{"benchmark":{"en":"U.S. equity market return (CRSP value-weighted; Fama\u2013French Mkt-RF plus RF)","zh":"\u7f8e\u56fd\u80a1\u7968\u5e02\u573a\u6536\u76ca\uff08CRSP \u5e02\u503c\u52a0\u6743\uff1bFama\u2013French Mkt-RF \u52a0 RF\uff09"},"definitions":[{"en":"Deciles, 5% tail, \u22125% recovery (default)","id":"d10","lower":0.1,"recovery_dd":-0.05,"rules":{"all":{"en":"Every month of the window","zh":"\u7a97\u53e3\u5185\u7684\u5168\u90e8\u6708\u4efd"},"downside":{"en":"Benchmark monthly return at or below its 10th percentile","zh":"\u57fa\u51c6\u6708\u6536\u76ca\u4e0d\u9ad8\u4e8e\u7b2c 10 \u767e\u5206\u4f4d"},"normal":{"en":"Benchmark monthly return strictly between its 10th and 90th percentiles","zh":"\u57fa\u51c6\u6708\u6536\u76ca\u4e25\u683c\u4ecb\u4e8e\u7b2c 10 \u4e0e\u7b2c 90 \u767e\u5206\u4f4d\u4e4b\u95f4"},"rally":{"en":"Benchmark monthly return at or above its 90th percentile","zh":"\u57fa\u51c6\u6708\u6536\u76ca\u4e0d\u4f4e\u4e8e\u7b2c 90 \u767e\u5206\u4f4d"},"recovery":{"en":"Benchmark drawdown below \u22125% at the previous month-end, drawdown narrowing and benchmark return positive this month","zh":"\u57fa\u51c6\u4e0a\u6708\u672b\u56de\u64a4\u6df1\u4e8e \u22125%\uff0c\u672c\u6708\u56de\u64a4\u6536\u7a84\u4e14\u57fa\u51c6\u6536\u76ca\u4e3a\u6b63"},"tail":{"en":"Benchmark monthly return at or below its 5th percentile","zh":"\u57fa\u51c6\u6708\u6536\u76ca\u4e0d\u9ad8\u4e8e\u7b2c 5 \u767e\u5206\u4f4d"}},"tail":0.05,"upper":0.9,"zh":"\u5341\u5206\u4f4d\uff0c\u5c3e\u90e8 5%\uff0c\u4fee\u590d \u22125%\uff08\u9ed8\u8ba4\uff09"},{"en":"Quintiles, 10% tail, \u22125% recovery","id":"q20","lower":0.2,"recovery_dd":-0.05,"rules":{"all":{"en":"Every month of the window","zh":"\u7a97\u53e3\u5185\u7684\u5168\u90e8\u6708\u4efd"},"downside":{"en":"Benchmark monthly return at or below its 20th percentile","zh":"\u57fa\u51c6\u6708\u6536\u76ca\u4e0d\u9ad8\u4e8e\u7b2c 20 \u767e\u5206\u4f4d"},"normal":{"en":"Benchmark monthly return strictly between its 20th and 80th percentiles","zh":"\u57fa\u51c6\u6708\u6536\u76ca\u4e25\u683c\u4ecb\u4e8e\u7b2c 20 \u4e0e\u7b2c 80 \u767e\u5206\u4f4d\u4e4b\u95f4"},"rally":{"en":"Benchmark monthly return at or above its 80th percentile","zh":"\u57fa\u51c6\u6708\u6536\u76ca\u4e0d\u4f4e\u4e8e\u7b2c 80 \u767e\u5206\u4f4d"},"recovery":{"en":"Benchmark drawdown below \u22125% at the previous month-end, drawdown narrowing and benchmark return positive this month","zh":"\u57fa\u51c6\u4e0a\u6708\u672b\u56de\u64a4\u6df1\u4e8e \u22125%\uff0c\u672c\u6708\u56de\u64a4\u6536\u7a84\u4e14\u57fa\u51c6\u6536\u76ca\u4e3a\u6b63"},"tail":{"en":"Benchmark monthly return at or below its 10th percentile","zh":"\u57fa\u51c6\u6708\u6536\u76ca\u4e0d\u9ad8\u4e8e\u7b2c 10 \u767e\u5206\u4f4d"}},"tail":0.1,"upper":0.8,"zh":"\u4e94\u5206\u4f4d\uff0c\u5c3e\u90e8 10%\uff0c\u4fee\u590d \u22125%"},{"en":"Deciles, 5% tail, \u221210% recovery","id":"dd10","lower":0.1,"recovery_dd":-0.1,"rules":{"all":{"en":"Every month of the window","zh":"\u7a97\u53e3\u5185\u7684\u5168\u90e8\u6708\u4efd"},"downside":{"en":"Benchmark monthly return at or below its 10th percentile","zh":"\u57fa\u51c6\u6708\u6536\u76ca\u4e0d\u9ad8\u4e8e\u7b2c 10 \u767e\u5206\u4f4d"},"normal":{"en":"Benchmark monthly return strictly between its 10th and 90th percentiles","zh":"\u57fa\u51c6\u6708\u6536\u76ca\u4e25\u683c\u4ecb\u4e8e\u7b2c 10 \u4e0e\u7b2c 90 \u767e\u5206\u4f4d\u4e4b\u95f4"},"rally":{"en":"Benchmark monthly return at or above its 90th percentile","zh":"\u57fa\u51c6\u6708\u6536\u76ca\u4e0d\u4f4e\u4e8e\u7b2c 90 \u767e\u5206\u4f4d"},"recovery":{"en":"Benchmark drawdown below \u221210% at the previous month-end, drawdown narrowing and benchmark return positive this month","zh":"\u57fa\u51c6\u4e0a\u6708\u672b\u56de\u64a4\u6df1\u4e8e \u221210%\uff0c\u672c\u6708\u56de\u64a4\u6536\u7a84\u4e14\u57fa\u51c6\u6536\u76ca\u4e3a\u6b63"},"tail":{"en":"Benchmark monthly return at or below its 5th percentile","zh":"\u57fa\u51c6\u6708\u6536\u76ca\u4e0d\u9ad8\u4e8e\u7b2c 5 \u767e\u5206\u4f4d"}},"tail":0.05,"upper":0.9,"zh":"\u5341\u5206\u4f4d\uff0c\u5c3e\u90e8 