12-31", "max_cash_weight": 5.270270148348063e-17, "max_drawdown": -0.05831589095860945, "mean_cash_weight": 4.413394245198566e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1355703.810216278, "start_session": "2012-12-31", "total_return": 0.3441053539439607, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.7516271608804674, "year": 2013 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8955819661693707, "annualized_volatility": 0.12461579980354875, "cagr": 0.10464759301041848, "end_nav": 2012898.509289827, "end_session": "2014-12-31", "max_cash_weight": 6.621508784757294e-17, "max_drawdown": -0.07779568514053004, "mean_cash_weight": 2.0557814699814853e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1822208.7496739265, "start_session": "2013-12-31", "total_return": 0.10464759301041848, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.8955819661693707, "year": 2014 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.9690385358428268, "annualized_volatility": 0.15237527261996334, "cagr": 0.03632977030958484, "end_nav": 2086026.6497888323, "end_session": "2015-12-31", "max_cash_weight": 6.148650879087047e-17, "max_drawdown": -0.10831141394345356, "mean_cash_weight": 4.5986255409165634e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 2012898.509289827, "start_session": "2014-12-31", "total_return": 0.03632977030958484, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.9690385358428268, "year": 2015 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.569381155890729, "annualized_volatility": 0.11983372561305947, "cagr": 0.04351514935157241, "end_nav": 2176800.4110057536, "end_session": "2016-12-30", "max_cash_weight": 0.04702945799665212, "max_drawdown": -0.0904163549099849, "mean_cash_weight": 0.023009790861652325, "rebalance_count": 12, "session_count": 252, "start_nav": 2086026.6497888323, "start_session": "2015-12-31", "total_return": 0.04351514935157241, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.569381155890729, "year": 2016 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.0595759543325296, "annualized_volatility": 0.07601863376390633, "cagr": 0.24484109074301075, "end_nav": 2709770.5979662365, "end_session": "2017-12-29", "max_cash_weight": 5.3419427743046325e-17, "max_drawdown": -0.028488804017325453, "mean_cash_weight": 2.5347631315148648e-17, "rebalance_count": 12, "session_count": 251, "start_nav": 2176800.4110057536, "start_session": "2016-12-30", "total_return": 0.24484109074301075, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0595759543325296, "year": 2017 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8112129279651161, "annualized_volatility": 0.18841010022317076, "cagr": -0.05673555280149689, "end_nav": 2556030.2651253794, "end_session": "2018-12-31", "max_cash_weight": 6.521015075957478e-17, "max_drawdown": -0.21968298155179167, "mean_cash_weight": 4.586157506005241e-17, "rebalance_count": 12, "session_count": 251, "start_nav": 2709770.5979662365, "start_session": "2017-12-29", "total_return": -0.05673555280149689, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.8112129279651161, "year": 2018 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.126998014009906, "annualized_volatility": 0.10447017229038245, "cagr": 0.283654331577456, "end_nav": 3281059.3214712664, "end_session": "2019-12-31", "max_cash_weight": 0.10470202894473021, "max_drawdown": -0.043644852559461045, "mean_cash_weight": 0.04888026635750955, "rebalance_count": 12, "session_count": 252, "start_nav": 2556030.2651253794, "start_session": "2018-12-31", "total_return": 0.283654331577456, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.126998014009906, "year": 2019 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.7308680018938036, "annualized_volatility": 0.32724962570876226, "cagr": 0.18155325995479799, "end_nav": 3876746.3373894524, "end_session": "2020-12-31", "max_cash_weight": 0.06676847724323075, "max_drawdown": -0.3050208092483452, "mean_cash_weight": 0.03013624360385138, "rebalance_count": 12, "session_count": 253, "start_nav": 3281059.3214712664, "start_session": "2019-12-31", "total_return": 0.18155325995479799, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.7308680018938036, "year": 2020 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.6055933869244257, "annualized_volatility": 0.14955943291769028, "cagr": 0.19415415911848188, "end_nav": 4629432.762640956, "end_session": "2021-12-31", "max_cash_weight": 4.077636197952122e-17, "max_drawdown": -0.06816184254638835, "mean_cash_weight": 1.9812754678178914e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 3876746.3373894524, "start_session": "2020-12-31", "total_return": 0.19415415911848188, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.6055933869244257, "year": 2021 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8857767887945738, "annualized_volatility": 0.19722123312917056, "cagr": 0.06575649562775077, "end_nav": 4933848.037856522, "end_session": "2022-12-30", "max_cash_weight": 0.06922307321258733, "max_drawdown": -0.13832987870933222, "mean_cash_weight": 0.011231167948921306, "rebalance_count": 12, "session_count": 251, "start_nav": 4629432.762640956, "start_session": "2021-12-31", "total_return": 0.06575649562775077, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.8857767887945738, "year": 2022 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.0431495514970353, "annualized_volatility": 0.11945260883840432, "cagr": 0.09254774923883335, "end_nav": 5390464.568846577, "end_session": "2023-12-29", "max_cash_weight": 0.17938466255692587, "max_drawdown": -0.0897789454551775, "mean_cash_weight": 0.08253372738809889, "rebalance_count": 12, "session_count": 250, "start_nav": 4933848.037856522, "start_session": "2022-12-30", "total_return": 0.09254774923883335, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0431495514970353, "year": 2023 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.7348852495906506, "annualized_volatility": 0.13343887477703878, "cagr": 0.15053286505061836, "end_nav": 6201906.644348898, "end_session": "2024-12-31", "max_cash_weight": 0.06663767227455993, "max_drawdown": -0.08667279121803173, "mean_cash_weight": 0.026060592041324285, "rebalance_count": 12, "session_count": 252, "start_nav": 5390464.568846577, "start_session": "2023-12-29", "total_return": 0.15053286505061836, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.7348852495906506, "year": 2024 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8304128148021346, "annualized_volatility": 0.15197895165376352, "cagr": 0.11113359829841096, "end_nav": 6891146.846046214, "end_session": "2025-12-31", "max_cash_weight": 1.086963885693048e-16, "max_drawdown": -0.13234941041638792, "mean_cash_weight": 5.912511131107819e-17, "rebalance_count": 12, "session_count": 250, "start_nav": 6201906.644348898, "start_session": "2024-12-31", "total_return": 0.11113359829841096, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.8304128148021346, "year": 2025 } ], "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9322725271441918, "annualized_volatility": 0.16424094878150275, "cagr": 0.08343343140402126, "end_nav": 6891146.846046214, "end_session": "2025-12-31", "max_cash_weight": 1.0, "max_drawdown": -0.4089037636870234, "mean_cash_weight": 0.08333555905844735, "rebalance_count": 300, "session_count": 6287, "start_nav": 929470.6777075088, "start_session": "2000-12-29", "total_return": 6.41405512978943, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 48.3068131786048 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 8048934.168647745, "end_session": "2026-10-02", "max_cash_weight": 6.942139063636402e-17, "max_drawdown": -0.0774606178084094, "mean_cash_weight": 5.5241765079652255e-17, "rebalance_count": 10, "session_count": 189, "start_nav": 6891146.846046214, "start_session": "2025-12-31", "total_return": 0.16801083309751408, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.6029389085224295 } }, "monthly_risk": { "beta_intercept_per_month": 0.001147670459178957, "beta_to_SPY_excess_returns": 0.7403289846508605, "monthly_return_volatility_annualized": 0.1311896405412657, "months": 300, "sharpe_monthly_annualized": 0.5481687149424288, "tracking_error_monthly_annualized": 0.07958209286291008 }, "phase": null, "policy": "T", "run_id": "T12-0bps", "signal": "12-1" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": [ { "annualization_years": 1, "annualized_two_sided_turnover": 2.682715431450619, "annualized_volatility": 0.1582528230003086, "cagr": -0.05842749155377103, "end_nav": 874146.1286836254, "end_session": "2001-12-31", "max_cash_weight": 0.11569180442463317, "max_drawdown": -0.18387479214928149, "mean_cash_weight": 0.014054420892187789, "rebalance_count": 12, "session_count": 248, "start_nav": 928389.6044566236, "start_session": "2000-12-29", "total_return": -0.05842749155377103, "transaction_cost": 1179.4152049122142, "transaction_cost_over_anchor_nav": 0.0012703882069021156, "two_sided_turnover": 2.682715431450619, "year": 2001 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.2915881534487377, "annualized_volatility": 0.18276330743662547, "cagr": -0.11015703798461862, "end_nav": 777852.780382116, "end_session": "2002-12-31", "max_cash_weight": 0.5202632290612386, "max_drawdown": -0.22417932915543293, "mean_cash_weight": 0.2532461018846206, "rebalance_count": 12, "session_count": 252, "start_nav": 874146.1286836254, "start_session": "2001-12-31", "total_return": -0.11015703798461862, "transaction_cost": 532.9482948374797, "transaction_cost_over_anchor_nav": 0.00060967872229789, "two_sided_turnover": 1.2915881534487377, "year": 2002 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.3208532995890365, "annualized_volatility": 0.06934992749909186, "cagr": 0.11609549038352962, "end_nav": 868157.9803667697, "end_session": "2003-12-31", "max_cash_weight": 0.8901055246144911, "max_drawdown": -0.04540439265001073, "mean_cash_weight": 0.5936532888193452, "rebalance_count": 12, "session_count": 252, "start_nav": 777852.780382116, "start_session": "2002-12-31", "total_return": 0.11609549038352962, "transaction_cost": 523.7183218791279, "transaction_cost_over_anchor_nav": 0.0006732872017528227, "two_sided_turnover": 1.3208532995890365, "year": 2003 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.491512824513193, "annualized_volatility": 0.11851781357810257, "cagr": 0.14854743579875795, "end_nav": 997120.6222184817, "end_session": "2004-12-31", "max_cash_weight": 6.345506451203611e-17, "max_drawdown": -0.08110398558471188, "mean_cash_weight": 3.3673293067342075e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 868157.9803667697, "start_session": "2003-12-31", "total_return": 0.14854743579875795, "transaction_cost": 1105.4752157568864, "transaction_cost_over_anchor_nav": 0.0012733572008286529, "two_sided_turnover": 2.491512824513193, "year": 2004 }, { "annualization_years": 1, "annualized_two_sided_turnover": 0.9601702368942796, "annualized_volatility": 0.1440080537700285, "cagr": 0.1822344612788056, "end_nav": 1178830.3616384543, "end_session": "2005-12-30", "max_cash_weight": 5.2300279074650744e-17, "max_drawdown": -0.10420401614779384, "mean_cash_weight": 3.3399751693353116e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 997120.6222184817, "start_session": "2004-12-31", "total_return": 0.1822344612788056, "transaction_cost": 535.2364606473556, "transaction_cost_over_anchor_nav": 0.0005367820589815045, "two_sided_turnover": 0.9601702368942796, "year": 2005 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.4902128211116037, "annualized_volatility": 0.1170372376217803, "cagr": 0.1680218020147779, "end_nav": 1376899.5632706797, "end_session": "2006-12-29", "max_cash_weight": 0.0, "max_drawdown": -0.07803804657841362, "mean_cash_weight": 0.0, "rebalance_count": 12, "session_count": 251, "start_nav": 1178830.3616384543, "start_session": "2005-12-30", "total_return": 0.1680218020147779, "transaction_cost": 1555.8199494777793, "transaction_cost_over_anchor_nav": 0.001319799693074878, "two_sided_turnover": 2.4902128211116037, "year": 2006 }, { "annualization_years": 1, "annualized_two_sided_turnover": 3.2478429307628365, "annualized_volatility": 0.14958661146986982, "cagr": 0.08386369787765147, "end_nav": 1492371.452252682, "end_session": "2007-12-31", "max_cash_weight": 2.8424457136052865e-17, "max_drawdown": -0.08903188169006648, "mean_cash_weight": 1.1308540328670179e-17, "rebalance_count": 12, "session_count": 251, "start_nav": 1376899.5632706797, "start_session": "2006-12-29", "total_return": 0.08386369787765147, "transaction_cost": 2327.6559277101187, "transaction_cost_over_anchor_nav": 0.0016905052407606388, "two_sided_turnover": 3.2478429307628365, "year": 2007 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.9757247417612018, "annualized_volatility": 0.33332749426890723, "cagr": -0.31604955077504115, "end_nav": 1020708.125178726, "end_session": "2008-12-31", "max_cash_weight": 0.41982479994551536, "max_drawdown": -0.40907171014316934, "mean_cash_weight": 0.06427732764983601, "rebalance_count": 12, "session_count": 253, "start_nav": 1492371.452252682, "start_session": "2007-12-31", "total_return": -0.31604955077504115, "transaction_cost": 1345.825671355178, "transaction_cost_over_anchor_nav": 0.0009018034145076291, "two_sided_turnover": 1.9757247417612018, "year": 2008 }, { "annualization_years": 1, "annualized_two_sided_turnover": 0.9738420576720349, "annualized_volatility": 0.04757967523019476, "cagr": -0.011583938696415608, "end_nav": 1008884.3048297224, "end_session": "2009-12-31", "max_cash_weight": 1.0, "max_drawdown": -0.06974904614591482, "mean_cash_weight": 0.8711727682762789, "rebalance_count": 12, "session_count": 252, "start_nav": 1020708.125178726, "start_session": "2008-12-31", "total_return": -0.011583938696415608, "transaction_cost": 481.79398591468475, "transaction_cost_over_anchor_nav": 0.0004720193501255049, "two_sided_turnover": 0.9738420576720349, "year": 2009 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.080949745739363, "annualized_volatility": 0.172983232095496, "cagr": 0.15923828786055716, "end_nav": 1169537.3141801958, "end_session": "2010-12-31", "max_cash_weight": 0.4382578911491337, "max_drawdown": -0.16252962078771094, "mean_cash_weight": 0.06134033213179498, "rebalance_count": 12, "session_count": 252, "start_nav": 1008884.3048297224, "start_session": "2009-12-31", "total_return": 0.15923828786055716, "transaction_cost": 1081.0951646053925, "transaction_cost_over_anchor_nav": 0.0010715749659599052, "two_sided_turnover": 2.080949745739363, "year": 2010 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.0797411908500276, "annualized_volatility": 0.21741137875972122, "cagr": 0.0323506590563416, "end_nav": 1207372.6170849088, "end_session": "2011-12-30", "max_cash_weight": 1.8767768995405068e-17, "max_drawdown": -0.18718795783137476, "mean_cash_weight": 6.706175537765518e-18, "rebalance_count": 12, "session_count": 252, "start_nav": 1169537.3141801958, "start_session": "2010-12-31", "total_return": 0.0323506590563416, "transaction_cost": 1254.2445500341723, "transaction_cost_over_anchor_nav": 0.0010724279891089694, "two_sided_turnover": 2.0797411908500276, "year": 2011 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.696476864947591, "annualized_volatility": 0.09066595772970429, "cagr": 0.10851580897004531, "end_nav": 1338391.6333561584, "end_session": "2012-12-31", "max_cash_weight": 3.149586675972064e-17, "max_drawdown": -0.07010950083520451, "mean_cash_weight": 1.1693817939463471e-17, "rebalance_count": 12, "session_count": 250, "start_nav": 1207372.6170849088, "start_session": "2011-12-30", "total_return": 0.10851580897004531, "transaction_cost": 1094.0154415087952, "transaction_cost_over_anchor_nav": 0.0009061125174017909, "two_sided_turnover": 1.696476864947591, "year": 2012 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.751831913757434, "annualized_volatility": 0.1120763965152526, "cagr": 0.34293998445541996, "end_nav": 1797379.6392945834, "end_session": "2013-12-31", "max_cash_weight": 2.312432758585037e-17, "max_drawdown": -0.058316146143033376, "mean_cash_weight": 3.62351775896135e-18, "rebalance_count": 12, "session_count": 252, "start_nav": 1338391.6333561584, "start_session": "2012-12-31", "total_return": 0.34293998445541996, "transaction_cost": 1381.876575250463, "transaction_cost_over_anchor_nav": 0.0010324904466006422, "two_sided_turnover": 1.751831913757434, "year": 2013 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8959767943549124, "annualized_volatility": 0.12464557152658827, "cagr": 0.10358471786536172, "end_nav": 1983560.7021278583, "end_session": "2014-12-31", "max_cash_weight": 8.648653969311025e-17, "max_drawdown": -0.07789282806442377, "mean_cash_weight": 6.22817266348211e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1797379.6392945834, "start_session": "2013-12-31", "total_return": 0.10358471786536172, "transaction_cost": 1776.8798651106126, "transaction_cost_over_anchor_nav": 0.0009885946331338123, "two_sided_turnover": 1.8959767943549124, "year": 2014 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.9694014819402743, "annualized_volatility": 0.15235356431790398, "cagr": 0.03530866872372029, "end_nav": 2053597.5898526807, "end_session": "2015-12-31", "max_cash_weight": 5.99611339274014e-17, "max_drawdown": -0.10840340372050161, "mean_cash_weight": 2.5304048299750136e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1983560.7021278583, "start_session": "2014-12-31", "total_return": 0.03530866872372029, "transaction_cost": 1977.6355841671104, "transaction_cost_over_anchor_nav": 0.0009970128880077169, "two_sided_turnover": 1.9694014819402743, "year": 2015 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.5694044362635373, "annualized_volatility": 0.11981968844280506, "cagr": 0.0426932684787662, "end_nav": 2141272.383103608, "end_session": "2016-12-30", "max_cash_weight": 0.04705842286124324, "max_drawdown": -0.09046699333489994, "mean_cash_weight": 0.023028943025789863, "rebalance_count": 12, "session_count": 252, "start_nav": 2053597.5898526807, "start_session": "2015-12-31", "total_return": 0.0426932684787662, "transaction_cost": 1638.2041600460188, "transaction_cost_over_anchor_nav": 0.000797724037143781, "two_sided_turnover": 1.5694044362635373, "year": 2016 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.0594214499344647, "annualized_volatility": 0.07600338230030346, "cagr": 0.243580701413876, "end_nav": 2662845.012098147, "end_session": "2017-12-29", "max_cash_weight": 3.26459893570579e-17, "max_drawdown": -0.02853802577319564, "mean_cash_weight": 1.2846777287592734e-17, "rebalance_count": 12, "session_count": 251, "start_nav": 2141272.383103608, "start_session": "2016-12-30", "total_return": 0.243580701413876, "transaction_cost": 