Rebalance Lab

ETF validation study · retrospective · 2001–2025

Calendar Sensitivity
and Paired Uncertainty

The monthly–semiannual comparison changes sign when the semiannual calendar changes.

At 5 bps per side, the 12–1 CAGR difference ranges from −0.92 to +0.53 percentage points per year across six schedules. The designated March/September comparison is −0.49.

Report every calendar and cost

All 48 phase, cost and signal comparisons
On a small screen, scroll the figure horizontally. Positive favors monthly; * March/September is the reference. Shared controls and overlapping histories do not constitute independent replications.
Interactive saved comparisons
ComparatorComparator CAGRMonthly − comparatorComparator max DD
Loading validated results…

Controls remain disabled until the complete saved result is checked.

Pool six calendars without re-equalizing their capital

Each semiannual sleeve receives one-sixth of initial capital. First trades occur on 3 January 2000. The sleeves then run autonomously: their capital drifts, no transfer occurs at the reporting anchor, and their trades are not netted against each other.

Equal initial cashSix separate schedulesSum net NAV and feesNormalize pooled year-end NAV
Daily wealth and drawdown for monthly, March September, tranche and SPY
On a small screen, scroll the figure horizontally. Each displayed path normalized at the 2000 closing anchor; 2001–2025, 5 bps. The tranche is deeper in maximum drawdown than both primary alternatives. SPY is exposure context.

Returns, risk and activity

12–1 signal · 5 bps per side · 2001–2025
PortfolioCAGRDaily max DDSharpeTracking errorSPY betaTraded NAV/year
Monthly8.02%-30.32%0.5199.97%0.6715.04×
March / September8.51%-32.81%0.5578.68%0.7181.86×
Six-sleeve tranche8.24%-40.91%0.5417.96%0.7401.93×
SPY context8.76%-55.19%0.5220.00%1.0000.00×

Sharpe, tracking error and beta use 300 monthly simple returns and captured monthly RF. Tracking error and beta reference SPY. Drawdown uses daily closes. Trading counts buys plus sells. Cash earns zero.

Show uncertainty beside the estimate

CAGR differences in percentage points per year
ComparisonEstimatePaired 95% interval
Monthly − March/September-0.49[-3.03, +2.11]
Monthly − tranche-0.22[-2.44, +2.33]
Both paired CAGR difference confidence intervals cross zero
On a small screen, scroll the figure horizontally. 10,000 paired stationary bootstrap draws of 300 net monthly returns; primary mean block length 12 months. Zero lies inside both intervals. This does not prove equivalence.

Six- and 24-month block sensitivity also crosses zero. The method samples realized portfolio returns, not asset-price histories or new selection decisions. Prior design choices and nonstationarity remain relevant.

Costs remain part of the comparison

Monthly minus fixed semiannual and tranche CAGR at four costs for both signals
On a small screen, scroll the figure horizontally. Discrete modeled cost scenarios, each using its own net account paths. No interpolated break-even cost or executable fee forecast is inferred.
A/B/C mechanism appendix

A refreshes names and weights semiannually; B freezes names and cash slots but resets monthly; C refreshes both monthly. Primary CAGR: A 8.51%, B 8.63%, C 8.02%. The sequential differences describe conditional comparisons and do not uniquely attribute performance to causes. Exact HAC and bootstrap units are retained in the saved summary.

Inspect appendix calculations
2026 partial-year case

Through 2 October 2026: monthly 22.28%, March/September 9.29%, tranche 16.70%. Continuous accounts; not annualized; excluded from primary inference.

Validation judgment

Accept the calculation as reconciled historical evidence. The sign of the frequency comparison is sensitive to the semiannual calendar, and the primary uncertainty intervals do not establish a general ranking. Tranching is a tested calendar-diversification construction with a disclosed drawdown tradeoff.

Retrospective vendor-adjusted price and next-open proxies; fixed costs, zero-interest cash and changing ETF sectors. The same agent authored the separate implementations. Source prices and achievable fills remain unverified, and personal mastery requires actual owner review.

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