5%\uff0c\u4fee\u590d \u221210%"}],"meta":{"benchmark_column":"equity_market","built_at":"2026-10-12T13:59:16Z","ci_level":0.95,"cost_proxy":{"mean_drag_month":0.0072995649,"share_months_charged":0.3348214286},"default":{"definition":"d10","stream":"strategy_net","window":"full"},"disclosure":{"en":"Only the full sample is published; half-sample results would let single months of the restricted stream be reconstructed. The leverage screen (limit set by the author) rules out exact recovery of a month from the published linear aggregates; it is a heuristic, not a privacy guarantee.","max_leverage":{"linear":0.7004,"squared":0.1011},"threshold":0.75,"zh":"\u53ea\u516c\u5f00\u5168\u6837\u672c\u7ed3\u679c\uff1b\u82e5\u516c\u5f00\u534a\u6837\u672c\u7ed3\u679c\uff0c\u53ef\u53cd\u63a8\u51fa\u53d7\u9650\u6536\u76ca\u5e8f\u5217\u7684\u4e2a\u522b\u6708\u4efd\u3002\u6760\u6746\u503c\u7b5b\u67e5\uff08\u4e0a\u9650\u7531\u4f5c\u8005\u8bbe\u5b9a\uff09\u6392\u9664\u4e86\u7531\u516c\u5f00\u7684\u7ebf\u6027\u6c47\u603b\u7edf\u8ba1\u7cbe\u786e\u8fd8\u539f\u67d0\u4e2a\u6708\u4efd\u7684\u53ef\u80fd\uff1b\u5b83\u53ea\u662f\u542f\u53d1\u5f0f\u68c0\u67e5\uff0c\u5e76\u975e\u9690\u79c1\u4fdd\u8bc1\u3002"},"intervals":{"en":"95% intervals treat months as independent and are descriptive: t-intervals for means and for betas (OLS standard error), Clopper\u2013Pearson intervals for hit frequencies. Overlapping states and the selection of the configuration are not accounted for. A wide interval means the history cannot pin the value down.","zh":"95% \u533a\u95f4\u5047\u5b9a\u5404\u6708\u76f8\u4e92\u72ec\u7acb\uff0c\u53ea\u4f5c\u63cf\u8ff0\uff1a\u5747\u503c\u548c\u8d1d\u5854\u7528 t \u533a\u95f4\uff08\u8d1d\u5854\u7528 OLS \u6807\u51c6\u8bef\uff09\uff0c\u6b63\u6536\u76ca\u9891\u7387\u7528 Clopper\u2013Pearson \u533a\u95f4\u3002\u72b6\u6001\u4e4b\u95f4\u7684\u91cd\u53e0\u548c\u8fd9\u4e00\u914d\u7f6e\u7684\u7b5b\u9009\u8fc7\u7a0b\u90fd\u672a\u8ba1\u5165\u3002\u533a\u95f4\u5f88\u5bbd\uff0c\u8bf4\u660e\u5386\u53f2\u6570\u636e\u65e0\u6cd5\u628a\u8fd9\u4e2a\u503c\u786e\u5b9a\u4e0b\u6765\u3002"},"n_months":224,"parity":{"max_raw_delta":1.78e-15,"max_score_delta":8.88e-16,"rows":16,"tolerance":1e-08},"pipeline_version":"1.0.0","record_type":{"en":"Archived backtest: not actual trading, not audited","zh":"\u5b58\u6863\u56de\u6d4b\uff1a\u4e0d\u662f\u5b9e\u9645\u4ea4\u6613\uff0c\u672a\u7ecf\u5ba1\u8ba1"},"sample_end":"2025-11","sample_start":"2007-04","small_n":15,"source_files":["archived monthly return table","archived radar table"],"source_release":"Author's archived white paper (2026) on an NA-IPCA characteristic long-short U.S. equity backtest: monthly backtest tables","source_sha256":{"archived monthly return table":"86ea720e3b2d700c4a2bbe4ac7922ad8f0c9d71362c3edd7ee7b9750bee1245f","archived radar table":"c479f256ff338e0e8903df48d878fae0612b8084c3874a6132ba24709e88f800"},"status":"computed at build time from the archived records"},"metrics":[{"bench_by_construction":false,"en":"Carry","id":"carry","norm":"ret","state":"normal","units":"pct_month","wp_name":null,"zh":"\u5e38\u6001\u671f\u6536\u76ca"},{"bench_by_construction":false,"en":"Upside Participation","id":"upside","norm":"ret","state":"rally","units":"pct_month","wp_name":"Positive Convexity","zh":"\u4e0a\u884c\u53c2\u4e0e"},{"bench_by_construction":false,"en":"Recovery","id":"recovery","norm":"ret","state":"recovery","units":"pct_month","wp_name":null,"zh":"\u4fee\u590d\u671f\u6536\u76ca"},{"bench_by_construction":true,"en":"Downside Beta","id":"downside_beta","norm":"beta","state":"downside","units":"beta","wp_name":null,"zh":"\u4e0b\u884c\u8d1d\u5854"},{"bench_by_construction":true,"en":"Downside Reactivity","id":"downside_reactivity","norm":"ret","state":"downside","units":"pct_month","wp_name":null,"zh":"\u4e0b\u884c\u671f\u6536\u76ca"},{"bench_by_construction":true,"en":"Downside Reliability","id":"downside_reliability","norm":"freq","state":"downside","units":"freq","wp_name":null,"zh":"\u4e0b\u884c\u671f\u6b63\u6536\u76ca\u9891\u7387"},{"bench_by_construction":true,"en":"Tail