2406.078202611332, "transaction_cost_over_anchor_nav": 0.0011236675079720163, "two_sided_turnover": 2.0594214499344647, "year": 2017 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8113558835120476, "annualized_volatility": 0.1883993991687738, "cagr": -0.05758122500163454, "end_nav": 2509515.1343120434, "end_session": "2018-12-31", "max_cash_weight": 3.3209419976224725e-17, "max_drawdown": -0.21979130898077393, "mean_cash_weight": 4.54205950940307e-18, "rebalance_count": 12, "session_count": 251, "start_nav": 2662845.012098147, "start_session": "2017-12-29", "total_return": -0.05758122500163454, "transaction_cost": 2517.393857411418, "transaction_cost_over_anchor_nav": 0.0009453775364221731, "two_sided_turnover": 1.8113558835120476, "year": 2018 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.1270896704397346, "annualized_volatility": 0.10448301278530212, "cagr": 0.2822962012019459, "end_nav": 3217941.723587124, "end_session": "2019-12-31", "max_cash_weight": 0.10462264001379011, "max_drawdown": -0.04369573155811113, "mean_cash_weight": 0.04885495576109926, "rebalance_count": 12, "session_count": 252, "start_nav": 2509515.1343120434, "start_session": "2018-12-31", "total_return": 0.2822962012019459, "transaction_cost": 3058.275270844815, "transaction_cost_over_anchor_nav": 0.001218671778077644, "two_sided_turnover": 2.1270896704397346, "year": 2019 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.730732813748238, "annualized_volatility": 0.32725454244934143, "cagr": 0.1805422077017811, "end_nav": 3798916.0266192183, "end_session": "2020-12-31", "max_cash_weight": 0.06666724609588573, "max_drawdown": -0.305022396455062, "mean_cash_weight": 0.030096814041621706, "rebalance_count": 12, "session_count": 253, "start_nav": 3217941.723587124, "start_session": "2019-12-31", "total_return": 0.1805422077017811, "transaction_cost": 2890.2340180405567, "transaction_cost_over_anchor_nav": 0.0008981623243377873, "two_sided_turnover": 1.730732813748238, "year": 2020 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.6055819838302936, "annualized_volatility": 0.1495334465466802, "cagr": 0.1926202114510367, "end_nav": 4530664.034951344, "end_session": "2021-12-31", "max_cash_weight": 2.080893879003764e-17, "max_drawdown": -0.06820944389551598, "mean_cash_weight": 6.360279177972804e-18, "rebalance_count": 12, "session_count": 252, "start_nav": 3798916.0266192183, "start_session": "2020-12-31", "total_return": 0.1926202114510367, "transaction_cost": 5534.563349468082, "transaction_cost_over_anchor_nav": 0.0014568796232101698, "two_sided_turnover": 2.6055819838302936, "year": 2021 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8861118042063532, "annualized_volatility": 0.19719920487710427, "cagr": 0.06470323218782115, "end_nav": 4823812.641969811, "end_session": "2022-12-30", "max_cash_weight": 0.06915169995037355, "max_drawdown": -0.13853164134543572, "mean_cash_weight": 0.011219579726362132, "rebalance_count": 12, "session_count": 251, "start_nav": 4530664.034951344, "start_session": "2021-12-31", "total_return": 0.06470323218782115, "transaction_cost": 4342.3466254058, "transaction_cost_over_anchor_nav": 0.0009584349207770013, "two_sided_turnover": 1.8861118042063532, "year": 2022 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.043156558586911, "annualized_volatility": 0.11942915821399686, "cagr": 0.0914245573580581, "end_nav": 5264827.577540106, "end_session": "2023-12-29", "max_cash_weight": 0.17942610313611365, "max_drawdown": -0.08987873607697416, "mean_cash_weight": 0.08257755271493321, "rebalance_count": 12, "session_count": 250, "start_nav": 4823812.641969811, "start_session": "2022-12-30", "total_return": 0.0914245573580581, "transaction_cost": 4860.578538258652, "transaction_cost_over_anchor_nav": 0.0010076217504736726, "two_sided_turnover": 2.043156558586911, "year": 2023 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.7349236900935936, "annualized_volatility": 0.13347417761328523, "cagr": 0.14954055684785605, "end_nav": 6052132.825193402, "end_session": "2024-12-31", "max_cash_weight": 0.06661597986079831, "max_drawdown": -0.08676496012866874, "mean_cash_weight": 0.026055542603448764, "rebalance_count": 12, "session_count": 252, "start_nav": 5264827.577540106, "start_session": "2023-12-29", "total_return": 0.14954055684785605, "transaction_cost": 4996.5004867043, "transaction_cost_over_anchor_nav": 0.0009490340211746921, "two_sided_turnover": 1.7349236900935936, "year": 2024 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.830468415319707, "annualized_volatility": 0.15199709522589555, "cagr": 0.1101305753255728, "end_nav": 6718657.695178736, "end_session": "2025-12-31", "max_cash_weight": 6.966366175216119e-17, "max_drawdown": -0.13247353998625322, "mean_cash_weight": 3.188632743556146e-17, "rebalance_count": 12, "session_count": 250, "start_nav": 6052132.825193402, "start_session": "2024-12-31", "total_return": 0.1101305753255728, "transaction_cost": 5935.450489833012, "transaction_cost_over_anchor_nav": 0.0009807204602525126, "two_sided_turnover": 1.830468415319707, "year": 2025 } ], "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.932283487789121, "annualized_volatility": 0.16423519181784788, "cagr": 0.082385809478013, "end_nav": 6718657.695178736, "end_session": "2025-12-31", "max_cash_weight": 1.0, "max_drawdown": -0.40907171014316934, "mean_cash_weight": 0.08333312293778444, "rebalance_count": 300, "session_count": 6287, "start_nav": 928389.6044566236, "start_session": "2000-12-29", "total_return": 6.236894578447045, "transaction_cost": 56333.26121179136, "transaction_cost_over_anchor_nav": 0.06067847048412677, "two_sided_turnover": 48.30708719472803 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7840967.793715049, "end_session": "2026-10-02", "max_cash_weight": 4.7476185167680915e-17, "max_drawdown": -0.07750591810453089, "mean_cash_weight": 3.5405095338131324e-17, "rebalance_count": 10, "session_count": 189, "start_nav": 6718657.695178736, "start_session": "2025-12-31", "total_return": 0.16704379795114055, "transaction_cost": 5882.0273800552095, "transaction_cost_over_anchor_nav": 0.0008754765679275658, "two_sided_turnover": 1.6034587727039584 } }, "monthly_risk": { "beta_intercept_per_month": 0.0010666158450482405, "beta_to_SPY_excess_returns": 0.7402874572997448, "monthly_return_volatility_annualized": 0.1311692970089777, "months": 300, "sharpe_monthly_annualized": 0.5408224066382928, "tracking_error_monthly_annualized": 0.0795613940506441 }, "phase": null, "policy": "T", "run_id": "T12-5bps", "signal": "12-1" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": [ { "annualization_years": 1, "annualized_two_sided_turnover": 2.6826487861904096, "annualized_volatility": 0.1582468376563102, "cagr": -0.05968961417141827, "end_nav": 871959.3089299598, "end_session": "2001-12-31", "max_cash_weight": 0.11564898150979312, "max_drawdown": -0.18441897993345446, "mean_cash_weight": 0.014049410186689407, "rebalance_count": 12, "session_count": 248, "start_nav": 927310.090445941, "start_session": "2000-12-29", "total_return": -0.05968961417141827, "transaction_cost": 2354.6213327172068, "transaction_cost_over_anchor_nav": 0.002539195202313474, "two_sided_turnover": 2.6826487861904096, "year": 2001 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.291677332408546, "annualized_volatility": 0.1827638068128918, "cagr": -0.11073539133522059, "end_nav": 775402.5536272122, "end_session": "2002-12-31", "max_cash_weight": 0.5201821011112132, "max_drawdown": -0.22436291900492678, "mean_cash_weight": 0.25322328546346445, "rebalance_count": 12, "session_count": 252, "start_nav": 871959.3089299598, "start_session": "2001-12-31", "total_return": -0.11073539133522059, "transaction_cost": 1063.0166196466632, "transaction_cost_over_anchor_nav": 0.0012191126452347448, "two_sided_turnover": 1.291677332408546, "year": 2002 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.3207432898623663, "annualized_volatility": 0.0693065855046422, "cagr": 0.11535318811968809, "end_nav": 864847.7102642584, "end_session": "2003-12-31", "max_cash_weight": 0.8900820567558642, "max_drawdown": -0.04546592076471434, "mean_cash_weight": 0.5936282635220959, "rebalance_count": 12, "session_count": 252, "start_nav": 775402.5536272122, "start_session": "2002-12-31", "total_return": 0.11535318811968809, "transaction_cost": 1043.725129870271, "transaction_cost_over_anchor_nav": 0.0013460429360051599, "two_sided_turnover": 1.3207432898623663, "year": 2003 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.491645522448174, "annualized_volatility": 0.11850480890078167, "cagr": 0.1471229478274072, "end_nav": 992086.6548201195, "end_session": "2004-12-31", "max_cash_weight": 9.030060076844331e-17, "max_drawdown": -0.08131365350956332, "mean_cash_weight": 5.448456995905422e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 864847.7102642584, "start_session": "2003-12-31", "total_return": 0.1471229478274072, "transaction_cost": 2201.386060737359, "transaction_cost_over_anchor_nav": 0.0025454031208161664, "two_sided_turnover": 2.491645522448174, "year": 2004 }, { "annualization_years": 1, "annualized_two_sided_turnover": 0.9603198527774873, "annualized_volatility": 0.1439979741211903, "cagr": 0.18166368785791032, "end_nav": 1172312.77520936, "end_session": "2005-12-30", "max_cash_weight": 4.0486327129717487e-17, "max_drawdown": -0.10425227307158358, "mean_cash_weight": 1.8130615517338527e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 992086.6548201195, "start_session": "2004-12-31", "total_return": 0.18166368785791032, "transaction_cost": 1065.0026410318155, "transaction_cost_over_anchor_nav": 0.001073497598075157, "two_sided_turnover": 0.9603198527774873, "year": 2005 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.489855533898976, "annualized_volatility": 0.11702632146835837, "cagr": 0.1665956004440945, "end_nav": 1367614.9259036463, "end_session": "2006-12-29", "max_cash_weight": 0.0, "max_drawdown": -0.0781317105619449, "mean_cash_weight": 0.0, "rebalance_count": 12, "session_count": 251, "start_nav": 1172312.77520936, "start_session": "2005-12-30", "total_return": 0.1665956004440945, "transaction_cost": 3092.253931648885, "transaction_cost_over_anchor_nav": 0.002637737980034081, "two_sided_turnover": 2.489855533898976, "year": 2006 }, { "annualization_years": 1, "annualized_two_sided_turnover": 3.2475952436596094, "annualized_volatility": 0.14954726197598628, "cagr": 0.0820931272309442, "end_nav": 1479886.7120187928, "end_session": "2007-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.08934739477420817, "mean_cash_weight": 0.0, "rebalance_count": 12, "session_count": 251, "start_nav": 1367614.9259036463, "start_session": "2006-12-29", "total_return": 0.0820931272309442, "transaction_cost": 4620.077827516043, "transaction_cost_over_anchor_nav": 0.003378200793226459, "two_sided_turnover": 3.2475952436596094, "year": 2007 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.9758612543187501, "annualized_volatility": 0.3333261601218388, "cagr": -0.31672762019536504, "end_nav": 1011165.715562337, "end_session": "2008-12-31", "max_cash_weight": 0.4196871901521327, "max_drawdown": -0.40923967882979484, "mean_cash_weight": 0.06426198720628173, "rebalance_count": 12, "session_count": 253, "start_nav": 1479886.7120187928, "start_session": "2007-12-31", "total_return": -0.31672762019536504, "transaction_cost": 2668.189037934706, "transaction_cost_over_anchor_nav": 0.0018029684409388922, "two_sided_turnover": 1.9758612543187501, "year": 2008 }, { "annualization_years": 1, "annualized_two_sided_turnover": 0.9738117710540707, "annualized_volatility": 0.04757417463392169, "cagr": -0.01209708425304623, "end_nav": 998933.5587073875, "end_session": "2009-12-31", "max_cash_weight": 1.0, "max_drawdown": -0.06992151400390823, "mean_cash_weight": 0.8711699466751524, "rebalance_count": 12, "session_count": 252, "start_nav": 1011165.715562337, "start_session": "2008-12-31", "total_return": -0.01209708425304623, "transaction_cost": 954.3363286059783, "transaction_cost_over_anchor_nav": 0.0009437981469488864, "two_sided_turnover": 0.9738117710540707, "year": 2009 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.080798353996132, "annualized_volatility": 0.17293228808027888, "cagr": 0.15802466453778874, "end_nav": 1156789.699217662, "end_session": "2010-12-31", "max_cash_weight": 0.43839626439040547, "max_drawdown": -0.16276735672238085, "mean_cash_weight": 0.061369364152931476, "rebalance_count": 12, "session_count": 252, "start_nav": 998933.5587073875, "start_session": "2009-12-31", "total_return": 0.15802466453778874, "transaction_cost": 2139.657677659278, "transaction_cost_over_anchor_nav": 0.002141941932982989, "two_sided_turnover": 2.080798353996132, "year": 2010 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.0794503386340044, "annualized_volatility": 0.21745723815051113, "cagr": 0.03127067527692429, "end_nav": 1192963.2942655883, "end_session": "2011-12-30", "max_cash_weight": 1.8574032608719192e-17, "max_drawdown": -0.18741873732292613, "mean_cash_weight": 8.324045080561273e-18, "rebalance_count": 12, "session_count": 252, "start_nav": 1156789.699217662, "start_session": "2010-12-31", "total_return": 0.03127067527692429, "transaction_cost": 2479.6788061355655, "transaction_cost_over_anchor_nav": 0.002143586520361112, "two_sided_turnover": 2.0794503386340044, "year": 2011 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.696240179096088, "annualized_volatility": 0.09066602563326319, "cagr": 0.10757849243479911, "end_nav": 1321300.486992732, "end_session": "2012-12-31", "max_cash_weight": 1.59412652134379e-17, "max_drawdown": -0.07022789181260536, "mean_cash_weight": 7.886369865718116e-18, "rebalance_count": 12, "session_count": 250, "start_nav": 1192963.2942655883, "start_session": "2011-12-30", "total_return": 0.10757849243479911, "transaction_cost": 2160.769799801967, "transaction_cost_over_anchor_nav": 0.001811262601446744, "two_sided_turnover": 1.696240179096088, "year": 2012 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.7520370433394652, "annualized_volatility": 0.11204415046723684, "cagr": 0.34177523120216957, "end_nav": 1772888.2664222121, "end_session": "2013-12-31", "max_cash_weight": 4.6881618039967705e-17, "max_drawdown": -0.05831640090758494, "mean_cash_weight": 1.5794036601172064e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1321300.486992732, "start_session": "2012-12-31", "total_return": 0.34177523120216957, "transaction_cost": 2727.5626351202427, "transaction_cost_over_anchor_nav": 0.0020643015437980736, "two_sided_turnover": 1.7520370433394652, "year": 2013 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8963714260711073, "annualized_volatility": 0.12467607708388129, "cagr": 0.10252233856970205, "end_nav": 1954648.9175186025, "end_session": "2014-12-31", "max_cash_weight": 2.313218152628614e-17, "max_drawdown": -0.07799000591084415, "mean_cash_weight": 1.226709576211765e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1772888.2664222121, "start_session": "2013-12-31", "total_return": 0.10252233856970205, "transaction_cost": 3504.520896254403, "transaction_cost_over_anchor_nav": 0.001976729702953431, "two_sided_turnover": 1.8963714260711073, "year": 2014 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.9697644138753072, "annualized_volatility": 0.15233251110464274, "cagr": 0.03428811330118253, "end_nav": 2021670.1410665142, "end_session": "2015-12-31", "max_cash_weight": 6.342202717377681e-17, "max_drawdown": -0.10849543456140054, "mean_cash_weight": 3.9351374413874233e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1954648.9175186025, "start_session": "2014-12-31", "total_return": 0.03428811330118253, "transaction_cost": 3896.604336678224, "transaction_cost_over_anchor_nav": 0.0019935059957595378, "two_sided_turnover": 1.9697644138753072, "year": 2015 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.5694278640715025, "annualized_volatility": 0.11980612714750134, "cagr": 0.041871942074752644, "end_nav": 2106321.3961075083, "end_session": "2016-12-30", "max_cash_weight": 0.04708742745239069, "max_drawdown": -0.09051761566300398, "mean_cash_weight": 0.023048122018002683, "rebalance_count": 12, "session_count": 252, "start_nav": 2021670.1410665142, "start_session": "2015-12-31", "total_return": 0.041871942074752644, "transaction_cost": 3224.3444725055456, "transaction_cost_over_anchor_nav": 0.0015948914746322421, "two_sided_turnover": 1.5694278640715025, "year": 2016 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.059267035359987, "annualized_volatility": 0.07598960713298551, "cagr": 0.24232164720335336, "end_nav": 2616728.6663519465, "end_session": "2017-12-29", "max_cash_weight": 5.522288572940897e-17, "max_drawdown": -0.02858730089461059, "mean_cash_weight": 1.8275589170773576e-17, "rebalance_count": 12, "session_count": 251, "start_nav": 2106321.3961075083, "start_session": "2016-12-30", "total_return": 0.24232164720335336, "transaction_cost": 4731.012116376401, "transaction_cost_over_anchor_nav": 0.0022461017227092374, "two_sided_turnover": 2.059267035359987, "year": 2017 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8114991094808979, "annualized_volatility": 0.18838915471469045, "cagr": -0.05842634258195789, "end_nav": 2463842.780847638, "end_session": "2018-12-31", "max_cash_weight": 3.382501726023771e-17, "max_drawdown": -0.21989954834934944, "mean_cash_weight": 1.4329770841354306e-17, "rebalance_count": 12, "session_count": 251, "start_nav": 2616728.6663519465, "start_session": "2017-12-29", "total_return": -0.05842634258195789, "transaction_cost": 4946.023574030069, "transaction_cost_over_anchor_nav": 0.0018901553063678765, "two_sided_turnover": 1.8114991094808979, "year": 2018 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.127181846182941, "annualized_volatility": 0.10449678250734457, "cagr": 0.28093926066013775, "end_nav": 3156032.9500817913, "end_session": "2019-12-31", "max_cash_weight": 0.10454323321182336, "max_drawdown": -0.04374656837846258, "mean_cash_weight": 0.04882962948453188, "rebalance_count": 12, "session_count": 252, "start_nav": 2463842.780847638, "start_session": "2018-12-31", "total_return": 0.28093926066013775, "transaction_cost": 6002.576568211093, "transaction_cost_over_anchor_nav": 0.0024362660697635997, "two_sided_turnover": 2.127181846182941, "year": 2019 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.7305978765951437, "annualized_volatility": 0.3272597074266391, "cagr": 0.17953205837110842, "end_nav": 3722642.041897017, "end_session": "2020-12-31", "max_cash_weight": 0.06656607971879085, "max_drawdown": -0.3050239895643315, "mean_cash_weight": 0.030057398673941103, "rebalance_count": 12, "session_count": 253, "start_nav": 3156032.9500817913, "start_session": "2019-12-31", "total_return": 