Reactivity","id":"tail_reactivity","norm":"ret","state":"tail","units":"pct_month","wp_name":null,"zh":"\u5c3e\u90e8\u671f\u6536\u76ca"},{"bench_by_construction":true,"en":"Tail Reliability","id":"tail_reliability","norm":"freq","state":"tail","units":"freq","wp_name":null,"zh":"\u5c3e\u90e8\u671f\u6b63\u6536\u76ca\u9891\u7387"}],"normalisation":{"beta":{"en":"Inverted: \u03b2 = \u22120.5 maps to 1 and \u03b2 = 1.5 to 0; the benchmark's own \u03b2 = 1 scores 0.25.","formula":"score = clip(1 \u2212 (\u03b2 + 0.5) / 2, 0, 1)","zh":"\u65b9\u5411\u53cd\u8f6c\uff1a\u03b2 = \u22120.5 \u5bf9\u5e94 1\uff0c\u03b2 = 1.5 \u5bf9\u5e94 0\uff1b\u57fa\u51c6\u81ea\u8eab\u7684 \u03b2 = 1 \u5f97 0.25\u3002"},"freq":{"en":"The observed share of months with a positive return, unchanged.","formula":"score = clip(frequency, 0, 1)","zh":"\u5373\u6b63\u6536\u76ca\u6708\u4efd\u7684\u89c2\u6d4b\u5360\u6bd4\uff0c\u4e0d\u4f5c\u53d8\u6362\u3002"},"ret":{"en":"\u22125% a month maps to 0 and +5% to 1; values outside are clipped.","formula":"score = clip((raw + 0.05) / 0.10, 0, 1)","zh":"\u6708\u6536\u76ca \u22125% \u5bf9\u5e94 0\uff0c+5% \u5bf9\u5e94 1\uff1b\u8d85\u51fa\u90e8\u5206\u622a\u65ad\u3002"}},"reference":[{"en":"All months: mean return","id":"all_mean","units":"pct_month","zh":"\u5168\u90e8\u6708\u4efd\uff1a\u5e73\u5747\u6708\u6536\u76ca"},{"en":"All months: beta on the benchmark","id":"all_beta","units":"beta","zh":"\u5168\u90e8\u6708\u4efd\uff1a\u5bf9\u57fa\u51c6\u7684\u8d1d\u5854"},{"en":"All months: share of months positive","id":"all_freq","units":"freq","zh":"\u5168\u90e8\u6708\u4efd\uff1a\u6b63\u6536\u76ca\u6708\u4efd\u5360\u6bd4"}],"results":{"proxy_60_40|d10|full":{"all":{"ci":[[0.0026746533,0.009989811],[0.598313781,0.6017905329],[0.5992646694,0.7266527469]],"n":224,"pos":149,"raw":[0.0063322321,0.600052157,0.6651785714],"se":[0.0018560182,0.0008821076,null]},"ci":[[0.0053503781,0.0101675994],[0.0457208554,0.0558826229],[0.0258521075,0.0371702925],[0.5943242681,0.6092974024],[-0.0559446382,-0.0424136227],[0.0,0.1481851289],[-0.069064025,-0.0484126417],[0.0,0.2646484694]],"clipped":[false,true,false,false,false,false,true,false],"pos":{"downside":0,"tail":0},"raw":[0.0077589888,0.0508017391,0.0315112,0.6018108352,-0.0491791304,0.0,-0.0587383333,0.0],"score":[0.5775898876,1.0,0.815112,0.4490945824,0.0082086957,0.0,0.0,0.0],"se":[0.0012205031,0.0024499492,0.002816064,0.0035999795,0.0032622574,null,0.0046913954,null]},"proxy_60_40|dd10|full":{"all":{"ci":[[0.0026746533,0.009989811],[0.598313781,0.6017905329],[0.5992646694,0.7266527469]],"n":224,"pos":149,"raw":[0.0063322321,0.600052157,0.6651785714],"se":[0.0018560182,0.0008821076,null]},"ci":[[0.0053503781,0.0101675994],[0.0457208554,0.0558826229],[0.0261563946,0.0409211812],[0.5943242681,0.6092974024],[-0.0559446382,-0.0424136227],[0.0,0.1481851289],[-0.069064025,-0.0484126417],[0.0,0.2646484694]],"clipped":[false,true,false,false,false,false,true,false],"pos":{"downside":0,"tail":0},"raw":[0.0077589888,0.0508017391,0.0335387879,0.6018108352,-0.0491791304,0.0,-0.0587383333,0.0],"score":[0.5775898876,1.0,0.8353878788,0.4490945824,0.0082086957,0.0,0.0,0.0],"se":[0.0012205031,0.0024499492,0.0036242685,0.0035999795,0.0032622574,null,0.0046913954,null]},"proxy_60_40|q20|full":{"all":{"ci":[[0.0026746533,0.009989811],[0.598313781,0.6017905329],[0.5992646694,0.7266527469]],"n":224,"pos":149,"raw":[0.0063322321,0.600052157,0.6651785714],"se":[0.0018560182,0.0008821076,null]},"ci":[[0.0067888097,0.0104822351],[0.037282156,0.0451631773],[0.0258521075,0.0371702925],[0.5965790805,0.6083335595],[-0.040972194,-0.0298615838],[0.0,0.0787051004],[-0.0559446382,-0.0424136227],[0.0,0.1481851289]],"clipped":[false,false,false,false,false,false,false,false],"pos":{"downside":0,"tail":0},"raw":[0.0086355224,0.0412226667,0.0315112,0.60245632,-0.0354168889,0.0,-0.0491791304,0.0],"score":[0.5863552239,0.9122266667,0.815112,0.44877184,0.1458311111,0.0,0.0082086957,0.0],"se":[0.0009336445,0.0019552317,0.002816064,0.0029142967,0.0027564724,null,0.0032622574,null]},"proxy_cash_10|d10|full