0.17953205837110842, "transaction_cost": 5666.884075974197, "transaction_cost_over_anchor_nav": 0.0017955718985213176, "two_sided_turnover": 1.7305978765951437, "year": 2020 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.6055711431416984, "annualized_volatility": 0.14950850965079093, "cagr": 0.19108803346018677, "end_nav": 4433994.388959332, "end_session": "2021-12-31", "max_cash_weight": 4.247683536409405e-17, "max_drawdown": -0.06825715092006512, "mean_cash_weight": 1.623498924019067e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 3722642.041897017, "start_session": "2020-12-31", "total_return": 0.19108803346018677, "transaction_cost": 10840.281117521308, "transaction_cost_over_anchor_nav": 0.00291198589483431, "two_sided_turnover": 2.6055711431416984, "year": 2021 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8864465550922387, "annualized_volatility": 0.1971776098064672, "cagr": 0.06365056783548773, "end_nav": 4716220.64959596, "end_session": "2022-12-30", "max_cash_weight": 0.0690803581744209, "max_drawdown": -0.13873343442647423, "mean_cash_weight": 0.011207996639417284, "rebalance_count": 12, "session_count": 251, "start_nav": 4433994.388959332, "start_session": "2021-12-31", "total_return": 0.06365056783548773, "transaction_cost": 8496.95026792645, "transaction_cost_over_anchor_nav": 0.0019163195806210077, "two_sided_turnover": 1.8864465550922387, "year": 2022 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.043163903620887, "annualized_volatility": 0.11940653516364061, "cagr": 0.09030244720241898, "end_nav": 5142106.915801058, "end_session": "2023-12-29", "max_cash_weight": 0.17946755561522337, "max_drawdown": -0.08997859009561371, "mean_cash_weight": 0.08262139674102374, "rebalance_count": 12, "session_count": 250, "start_nav": 4716220.64959596, "start_session": "2022-12-30", "total_return": 0.09030244720241898, "transaction_cost": 9499.870242448766, "transaction_cost_over_anchor_nav": 0.0020142972410043245, "two_sided_turnover": 2.043163903620887, "year": 2023 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.734999448986593, "annualized_volatility": 0.13351003580391044, "cagr": 0.1485489209194657, "end_nav": 5905961.349395826, "end_session": "2024-12-31", "max_cash_weight": 0.06659425428744732, "max_drawdown": -0.08685704504148417, "mean_cash_weight": 0.02605048227912534, "rebalance_count": 12, "session_count": 252, "start_nav": 5142106.915801058, "start_session": "2023-12-29", "total_return": 0.1485489209194657, "transaction_cost": 9756.681315047636, "transaction_cost_over_anchor_nav": 0.0018974092672142935, "two_sided_turnover": 1.734999448986593, "year": 2024 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8305243660249018, "annualized_volatility": 0.15201579087016795, "cagr": 0.10912827691390392, "end_nav": 6550468.734975508, "end_session": "2025-12-31", "max_cash_weight": 2.855181975123441e-17, "max_drawdown": -0.13259789703509117, "mean_cash_weight": 8.380417107876402e-18, "rebalance_count": 12, "session_count": 250, "start_nav": 5905961.349395826, "start_session": "2024-12-31", "total_return": 0.10912827691390392, "transaction_cost": 11579.76030674023, "transaction_cost_over_anchor_nav": 0.0019606901606162436, "two_sided_turnover": 1.8305243660249018, "year": 2025 } ], "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9322999796074913, "annualized_volatility": 0.16423002442075346, "cagr": 0.08133907219017456, "end_nav": 6550468.734975508, "end_session": "2025-12-31", "max_cash_weight": 1.0, "max_drawdown": -0.40923967882979484, "mean_cash_weight": 0.08333068654076058, "rebalance_count": 300, "session_count": 6287, "start_nav": 927310.090445941, "start_session": "2000-12-29", "total_return": 6.063946356741794, "transaction_cost": 110715.7871181403, "transaction_cost_over_anchor_nav": 0.1193945674255495, "two_sided_turnover": 48.30749949018728 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7638349.981051507, "end_session": "2026-10-02", "max_cash_weight": 0.0, "max_drawdown": -0.07755129037428643, "mean_cash_weight": 0.0, "rebalance_count": 10, "session_count": 189, "start_nav": 6550468.734975508, "start_session": "2025-12-31", "total_return": 0.16607685496877145, "transaction_cost": 11468.905597352952, "transaction_cost_over_anchor_nav": 0.001750852658240469, "two_sided_turnover": 1.6039788416579601 } }, "monthly_risk": { "beta_intercept_per_month": 0.000985559376221956, "beta_to_SPY_excess_returns": 0.7402460249734018, "monthly_return_volatility_annualized": 0.13114915177585934, "months": 300, "sharpe_monthly_annualized": 0.5334729761851643, "tracking_error_monthly_annualized": 0.07954099423986687 }, "phase": null, "policy": "T", "run_id": "T12-10bps", "signal": "12-1" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": [ { "annualization_years": 1, "annualized_two_sided_turnover": 2.6824640075737545, "annualized_volatility": 0.15823488282651801, "cagr": -0.06346643499520532, "end_nav": 865432.756055262, "end_session": "2001-12-31", "max_cash_weight": 0.11552063417009387, "max_drawdown": -0.18604931560613847, "mean_cash_weight": 0.014034388815940945, "rebalance_count": 12, "session_count": 248, "start_nav": 924080.8748278354, "start_session": "2000-12-29", "total_return": -0.06346643499520532, "transaction_cost": 5855.145203390749, "transaction_cost_over_anchor_nav": 0.006336182646872348, "two_sided_turnover": 2.6824640075737545, "year": 2001 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.2919457565618993, "annualized_volatility": 0.1827668076235968, "cagr": -0.11246894485479242, "end_nav": 768098.4471389517, "end_session": "2002-12-31", "max_cash_weight": 0.5199390384860298, "max_drawdown": -0.22491379555656954, "mean_cash_weight": 0.25315489771699806, "rebalance_count": 12, "session_count": 252, "start_nav": 865432.756055262, "start_session": "2001-12-31", "total_return": -0.11246894485479242, "transaction_cost": 2636.0629149155598, "transaction_cost_over_anchor_nav": 0.003045947702431585, "two_sided_turnover": 1.2919457565618993, "year": 2002 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.3204148990759268, "annualized_volatility": 0.0691803285217375, "cagr": 0.11312967323447976, "end_nav": 854993.1734756926, "end_session": "2003-12-31", "max_cash_weight": 0.8900118106878074, "max_drawdown": -0.0456506179722711, "mean_cash_weight": 0.5935532231309474, "rebalance_count": 12, "session_count": 252, "start_nav": 768098.4471389517, "start_session": "2002-12-31", "total_return": 0.11312967323447976, "transaction_cost": 2581.6785903363616, "transaction_cost_over_anchor_nav": 0.0033611298134408633, "two_sided_turnover": 1.3204148990759268, "year": 2003 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.4920452814284224, "annualized_volatility": 0.11847291014286138, "cagr": 0.14285815891134934, "end_nav": 977135.9241202021, "end_session": "2004-12-31", "max_cash_weight": 6.382649983112691e-17, "max_drawdown": -0.08194299715796338, "mean_cash_weight": 4.386254958494311e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 854993.1734756926, "start_session": "2003-12-31", "total_return": 0.14285815891134934, "transaction_cost": 5432.359041380011, "transaction_cost_over_anchor_nav": 0.006353687035063155, "two_sided_turnover": 2.4920452814284224, "year": 2004 }, { "annualization_years": 1, "annualized_two_sided_turnover": 0.9607696629814534, "annualized_volatility": 0.14396880922249308, "cagr": 0.17995176522849943, "end_nav": 1152973.2585338135, "end_session": "2005-12-30", "max_cash_weight": 4.111174435879379e-17, "max_drawdown": -0.10439736698625268, "mean_cash_weight": 1.6413934150173106e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 977135.9241202021, "start_session": "2004-12-31", "total_return": 0.17995176522849943, "transaction_cost": 2621.8967116953245, "transaction_cost_over_anchor_nav": 0.0026832466670960228, "two_sided_turnover": 0.9607696629814534, "year": 2005 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.4887859630036138, "annualized_volatility": 0.11700139098902851, "cagr": 0.16232878184610255, "end_nav": 1340134.003092739, "end_session": "2006-12-29", "max_cash_weight": 1.7169255220848395e-17, "max_drawdown": -0.07841211767896461, "mean_cash_weight": 8.121942516952852e-18, "rebalance_count": 12, "session_count": 251, "start_nav": 1152973.2585338135, "start_session": "2005-12-30", "total_return": 0.16232878184610255, "transaction_cost": 7587.04569402174, "transaction_cost_over_anchor_nav": 0.006580417748517307, "two_sided_turnover": 2.4887859630036138, "year": 2006 }, { "annualization_years": 1, "annualized_two_sided_turnover": 3.246854502357774, "annualized_volatility": 0.14943828997341793, "cagr": 0.0767988018248813, "end_nav": 1443054.688815043, "end_session": "2007-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.09029264376722446, "mean_cash_weight": 0.0, "rebalance_count": 12, "session_count": 251, "start_nav": 1340134.003092739, "start_session": "2006-12-29", "total_return": 0.0767988018248813, "transaction_cost": 11289.93390537837, "transaction_cost_over_anchor_nav": 0.008424481342405794, "two_sided_turnover": 3.246854502357774, "year": 2007 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.9763811650323981, "annualized_volatility": 0.33332418297033084, "cagr": -0.318759141292022, "end_nav": 983067.815370934, "end_session": "2008-12-31", "max_cash_weight": 0.41927360052854984, "max_drawdown": -0.4097438738129924, "mean_cash_weight": 0.06421576027054937, "rebalance_count": 12, "session_count": 253, "start_nav": 1443054.688815043, "start_session": "2007-12-31", "total_return": -0.318759141292022, "transaction_cost": 6497.954706120177, "transaction_cost_over_anchor_nav": 0.00450291645665622, "two_sided_turnover": 1.9763811650323981, "year": 2008 }, { "annualization_years": 1, "annualized_two_sided_turnover": 0.9737230877618528, "annualized_volatility": 0.047562359035611644, "cagr": -0.013635184624824048, "end_nav": 969663.5042096288, "end_session": "2009-12-31", "max_cash_weight": 1.0, "max_drawdown": -0.07043969923317639, "mean_cash_weight": 0.8711612785133059, "rebalance_count": 12, "session_count": 252, "start_nav": 983067.815370934, "start_session": "2008-12-31", "total_return": -0.013635184624824048, "transaction_cost": 2317.776147634304, "transaction_cost_over_anchor_nav": 0.002357697110407133, "two_sided_turnover": 0.9737230877618528, "year": 2009 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.080355460408909, "annualized_volatility": 0.17278269361962498, "cagr": 0.15439186093744506, "end_nav": 1119371.6571076775, "end_session": "2010-12-31", "max_cash_weight": 0.43881194882725966, "max_drawdown": -0.16348016770332052, "mean_cash_weight": 0.0614564816322355, "rebalance_count": 12, "session_count": 252, "start_nav": 969663.5042096288, "start_session": "2009-12-31", "total_return": 0.15439186093744506, "transaction_cost": 5183.665683578369, "transaction_cost_over_anchor_nav": 0.005345839727982303, "two_sided_turnover": 2.080355460408909, "year": 2010 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.078604635186112, "annualized_volatility": 0.21759783715564746, "cagr": 0.028038369286977227, "end_nav": 1150757.0129990382, "end_session": "2011-12-30", "max_cash_weight": 1.7367929871931522e-17, "max_drawdown": -0.18823670355258137, "mean_cash_weight": 8.287434133078178e-18, "rebalance_count": 12, "session_count": 252, "start_nav": 1119371.6571076775, "start_session": "2010-12-31", "total_return": 0.028038369286977227, "transaction_cost": 5988.112885808496, "transaction_cost_over_anchor_nav": 0.005349530558314352, "two_sided_turnover": 2.078604635186112, "year": 2011 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.695532115581749, "annualized_volatility": 0.09067099755654762, "cagr": 0.10477242073815463, "end_nav": 1271324.6109323555, "end_session": "2012-12-31", "max_cash_weight": 1.6535672151536743e-17, "max_drawdown": -0.07058147064977605, "mean_cash_weight": 8.18448709177996e-18, "rebalance_count": 12, "session_count": 250, "start_nav": 1150757.0129990382, "start_session": "2011-12-30", "total_return": 0.10477242073815463, "transaction_cost": 5202.519444767172, "transaction_cost_over_anchor_nav": 0.004520953933801071, "two_sided_turnover": 1.695532115581749, "year": 2012 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.7527722881715062, "annualized_volatility": 0.11195103354470498, "cagr": 0.33828425326428824, "end_nav": 1701393.707598119, "end_session": "2013-12-31", "max_cash_weight": 4.752525086329661e-17, "max_drawdown": -0.05831716742396942, "mean_cash_weight": 1.8746765146893188e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1271324.6109323555, "start_session": "2012-12-31", "total_return": 0.33828425326428824, "transaction_cost": 6554.920979595399, "transaction_cost_over_anchor_nav": 0.0051559774138158114, "two_sided_turnover": 1.7527722881715062, "year": 2013 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.897554071464128, "annualized_volatility": 0.12477200367538288, "cagr": 0.09933819789455844, "end_nav": 1870407.0924200574, "end_session": "2014-12-31", "max_cash_weight": 7.233747565108653e-17, "max_drawdown": -0.07828174961915035, "mean_cash_weight": 5.3157686342275755e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1701393.707598119, "start_session": "2013-12-31", "total_return": 0.09933819789455844, "transaction_cost": 8402.113294584557, "transaction_cost_over_anchor_nav": 0.004938370970259397, "two_sided_turnover": 1.897554071464128, "year": 2014 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.9708701554579107, "annualized_volatility": 0.1522732863844058, "cagr": 0.031229698462770905, "end_nav": 1928819.341918964, "end_session": "2015-12-31", "max_cash_weight": 4.2419004097200544e-17, "max_drawdown": -0.10877176869837624, "mean_cash_weight": 1.6753111099076082e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1870407.0924200574, "start_session": "2014-12-31", "total_return": 0.031229698462770905, "transaction_cost": 9314.454254664954, "transaction_cost_over_anchor_nav": 0.004979907471700876, "two_sided_turnover": 1.9708701554579107, "year": 2015 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.569499005414832, "annualized_volatility": 0.11976829738070044, "cagr": 0.039411274181738065, "end_nav": 2004836.569850372, "end_session": "2016-12-30", "max_cash_weight": 0.04717470575347235, "max_drawdown": -0.09066938794275192, "mean_cash_weight": 0.023105832985310683, "rebalance_count": 12, "session_count": 252, "start_nav": 1928819.341918964, "start_session": "2015-12-31", "total_return": 0.039411274181738065, "transaction_cost": 7682.601661930267, "transaction_cost_over_anchor_nav": 0.003983059219163014, "two_sided_turnover": 1.569499005414832, "year": 2016 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.0588040135009527, "annualized_volatility": 0.07595713955419178, "cagr": 0.23855248346125557, "end_nav": 2483095.312522123, "end_session": "2017-12-29", "max_cash_weight": 3.498054972329623e-17, "max_drawdown": -0.028735448591917012, "mean_cash_weight": 1.8895487023373688e-17, "rebalance_count": 12, "session_count": 251, "start_nav": 2004836.569850372, "start_session": "2016-12-30", "total_return": 0.23855248346125557, "transaction_cost": 11239.152000639953, "transaction_cost_over_anchor_nav": 0.005606019048963563, "two_sided_turnover": 2.0588040135009527, "year": 2017 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.811930295558478, "annualized_volatility": 0.18836116586544743, "cagr": -0.06095836171207103, "end_nav": 2331729.8902958515, "end_session": "2018-12-31", "max_cash_weight": 3.574147784323805e-17, "max_drawdown": -0.22022373546992158, "mean_cash_weight": 4.880384032012133e-18, "rebalance_count": 12, "session_count": 251, "start_nav": 2483095.312522123, "start_session": "2017-12-29", "total_return": -0.06095836171207103, "transaction_cost": 11722.43351628144, "transaction_cost_over_anchor_nav": 0.004720895511809718, "two_sided_turnover": 1.811930295558478, "year": 2018 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.127461550952974, "annualized_volatility": 0.1045436668611358, "cagr": 0.2768755755821273, "end_nav": 2977328.9457735657, "end_session": "2019-12-31", "max_cash_weight": 0.10430481451107897, "max_drawdown": -0.04389882357430375, "mean_cash_weight": 0.04875351369117901, "rebalance_count": 12, "session_count": 252, "start_nav": 2331729.8902958515, "start_session": "2018-12-31", "total_return": 0.2768755755821273, "transaction_cost": 14182.983407543075, "transaction_cost_over_anchor_nav": 0.0060826013624346205, "two_sided_turnover": 2.127461550952974, "year": 2019 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.730249985864334, "annualized_volatility": 0.32727668586626457, "cagr": 0.17650683890942642, "end_nav": 3502847.8663855926, "end_session": "2020-12-31", "max_cash_weight": 0.06626302678487088, "max_drawdown": -0.30502880589065917, "mean_cash_weight": 0.029939263916013866, "rebalance_count": 12, "session_count": 253, "start_nav": 2977328.9457735657, "start_session": "2019-12-31", "total_return": 0.17650683890942642, "transaction_cost": 13348.655981630256, "transaction_cost_over_anchor_nav": 0.004483433380976997, "two_sided_turnover": 1.730249985864334, "year": 2020 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.6055422218637467, "annualized_volatility": 0.14943999015587717, "cagr": 0.18650208664248757, "end_nav": 4156136.3026576913, "end_session": "2021-12-31", "max_cash_weight": 2.2581036630856307e-17, "max_drawdown": -0.06840091307298102, "mean_cash_weight": 1.669868603688003e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 3502847.8663855926, "start_session": "2020-12-31", "total_return": 0.18650208664248757, "transaction_cost": 25454.12099289188, "transaction_cost_over_anchor_nav": 0.007266693263260865, "two_sided_turnover": 2.6055422218637467, "year": 2021 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8874490778992339, "annualized_volatility": 0.19711542849624, "cagr": 0.06049617325502754, "end_nav": 4407566.64449478, "end_session": "2022-12-30", "max_cash_weight": 0.06886658098998961, "max_drawdown": -0.13971945574061229, "mean_cash_weight": 0.011173287823977767, "rebalance_count": 12, "session_count": 251, "start_nav": 4156136.3026576913, "start_session": "2021-12-31", "total_return": 0.06049617325502754, "transaction_cost": 19894.036298913634, "transaction_cost_over_anchor_nav": 0.004786665992208233, "two_sided_turnover": 1.8874490778992339, "year": 2022 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.043187839364039, "annualized_volatility": 0.11934363136098376, "cagr": 0.0869426382514158, "end_nav": 4790772.116836096, "end_session": "2023-12-29", "max_cash_weight": 0.17959213870077978, "max_drawdown": -0.09027853139764741, "mean_cash_weight": 0.0827531002548651, "rebalance_count": 12, "session_count": 250, "start_nav": 