":{"all":{"ci":[[0.0025216092,0.0091064087],[0.5380608482,0.5420591129],[0.5992646694,0.7266527469]],"n":224,"pos":149,"raw":[0.0058140089,0.5400599805,0.6651785714],"se":[0.0016707101,0.0010144237,null]},"ci":[[0.0049300106,0.0092669557],[0.0412877475,0.0503979916],[0.0233771387,0.0335598213],[0.5334729083,0.5506920127],[-0.0502510527,-0.0380600777],[0.0,0.1481851289],[-0.062065536,-0.0434801307],[0.0,0.2646484694]],"clipped":[false,false,false,false,false,false,true,false],"pos":{"downside":0,"tail":0},"raw":[0.0070984831,0.0458428696,0.02846848,0.5420824605,-0.0441555652,0.0,-0.0527728333,0.0],"score":[0.5709848315,0.9584286957,0.7846848,0.4789587698,0.0584443478,0.0,0.0,0.0],"se":[0.0010988191,0.0021964324,0.002533541,0.0041399764,0.0029391806,null,0.0042220651,null]},"proxy_cash_10|dd10|full":{"all":{"ci":[[0.0025216092,0.0091064087],[0.5380608482,0.5420591129],[0.5992646694,0.7266527469]],"n":224,"pos":149,"raw":[0.0058140089,0.5400599805,0.6651785714],"se":[0.0016707101,0.0010144237,null]},"ci":[[0.0049300106,0.0092669557],[0.0412877475,0.0503979916],[0.0236559719,0.0369386948],[0.5334729083,0.5506920127],[-0.0502510527,-0.0380600777],[0.0,0.1481851289],[-0.062065536,-0.0434801307],[0.0,0.2646484694]],"clipped":[false,false,false,false,false,false,true,false],"pos":{"downside":0,"tail":0},"raw":[0.0070984831,0.0458428696,0.0302973333,0.5420824605,-0.0441555652,0.0,-0.0527728333,0.0],"score":[0.5709848315,0.9584286957,0.8029733333,0.4789587698,0.0584443478,0.0,0.0,0.0],"se":[0.0010988191,0.0021964324,0.0032604707,0.0041399764,0.0029391806,null,0.0042220651,null]},"proxy_cash_10|q20|full":{"all":{"ci":[[0.0025216092,0.0091064087],[0.5380608482,0.5420591129],[0.5992646694,0.7266527469]],"n":224,"pos":149,"raw":[0.0058140089,0.5400599805,0.6651785714],"se":[0.0016707101,0.0010144237,null]},"ci":[[0.0062183181,0.0095490551],[0.0336741419,0.0407599915],[0.0233771387,0.0335598213],[0.5360659426,0.5495835934],[-0.0367591082,-0.0267450696],[0.0,0.0787051004],[-0.0502510527,-0.0380600777],[0.0,0.1481851289]],"clipped":[false,false,false,false,false,false,false,false],"pos":{"downside":0,"tail":0},"raw":[0.0078836866,0.0372170667,0.02846848,0.542824768,-0.0317520889,0.0,-0.0441555652,0.0],"score":[0.5788368657,0.8721706667,0.7846848,0.478587616,0.1824791111,0.0,0.0584443478,0.0],"se":[0.0008419621,0.0017579546,0.002533541,0.0033514412,0.0024844199,null,0.0029391806,null]},"proxy_cash_5|d10|full":{"all":{"ci":[[0.0025981472,0.0095480938],[0.5681873146,0.5719248229],[0.5992646694,0.7266527469]],"n":224,"pos":149,"raw":[0.0060731205,0.5700560688,0.6651785714],"se":[0.001763356,0.0009482657,null]},"ci":[[0.0051402267,0.0097172452],[0.0435044344,0.0531401743],[0.0246146667,0.0353650133],[0.5638985882,0.5799947075],[-0.0530977994,-0.0402368962],[0.0,0.1481851289],[-0.0655647484,-0.0459464183],[0.0,0.2646484694]],"clipped":[false,false,false,false,false,false,true,false],"pos":{"downside":0,"tail":0},"raw":[0.007428736,0.0483223043,0.02998984,0.5719466478,-0.0466673478,0.0,-0.0557555833,0.0],"score":[0.5742873596,0.9832230435,0.7998984,0.4640266761,0.0333265217,0.0,0.0,0.0],"se":[0.0011596447,0.0023231267,0.0026747808,0.0038699779,0.0031006968,null,0.0044567157,null]},"proxy_cash_5|dd10|full":{"all":{"ci":[[0.0025981472,0.0095480938],[0.5681873146,0.5719248229],[0.5992646694,0.7266527469]],"n":224,"pos":149,"raw":[0.0060731205,0.5700560688,0.6651785714],"se":[0.001763356,0.0009482657,null]},"ci":[[0.0051402267,0.0097172452],[0.0435044344,0.0531401743],[0.0249062385,0.0389298828],[0.5638985882,0.5799947075],[-0.0530977994,-0.0402368962],[0.0,0.1481851289],[-0.0655647484,-0.0459464183],[0.0,0.2646484694]],"clipped":[false,false,false,false,false,false,true,false],"pos":{"downside":0,"tail":0},"raw":[0.007428736,0.0483223043,0.0319180606,0.5719466478,-0.0466673478,0.0,-0.0557555833,0.0],"score":[0.5742873596,0.9832230435,0.8191806061,0.4640266761,0.0333265217,0.0,0.0,0.0],"se":[0.0011596447,0.0023231267,0.0034423425,0.0038699779,0.0031006968,null,0.0044567157,null]},"proxy_cash_5|q20|full":{"all":{"ci":[[0.0025981472,0.0095480938],[0.5681873146,0.5719248229],[0.5992646694,0.7266527469]],"n":224,"pos":149,"raw":[0.0060731205,0.5700560688,0.6651785714],"se":[0.001763356,0.0009482657,null]},"ci":[[0.0065036158,0.0100155931],[0.035478236,0.0429614974],[0.0246146667,0.0353650133],[0.5663225115,0.5789585764],[-0.0388656006,-0.0283033771],[0.0,0.0787051004],[-0.0530977994,-0.0402368962],[0.0,0.1481851289]],"clipped":[false,false,false,false,false,false,false,false],"pos":{"downside":0,"tail":0},"raw":[0.0082596045,0.0392198667,0.02998984,0.572640544,-0.0335844889,0.0,-0.0466673478,0.0],"score":[0.5825960448,0.8921986667,0.7998984,0.463679728,0.1641551111,0.0,0.0333265217,0.0],"se":[0.0008877771,0.00185655,0.0026747808,0.003132869,0.0026204211,null,0.0031006968,null]},"proxy_plus_10|d10|full":{"all":{"ci":[[0.0038452703,0.0105219123],[0.5281233368,0.5522275254],[0.6084894501,0.7350437266]],"n":224,"pos":151,"raw":[0.0071835913,0.5401754311,0.6741071429],"se":[0.0016940126,0.0061156184,null]},"ci":[[0.0060204456,0.0104563584],[0.0422721938,0.0540960247],[0.0244071493,0.0354217729],[0.4975920069,0.6257203937],[-0.0484882833,-0.0354722049],[0.0,0.1481851289],[-0.0607455246,-0.0395359469],[0.0,0.2646484694]],"clipped":[false,false,false,false,false,false,true,false],"pos":{"downside":0,"tail":0},"raw":[0.008238402,0.0481841093,0.0299144611,0.5616562003,-0.0419802441,0.0,-0.0501407357,0.0],"score":[0.5823840197,0.9818410927,0.7991446111,0.4691718999,0.0801975589,0.0,0.0,0.0],"se":[0.0011238938,0.0028506641,0.0027405352,0.0308058121,0.0031381088,null,0.004818201,null]},"proxy_plus_10|dd10|full":{"all":{"ci":[[0.0038452703,0.0105219123],[0.5281233368,0.5522275254],[0.6084894501,0.7350437266]],"n":224,"pos":151,"raw":[0.0071835913,0.5401754311,0.6741071429],"se":[0.0016940126,0.0061156184,null]},"ci":[[0.0060204456,0.0104563584],[0.0422721938,0.0540960247],[0.0246660134,0.0397065044],[0.4975920069,0.6257203937],[-0.0484882833,-0.0354722049],[0.0,0.1481851289],[-0.0607455246,-0.0395359469],[0.0,0.2646484694]],"clipped":[false,false,false,false,false,false,true,false],"pos":{"downside":0,"tail":0},"raw":[0.008238402,0.0481841093,0.0321862589,0.5616562003,-0.0419802441,0.0,-0.0501407357,0.0],"score":[0.5823840197,0.9818410927,0.8218625891,0.4691718999,0.0801975589,0.0,0.0,0.0],"se":[0.0011238938,0.0028506641,0.0036919448,0.0308058121,0.0031381088,null,0.004818201,null]},"proxy_plus_10|q20|full":{"all":{"ci":[[0.0038452703,0.0105219123],[0.5281233368,0.5522275254],[0.6084894501,0.7350437266]],"n":224,"pos":151,"raw":[0.0071835913,0.5401754311,0.6741071429],"se":[0.0016940126,0.0061156184,null]},"ci":[[0.0073326126,0.0108456437],[0.0347603902,0.043071969],[0.0244071493,0.0354217729],[0.4955995914,0.5632015287],[-0.0352064974,-0.0252400274],[0.0,0.0787051004],[-0.0484882833,-0.0354722049],[0.0,0.1481851289]],"clipped":[false,false,false,false,false,false,false,false],"pos":{"downside":0,"tail":0},"raw":[0.0090891281,0.0389161796,0.0299144611,0.52940056,-0.0302232624,0.0,-0.0419802441,0.0],"score":[0.5908912814,0.8891617965,0.7991446111,0.48529972,0.1977673764,0.0,0.0801975589,0.0],"se":[0.0008880434,0.0020620503,0.0027405352,0.0167605987,0.0024726184,null,0.0031381088,null]},"proxy_plus_5|d10|full":{"all":{"ci":[[0.0032718007,0.0102440227],[0.5638797346,0.5763478535],[0.6084894501,0.7350437266]],"n":224,"pos":151,"raw":[0.0067579117,0.570113794,0.6741071429],"se":[0.0017690078,0.0031633613,null]},"ci":[[0.0057031622,0.0102942285],[0.044186915,0.0547989334],[0.025184391,0.0362412701],[0.5507192422,0.6127477933],[-0.05216199,-0.0389973846],[0.0,0.1481851289],[-0.0648225346,-0.0440565344],[0.0,0.2646484694]],"clipped":[false,false,false,false,false,false,true,false],"pos":{"downside":0,"tail":0},"raw":[0.0079986954,0.0494929242,0.0307128306,0.5817335178,-0.0455796873,0.0,-0.0544395345,0.0],"score":[0.5799869536,0.994929242,0.8071283055,0.4591332411,0.0442031273,0.0,0.0,0.0],"se":[0.0011632039,0.0025585024,0.0027510488,0.0149134781,0.0031739178,null,0.004717433,null]},"proxy_plus_5|dd10|full":{"all":{"ci":[[0.0032718007,0.0102440227