4407566.64449478, "start_session": "2022-12-30", "total_return": 0.0869426382514158, "transaction_cost": 22164.14875014865, "transaction_cost_over_anchor_nav": 0.005028658790181318, "two_sided_turnover": 2.043187839364039, "year": 2023 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.7353341962667377, "annualized_volatility": 0.13362095528547413, "cagr": 0.145577743336875, "end_nav": 5488201.910446319, "end_session": "2024-12-31", "max_cash_weight": 0.06652880464003781, "max_drawdown": -0.08713280358544995, "mean_cash_weight": 0.02603520690954132, "rebalance_count": 12, "session_count": 252, "start_nav": 4790772.116836096, "start_session": "2023-12-29", "total_return": 0.145577743336875, "transaction_cost": 22702.955490650384, "transaction_cost_over_anchor_nav": 0.004738892799944695, "two_sided_turnover": 1.7353341962667377, "year": 2024 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.83069438582799, "annualized_volatility": 0.15207519044605033, "cagr": 0.106125705933656, "end_nav": 6070641.2124988735, "end_session": "2025-12-31", "max_cash_weight": 3.075112787492676e-17, "max_drawdown": -0.1329723353411174, "mean_cash_weight": 2.2402277765637016e-17, "rebalance_count": 12, "session_count": 250, "start_nav": 5488201.910446319, "start_session": "2024-12-31", "total_return": 0.106125705933656, "transaction_cost": 26870.810981196795, "transaction_cost_over_anchor_nav": 0.004896104665910801, "two_sided_turnover": 1.83069438582799, "year": 2025 } ], "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9323690249824292, "annualized_volatility": 0.16421805756944444, "cagr": 0.07820411093572921, "end_nav": 6070641.2124988735, "end_session": "2025-12-31", "max_cash_weight": 1.0, "max_drawdown": -0.4097438738129924, "mean_cash_weight": 0.08332337670862527, "rebalance_count": 300, "session_count": 6287, "start_nav": 924080.8748278354, "start_session": "2000-12-29", "total_return": 5.569383024651266, "transaction_cost": 262727.5385396979, "transaction_cost_over_anchor_nav": 0.2843122779579725, "two_sided_turnover": 48.30922562456073 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7061227.6834578095, "end_session": "2026-10-02", "max_cash_weight": 0.0, "max_drawdown": -0.0776878377282848, "mean_cash_weight": 0.0, "rebalance_count": 10, "session_count": 189, "start_nav": 6070641.2124988735, "start_session": "2025-12-31", "total_return": 0.16317657991702972, "transaction_cost": 26567.389215604304, "transaction_cost_over_anchor_nav": 0.00437637282218303, "two_sided_turnover": 1.6055403481900117 } }, "monthly_risk": { "beta_intercept_per_month": 0.0007423744848494007, "beta_to_SPY_excess_returns": 0.7401223587564445, "monthly_return_volatility_annualized": 0.1310899064649882, "months": 300, "sharpe_monthly_annualized": 0.5114059062483568, "tracking_error_monthly_annualized": 0.07948157324643539 }, "phase": null, "policy": "T", "run_id": "T12-25bps", "signal": "12-1" }, { "cost_bps_per_side": 0.0, "metrics": { "annual": [ { "annualization_years": 1, "annualized_two_sided_turnover": 2.060748541534812, "annualized_volatility": 0.15626821504063632, "cagr": -0.09042648746047821, "end_nav": 870475.8350194121, "end_session": "2001-12-31", "max_cash_weight": 0.27022155547093374, "max_drawdown": -0.19297221181581126, "mean_cash_weight": 0.030987703922737846, "rebalance_count": 12, "session_count": 248, "start_nav": 957015.3737096529, "start_session": "2000-12-29", "total_return": -0.09042648746047821, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.060748541534812, "year": 2001 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.524478869061289, "annualized_volatility": 0.17541320804702482, "cagr": -0.11136037959951595, "end_nav": 773539.3155994448, "end_session": "2002-12-31", "max_cash_weight": 0.6330291536348788, "max_drawdown": -0.22361554994676847, "mean_cash_weight": 0.32580450758555013, "rebalance_count": 12, "session_count": 252, "start_nav": 870475.8350194121, "start_session": "2001-12-31", "total_return": -0.11136037959951595, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.524478869061289, "year": 2002 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.4697777564257268, "annualized_volatility": 0.06773560567140714, "cagr": 0.14353121778296218, "end_nav": 884566.3555704321, "end_session": "2003-12-31", "max_cash_weight": 0.8405209090214663, "max_drawdown": -0.030107998100994737, "mean_cash_weight": 0.5643293309847212, "rebalance_count": 12, "session_count": 252, "start_nav": 773539.3155994448, "start_session": "2002-12-31", "total_return": 0.14353121778296218, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4697777564257268, "year": 2003 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.323814731054505, "annualized_volatility": 0.11830229170039995, "cagr": 0.17412579776256965, "end_nav": 1038592.1779080625, "end_session": "2004-12-31", "max_cash_weight": 6.503089717463005e-17, "max_drawdown": -0.07227103309568783, "mean_cash_weight": 4.004688681768126e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 884566.3555704321, "start_session": "2003-12-31", "total_return": 0.17412579776256965, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.323814731054505, "year": 2004 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.4415922983459861, "annualized_volatility": 0.14058343901366274, "cagr": 0.15889970806347153, "end_nav": 1203624.1717746586, "end_session": "2005-12-30", "max_cash_weight": 8.63994468391438e-17, "max_drawdown": -0.10520494413867032, "mean_cash_weight": 3.901930860228491e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1038592.1779080625, "start_session": "2004-12-31", "total_return": 0.15889970806347153, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4415922983459861, "year": 2005 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.785401778093345, "annualized_volatility": 0.11768164490845183, "cagr": 0.15237820041633388, "end_nav": 1387030.2570472814, "end_session": "2006-12-29", "max_cash_weight": 8.607589180118944e-17, "max_drawdown": -0.0904725379832817, "mean_cash_weight": 6.1579158980619e-17, "rebalance_count": 12, "session_count": 251, "start_nav": 1203624.1717746586, "start_session": "2005-12-30", "total_return": 0.15237820041633388, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.785401778093345, "year": 2006 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.907977471843746, "annualized_volatility": 0.15299042644625432, "cagr": 0.08601832877686011, "end_nav": 1506340.281721427, "end_session": "2007-12-31", "max_cash_weight": 8.513915975668526e-17, "max_drawdown": -0.09128286829999321, "mean_cash_weight": 6.249581877563672e-17, "rebalance_count": 12, "session_count": 251, "start_nav": 1387030.2570472814, "start_session": "2006-12-29", "total_return": 0.08601832877686011, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.907977471843746, "year": 2007 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.9271494945537513, "annualized_volatility": 0.3384736868927512, "cagr": -0.3330276685896706, "end_nav": 1004687.2895970326, "end_session": "2008-12-31", "max_cash_weight": 0.3909945250958082, "max_drawdown": -0.42154186618923106, "mean_cash_weight": 0.06267512244310322, "rebalance_count": 12, "session_count": 253, "start_nav": 1506340.281721427, "start_session": "2007-12-31", "total_return": -0.3330276685896706, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.9271494945537513, "year": 2008 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.513739992371199, "annualized_volatility": 0.0837530244860525, "cagr": 0.07571683271849494, "end_nav": 1080759.0290378493, "end_session": "2009-12-31", "max_cash_weight": 1.0, "max_drawdown": -0.07406182357376345, "mean_cash_weight": 0.6439323488228766, "rebalance_count": 12, "session_count": 252, "start_nav": 1004687.2895970326, "start_session": "2008-12-31", "total_return": 0.07571683271849494, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.513739992371199, "year": 2009 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.7621921417249604, "annualized_volatility": 0.17480353833386328, "cagr": 0.1462638189357368, "end_nav": 1238834.971974204, "end_session": "2010-12-31", "max_cash_weight": 0.04702620623822247, "max_drawdown": -0.15463145690636237, "mean_cash_weight": 0.0033867522537533155, "rebalance_count": 12, "session_count": 252, "start_nav": 1080759.0290378493, "start_session": "2009-12-31", "total_return": 0.1462638189357368, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.7621921417249604, "year": 2010 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.5783570926204704, "annualized_volatility": 0.21517728903981104, "cagr": 0.016783508244790912, "end_nav": 1259626.9689402685, "end_session": "2011-12-30", "max_cash_weight": 0.05181419480435379, "max_drawdown": -0.18756769309904797, "mean_cash_weight": 0.008209475307620695, "rebalance_count": 12, "session_count": 252, "start_nav": 1238834.971974204, "start_session": "2010-12-31", "total_return": 0.016783508244790912, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.5783570926204704, "year": 2011 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.4896026372789097, "annualized_volatility": 0.09273267973320291, "cagr": 0.11218788310404948, "end_nav": 1400941.8520864474, "end_session": "2012-12-31", "max_cash_weight": 0.04788986499100299, "max_drawdown": -0.06933086639018082, "mean_cash_weight": 0.015222239472853082, "rebalance_count": 12, "session_count": 250, "start_nav": 1259626.9689402685, "start_session": "2011-12-30", "total_return": 0.11218788310404948, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.4896026372789097, "year": 2012 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.615356545351227, "annualized_volatility": 0.11295776491867396, "cagr": 0.35835576870987307, "end_nav": 1902977.4464087195, "end_session": "2013-12-31", "max_cash_weight": 5.423486421848641e-17, "max_drawdown": -0.05310455132824621, "mean_cash_weight": 3.548589297741672e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1400941.8520864474, "start_session": "2012-12-31", "total_return": 0.35835576870987307, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.615356545351227, "year": 2013 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.170205933146063, "annualized_volatility": 0.12763978327938563, "cagr": 0.05750569315431342, "end_nav": 2012409.4835214783, "end_session": "2014-12-31", "max_cash_weight": 8.068953432558274e-17, "max_drawdown": -0.09257618145346047, "mean_cash_weight": 4.261459781442139e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1902977.4464087195, "start_session": "2013-12-31", "total_return": 0.05750569315431342, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.170205933146063, "year": 2014 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.149491931692982, "annualized_volatility": 0.15051099631065812, "cagr": 0.03491317521254955, "end_nav": 2082669.08841906, "end_session": "2015-12-31", "max_cash_weight": 0.05258351388781644, "max_drawdown": -0.1056415778095855, "mean_cash_weight": 0.008499290796665764, "rebalance_count": 12, "session_count": 252, "start_nav": 2012409.4835214783, "start_session": "2014-12-31", "total_return": 0.03491317521254955, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.149491931692982, "year": 2015 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.9560409446229186, "annualized_volatility": 0.11357619952461187, "cagr": 0.07004977731012696, "end_nav": 2228559.5942735, "end_session": "2016-12-30", "max_cash_weight": 0.1119845744127247, "max_drawdown": -0.07993715498582676, "mean_cash_weight": 0.04636266873463894, "rebalance_count": 12, "session_count": 252, "start_nav": 2082669.08841906, "start_session": "2015-12-31", "total_return": 0.07004977731012696, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.9560409446229186, "year": 2016 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.9154379934690184, "annualized_volatility": 0.07855058233015905, "cagr": 0.25371688597545594, "end_nav": 2793982.794743298, "end_session": "2017-12-29", "max_cash_weight": 1.734966564398071e-17, "max_drawdown": -0.0348374202150995, "mean_cash_weight": 5.386762001413884e-18, "rebalance_count": 12, "session_count": 251, "start_nav": 2228559.5942735, "start_session": "2016-12-30", "total_return": 0.25371688597545594, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.9154379934690184, "year": 2017 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.835271573462774, "annualized_volatility": 0.18575556318074116, "cagr": -0.07280738146631505, "end_nav": 2590560.2235961016, "end_session": "2018-12-31", "max_cash_weight": 6.423232808762531e-17, "max_drawdown": -0.22344954380723714, "mean_cash_weight": 2.9243765146749583e-17, "rebalance_count": 12, "session_count": 251, "start_nav": 2793982.794743298, "start_session": "2017-12-29", "total_return": -0.07280738146631505, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.835271573462774, "year": 2018 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.0740820603648924, "annualized_volatility": 0.09926429399916714, "cagr": 0.28595128397593617, "end_nav": 3331334.245750395, "end_session": "2019-12-31", "max_cash_weight": 0.16094097880739863, "max_drawdown": -0.04114632717308664, "mean_cash_weight": 0.07735058541744093, "rebalance_count": 12, "session_count": 252, "start_nav": 2590560.2235961016, "start_session": "2018-12-31", "total_return": 0.28595128397593617, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.0740820603648924, "year": 2019 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.7077216141959193, "annualized_volatility": 0.32694331545798955, "cagr": 0.1613008256033972, "end_nav": 3868681.2099508042, "end_session": "2020-12-31", "max_cash_weight": 0.17326087471831988, "max_drawdown": -0.3075035305332279, "mean_cash_weight": 0.07913078286104551, "rebalance_count": 12, "session_count": 253, "start_nav": 3331334.245750395, "start_session": "2019-12-31", "total_return": 0.1613008256033972, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.7077216141959193, "year": 2020 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.300470744876211, "annualized_volatility": 0.14810581002472553, "cagr": 0.20419232011981947, "end_nav": 4658636.202014609, "end_session": "2021-12-31", "max_cash_weight": 8.194144481785111e-17, "max_drawdown": -0.06794313650402461, "mean_cash_weight": 4.2882428767008365e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 3868681.2099508042, "start_session": "2020-12-31", "total_return": 0.20419232011981947, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.300470744876211, "year": 2021 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.410308433575772, "annualized_volatility": 0.20039806798246793, "cagr": -0.028415083105077343, "end_nav": 4526260.667178042, "end_session": "2022-12-30", "max_cash_weight": 0.11630852432691921, "max_drawdown": -0.16115160070517454, "mean_cash_weight": 0.01893181474550392, "rebalance_count": 12, "session_count": 251, "start_nav": 4658636.202014609, "start_session": "2021-12-31", "total_return": -0.028415083105077343, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.410308433575772, "year": 2022 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.2221956885803182, "annualized_volatility": 0.12952436709048754, "cagr": 0.08656370527430401, "end_nav": 4918070.5615663165, "end_session": "2023-12-29", "max_cash_weight": 0.12178358261157322, "max_drawdown": -0.10270634601811124, "mean_cash_weight": 0.03730216839770048, "rebalance_count": 12, "session_count": 250, "start_nav": 4526260.667178042, "start_session": "2022-12-30", "total_return": 0.08656370527430401, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 2.2221956885803182, "year": 2023 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8882166777965057, "annualized_volatility": 0.12903882983947063, "cagr": 0.16840277076696397, "end_nav": 5746287.270961523, "end_session": "2024-12-31", "max_cash_weight": 7.511541694789954e-17, "max_drawdown": -0.08593874331758944, "mean_cash_weight": 3.5683372683982736e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 4918070.5615663165, "start_session": "2023-12-29", "total_return": 0.16840277076696397, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.8882166777965057, "year": 2024 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.7634096930064005, "annualized_volatility": 0.15267012853490164, "cagr": 0.13334473295556704, "end_nav": 6512524.412593861, "end_session": "2025-12-31", "max_cash_weight": 5.3040774898930984e-17, "max_drawdown": -0.12996701390327692, "mean_cash_weight": 2.934761692989249e-17, "rebalance_count": 12, "session_count": 250, "start_nav": 5746287.270961523, "start_session": "2024-12-31", "total_return": 0.13334473295556704, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.7634096930064005, "year": 2025 } ], "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.991721705561988, "annualized_volatility": 0.16479062544177592, "cagr": 0.07972515123715151, "end_nav": 6512524.412593861, "end_session": "2025-12-31", "max_cash_weight": 1.0, "max_drawdown": -0.42154186618923106, "mean_cash_weight": 0.07702709113713568, "rebalance_count": 300, "session_count": 6287, "start_nav": 957015.3737096529, "start_session": "2000-12-29", "total_return": 5.805036357304834, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 49.7930426390497 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7418053.694739255, "end_session": "2026-10-02", "max_cash_weight": 6.515742594724802e-17, "max_drawdown": -0.09020125439946836, "mean_cash_weight": 4.4179782188077927e-17, "rebalance_count": 10, "session_count": 189, "start_nav": 6512524.412593861, "start_session": "2025-12-31", "total_return": 0.13904428218254195, "transaction_cost": 0.0, "transaction_cost_over_anchor_nav": 0.0, "two_sided_turnover": 1.9639914645197478 } }, "monthly_risk": { "beta_intercept_per_month": 0.0008129806304315729, "beta_to_SPY_excess_returns": 0.7472619685248997, "monthly_return_volatility_annualized": 0.1309457689049055, "months": 300, "sharpe_monthly_annualized": 0.5226431181815278, "tracking_error_monthly_annualized": 0.07719631491900193 }, "phase": null, "policy": "T", "run_id": "TMIX-0bps", "signal": "mixed" }, { "cost_bps_per_side": 5.0, "metrics": { "annual": [ { "annualization_years": 1, "annualized_two_sided_turnover": 2.0607440228220937, "annualized_volatility": 0.15626182654909299, "cagr": -0.09136193779837454, "end_nav": 868268.7294999139, "end_session": "2001-12-31", "max_cash_weight": 0.2701336781428019, "max_drawdown": -0.1936061530575809, "mean_cash_weight": 0.030983377248014407, "rebalance_count": 12, "session_count": 248, "start_nav": 955571.6028405228, "start_session": "2000-12-29", "total_return": -0.09136193779837454, "transaction_cost": 918.3322283871936, "transaction_cost_over_anchor_nav": 0.000961029216081106, "two_sided_turnover": 2.0607440228220937, "year": 2001 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.5246624389856398, "annualized_volatility": 0.17542599577646706, "cagr": -0.11204219889164468, "end_nav": 770985.9918178889, "end_session": "2002-12-31", "max_cash_weight": 0.632999163660512, "max_drawdown": -0.22376172264385175, "mean_cash_weight": 0.325780117878829, "rebalance_count": 12, "session_count": 252, "start_nav": 868268.7294999139, "start_session": "2001-12-31", "total_return": -0.11204219889164468, "transaction_cost": 642.047178353658, "transaction_cost_over_anchor_nav": 0.0007394567563471392, "two_sided_turnover": 1.5246624389856398, "year": 2002 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.469539684029364, "annualized_volatility": 0.0676890822024406, "cagr": 0.14268534087925544, "end_nav": 880994.3908735552, "end_session": "2003-12-31", "max_cash_weight": 0.8405618831774557, "max_drawdown": -0.030108709400178624, "mean_cash_weight": 0.5643736402227026, "rebalance_count": 12, "session_count": 252, "start_nav": 770985.9918178889, "start_session": "2002-12-31", "total_return": 0.14268534087925544, "transaction_cost": 580.4153903620013, "transaction_cost_over_anchor_nav": 0.0007528222257235233, "two_sided_turnover": 1.469539684029364, "year": 2003 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.323705576998972, "annualized_volatility": 0.11828080645298027, "cagr": 0.17276475117514756, "end_nav": 1033199.1675995257, "end_session": "2004-12-31", "max_cash_weight": 2.2893766999301014e-17, "max_drawdown": -0.07242172328404206, "mean_cash_weight": 1.9240342983006377e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 880994.3908735552, "start_session": "2003-12-31", "total_return": 0.17276475117514756, "transaction_cost": 1059.32156543303, "transaction_cost_over_anchor_nav": 0.0012024157888027565, "two_sided_turnover": 2.323705576998972, "year": 2004 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.4414789394208214, "annualized_volatility": 0.14056637007405356, "cagr": 0.15808019014816344, "end_nav": 1196527.4884745828, "end_session": "2005-12-30", "max_cash_weight": 3.8876074508538677e-17, "max_drawdown": -0.105253707769842, "mean_cash_weight": 1.0416929283362282e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1033199.1675995257, "start_session": "2004-12-31", "total_return": 0.15808019014816344, "transaction_cost": 816.2360688036172, "transaction_cost_over_anchor_nav": 0.000790008445999828, "two_sided_turnover": 1.4414789394208214, "year": 2005 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.785353570964945, "annualized_volatility": 0.11766147625206398, "cagr": 0.15077049024759215, "end_nav": 1376928.5245066157, "end_session": "2006-12-29", "max_cash_weight": 0.0, "max_drawdown": -0.09055864718117623, "mean_cash_weight": 0.0, "rebalance_count": 12, "session_count": 251, "start_nav": 1196527.4884745828, "start_session": "2005-12-30", "total_return": 0.15077049024759215, "transaction_cost": 1767.4218884761328, "transaction_cost_over_anchor_nav": 0.0014771260213414456, "two_sided_turnover": 2.785353570964945, "year": 2006 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.9077701920174537, "annualized_volatility": 0.1529496460680131, "cagr": 0.08443314494153031, "end_nav": 1493186.9301904102, "end_session": "2007-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.09152854874469152, "mean_cash_weight": 0.0, "rebalance_count": 12, "session_count": 251, "start_nav": 1376928.5245066157, "start_session": "2006-12-29", "total_return": 0.08443314494153031, "transaction_cost": 2084.7018989065914, "transaction_cost_over_anchor_nav": 0.0015140233220555777, "two_sided_turnover": 2.9077701920174537, "year": 2007 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.927070172964215, "annualized_volatility": 0.33846346036902075, "cagr": -0.3336641803268926, "end_nav": 994963.937053598, "end_session": "2008-12-31", "max_cash_weight": 0.390853556425251, "max_drawdown": -0.42169353484899474, "mean_cash_weight": 0.06265792936746994, "rebalance_count": 12, "session_count": 253, "start_nav": 1493186.9301904102, "start_session": "2007-12-31", "total_return": -0.3336641803268926, "transaction_cost": 1310.8827274431242, "transaction_cost_over_anchor_nav": 0.0008779093232995023, "two_sided_turnover": 1.927070172964215, "year": 2008 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.5137540835493701, "annualized_volatility": 0.08377478864171, "cagr": 0.07486432328485448, "end_nav": 1069451.2388939501, "end_session": "2009-12-31", "max_cash_weight": 1.0, "max_drawdown": -0.07438112795890917, "mean_cash_weight": 0.643896815289885, "rebalance_count": 12, "session_count": 252, "start_nav": 994963.937053598, "start_session": "2008-12-31", "total_return": 0.07486432328485448, "transaction_cost": 737.8048072127167, "transaction_cost_over_anchor_nav": 0.0007415392455304354, "two_sided_turnover": 1.5137540835493701, "year": 2009 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.762201879650518, "annualized_volatility": 0.1747549603357829, "cagr": 0.1452414047785191, "end_nav": 1224779.839173035, "end_session": "2010-12-31", "max_cash_weight": 0.046957946841128965, "max_drawdown": -0.15486320211366622, "mean_cash_weight": 0.0033818142034498797, "rebalance_count": 12, "session_count": 252, "start_nav": 1069451.2388939501, "start_session": "2009-12-31", "total_return": 0.1452414047785191, "transaction_cost": 956.9393893591651, "transaction_cost_over_anchor_nav": 0.000894794783115921, "two_sided_turnover": 1.762201879650518, "year": 2010 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.578397363365118, "annualized_volatility": 0.21522700253116533, "cagr": 0.015446537712318742, "end_nav": 1243698.447148109, "end_session": "2011-12-30", "max_cash_weight": 0.05182712803357484, "max_drawdown": -0.18817594893894418, "mean_cash_weight": 0.008211889239161137, "rebalance_count": 12, "session_count": 252, "start_nav": 1224779.839173035, "start_session": "2010-12-31", "total_return": 0.015446537712318742, "transaction_cost": 1602.8658523642816, "transaction_cost_over_anchor_nav": 0.0013086971234328353, "two_sided_turnover": 2.578397363365118, "year": 2011 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.4896574616420108, "annualized_volatility": 0.09272108801713623, "cagr": 0.1113674794305668, "end_nav": 1382206.008378704, "end_session": "2012-12-31", "max_cash_weight": 0.04790980119983531, "max_drawdown": -0.06937298238926426, "mean_cash_weight": 0.015230461339332691, "rebalance_count": 12, "session_count": 250, "start_nav": 1243698.447148109, "start_session": "2011-12-30", "total_return": 0.1113674794305668, "transaction_cost": 984.3015354911347, "transaction_cost_over_anchor_nav": 0.0007914310239336631, "two_sided_turnover": 1.4896574616420108, "year": 2012 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.615371157119722, "annualized_volatility": 0.11291817875207646, "cagr": 0.35727065954038384, "end_nav": 1876027.660612845, "end_session": "2013-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.05310497733414754, "mean_cash_weight": 0.0, "rebalance_count": 12, "session_count": 252, "start_nav": 1382206.008378704, "start_session": "2012-12-31", "total_return": 0.35727065954038384, "transaction_cost": 1284.8400738670086, "transaction_cost_over_anchor_nav": 0.0009295575811988378, "two_sided_turnover": 1.615371157119722, "year": 2013 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.1702623222767023, "annualized_volatility": 0.12766245122510858, "cagr": 0.05636882868818449, "end_nav": 1981777.142428226, "end_session": "2014-12-31", "max_cash_weight": 4.2460529251671527e-17, "max_drawdown": -0.09272996685967916, "mean_cash_weight": 2.5127191684875525e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1876027.660612845, "start_session": "2013-12-31", "total_return": 0.05636882868818449, "transaction_cost": 2116.189953696262, "transaction_cost_over_anchor_nav": 0.0011280163923622333, "two_sided_turnover": 2.1702623222767023, "year": 2014 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.1495979336972333, "annualized_volatility": 0.15048668637681636, "cagr": 0.03382336408152886, "end_nav": 2048807.512245028, "end_session": "2015-12-31", "max_cash_weight": 0.05261598382506095, "max_drawdown": -0.10563319798570203, "mean_cash_weight": 0.008504753930854866, "rebalance_count": 12, "session_count": 252, "start_nav": 1981777.142428226, "start_session": "2014-12-31", "total_return": 0.03382336408152886, "transaction_cost": 2147.888190015219, "transaction_cost_over_anchor_nav": 0.0010838192368004915, "two_sided_turnover": 2.1495979336972333, "year": 2015 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.9558405169713813, "annualized_volatility": 0.1135634496343432, "cagr": 0.06898780560409712, "end_nav": 2190150.2466200017, "end_session": "2016-12-30", "max_cash_weight": 0.11211930848734586, "max_drawdown": -0.08004296270265054, "mean_cash_weight": 0.04642796818228952, "rebalance_count": 12, "session_count": 252, "start_nav": 2048807.512245028, "start_session": "2015-12-31", "total_return": 0.06898780560409712, "transaction_cost": 2050.058306693973, "transaction_cost_over_anchor_nav": 0.0010006104987615818, "two_sided_turnover": 1.9558405169713813, "year": 2016 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.9152844813299685, "annualized_volatility": 0.07852575688337439, "cagr": 0.25253903999809313, "end_nav": 2743248.687353004, "end_session": "2017-12-29", "max_cash_weight": 3.531256429874069e-17, "max_drawdown": -0.03488591246511419, "mean_cash_weight": 1.241127371370038e-17, "rebalance_count": 12, "session_count": 251, "start_nav": 2190150.2466200017, "start_session": "2016-12-30", "total_return": 0.25253903999809313, "transaction_cost": 2299.006992071172, "transaction_cost_over_anchor_nav": 0.0010497028665586601, "two_sided_turnover": 1.9152844813299685, "year": 2017 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8350544444471089, "annualized_volatility": 0.18574644312985047, "cagr": -0.07365685306884562, "end_nav": 2541189.62185734, "end_session": "2018-12-31", "max_cash_weight": 3.2740210862266374e-17, "max_drawdown": -0.22357013447857055, "mean_cash_weight": 9.038027186411799e-18, "rebalance_count": 12, "session_count": 251, "start_nav": 2743248.687353004, "start_session": "2017-12-29", "total_return": -0.07365685306884562, "transaction_cost": 2604.582342679736, "transaction_cost_over_anchor_nav": 0.0009494517776268149, "two_sided_turnover": 1.8350544444471089, "year": 2018 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.0744789460497848, "annualized_volatility": 0.09927258940746171, "cagr": 0.28464507290075125, "end_nav": 3264526.727025555, "end_session": "2019-12-31", "max_cash_weight": 0.16091398165821588, "max_drawdown": -0.041183906582715535, "mean_cash_weight": 0.07735321101971629, "rebalance_count": 12, "session_count": 252, "start_nav": 2541189.62185734, "start_session": "2018-12-31", "total_return": 0.28464507290075125, "transaction_cost": 2907.885775224889, "transaction_cost_over_anchor_nav": 0.0011443009802234016, "two_sided_turnover": 2.0744789460497848, "year": 2019 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.7076536956155808, "annualized_volatility": 0.3269311247900217, "cagr": 0.16030054956903084, "end_nav": 3787832.155450541, "end_session": "2020-12-31", "max_cash_weight": 0.1733156339581932, "max_drawdown": -0.30750347251841226, "mean_cash_weight": 0.079175027054817, "rebalance_count": 12, "session_count": 253, "start_nav": 3264526.727025555, "start_session": "2019-12-31", "total_return": 0.16030054956903084, "transaction_cost": 2867.2982620719117, "transaction_cost_over_anchor_nav": 0.0008783197387648363, "two_sided_turnover": 1.7076536956155808, "year": 2020 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.300329400227345, "annualized_volatility": 0.14807401815626947, "cagr": 0.20282849293364502, "end_nav": 4556112.443026175, "end_session": "2021-12-31", "max_cash_weight": 3.81390229630488e-17, "max_drawdown": -0.06795330918321396, "mean_cash_weight": 1.867494651226759e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 3787832.155450541, "start_session": "2020-12-31", "total_return": 0.20282849293364502, "transaction_cost": 4848.366837990322, "transaction_cost_over_anchor_nav": 0.001279984603070047, "two_sided_turnover": 2.300329400227345, "year": 2021 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.4096484072544055, "annualized_volatility": 0.20036481895229855, "cagr": -0.029490985036200068, "end_nav": 4421748.199145645, "end_session": "2022-12-30", "max_cash_weight": 0.11635102989444396, "max_drawdown": -0.16161319551258635, "mean_cash_weight": 0.018939160398384735, "rebalance_count": 12, "session_count": 251, "start_nav": 4556112.443026175, "start_session": "2021-12-31", "total_return": -0.029490985036200068, "transaction_cost": 5209.402778233172, "transaction_cost_over_anchor_nav": 0.0011433876673098704, "two_sided_turnover": 2.4096484072544055, "year": 2022 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.2221795686425714, "annualized_volatility": 0.12950444332031766, "cagr": 0.08538029409728876, "end_nav": 4799278.360812857, "end_session": "2023-12-29", "max_cash_weight": 0.1218658537251665, "max_drawdown": -0.10300690241518429, "mean_cash_weight": 0.0373252395644133, "rebalance_count": 12, "session_count": 250, "start_nav": 4421748.199145645, "start_session": "2022-12-30", "total_return": 0.08538029409728876, "transaction_cost": 4884.644961136829, "transaction_cost_over_anchor_nav": 0.001104686368635967, "two_sided_turnover": 2.2221795686425714, "year": 2023 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8882637887307956, "annualized_volatility": 0.1290753206398189, "cagr": 0.16729960905992325, "end_nav": 5602195.754346597, "end_session": "2024-12-31", "max_cash_weight": 2.913210159274775e-17, "max_drawdown": -0.08603744789829693, "mean_cash_weight": 1.0474377760731887e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 4799278.360812857, "start_session": "2023-12-29", "total_return": 0.16729960905992325, "transaction_cost": 4994.355739997901, "transaction_cost_over_anchor_nav": 0.001040647231629216, "two_sided_turnover": 1.8882637887307956, "year": 2024 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.7635658963814687, "annualized_volatility": 0.15269105104680705, "cagr": 0.1323727923680751, "end_nav": 6343774.049742031, "end_session": "2025-12-31", "max_cash_weight": 2.9985978738977565e-17, "max_drawdown": -0.1300201723012948, "mean_cash_weight": 1.727387347843177e-17, "rebalance_count": 12, "session_count": 250, "start_nav": 5602195.754346597, "start_session": "2024-12-31", "total_return": 0.1323727923680751, "transaction_cost": 5377.821479212938, "transaction_cost_over_anchor_nav": 0.000959948869162672, "two_sided_turnover": 1.7635658963814687, "year": 2025 } ], "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9916746378061836, "annualized_volatility": 0.16478206158825043, "cagr": 0.0786570313976509, "end_nav": 6343774.049742031, "end_session": "2025-12-31", "max_cash_weight": 1.0, "max_drawdown": -0.42169353484899474, "mean_cash_weight": 0.07703176124223526, "rebalance_count": 300, "session_count": 6287, "start_nav": 955571.6028405228, "start_session": "2000-12-29", "total_return": 5.638721819364023, "transaction_cost": 57053.61222348398, "transaction_cost_over_anchor_nav": 0.05970626591862606, "two_sided_turnover": 49.79186594515459 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7218521.8165950505, "end_session": "2026-10-02", "max_cash_weight": 4.62625714178527e-17, "max_drawdown": -0.09027554381660474, "mean_cash_weight": 2.766244039569726e-17, "rebalance_count": 10, "session_count": 189, "start_nav": 6343774.049742031, "start_session": "2025-12-31", "total_return": 0.13789075083602498, "transaction_cost": 6656.250126538246, "transaction_cost_over_anchor_nav": 0.0010492571258601056, "two_sided_turnover": 1.964510173084346 } }, "monthly_risk": { "beta_intercept_per_month": 0.00073017961846269, "beta_to_SPY_excess_returns": 0.7472059747157758, "monthly_return_volatility_annualized": 0.13092646985955836, "months": 300, "sharpe_monthly_annualized": 0.515108434279835, "tracking_error_monthly_annualized": 0.07718082805341313 }, "phase": null, "policy": "T", "run_id": "TMIX-5bps", "signal": "mixed" }, { "cost_bps_per_side": 10.0, "metrics": { "annual": [ { "annualization_years": 1, "annualized_two_sided_turnover": 2.0607399127585118, "annualized_volatility": 0.15625603071284488, "cagr": -0.09229652025279356, "end_nav": 866067.3570819473, "end_session": "2001-12-31", "max_cash_weight": 0.27004592351897316, "max_drawdown": -0.1942396000774711, "mean_cash_weight": 0.030979058294983177, "rebalance_count": 12, "session_count": 248, "start_nav": 954130.2599425368, "start_session": "2000-12-29", "total_return": -0.09229652025279356, "transaction_cost": 1833.044494002476, "transaction_cost_over_anchor_nav": 0.0019211679693639236, "two_sided_turnover": 2.0607399127585118, "year": 2001 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.5248463186863568, "annualized_volatility": 0.17543907732663236, "cagr": -0.1127237027216057, "end_nav": 768441.0377853551, "end_session": "2002-12-31", "max_cash_weight": 0.632969186682702, "max_drawdown": -0.2239908866895547, "mean_cash_weight": 0.32575575522255745, "rebalance_count": 12, "session_count": 252, "start_nav": 866067.3570819473, "start_session": "2001-12-31", "total_return": -0.1127237027216057, "transaction_cost": 1280.5579697068665, "transaction_cost_over_anchor_nav": 0.001478589349010299, "two_sided_turnover": 1.5248463186863568, "year": 2002 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.4693017349980941, "annualized_volatility": 0.0676433545418034, "cagr": 0.14184028457110998, "end_nav": 877436.933260949, "end_session": "2003-12-31", "max_cash_weight": 0.8406028232257445, "max_drawdown": -0.03010941830107494, "mean_cash_weight": 0.5644179504610181, "rebalance_count": 12, "session_count": 252, "start_nav": 768441.0377853551, "start_session": "2002-12-31", "total_return": 0.14184028457110998, "transaction_cost": 1156.4234091071805, "transaction_cost_over_anchor_nav": 0.0015048954340595728, "two_sided_turnover": 1.4693017349980941, "year": 2003 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.323596715955431, "annualized_volatility": 0.11826051131442429, "cagr": 0.17140524034384508, "end_nav": 1027834.2216931083, "end_session": "2004-12-31", "max_cash_weight": 4.600277920129246e-17, "max_drawdown": -0.0725725562069296, "mean_cash_weight": 2.1377514717568952e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 877436.933260949, "start_session": "2003-12-31", "total_return": 0.17140524034384508, "transaction_cost": 2108.8806584738145, "transaction_cost_over_anchor_nav": 0.002403455540258909, "two_sided_turnover": 2.323596715955431, "year": 2004 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.4413660525528023, "annualized_volatility": 