],[0.5638797346,0.5763478535],[0.6084894501,0.7350437266]],"n":224,"pos":151,"raw":[0.0067579117,0.570113794,0.6741071429],"se":[0.0017690078,0.0031633613,null]},"ci":[[0.0057031622,0.0102942285],[0.044186915,0.0547989334],[0.0254886381,0.0402364087],[0.5507192422,0.6127477933],[-0.05216199,-0.0389973846],[0.0,0.1481851289],[-0.0648225346,-0.0440565344],[0.0,0.2646484694]],"clipped":[false,false,false,false,false,false,true,false],"pos":{"downside":0,"tail":0},"raw":[0.0079986954,0.0494929242,0.0328625234,0.5817335178,-0.0455796873,0.0,-0.0544395345,0.0],"score":[0.5799869536,0.994929242,0.828625234,0.4591332411,0.0442031273,0.0,0.0,0.0],"se":[0.0011632039,0.0025585024,0.0036200916,0.0149134781,0.0031739178,null,0.004717433,null]},"proxy_plus_5|q20|full":{"all":{"ci":[[0.0032718007,0.0102440227],[0.5638797346,0.5763478535],[0.6084894501,0.7350437266]],"n":224,"pos":151,"raw":[0.0067579117,0.570113794,0.6741071429],"se":[0.0017690078,0.0031633613,null]},"ci":[[0.0070953183,0.0106293322],[0.0360969745,0.0440418718],[0.025184391,0.0362412701],[0.5490513757,0.5828055043],[-0.038060395,-0.0275797563],[0.0,0.0787051004],[-0.05216199,-0.0389973846],[0.0,0.1481851289]],"clipped":[false,false,false,false,false,false,false,false],"pos":{"downside":0,"tail":0},"raw":[0.0088623253,0.0400694232,0.0307128306,0.56592844,-0.0328200756,0.0,-0.0455796873,0.0],"score":[0.5886232526,0.9006942316,0.8071283055,0.46703578,0.1717992438,0.0,0.0442031273,0.0],"se":[0.0008933476,0.001971079,0.0027510488,0.0083686863,0.0026001804,null,0.0031739178,null]},"strategy_gross|d10|full":{"all":{"ci":[[0.0165370998,0.0277536772],[-0.1005108556,0.1428722444],[0.6927098949,0.8093505052]],"n":224,"pos":169,"raw":[0.0221453885,0.0211806944,0.7544642857],"se":[0.0028458951,0.0617501869,null]},"ci":[[0.0136924048,0.0244889504],[0.0068241924,0.0687990563],[0.008458981,0.0408677671],[-0.7556663278,0.8593537559],[0.0101150577,0.0501248601],[0.5629692738,0.9253965924],[0.0011710194,0.0709153279],[0.5158622513,0.9791374745]],"clipped":[false,false,false,false,false,false,false,false],"pos":{"downside":18,"tail":10},"raw":[0.0190906776,0.0378116243,0.0246633741,0.0518437141,0.0301199589,0.7826086957,0.0360431736,0.8333333333],"score":[0.6909067758,0.8781162431,0.7466337408,0.724078143,0.8011995892,0.7826086957,0.8604317364,0.8333333333],"se":[0.0027354395,0.014941817,0.0080635911,0.3882980698,0.0096461551,null,0.0158438843,null]},"strategy_gross|dd10|full":{"all":{"ci":[[0.0165370998,0.0277536772],[-0.1005108556,0.1428722444],[0.6927098949,0.8093505052]],"n":224,"pos":169,"raw":[0.0221453885,0.0211806944,0.7544642857],"se":[0.0028458951,0.0617501869,null]},"ci":[[0.0136924048,0.0244889504],[0.0068241924,0.0687990563],[0.0079235907,0.0535852414],[-0.7556663278,0.8593537559],[0.0101150577,0.0501248601],[0.5629692738,0.9253965924],[0.0011710194,0.0709153279],[0.5158622513,0.9791374745]],"clipped":[false,false,false,false,false,false,false,false],"pos":{"downside":18,"tail":10},"raw":[0.0190906776,0.0378116243,0.0307544161,0.0518437141,0.0301199589,0.7826086957,0.0360431736,0.8333333333],"score":[0.6909067758,0.8781162431,0.8075441605,0.724078143,0.8011995892,0.7826086957,0.8604317364,0.8333333333],"se":[0.0027354395,0.014941817,0.0112084303,0.3882980698,0.0096461551,null,0.0158438843,null]},"strategy_gross|q20|full":{"all":{"ci":[[0.0165370998,0.0277536772],[-0.1005108556,0.1428722444],[0.6927098949,0.8093505052]],"n":224,"pos":169,"raw":[0.0221453885,0.0211806944,0.7544642857],"se":[0.0028458951,0.0617501869,null]},"ci":[[0.0124706201,0.0258709213],[0.0124034047,0.0451839854],[0.008458981,0.0408677671],[-0.5437021924,0.2249474823],[0.0127440735,0.0359655919],[0.6540417022,0.9042427303],[0.0101150577,0.0501248601],[0.5629692738,0.9253965924]],"clipped":[false,false,false,false,false,false,false,false],"pos":{"downside":36,"tail":18},"raw":[0.0191707707,0.028793695,0.0246633741,-0.1593773551,0.0243548327,0.8,0.0301199589,0.7826086957],"score":[0.6917077071,0.7879369504,0.7466337408,0.8296886775,0.7435483269,0.8,0.8011995892,0.7826086957],"se":[0.0033874