0.1405496532264172, "cagr": 0.15726130955171103, "end_nav": 1189472.7773986303, "end_session": "2005-12-30", "max_cash_weight": 1.6311893812530737e-17, "max_drawdown": -0.10530250712830103, "mean_cash_weight": 1.3448584295808132e-18, "rebalance_count": 12, "session_count": 252, "start_nav": 1027834.2216931083, "start_session": "2004-12-31", "total_return": 0.15726130955171103, "transaction_cost": 1623.3557681657903, "transaction_cost_over_anchor_nav": 0.0015793945501169481, "two_sided_turnover": 1.4413660525528023, "year": 2005 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.7853054441194383, "annualized_volatility": 0.11764271865015284, "cagr": 0.14916488502944691, "end_nav": 1366900.347484954, "end_session": "2006-12-29", "max_cash_weight": 1.608731827357811e-17, "max_drawdown": -0.0906446612374272, "mean_cash_weight": 6.408678263627897e-18, "rebalance_count": 12, "session_count": 251, "start_nav": 1189472.7773986303, "start_session": "2005-12-30", "total_return": 0.14916488502944691, "transaction_cost": 3511.6677340074602, "transaction_cost_over_anchor_nav": 0.00295228928373414, "two_sided_turnover": 2.7853054441194383, "year": 2006 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.9075633139879087, "annualized_volatility": 0.15291017967283752, "cagr": 0.08285025428508508, "end_nav": 1480148.3888564536, "end_session": "2007-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.09177381612922708, "mean_cash_weight": 0.0, "rebalance_count": 12, "session_count": 251, "start_nav": 1366900.347484954, "start_session": "2006-12-29", "total_return": 0.08285025428508508, "transaction_cost": 4135.980794336137, "transaction_cost_over_anchor_nav": 0.0030258100394415645, "two_sided_turnover": 2.9075633139879087, "year": 2007 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.9269911179019115, "annualized_volatility": 0.3384536347103421, "cagr": -0.3343001663519414, "end_nav": 985334.5362361831, "end_session": "2008-12-31", "max_cash_weight": 0.3907123330134531, "max_drawdown": -0.42184520383876956, "mean_cash_weight": 0.06264066756130003, "rebalance_count": 12, "session_count": 253, "start_nav": 1480148.3888564536, "start_session": "2007-12-31", "total_return": -0.3343001663519414, "transaction_cost": 2597.7003172346253, "transaction_cost_over_anchor_nav": 0.0017550269532378305, "two_sided_turnover": 1.9269911179019115, "year": 2008 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.5137685027307448, "annualized_volatility": 0.08379728024291787, "cagr": 0.07401231332488933, "end_nav": 1058261.42466193, "end_session": "2009-12-31", "max_cash_weight": 1.0, "max_drawdown": -0.07470048823908726, "mean_cash_weight": 0.6438612594141732, "rebalance_count": 12, "session_count": 252, "start_nav": 985334.5362361831, "start_session": "2008-12-31", "total_return": 0.07401231332488933, "transaction_cost": 1460.7779321925896, "transaction_cost_over_anchor_nav": 0.0014825197721907957, "two_sided_turnover": 1.5137685027307448, "year": 2009 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.762211458613419, "annualized_volatility": 0.17470679308000503, "cagr": 0.14421982333902195, "end_nav": 1210883.700373175, "end_session": "2010-12-31", "max_cash_weight": 0.04688977053628091, "max_drawdown": -0.15509494571885007, "mean_cash_weight": 0.0033768822005185257, "rebalance_count": 12, "session_count": 252, "start_nav": 1058261.42466193, "start_session": "2009-12-31", "total_return": 0.14421982333902195, "transaction_cost": 1893.0768480000336, "transaction_cost_over_anchor_nav": 0.0017888555737584331, "two_sided_turnover": 1.762211458613419, "year": 2010 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.5784377911001175, "annualized_volatility": 0.21527738750222583, "cagr": 0.014111164615949301, "end_nav": 1227970.6795999107, "end_session": "2011-12-30", "max_cash_weight": 0.05184006949101368, "max_drawdown": -0.18878371839669061, "mean_cash_weight": 0.008214304640683956, "rebalance_count": 12, "session_count": 252, "start_nav": 1210883.700373175, "start_session": "2010-12-31", "total_return": 0.014111164615949301, "transaction_cost": 3167.5493235665426, "transaction_cost_over_anchor_nav": 0.0026158988865655343, "two_sided_turnover": 2.5784377911001175, "year": 2011 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.489711965748405, "annualized_volatility": 0.09271012900054214, "cagr": 0.11054758342978865, "end_nav": 1363719.8707523162, "end_session": "2012-12-31", "max_cash_weight": 0.04792975197904611, "max_drawdown": -0.06941514926806303, "mean_cash_weight": 0.015238689795702321, "rebalance_count": 12, "session_count": 250, "start_nav": 1227970.6795999107, "start_session": "2011-12-30", "total_return": 0.11054758342978865, "transaction_cost": 1943.1172031562448, "transaction_cost_over_anchor_nav": 0.0015823807811024759, "two_sided_turnover": 1.489711965748405, "year": 2012 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.615385791718812, "annualized_volatility": 0.1128792889757458, "cagr": 0.3561863152981861, "end_nav": 1849458.2266145023, "end_session": "2013-12-31", "max_cash_weight": 2.786564223351813e-17, "max_drawdown": -0.053105403864580736, "mean_cash_weight": 2.1940985263865203e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1363719.8707523162, "start_session": "2012-12-31", "total_return": 0.3561863152981861, "transaction_cost": 2534.33194907252, "transaction_cost_over_anchor_nav": 0.001858396290489203, "two_sided_turnover": 1.615385791718812, "year": 2013 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.1703191220368403, "annualized_volatility": 0.12768609505559866, "cagr": 0.05523297372416969, "end_nav": 1951609.3042490503, "end_session": "2014-12-31", "max_cash_weight": 8.008195534498806e-17, "max_drawdown": -0.09288414356710428, "mean_cash_weight": 3.8795400268738575e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1849458.2266145023, "start_session": "2013-12-31", "total_return": 0.05523297372416969, "transaction_cost": 4170.546431184632, "transaction_cost_over_anchor_nav": 0.0022550098029621153, "two_sided_turnover": 2.1703191220368403, "year": 2014 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.149704049959784, "annualized_volatility": 0.15046330312957182, "cagr": 0.03273445639473627, "end_nav": 2015494.1739185525, "end_session": "2015-12-31", "max_cash_weight": 0.05264844170522695, "max_drawdown": -0.10568174257901963, "mean_cash_weight": 0.008510215210984334, "rebalance_count": 12, "session_count": 252, "start_nav": 1951609.3042490503, "start_session": "2014-12-31", "total_return": 0.03273445639473627, "transaction_cost": 4228.6222064524445, "transaction_cost_over_anchor_nav": 0.0021667360353559875, "two_sided_turnover": 2.149704049959784, "year": 2015 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.9556399665471595, "annualized_volatility": 0.11355143286954496, "cagr": 0.06792697235737566, "end_nav": 2152400.59095677, "end_session": "2016-12-30", "max_cash_weight": 0.1122541919993446, "max_drawdown": -0.0801486116731277, "mean_cash_weight": 0.04649335763208388, "rebalance_count": 12, "session_count": 252, "start_nav": 2015494.1739185525, "start_session": "2015-12-31", "total_return": 0.06792697235737566, "transaction_cost": 4031.1581728923907, "transaction_cost_over_anchor_nav": 0.0020000842597599554, "two_sided_turnover": 1.9556399665471595, "year": 2016 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.91513093648589, "annualized_volatility": 0.07850209999177388, "cagr": 0.2513623601020436, "end_nav": 2693433.083384697, "end_session": "2017-12-29", "max_cash_weight": 1.7968335141080276e-17, "max_drawdown": -0.03493440731196196, "mean_cash_weight": 4.286787495209449e-18, "rebalance_count": 12, "session_count": 251, "start_nav": 2152400.59095677, "start_session": "2016-12-30", "total_return": 0.2513623601020436, "transaction_cost": 4516.441471909392, "transaction_cost_over_anchor_nav": 0.002098327556164522, "two_sided_turnover": 1.91513093648589, "year": 2017 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8348380042409826, "annualized_volatility": 0.1857378383291541, "cagr": -0.074505447471784, "end_nav": 2492757.646271813, "end_session": "2018-12-31", "max_cash_weight": 3.337641374804513e-17, "max_drawdown": -0.22369055320001363, "mean_cash_weight": 9.212597682910746e-18, "rebalance_count": 12, "session_count": 251, "start_nav": 2693433.083384697, "start_session": "2017-12-29", "total_return": -0.074505447471784, "transaction_cost": 5111.868068564193, "transaction_cost_over_anchor_nav": 0.0018979005270627978, "two_sided_turnover": 1.8348380042409826, "year": 2018 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.074876025993265, "annualized_volatility": 0.09928198110794041, "cagr": 0.283339529540622, "end_nav": 3199054.425025257, "end_session": "2019-12-31", "max_cash_weight": 0.16088730762323372, "max_drawdown": -0.041221339374933774, "mean_cash_weight": 0.07735600406980643, "rebalance_count": 12, "session_count": 252, "start_nav": 2492757.646271813, "start_session": "2018-12-31", "total_return": 0.283339529540622, "transaction_cost": 5703.629526575602, "transaction_cost_over_anchor_nav": 0.0022880802452280077, "two_sided_turnover": 2.074876025993265, "year": 2019 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.7075857587520187, "annualized_volatility": 0.3269191990234172, "cagr": 0.15930116132450833, "end_nav": 3708667.5100720874, "end_session": "2020-12-31", "max_cash_weight": 0.1733702140872336, "max_drawdown": -0.3075034218759005, "mean_cash_weight": 0.07921919464085032, "rebalance_count": 12, "session_count": 253, "start_nav": 3199054.425025257, "start_session": "2019-12-31", "total_return": 0.15930116132450833, "transaction_cost": 5617.214824771699, "transaction_cost_over_anchor_nav": 0.0017558984870122522, "two_sided_turnover": 1.7075857587520187, "year": 2020 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.300187031705667, "annualized_volatility": 0.14804304187161385, "cagr": 0.20146623495081584, "end_nav": 4455838.790010728, "end_session": "2021-12-31", "max_cash_weight": 2.116114054712949e-17, "max_drawdown": -0.06796349012028102, "mean_cash_weight": 4.627510114594273e-18, "rebalance_count": 12, "session_count": 252, "start_nav": 3708667.5100720874, "start_session": "2020-12-31", "total_return": 0.20146623495081584, "transaction_cost": 9488.558002297466, "transaction_cost_over_anchor_nav": 0.00255848171250947, "two_sided_turnover": 2.300187031705667, "year": 2021 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.408988171368755, "annualized_volatility": 0.20033238716020066, "cagr": -0.03056509661089457, "end_nav": 4319645.646911479, "end_session": "2022-12-30", "max_cash_weight": 0.11639333426458504, "max_drawdown": -0.16207470138127944, "mean_cash_weight": 0.018946472020850657, "rebalance_count": 12, "session_count": 251, "start_nav": 4455838.790010728, "start_session": "2021-12-31", "total_return": -0.03056509661089457, "transaction_cost": 10181.825513255182, "transaction_cost_over_anchor_nav": 0.0022850524880032, "two_sided_turnover": 2.408988171368755, "year": 2022 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.2221649643077894, "annualized_volatility": 0.12948536413390108, "cagr": 0.08419802396876275, "end_nav": 4683351.274626693, "end_session": "2023-12-29", "max_cash_weight": 0.12194799541837395, "max_drawdown": -0.10330764892247801, "mean_cash_weight": 0.037348256617498424, "rebalance_count": 12, "session_count": 250, "start_nav": 4319645.646911479, "start_session": "2022-12-30", "total_return": 0.08419802396876275, "transaction_cost": 9538.706720021426, "transaction_cost_over_anchor_nav": 0.002208215094412095, "two_sided_turnover": 2.2221649643077894, "year": 2023 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8883823714811063, "annualized_volatility": 0.12911238268654537, "cagr": 0.16619715964936344, "end_nav": 5461710.954109875, "end_session": "2024-12-31", "max_cash_weight": 5.746741590872247e-17, "max_drawdown": -0.08613577021235364, "mean_cash_weight": 1.6407525330682153e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 4683351.274626693, "start_session": "2023-12-29", "total_return": 0.16619715964936344, "transaction_cost": 9743.796388367353, "transaction_cost_over_anchor_nav": 0.0020805179490073645, "two_sided_turnover": 1.8883823714811063, "year": 2024 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.7637233900230445, "annualized_volatility": 0.15271257783144584, "cagr": 0.13140141432115726, "end_nav": 6179387.498093269, "end_session": "2025-12-31", "max_cash_weight": 5.738145923831028e-17, "max_drawdown": -0.1300736707103507, "mean_cash_weight": 1.7346946148324145e-17, "rebalance_count": 12, "session_count": 250, "start_nav": 5461710.954109875, "start_session": "2024-12-31", "total_return": 0.13140141432115726, "transaction_cost": 10483.062025161455, "transaction_cost_over_anchor_nav": 0.0019193732720830037, "two_sided_turnover": 1.7637233900230445, "year": 2025 } ], "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9916306365509704, "annualized_volatility": 0.16477413029117485, "cagr": 0.07758989558187235, "end_nav": 6179387.498093269, "end_session": "2025-12-31", "max_cash_weight": 1.0, "max_drawdown": -0.42184520383876956, "mean_cash_weight": 0.0770364333299656, "rebalance_count": 300, "session_count": 6287, "start_nav": 954130.2599425368, "start_session": "2000-12-29", "total_return": 5.476461084533077, "transaction_cost": 112061.89375247552, "transaction_cost_over_anchor_nav": 0.11744926081604887, "two_sided_turnover": 49.79076591377426 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 7024343.758442911, "end_session": "2026-10-02", "max_cash_weight": 7.904885069488433e-17, "max_drawdown": -0.09035018444638188, "mean_cash_weight": 3.9557811438529863e-17, "rebalance_count": 10, "session_count": 189, "start_nav": 6179387.498093269, "start_session": "2025-12-31", "total_return": 0.13673786610895733, "transaction_cost": 12965.380564617426, "transaction_cost_over_anchor_nav": 0.002098165970109184, "two_sided_turnover": 1.96502759654356 } }, "monthly_risk": { "beta_intercept_per_month": 0.0006473817499096646, "beta_to_SPY_excess_returns": 0.7471500446390239, "monthly_return_volatility_annualized": 0.1309073896895741, "months": 300, "sharpe_monthly_annualized": 0.5075710665704352, "tracking_error_monthly_annualized": 0.07716569559552182 }, "phase": null, "policy": "T", "run_id": "TMIX-10bps", "signal": "mixed" }, { "cost_bps_per_side": 25.0, "metrics": { "annual": [ { "annualization_years": 1, "annualized_two_sided_turnover": 2.0607446396833775, "annualized_volatility": 0.15624219620476046, "cagr": -0.09509510074615524, "end_nav": 859497.2413263578, "end_session": "2001-12-31", "max_cash_weight": 0.26978346613041665, "max_drawdown": -0.19613700778523968, "mean_cash_weight": 0.030966155944163826, "rebalance_count": 12, "session_count": 248, "start_nav": 949820.5192999523, "start_session": "2000-12-29", "total_return": -0.09509510074615524, "transaction_cost": 4555.6124882530985, "transaction_cost_over_anchor_nav": 0.004796287715084033, "two_sided_turnover": 2.0607446396833775, "year": 2001 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.5253997219857491, "annualized_volatility": 0.17548007533367826, "cagr": -0.11476632286668143, "end_nav": 760855.903425275, "end_session": "2002-12-31", "max_cash_weight": 0.6328794636224664, "max_drawdown": -0.22467791069740883, "mean_cash_weight": 0.3256828984763366, "rebalance_count": 12, "session_count": 252, "start_nav": 859497.2413263578, "start_session": "2001-12-31", "total_return": -0.11476632286668143, "transaction_cost": 3175.022325556362, "transaction_cost_over_anchor_nav": 0.0036940459758273746, "two_sided_turnover": 1.5253997219857491, "year": 2002 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.4685885244889343, "annualized_volatility": 0.06751094677526608, "cagr": 0.13931001637897422, "end_nav": 866850.7517934892, "end_session": "2003-12-31", "max_cash_weight": 0.8407254747966322, "max_drawdown": -0.030111528077618077, "mean_cash_weight": 0.5645509400451704, "rebalance_count": 12, "session_count": 252, "start_nav": 760855.903425275, "start_session": "2002-12-31", "total_return": 0.13931001637897422, "transaction_cost": 2858.2543908209955, "transaction_cost_over_anchor_nav": 0.0037566303658202603, "two_sided_turnover": 1.4685885244889343, "year": 2003 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.3232718079221955, "annualized_volatility": 0.11820676533648183, "cagr": 0.16733591303379614, "end_nav": 1011906.0138088852, "end_session": "2004-12-31", "max_cash_weight": 6.998193431394887e-17, "max_drawdown": -0.07302591019309868, "mean_cash_weight": 3.934833210374919e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 866850.7517934892, "start_session": "2003-12-31", "total_return": 0.16733591303379614, "transaction_cost": 5199.6636367409155, "transaction_cost_over_anchor_nav": 0.005998337806113638, "two_sided_turnover": 2.3232718079221955, "year": 2004 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.4410302690378696, "annualized_volatility": 0.14050160909848333, "cagr": 0.15480847291872757, "end_nav": 1168557.6385439157, "end_session": "2005-12-30", "max_cash_weight": 5.659469184701695e-17, "max_drawdown": -0.10544911770367593, "mean_cash_weight": 2.2340553291693778e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1011906.0138088852, "start_session": "2004-12-31", "total_return": 0.15480847291872757, "transaction_cost": 3990.786403076168, "transaction_cost_over_anchor_nav": 0.003943831095592137, "two_sided_turnover": 1.4410302690378696, "year": 2005 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.785161716611399, "annualized_volatility": 0.11759492279118063, "cagr": 0.14436066360105348, "end_nav": 1337251.3947001954, "end_session": "2006-12-29", "max_cash_weight": 3.193214184987414e-17, "max_drawdown": -0.09090213747275488, "mean_cash_weight": 1.6520983001290472e-17, "rebalance_count": 12, "session_count": 251, "start_nav": 1168557.6385439157, "start_session": "2005-12-30", "total_return": 0.14436066360105348, "transaction_cost": 8607.630494921792, "transaction_cost_over_anchor_nav": 0.007366029891043588, "two_sided_turnover": 2.785161716611399, "year": 2006 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.907133251720718, "annualized_volatility": 0.1527996686242444, "cagr": 0.0781147775300548, "end_nav": 1441710.4898989566, "end_session": "2007-12-31", "max_cash_weight": 2.918282435512948e-17, "max_drawdown": -0.09250715611241522, "mean_cash_weight": 4.4395619940564e-18, "rebalance_count": 12, "session_count": 251, "start_nav": 1337251.3947001954, "start_session": "2006-12-29", "total_return": 0.0781147775300548, "transaction_cost": 10093.950762977647, "transaction_cost_over_anchor_nav": 0.007548282097877832, "two_sided_turnover": 2.907133251720718, "year": 2007 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.9268552258379525, "annualized_volatility": 0.33842655683740613, "cagr": -0.33620513045437517, "end_nav": 957000.0265650369, "end_session": "2008-12-31", "max_cash_weight": 0.3902869557236692, "max_drawdown": -0.42230035608768735, "mean_cash_weight": 0.06258845854047689, "rebalance_count": 12, "session_count": 253, "start_nav": 1441710.4898989566, "start_session": "2007-12-31", "total_return": -0.33620513045437517, "transaction_cost": 6317.419886884707, "transaction_cost_over_anchor_nav": 0.004381892155981655, "two_sided_turnover": 1.9268552258379525, "year": 2008 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.5138138486022668, "annualized_volatility": 0.08386914641709285, "cagr": 0.07145924251221358, "end_nav": 1025386.5235475427, "end_session": "2009-12-31", "max_cash_weight": 1.0, "max_drawdown": -0.07565894590039568, "mean_cash_weight": 0.6437544040976982, "rebalance_count": 12, "session_count": 252, "start_nav": 957000.0265650369, "start_session": "2008-12-31", "total_return": 0.07145924251221358, "transaction_cost": 3542.925261467708, "transaction_cost_over_anchor_nav": 0.0037021161579110303, "two_sided_turnover": 1.5138138486022668, "year": 2009 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.7622391428499455, "annualized_volatility": 0.1745647610257956, "cagr": 0.14116009783932482, "end_nav": 1170130.185534639, "end_session": "2010-12-31", "max_cash_weight": 0.046685787663059086, "max_drawdown": -0.15579016656698874, "mean_cash_weight": 0.0033621258841621568, "rebalance_count": 12, "session_count": 252, "start_nav": 1025386.5235475427, "start_session": "2009-12-31", "total_return": 0.14116009783932482, "transaction_cost": 4580.028952700915, "transaction_cost_over_anchor_nav": 0.004466636578034331, "two_sided_turnover": 1.7622391428499455, "year": 2010 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.578619478865343, "annualized_volatility": 0.21543257919302697, "cagr": 0.010114442696933512, "end_nav": 1181965.4002441813, "end_session": "2011-12-30", "max_cash_weight": 0.051878794074352926, "max_drawdown": -0.19060423030131501, "mean_cash_weight": 0.008221535949461218, "rebalance_count": 12, "session_count": 252, "start_nav": 1170130.185534639, "start_session": "2010-12-31", "total_return": 0.010114442696933512, "transaction_cost": 7639.442312915893, "transaction_cost_over_anchor_nav": 0.006528711426605399, "two_sided_turnover": 2.578619478865343, "year": 2011 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.489873370743382, "annualized_volatility": 0.09268105124554551, "cagr": 0.10809097230583431, "end_nav": 1309725.1895884294, "end_session": "2012-12-31", "max_cash_weight": 0.04798955269712434, "max_drawdown": -0.06954195460788992, "mean_cash_weight": 0.015263370384120616, "rebalance_count": 12, "session_count": 250, "start_nav": 1181965.4002441813, "start_session": "2011-12-30", "total_return": 0.10809097230583431, "transaction_cost": 4671.528833446586, "transaction_cost_over_anchor_nav": 0.003952339749100522, "two_sided_turnover": 1.489873370743382, "year": 2012 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.6154296307009086, "annualized_volatility": 0.11276681233103106, "cagr": 0.35293789277423615, "end_nav": 1771976.8381151066, "end_session": "2013-12-31", "max_cash_weight": 4.959707707978587e-17, "max_drawdown": -0.05310668774287841, "mean_cash_weight": 1.760618466656296e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1309725.1895884294, "start_session": "2012-12-31", "total_return": 0.35293789277423615, "transaction_cost": 6077.915747259566, "transaction_cost_over_anchor_nav": 0.004640603842375134, "two_sided_turnover": 1.6154296307009086, "year": 2013 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.1704921617489243, "annualized_volatility": 0.12776287987284546, "cagr": 0.051831418356530934, "end_nav": 1863820.9109295337, "end_session": "2014-12-31", "max_cash_weight": 4.542426820074869e-17, "max_drawdown": -0.09334904295671465, "mean_cash_weight": 1.7750193102691942e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 1771976.8381151066, "start_session": "2013-12-31", "total_return": 0.051831418356530934, "transaction_cost": 9975.991998595337, "transaction_cost_over_anchor_nav": 0.005629865912472667, "two_sided_turnover": 2.1704921617489243, "year": 2014 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.1500352671098484, "annualized_volatility": 0.15039871748990283, "cagr": 0.029473106388780312, "end_nav": 1918753.5029269932, "end_session": "2015-12-31", "max_cash_weight": 0.052745591528873294, "max_drawdown": -0.10583614205654479, "mean_cash_weight": 0.008526563396014918, "rebalance_count": 12, "session_count": 252, "start_nav": 1863820.9109295337, "start_session": "2014-12-31", "total_return": 0.029473106388780312, "transaction_cost": 10083.474851473884, "transaction_cost_over_anchor_nav": 0.0054101093041417836, "two_sided_turnover": 2.1500352671098484, "year": 2015 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.9550377106277776, "annualized_volatility": 0.11351977999367578, "cagr": 0.06475125982967378, "end_nav": 2042995.2095441157, "end_session": "2016-12-30", "max_cash_weight": 0.11265965488366561, "max_drawdown": -0.08046462512125696, "mean_cash_weight": 0.04669004926510512, "rebalance_count": 12, "session_count": 252, "start_nav": 1918753.5029269932, "start_session": "2015-12-31", "total_return": 0.06475125982967378, "transaction_cost": 9577.833765932157, "transaction_cost_over_anchor_nav": 0.0049916957813088015, "two_sided_turnover": 1.9550377106277776, "year": 2016 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.9146696006715056, "annualized_volatility": 0.07843815327732907, "cagr": 0.2478392952369255, "end_nav": 2549329.7024499443, "end_session": "2017-12-29", "max_cash_weight": 3.787622564366583e-17, "max_drawdown": -0.03507992067526278, "mean_cash_weight": 8.92943747365269e-18, "rebalance_count": 12, "session_count": 251, "start_nav": 2042995.2095441157, "start_session": "2016-12-30", "total_return": 0.2478392952369255, "transaction_cost": 10700.681519864256, "transaction_cost_over_anchor_nav": 0.005237741855621904, "two_sided_turnover": 1.9146696006715056, "year": 2017 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8341920403918768, "annualized_volatility": 0.18571511641761504, "cagr": -0.07704597811823632, "end_nav": 2352914.101978816, "end_session": "2018-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.22405079892781987, "mean_cash_weight": 0.0, "rebalance_count": 12, "session_count": 251, "start_nav": 2549329.7024499443, "start_session": "2017-12-29", "total_return": -0.07704597811823632, "transaction_cost": 12076.809338135345, "transaction_cost_over_anchor_nav": 0.004737248903713532, "two_sided_turnover": 1.8341920403918768, "year": 2018 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.076068893885302, "annualized_volatility": 0.09931673459346022, "cagr": 0.27942687770761987, "end_nav": 3010381.543008985, "end_session": "2019-12-31", "max_cash_weight": 0.1608094125568679, "max_drawdown": -0.041332751920612476, "mean_cash_weight": 0.07736548056237258, "rebalance_count": 12, "session_count": 252, "start_nav": 2352914.101978816, "start_session": "2018-12-31", "total_return": 0.27942687770761987, "transaction_cost": 13449.940358177164, "transaction_cost_over_anchor_nav": 0.005716290427630008, "two_sided_turnover": 2.076068893885302, "year": 2019 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.7073814436423476, "annualized_volatility": 0.32688503300227323, "cagr": 0.15630839407693276, "end_nav": 3480929.4475555583, "end_session": "2020-12-31", "max_cash_weight": 0.1735323871514235, "max_drawdown": -0.30750331387074825, "mean_cash_weight": 0.0793510075365645, "rebalance_count": 12, "session_count": 253, "start_nav": 3010381.543008985, "start_session": "2019-12-31", "total_return": 0.15630839407693276, "transaction_cost": 13198.10589222492, "transaction_cost_over_anchor_nav": 0.004384197053983043, "two_sided_turnover": 1.7073814436423476, "year": 2020 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.299753137446845, "annualized_volatility": 0.1479550129591144, "cagr": 0.19738892952626297, "end_nav": 4168026.3849649956, "end_session": "2021-12-31", "max_cash_weight": 9.112707428969098e-17, "max_drawdown": -0.0679940838593498, "mean_cash_weight": 5.795330533437925e-17, "rebalance_count": 12, "session_count": 252, "start_nav": 3480929.4475555583, "start_session": "2020-12-31", "total_return": 0.19738892952626297, "transaction_cost": 22225.911182641943, "transaction_cost_over_anchor_nav": 0.00638505075081307, "two_sided_turnover": 2.299753137446845, "year": 2021 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.4070066054196197, "annualized_volatility": 0.2002400019066571, "cagr": -0.03377674392527841, "end_nav": 4027244.025086229, "end_session": "2022-12-30", "max_cash_weight": 0.11651869708282492, "max_drawdown": -0.16345872476495427, "mean_cash_weight": 0.018968146523250497, "rebalance_count": 12, "session_count": 251, "start_nav": 4168026.3849649956, "start_session": "2021-12-31", "total_return": -0.03377674392527841, "transaction_cost": 23756.654481713114, "transaction_cost_over_anchor_nav": 0.005699737066782659, "two_sided_turnover": 2.4070066054196197, "year": 2022 }, { "annualization_years": 1, "annualized_two_sided_turnover": 2.2221307940429393, "annualized_volatility": 0.12943322419142694, "cagr": 0.08065798868680352, "end_nav": 4352073.428100632, "end_session": "2023-12-29", "max_cash_weight": 0.12219328740250006, "max_drawdown": -0.10421105530895192, "mean_cash_weight": 0.03741687262525458, "rebalance_count": 12, "session_count": 250, "start_nav": 4027244.025086229, "start_session": "2022-12-30", "total_return": 0.08065798868680352, "transaction_cost": 22197.726879170918, "transaction_cost_over_anchor_nav": 0.0055118902010651396, "two_sided_turnover": 2.2221307940429393, "year": 2023 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.8887969859145615, "annualized_volatility": 0.12922700148193467, "cagr": 0.1628939037505468, "end_nav": 5060999.658212968, "end_session": "2024-12-31", "max_cash_weight": 1.8350842547502114e-17, "max_drawdown": -0.08642844809227856, "mean_cash_weight": 1.498562194797094e-18, "rebalance_count": 12, "session_count": 252, "start_nav": 4352073.428100632, "start_session": "2023-12-29", "total_return": 0.1628939037505468, "transaction_cost": 22611.826895817652, "transaction_cost_over_anchor_nav": 0.005195644620749447, "two_sided_turnover": 1.8887969859145615, "year": 2024 }, { "annualization_years": 1, "annualized_two_sided_turnover": 1.7642032363237508, "annualized_volatility": 0.15278079799061947, "cagr": 0.12849067772149336, "end_nav": 5711290.934244999, "end_session": "2025-12-31", "max_cash_weight": 0.0, "max_drawdown": -0.13023621412715414, "mean_cash_weight": 0.0, "rebalance_count": 12, "session_count": 250, "start_nav": 5060999.658212968, "start_session": "2024-12-31", "total_return": 0.12849067772149336, "transaction_cost": 24265.0787290241, "transaction_cost_over_anchor_nav": 0.004794522894236287, "two_sided_turnover": 1.7642032363237508, "year": 2025 } ], "full_period": { "annualization_years": 25, "annualized_two_sided_turnover": 1.9915171402510137, "annualized_volatility": 0.16475413631542643, "cagr": 0.07439433426482878, "end_nav": 5711290.934244999, "end_session": "2025-12-31", "max_cash_weight": 1.0, "max_drawdown": -0.42230035608768735, "mean_cash_weight": 0.07705044767548223, "rebalance_count": 300, "session_count": 6287, "start_nav": 949820.5192999523, "start_session": "2000-12-29", "total_return": 5.013021216318216, "transaction_cost": 265430.21738979314, "transaction_cost_over_anchor_nav": 0.27945302506775027, "two_sided_turnover": 49.78792850627534 }, "ytd2026": { "annualization_years": null, "annualized_two_sided_turnover": null, "annualized_volatility": null, "cagr": null, "end_nav": 6472509.727230515, "end_session": "2026-10-02", "max_cash_weight": 2.8534053728240346e-17, "max_drawdown": -0.09057621977843544, "mean_cash_weight": 1.6988894003508133e-17, "rebalance_count": 10, "session_count": 189, "start_nav": 5711290.934244999, "start_session": "2025-12-31", "total_return": 0.13328314066811675, "transaction_cost": 29943.049264281828, "transaction_cost_over_anchor_nav": 0.005242781292184362, "two_sided_turnover": 1.9665723953534315 } }, "monthly_risk": { "beta_intercept_per_month": 0.0003990028633090127, "beta_to_SPY_excess_returns": 0.7469826907534213, "monthly_return_volatility_annualized": 0.13085147078399126, "months": 300, "sharpe_monthly_annualized": 0.48494284722177006, "tracking_error_monthly_annualized": 0.07712242425101895 }, "phase": null, "policy": "T", "run_id": "TMIX-25bps", "signal": "mixed" } ], "schema_version": 1, "source_hashes": { "factor_manifest_sha256": "8bda47229fad53bf43cf50a209eb1925e7ce75ef068ab8e5d4e41c40c27a8261", "factor_normalized_sha256": "a7fd91e1e39ed101e3e7cb1a4d4690430c333673b91622739f123c1f073089cc", "freeze_sha256": "0952f02941ccf19c88af74f1894fe427f24f5dec57f14add2422d05694c05f35", "input_data_gzip_sha256": "204711ba32495c7cca328d5d6c89773b4e3ea877446b4072cac42cd9807eabf5", "protocol_sha256": "df649c91c94861a7e765ac1810bef44d60f02de275bf9df1ae90132188b57366", "run_manifest_sha256": "77b64b45729626a4609cd98fdd3cbd1c613040212d703d1a1e5a20d412ee6246", "source_replay_sha256": "aa52f8aefbbeb3d79f9dbaa84b9784ee0c34e11379baf1c0e370046b8f355f94" }, "source_replay": { "checks": { "B_targets_frozen_between_refreshes": true, "all_108_accounts_replayed": true, "complete_paired_comparisons": true, "every_daily_nav_cash_and_holding": true, "full_annual_YTD_metrics": true, "independent_target_selection": true, "next_open_fills_and_single_reset": true, "order_notional_partition": true }, "compared_comparison_rows": 3888, "compared_day_count": 726732, "generated_at_utc": "2026-10-09T05:09:55.986419+00:00", "imports_production_engine": false, "independent_account_count": 108, "input_data_gzip_sha256": "204711ba32495c7cca328d5d6c89773b4e3ea877446b4072cac42cd9807eabf5", "legacy_verifier_sha256": "9d9e2cc9a673a96fcdc586978de90e7efe6f50d435741c5f1472bf003787670f", "limitations": [ "Same vendor price input, not an independent data source.", "Does not establish achievable fills, capacity, dividend payment ledgers or real-time vintages." ], "max_absolute_cash_error": 3.958120942115784e-08, "max_relative_nav_error": 1.778252209835797e-14, "passed": true, "protocol_sha256": "fdf2a194e77f8aee20a1c9ef492681a2204e38dfaea0d609ba2e1ceacfaccff3", "run_id": "20261009T050633543130Z-d96bbf03d531", "run_manifest_sha256": "77b64b45729626a4609cd98fdd3cbd1c613040212d703d1a1e5a20d412ee6246", "runs": [ { "daily_rows": 6729, "max_absolute_cash_error": 1.862645149230957e-09, "max_relative_nav_error": 3.5136920678755425e-15, "max_relative_unit_error": 3.4061271581236183e-15, "policy": "B", "run_id": "B12-01-07-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.955777406692505e-08, "max_relative_nav_error": 1.3151607345645848e-14, "max_relative_unit_error": 1.3085956245899701e-14, "policy": "B", "run_id": "B12-01-07-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 3.725290298461914e-09, "max_relative_nav_error": 4.409399027229998e-15, "max_relative_unit_error": 4.213056251576664e-15, "policy": "B", "run_id": "B12-01-07-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 2.0023435354232788e-08, "max_relative_nav_error": 1.754266350183066e-14, "max_relative_unit_error": 1.7528698079370896e-14, "policy": "B", "run_id": "B12-01-07-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.6298145055770874e-09, "max_relative_nav_error": 4.822227755051871e-15, "max_relative_unit_error": 4.770648340602792e-15, "policy": "B", "run_id": "B12-02-08-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 2.0954757928848267e-09, "max_relative_nav_error": 7.013093859730232e-15, "max_relative_unit_error": 6.8944579494759605e-15, "policy": "B", "run_id": "B12-02-08-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 5.209788394878514e-15, "max_relative_unit_error": 5.243154847009901e-15, "policy": "B", "run_id": "B12-02-08-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 3.958120942115784e-09, "max_relative_nav_error": 1.2589117816060191e-14, "max_relative_unit_error": 1.2717443436563551e-14, "policy": "B", "run_id": "B12-02-08-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 5.587935447692871e-09, "max_relative_nav_error": 3.077390240703264e-15, "max_relative_unit_error": 3.0901909434453457e-15, "policy": "B", "run_id": "B12-03-09-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.3969838619232178e-08, "max_relative_nav_error": 4.8267196934545904e-15, "max_relative_unit_error": 4.665051565884139e-15, "policy": "B", "run_id": "B12-03-09-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.3504177331924438e-08, "max_relative_nav_error": 6.432924491503978e-15, "max_relative_unit_error": 6.456680704551177e-15, "policy": "B", "run_id": "B12-03-09-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 3.4458935260772705e-08, "max_relative_nav_error": 1.1351283684943805e-14, "max_relative_unit_error": 1.1224965632584746e-14, "policy": "B", "run_id": "B12-03-09-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 7.916241884231567e-09, "max_relative_nav_error": 5.2908009013733585e-15, "max_relative_unit_error": 5.22632003075946e-15, "policy": "B", "run_id": "B12-04-10-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 2.8405338525772095e-08, "max_relative_nav_error": 1.6218696683506913e-14, "max_relative_unit_error": 1.620025893751802e-14, "policy": "B", "run_id": "B12-04-10-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 6.05359673500061e-09, "max_relative_nav_error": 3.8164724632906455e-15, "max_relative_unit_error": 3.7259108554878226e-15, "policy": "B", "run_id": "B12-04-10-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.816079020500183e-08, "max_relative_nav_error": 1.1414194973024296e-14, "max_relative_unit_error": 1.1311307126831593e-14, "policy": "B", "run_id": "B12-04-10-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 4.6566128730773926e-09, "max_relative_nav_error": 2.387928111075165e-15, "max_relative_unit_error": 2.3545800458520953e-15, "policy": "B", "run_id": "B12-05-11-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.1175870895385742e-08, "max_relative_nav_error": 6.3121772947413085e-15, "max_relative_unit_error": 6.216671662834829e-15, "policy": "B", "run_id": "B12-05-11-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.5366822481155396e-08, "max_relative_nav_error": 8.571427590950529e-15, "max_relative_unit_error": 8.347823943432313e-15, "policy": "B", "run_id": "B12-05-11-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.6763806343078613e-08, "max_relative_nav_error": 8.709308939945272e-15, "max_relative_unit_error": 