023,0.0081326556,0.0080635911,0.1905718867,0.0057611125,null,0.0096461551,null]},"strategy_net|d10|full":{"all":{"ci":[[0.0093702001,0.0203214471],[-0.1175593708,0.1201291675],[0.6363154773,0.7600633693]],"n":224,"pos":157,"raw":[0.0148458236,0.0012848984,0.7008928571],"se":[0.0027785749,0.0603053855,null]},"ci":[[0.0071030712,0.0180031703],[-0.0057015675,0.0549524485],[0.000174652,0.0309129701],[-0.4653987831,0.8659277553],[0.0061729567,0.039446509],[0.5159480296,0.8977138661],[-0.0008566519,0.0553319369],[0.4281415381,0.9451393555]],"clipped":[false,false,false,false,false,false,false,false],"pos":{"downside":17,"tail":9},"raw":[0.0125531208,0.0246254405,0.0155438111,0.2002644861,0.0228097328,0.7391304348,0.0272376425,0.75],"score":[0.6255312078,0.7462544051,0.6554381106,0.649867757,0.7280973285,0.7391304348,0.7723764251,0.75],"se":[0.0027616761,0.0146233675,0.007647964,0.3200898431,0.0080220802,null,0.0127644179,null]},"strategy_net|dd10|full":{"all":{"ci":[[0.0093702001,0.0203214471],[-0.1175593708,0.1201291675],[0.6363154773,0.7600633693]],"n":224,"pos":157,"raw":[0.0148458236,0.0012848984,0.7008928571],"se":[0.0027785749,0.0603053855,null]},"ci":[[0.0071030712,0.0180031703],[-0.0057015675,0.0549524485],[-0.002123019,0.0421500155],[-0.4653987831,0.8659277553],[0.0061729567,0.039446509],[0.5159480296,0.8977138661],[-0.0008566519,0.0553319369],[0.4281415381,0.9451393555]],"clipped":[false,false,false,false,false,false,false,false],"pos":{"downside":17,"tail":9},"raw":[0.0125531208,0.0246254405,0.0200134982,0.2002644861,0.0228097328,0.7391304348,0.0272376425,0.75],"score":[0.6255312078,0.7462544051,0.7001349823,0.649867757,0.7280973285,0.7391304348,0.7723764251,0.75],"se":[0.0027616761,0.0146233675,0.0108675708,0.3200898431,0.0080220802,null,0.0127644179,null]},"strategy_net|q20|full":{"all":{"ci":[[0.0093702001,0.0203214471],[-0.1175593708,0.1201291675],[0.6363154773,0.7600633693]],"n":224,"pos":157,"raw":[0.0148458236,0.0012848984,0.7008928571],"se":[0.0027785749,0.0603053855,null]},"ci":[[0.0064371541,0.0199060057],[0.002166876,0.0341487169],[0.000174652,0.0309129701],[-0.4751488363,0.2189462774],[0.0060522374,0.0269865154],[0.5568547229,0.8363374396],[0.0061729567,0.039446509],[0.5159480296,0.8977138661]],"clipped":[false,false,false,false,false,false,false,false],"pos":{"downside":32,"tail":17},"raw":[0.0131715799,0.0181577965,0.0155438111,-0.1281012795,0.0165193764,0.7111111111,0.0228097328,0.7391304348],"score":[0.6317157991,0.6815779645,0.6554381106,0.8140506397,0.665193764,0.7111111111,0.7280973285,0.7391304348],"se":[0.0034047309,0.0079344933,0.007647964,0.1720875189,0.0051936625,null,0.0080220802,null]}},"state_names":{"all":{"en":"All months","zh":"\u5168\u90e8\u6708\u4efd"},"downside":{"en":"Downside","zh":"\u4e0b\u884c"},"normal":{"en":"Normal","zh":"\u5e38\u6001"},"rally":{"en":"Strong rally","zh":"\u5f3a\u52bf\u4e0a\u6da8"},"recovery":{"en":"Recovery","zh":"\u4fee\u590d"},"tail":{"en":"Tail","zh":"\u5c3e\u90e8"}},"states":{"d10|full":{"bench":{"all":{"ci":[[0.0036930803,0.0158810269],[1.0,1.0],[0.5946614646,0.7224479831]],"n":224,"pos":148,"raw":[0.0097870536,1.0,0.6607142857],"se":[0.0030923531,0.0,null]},"ci":[[0.0081490529,0.0161756662],[0.0752596658,0.0924620734],[0.0423468299,0.0612451701],[1.0,1.0],[-0.0939072612,-0.0714318692],[0.0,0.1481851289],[-0.1157243571,-0.0812923096],[0.0,0.2646484694]],"clipped":[false,true,true,false,true,false,true,false],"pos":{"downside":0,"tail":0},"raw":[0.0121623596,0.0838608696,0.051796,1.0,-0.0826695652,0.0,-0.0985083333,0.0],"score":[0.6216235955,1.0,1.0,0.25,0.0,0.0,0.0,0.0],"se":[0.0020336426,0.0041474109,0.0047020733,0.0,0.0054187,null,0.0078219627,null]},"n":{"downside":23,"normal":178,"rally":23,"recovery":50,"tail":12},"n_months":224,"overlap":{"downside_recovery":0,"normal_recovery":30,"rally_recovery":20},"thresholds":{"lower":-0.05884,"tail":-0.07863,"upper":0.06259}},"dd10|full":{"bench":{"all":{"ci":[[0.0036930803,0.0158810269],[1.0,1.0],[0.5946614646,0.7224479831]],"n":224,"pos":148,"raw":[0.0097870536,1.0,0.6607142857],"se":[0.0030923531,0.0,null]},"ci":[[0.0081490529,0.0161756662],[0.0752596658,0.0924620734],[0.0428194563,0.0674775134],[1.0,1.0],[-0.0939072612,-0.0714318692],[0.0,0.1481851289],[-0.1157243571,-0.0812923096],[0.0,0.2646484694]],"clipped":[false,true,true,false,true,false,true,false],"pos":{"downside":0,"tail":0},"raw":[0.0121623596,0.0838608696,0.0551484848,1.0,-0.0826695652,0.0,-0.0985083333,0.0],"score":[0.6216235955,1.0,1.0,0.25,0.0,0.0,0.0,0.0],"se":[0.0020336426,0.0041474109,0.0060527403,0.0,0.0054187,null,0.0078219627,null]},"n":{"downside":23,"normal":178,"rally":23,"recovery":33,"tail":12},"n_months":224,"overlap":{"downside_recovery":0,"normal_recovery":18,"rally_recovery":15},"thresholds":{"lower":-0.05884,"tail":-0.07863,"upper":0.06259}},"q20|full":{"bench":{"all":{"ci":[[0.0036930803,0.0158810269],[1.0,1.0],[0.5946614646,0.7224479831]],"n":224,"pos":148,"raw":[0.0097870536,1.0,0.6607142857],"se":[0.0030923531,0.0,null]},"ci":[[0.0105859888,0.0167095335],[0.0613254909,0.0745278424],[0.0423468299,0.0612451701],[1.0,1.0],[-0.0690653452,-0.0506324326],[0.0,0.0787051004],[-0.0939072612,-0.0714318692],[0.0,0.1481851289]],"clipped":[false,true,true,false,true,false,true,false],"pos":{"downside":0,"tail":0},"raw":[0.0136477612,0.0679266667,0.051796,1.0,-0.0598488889,0.0,-0.0826695652,0.0],"score":[0.6364776119,1.0,1.0,0.25,0.0,0.0,0.0,0.0],"se":[0.0015479435,0.0032754202,0.0047020733,0.0,0.0045730895,null,0.0054187,null]},"n":{"downside":45,"normal":134,"rally":45,"recovery":50,"tail":23},"n_months":224,"overlap":{"downside_recovery":0,"normal_recovery":24,"rally_recovery":26},"thresholds":{"lower":-0.02308,"tail":-0.05884,"upper":0.04174}}},"streams":[{"en":"Archived long\u2013short strategy backtest, net of bid-ask cost proxy","id":"strategy_net","kind":"archived","short_en":"Strategy (net of cost proxy)","short_zh":"\u7b56\u7565\uff08\u6263\u9664\u6210\u672c\u4ee3\u7406\uff09","zh":"\u5b58\u6863\u591a\u7a7a\u7b56\u7565\u56de\u6d4b\uff08\u6263\u9664\u4e70\u5356\u4ef7\u5dee\u6210\u672c\u4ee3\u7406\uff09"},{"en":"Same backtest before the cost proxy (gross)","id":"strategy_gross","kind":"archived","short_en":"Strategy (gross)","short_zh":"\u7b56\u7565\uff08\u6bdb\u6536\u76ca\uff09","zh":"\u540c\u4e00\u56de\u6d4b\uff0c\u672a\u6263\u6210\u672c\u4ee3\u7406\uff08\u6bdb\u6536\u76ca\uff09"},{"en":"60% U.S. equity + 40% cash proxy","id":"proxy_60_40","kind":"public","short_en":"60/40 equity\u2013cash proxy","short_zh":"60/40 \u80a1\u7968\u2013\u73b0\u91d1\u4ee3\u7406","zh":"60% \u7f8e\u56fd\u80a1\u7968 + 40% \u73b0\u91d1\u4ee3\u7406\u7ec4\u5408"},{"en":"95% equity\u2013cash proxy + 5% strategy (net)","id":"proxy_plus_5","kind":"archived","short_en":"Proxy + 5% strategy","short_zh":"\u4ee3\u7406 + 5% \u7b56\u7565","zh":"95% \u80a1\u7968\u2013\u73b0\u91d1\u4ee3\u7406 + 5% \u7b56\u7565\uff08\u51c0\uff09"},{"en":"95% equity\u2013cash proxy + 5% cash: dilution only, no strategy (57% equity)","id":"proxy_cash_5","kind":"public","short_en":"Proxy + 5% cash (reference)","short_zh":"\u4ee3\u7406 + 5% \u73b0\u91d1\uff08\u53c2\u7167\uff09","zh":"95% \u80a1\u7968\u2013\u73b0\u91d1\u4ee3\u7406 + 5% \u73b0\u91d1\uff1a\u53ea\u7a00\u91ca\u3001\u4e0d\u542b\u7b56\u7565\uff08\u80a1\u7968 57%\uff09"},{"en":"90% equity\u2013cash proxy + 10% strategy (net)","id":"proxy_plus_10","kind":"archived","short_en":"Proxy + 10% strategy","short_zh":"\u4ee3\u7406 + 10% \u7b56\u7565","zh":"90% \u80a1\u7968\u2013\u73b0\u91d1\u4ee3\u7406 + 10% \u7b56\u7565\uff08\u51c0\uff09"},{"en":"90% equity\u2013cash proxy + 10% cash: dilution only, no strategy (54% equity)","id":"proxy_cash_10","kind":"public","short_en":"Proxy + 10% cash (reference)","short_zh":"\u4ee3\u7406 + 10% \u73b0\u91d1\uff08\u53c2\u7167\uff09","zh":"90% \u80a1\u7968\u2013\u73b0\u91d1\u4ee3\u7406 + 10% \u73b0\u91d1\uff1a\u53ea\u7a00\u91ca\u3001\u4e0d\u542b\u7b56\u7565\uff08\u80a1\u7968 54%\uff09"}],"windows":[{"en":"Full sample, Apr 2007 \u2013 Nov 2025","end":"2025-11","id":"full","start":"2007-04","zh":"\u5168\u6837\u672c\uff0c2007 \u5e74 4 \u6708\u81f3 2025 \u5e74 11 \u6708"}]}