8.593743518502353e-15, "policy": "B", "run_id": "B12-05-11-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 2.6775524020195007e-09, "max_relative_nav_error": 6.374575176609931e-15, "max_relative_unit_error": 6.352444666678588e-15, "policy": "B", "run_id": "B12-06-12-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 4.889443516731262e-09, "max_relative_nav_error": 1.1409470977066454e-14, "max_relative_unit_error": 1.1301082263366973e-14, "policy": "B", "run_id": "B12-06-12-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.7462298274040222e-09, "max_relative_nav_error": 2.8799465614355995e-15, "max_relative_unit_error": 2.6258240844613825e-15, "policy": "B", "run_id": "B12-06-12-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 3.3760443329811096e-09, "max_relative_nav_error": 1.025146869028812e-14, "max_relative_unit_error": 1.0270699240753519e-14, "policy": "B", "run_id": "B12-06-12-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 3.026798367500305e-09, "max_relative_nav_error": 3.5333353789690392e-15, "max_relative_unit_error": 3.507442647123369e-15, "policy": "B", "run_id": "BMIX-01-07-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.6763806343078613e-08, "max_relative_nav_error": 1.3189896388363842e-14, "max_relative_unit_error": 1.3003585242478283e-14, "policy": "B", "run_id": "BMIX-01-07-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 8.149072527885437e-10, "max_relative_nav_error": 2.574164482957359e-15, "max_relative_unit_error": 2.448644965411773e-15, "policy": "B", "run_id": "BMIX-01-07-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.816079020500183e-08, "max_relative_nav_error": 1.3053624054758759e-14, "max_relative_unit_error": 1.3003292355828397e-14, "policy": "B", "run_id": "BMIX-01-07-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 3.259629011154175e-09, "max_relative_nav_error": 4.5964100103695846e-15, "max_relative_unit_error": 4.59143620052114e-15, "policy": "B", "run_id": "BMIX-02-08-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 7.450580596923828e-09, "max_relative_nav_error": 9.747501330212227e-15, "max_relative_unit_error": 9.675996494704906e-15, "policy": "B", "run_id": "BMIX-02-08-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.3969838619232178e-09, "max_relative_nav_error": 4.9378630851970176e-15, "max_relative_unit_error": 4.799495572157595e-15, "policy": "B", "run_id": "BMIX-02-08-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.4435499906539917e-08, "max_relative_nav_error": 1.778252209835797e-14, "max_relative_unit_error": 1.76555411407199e-14, "policy": "B", "run_id": "BMIX-02-08-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 2.0954757928848267e-09, "max_relative_nav_error": 6.503052709382788e-15, "max_relative_unit_error": 6.337521184549338e-15, "policy": "B", "run_id": "BMIX-03-09-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 7.683411240577698e-09, "max_relative_nav_error": 1.1709256791396815e-14, "max_relative_unit_error": 1.1566125870275994e-14, "policy": "B", "run_id": "BMIX-03-09-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 3.725290298461914e-09, "max_relative_nav_error": 7.733092305300141e-15, "max_relative_unit_error": 7.81861011620405e-15, "policy": "B", "run_id": "BMIX-03-09-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 4.889443516731262e-09, "max_relative_nav_error": 1.487770168713446e-14, "max_relative_unit_error": 1.4697050495154047e-14, "policy": "B", "run_id": "BMIX-03-09-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.4901161193847656e-08, "max_relative_nav_error": 5.223592736432975e-15, "max_relative_unit_error": 5.217288424596429e-15, "policy": "B", "run_id": "BMIX-04-10-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 2.60770320892334e-08, "max_relative_nav_error": 1.0922795538121857e-14, "max_relative_unit_error": 1.0840606391044227e-14, "policy": "B", "run_id": "BMIX-04-10-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 2.7939677238464355e-09, "max_relative_nav_error": 3.710769983971037e-15, "max_relative_unit_error": 3.733107329356005e-15, "policy": "B", "run_id": "BMIX-04-10-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 3.958120942115784e-08, "max_relative_nav_error": 1.38355903086663e-14, "max_relative_unit_error": 1.3747768388438706e-14, "policy": "B", "run_id": "BMIX-04-10-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.5133991837501526e-09, "max_relative_nav_error": 6.9304006252333536e-15, "max_relative_unit_error": 6.9136549507971666e-15, "policy": "B", "run_id": "BMIX-05-11-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 3.259629011154175e-09, "max_relative_nav_error": 8.8241257537097e-15, "max_relative_unit_error": 8.695752008564156e-15, "policy": "B", "run_id": "BMIX-05-11-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.1641532182693481e-09, "max_relative_nav_error": 6.185829102087963e-15, "max_relative_unit_error": 6.267510569460535e-15, "policy": "B", "run_id": "BMIX-05-11-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 3.725290298461914e-09, "max_relative_nav_error": 1.3095401676373506e-14, "max_relative_unit_error": 1.292967584490973e-14, "policy": "B", "run_id": "BMIX-05-11-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.3969838619232178e-09, "max_relative_nav_error": 5.28963644075563e-15, "max_relative_unit_error": 5.178101466948301e-15, "policy": "B", "run_id": "BMIX-06-12-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 5.471520125865936e-09, "max_relative_nav_error": 1.598055034578639e-14, "max_relative_unit_error": 1.5889805249832264e-14, "policy": "B", "run_id": "BMIX-06-12-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 2.0954757928848267e-09, "max_relative_nav_error": 4.195143814148412e-15, "max_relative_unit_error": 3.981228247455563e-15, "policy": "B", "run_id": "BMIX-06-12-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 6.51925802230835e-09, "max_relative_nav_error": 1.460336971558058e-14, "max_relative_unit_error": 1.4528013590057137e-14, "policy": "B", "run_id": "BMIX-06-12-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.7695128917694092e-08, "max_relative_nav_error": 5.400448452408238e-15, "max_relative_unit_error": 5.381027421047996e-15, "policy": "C", "run_id": "M12-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 2.421438694000244e-08, "max_relative_nav_error": 8.006196023414498e-15, "max_relative_unit_error": 7.87432375892048e-15, "policy": "C", "run_id": "M12-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 3.725290298461914e-09, "max_relative_nav_error": 2.7677467304676228e-15, "max_relative_unit_error": 2.638703888479587e-15, "policy": "C", "run_id": "M12-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.955777406692505e-08, "max_relative_nav_error": 7.710941027019867e-15, "max_relative_unit_error": 7.633202040989021e-15, "policy": "C", "run_id": "M12-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.955777406692505e-08, "max_relative_nav_error": 6.713253505290294e-15, "max_relative_unit_error": 6.659804028293583e-15, "policy": "C", "run_id": "MMIX-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 2.1420419216156006e-08, "max_relative_nav_error": 8.661179561775906e-15, "max_relative_unit_error": 8.592312551838091e-15, "policy": "C", "run_id": "MMIX-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 8.847564458847046e-09, "max_relative_nav_error": 4.063838366802254e-15, "max_relative_unit_error": 4.009779790383829e-15, "policy": "C", "run_id": "MMIX-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 3.3527612686157227e-08, "max_relative_nav_error": 1.1334737837411629e-14, "max_relative_unit_error": 1.1172542709147417e-14, "policy": "C", "run_id": "MMIX-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 1.0595100817418653e-15, "max_relative_unit_error": 9.200439275361874e-16, "policy": "A", "run_id": "S12-01-07-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 2.3283064365386963e-09, "max_relative_nav_error": 2.7565252366362797e-15, "max_relative_unit_error": 2.5876957608947653e-15, "policy": "A", "run_id": "S12-01-07-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 2.7939677238464355e-09, "max_relative_nav_error": 3.1444682954357004e-15, "max_relative_unit_error": 3.1365879357888762e-15, "policy": "A", "run_id": "S12-01-07-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.862645149230957e-09, "max_relative_nav_error": 1.3889011864890573e-15, "max_relative_unit_error": 1.2330507771771731e-15, "policy": "A", "run_id": "S12-01-07-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 1.8653411118669772e-15, "max_relative_unit_error": 1.7563096664717782e-15, "policy": "A", "run_id": "S12-02-08-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 4.656612873077393e-10, "max_relative_nav_error": 8.420402352229703e-16, "max_relative_unit_error": 7.720140950424156e-16, "policy": "A", "run_id": "S12-02-08-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 3.576263609698726e-15, "max_relative_unit_error": 3.537612344469776e-15, "policy": "A", "run_id": "S12-02-08-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 1.0012314757912906e-15, "max_relative_unit_error": 8.625261155515398e-16, "policy": "A", "run_id": "S12-02-08-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 6.544537848009117e-16, "max_relative_unit_error": 5.478500521814804e-16, "policy": "A", "run_id": "S12-03-09-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 8.381903171539307e-09, "max_relative_nav_error": 2.9233756672169482e-15, "max_relative_unit_error": 2.5793999302589835e-15, "policy": "A", "run_id": "S12-03-09-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 3.725290298461914e-09, "max_relative_nav_error": 2.1825504515372882e-15, "max_relative_unit_error": 1.9901816084920762e-15, "policy": "A", "run_id": "S12-03-09-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.862645149230957e-09, "max_relative_nav_error": 1.1603465341753109e-15, "max_relative_unit_error": 8.839955030640994e-16, "policy": "A", "run_id": "S12-03-09-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 1.0697835659692649e-15, "max_relative_unit_error": 9.430347019798038e-16, "policy": "A", "run_id": "S12-04-10-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 3.725290298461914e-09, "max_relative_nav_error": 2.0845288853516842e-15, "max_relative_unit_error": 1.9769250505785542e-15, "policy": "A", "run_id": "S12-04-10-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 2.7939677238464355e-09, "max_relative_nav_error": 2.159458153877751e-15, "max_relative_unit_error": 1.996987321867804e-15, "policy": "A", "run_id": "S12-04-10-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 6.05359673500061e-09, "max_relative_nav_error": 3.598090133147991e-15, "max_relative_unit_error": 3.4643698431822057e-15, "policy": "A", "run_id": "S12-04-10-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 7.960912912005306e-16, "max_relative_unit_error": 7.153961077418486e-16, "policy": "A", "run_id": "S12-05-11-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.862645149230957e-09, "max_relative_nav_error": 1.0772576710682126e-15, "max_relative_unit_error": 9.542946484476514e-16, "policy": "A", "run_id": "S12-05-11-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 4.656612873077393e-10, "max_relative_nav_error": 1.325616742617077e-15, "max_relative_unit_error": 1.3019074981152057e-15, "policy": "A", "run_id": "S12-05-11-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 4.190951585769653e-09, "max_relative_nav_error": 2.2725912281272007e-15, "max_relative_unit_error": 2.0403161469869752e-15, "policy": "A", "run_id": "S12-05-11-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 1.7753512710261754e-15, "max_relative_unit_error": 1.7228799346153302e-15, "policy": "A", "run_id": "S12-06-12-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 4.656612873077393e-10, "max_relative_nav_error": 8.48156017197992e-16, "max_relative_unit_error": 7.63296391578735e-16, "policy": "A", "run_id": "S12-06-12-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 2.3283064365386963e-10, "max_relative_nav_error": 7.753104867739655e-16, "max_relative_unit_error": 6.593400121180037e-16, "policy": "A", "run_id": "S12-06-12-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.280568540096283e-09, "max_relative_nav_error": 1.6162159803217894e-15, "max_relative_unit_error": 1.5083927162555622e-15, "policy": "A", "run_id": "S12-06-12-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.6298145055770874e-09, "max_relative_nav_error": 2.105213667587989e-15, "max_relative_unit_error": 1.9430443491115854e-15, "policy": "A", "run_id": "SMIX-01-07-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 1.3208300388076515e-15, "max_relative_unit_error": 1.1803081487127583e-15, "policy": "A", "run_id": "SMIX-01-07-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 4.656612873077393e-10, "max_relative_nav_error": 1.1605498800907175e-15, "max_relative_unit_error": 1.0314164452193366e-15, "policy": "A", "run_id": "SMIX-01-07-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 2.3283064365386963e-09, "max_relative_nav_error": 1.7943497402911817e-15, "max_relative_unit_error": 1.7123909850782647e-15, "policy": "A", "run_id": "SMIX-01-07-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 1.1501635717830632e-15, "max_relative_unit_error": 1.1141421027245057e-15, "policy": "A", "run_id": "SMIX-02-08-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 2.107404811510404e-15, "max_relative_unit_error": 1.983554953075135e-15, "policy": "A", "run_id": "SMIX-02-08-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 1.1244886237756832e-15, "max_relative_unit_error": 9.927314074140664e-16, "policy": "A", "run_id": "SMIX-02-08-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 2.3283064365386963e-09, "max_relative_nav_error": 2.792316535353041e-15, "max_relative_unit_error": 2.5344531837058573e-15, "policy": "A", "run_id": "SMIX-02-08-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 1.3110782894214022e-15, "max_relative_unit_error": 1.243073713130566e-15, "policy": "A", "run_id": "SMIX-03-09-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 1.7349124219819392e-15, "max_relative_unit_error": 1.5250841100474438e-15, "policy": "A", "run_id": "SMIX-03-09-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 4.656612873077393e-10, "max_relative_nav_error": 7.359301976731208e-16, "max_relative_unit_error": 7.879314074037825e-16, "policy": "A", "run_id": "SMIX-03-09-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 2.7656329891182545e-15, "max_relative_unit_error": 2.7360595968326286e-15, "policy": "A", "run_id": "SMIX-03-09-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.862645149230957e-09, "max_relative_nav_error": 7.595719684530514e-16, "max_relative_unit_error": 7.582510632293457e-16, "policy": "A", "run_id": "SMIX-04-10-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.862645149230957e-09, "max_relative_nav_error": 1.0214513988545809e-15, "max_relative_unit_error": 9.524647139292464e-16, "policy": "A", "run_id": "SMIX-04-10-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 2.7939677238464355e-09, "max_relative_nav_error": 1.9329697366061243e-15, "max_relative_unit_error": 1.8049530085295685e-15, "policy": "A", "run_id": "SMIX-04-10-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 4.190951585769653e-09, "max_relative_nav_error": 1.5337000898553667e-15, "max_relative_unit_error": 1.3156527538519544e-15, "policy": "A", "run_id": "SMIX-04-10-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 4.656612873077393e-10, "max_relative_nav_error": 1.537341387865795e-15, "max_relative_unit_error": 1.4000498458074825e-15, "policy": "A", "run_id": "SMIX-05-11-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 6.984919309616089e-10, "max_relative_nav_error": 1.6143696462249281e-15, "max_relative_unit_error": 1.49241964557765e-15, "policy": "A", "run_id": "SMIX-05-11-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 2.3283064365386963e-10, "max_relative_nav_error": 7.069494017654692e-16, "max_relative_unit_error": 6.001330788211732e-16, "policy": "A", "run_id": "SMIX-05-11-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 4.656612873077393e-10, "max_relative_nav_error": 2.435138848980062e-15, "max_relative_unit_error": 2.265762517368588e-15, "policy": "A", "run_id": "SMIX-05-11-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 1.3661291627490337e-15, "max_relative_unit_error": 1.337738041889758e-15, "policy": "A", "run_id": "SMIX-06-12-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 1.1168134605738003e-15, "max_relative_unit_error": 9.835121658386212e-16, "policy": "A", "run_id": "SMIX-06-12-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 1.0477378964424133e-09, "max_relative_nav_error": 3.726425022908131e-15, "max_relative_unit_error": 3.600629430628487e-15, "policy": "A", "run_id": "SMIX-06-12-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 9.313225746154785e-10, "max_relative_nav_error": 1.7278491053139055e-15, "max_relative_unit_error": 1.6253530090636918e-15, "policy": "A", "run_id": "SMIX-06-12-5bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 0.0, "max_relative_nav_error": 0.0, "max_relative_unit_error": 0.0, "policy": "SPY", "run_id": "SPY-0bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 0.0, "max_relative_nav_error": 0.0, "max_relative_unit_error": 0.0, "policy": "SPY", "run_id": "SPY-10bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 0.0, "max_relative_nav_error": 0.0, "max_relative_unit_error": 0.0, "policy": "SPY", "run_id": "SPY-25bps" }, { "daily_rows": 6729, "max_absolute_cash_error": 0.0, "max_relative_nav_error": 0.0, "max_relative_unit_error": 0.0, "policy": "SPY", "run_id": "SPY-5bps" } ], "schema_version": 1, "scope": "independent_state_machine_and_analytic_fee_replay_on_preserved_vendor_snapshot", "verifier_code_sha256": "880cf91a12b7913d1ea39fb518258055d89bfaea71508dfb9512a878ad82d56d" }, "status": "computed_and_separately_reconciled", "validation": { "account_count": 116, "checks": { "capital_aggregation": true, "cash_and_units": true, "daily_export": true, "gross_costs_without_netting": true, "monthly_returns": true, "paired_bootstrap_percentiles": true, "risk_metrics": true }, "imports_project_calculation_code": false, "limitations": [ "Same agent authored both implementations; shared specification misunderstanding remains possible.", "Same preserved vendor inputs; no independent market source or live execution certification.", "Bootstrap is conditional on the observed history and return-resampling model; it does not remove retrospective design or nonstationarity risk." ], "max_relative_tranche_NAV_error": 2.220446049250313e-16, "monthly_rows_checked": 34800, "passed": true, "tranche_daily_states_checked": 53832, "verifier_code_sha256": "382febbb66a450a997fe26c56d510ea66dcb0a6f48916c7ba50f2e7018dda02a" } }