{
  "captured_on": "2026-10-30",
  "sample_start": "2005Q1",
  "sample_end": "2026Q2",
  "quarters": 86,
  "ar1_fit_on_87_returns": {
    "intercept": 0.01617752290486525,
    "alpha": 0.2950816549890352,
    "n": 86
  },
  "ar1_fit_through_index_launch": {
    "intercept": 0.015076276390201928,
    "alpha": 0.3693348317745423,
    "n": 43
  },
  "ar1_fit_after_index_launch": {
    "intercept": 0.02006900470048594,
    "alpha": 0.10721745901315104,
    "n": 42
  },
  "reported": {
    "annualised_volatility_sqrt4": 0.03307072966498411,
    "conventional_annualised_sharpe": 2.187835077545492,
    "equity_beta_excess_returns_with_intercept": 0.13643471754659048,
    "equity_correlation_total_returns": 0.6700361005664989,
    "arithmetic_mean_return_times4": 0.09188740089792355,
    "quarterly_excess_mean": 0.018683700863248335,
    "quarterly_excess_std": 0.017079624561289485,
    "credit_weight_equal_risk_contribution": 0.8322068625729436,
    "credit_weight_after_30pct_cap": 0.3,
    "vol_target_position_relative_to_reported": 1.0,
    "lag1_autocorrelation": 0.29515822011150117
  },
  "adjusted": {
    "annualised_volatility_sqrt4": 0.04482678919763946,
    "conventional_annualised_sharpe": 1.6311532689776693,
    "equity_beta_excess_returns_with_intercept": 0.18223790591247382,
    "equity_correlation_total_returns": 0.6607720180136246,
    "arithmetic_mean_return_times4": 0.09188740089792355,
    "quarterly_excess_mean": 0.01868370086324834,
    "quarterly_excess_std": 0.022908577898333747,
    "credit_weight_equal_risk_contribution": 0.7853619889180289,
    "credit_weight_after_30pct_cap": 0.3,
    "vol_target_position_relative_to_reported": 0.7377447784443502,
    "lag1_autocorrelation": 0.0038094506036369935
  },
  "sensitivity": [
    {
      "alpha": 0.0,
      "annualised_volatility_sqrt4": 0.03307072966498411,
      "conventional_annualised_sharpe": 2.1878350775454916,
      "equity_beta_excess_returns_with_intercept": 0.1364347175465905,
      "equity_correlation_total_returns": 0.6700361005664989,
      "arithmetic_mean_return_times4": 0.09188740089792355,
      "quarterly_excess_mean": 0.018683700863248335,
      "quarterly_excess_std": 0.01707962456128949,
      "credit_weight_equal_risk_contribution": 0.8322068625729436,
      "credit_weight_after_30pct_cap": 0.3,
      "vol_target_position_relative_to_reported": 1.0,
      "lag1_autocorrelation": 0.29515822011150117
    },
    {
      "alpha": 0.15,
      "annualised_volatility_sqrt4": 0.037601353623386596,
      "conventional_annualised_sharpe": 1.933491551159324,
      "equity_beta_excess_returns_with_intercept": 0.15574393378228973,
      "equity_correlation_total_returns": 0.6729600361513659,
      "arithmetic_mean_return_times4": 0.09188740089792355,
      "quarterly_excess_mean": 0.018683700863248335,
      "quarterly_excess_std": 0.019326384800642717,
      "credit_weight_equal_risk_contribution": 0.813506523778147,
      "credit_weight_after_30pct_cap": 0.3,
      "vol_target_position_relative_to_reported": 0.8795090197076146,
      "lag1_autocorrelation": 0.15040715749450584
    },
    {
      "alpha": 0.2950816549890352,
      "annualised_volatility_sqrt4": 0.04482678919763946,
      "conventional_annualised_sharpe": 1.6311532689776693,
      "equity_beta_excess_returns_with_intercept": 0.18223790591247382,
      "equity_correlation_total_returns": 0.6607720180136246,
      "arithmetic_mean_return_times4": 0.09188740089792355,
      "quarterly_excess_mean": 0.01868370086324834,
      "quarterly_excess_std": 0.022908577898333747,
      "credit_weight_equal_risk_contribution": 0.7853619889180289,
      "credit_weight_after_30pct_cap": 0.3,
      "vol_target_position_relative_to_reported": 0.7377447784443502,
      "lag1_autocorrelation": 0.0038094506036369935
    },
    {
      "alpha": 0.45,
      "annualised_volatility_sqrt4": 0.058202845486761044,
      "conventional_annualised_sharpe": 1.264481756164529,
      "equity_beta_excess_returns_with_intercept": 0.22595926554846882,
      "equity_correlation_total_returns": 0.6312895243518377,
      "arithmetic_mean_return_times4": 0.09188740089792356,
      "quarterly_excess_mean": 0.018683700863248342,
      "quarterly_excess_std": 0.029551554654169795,
      "credit_weight_equal_risk_contribution": 0.7380897405367518,
      "credit_weight_after_30pct_cap": 0.3,
      "vol_target_position_relative_to_reported": 0.5681978155605203,
      "lag1_autocorrelation": -0.13788545071658848
    }
  ],
  "source_sha256": {
    "cdli-public-chart.tsv": "b90878bd251316b7f445e27c8df7c99716487584fbd33eb9ddb590e3cd9afe39",
    "fama-french-factors-source.csv": "a3894d74d553cab812eabbe706bdbf443c97eb20b24b05e3e5f3ce47e46b90bb"
  },
  "post_launch_alpha_applied_to_full_matched_sample": {
    "alpha": 0.10721745901315104,
    "annualised_volatility_sqrt4": 0.036071234077567786,
    "conventional_annualised_sharpe": 2.0124682512178174,
    "equity_beta_excess_returns_with_intercept": 0.14957522492653197,
    "equity_correlation_total_returns": 0.673646937053591,
    "arithmetic_mean_return_times4": 0.09188740089792355,
    "quarterly_excess_mean": 0.018683700863248335,
    "quarterly_excess_std": 0.018567945955860074,
    "credit_weight_equal_risk_contribution": 0.8197274493542156,
    "credit_weight_after_30pct_cap": 0.3,
    "vol_target_position_relative_to_reported": 0.9168172509393115,
    "lag1_autocorrelation": 0.19324697340985758
  },
  "dimson_style_checks": {
    "current_plus_one_lag": {
      "n": 86,
      "start": "2005Q1",
      "end": "2026Q2",
      "coefficients": {
        "intercept": 0.014183544580784059,
        "current": 0.13579660429577042,
        "lag1": 0.040506374133802814
      },
      "sum_beta": 0.17630297842957324,
      "sum_beta_hac2_standard_error": 0.03217188876931985
    },
    "current_plus_two_lags": {
      "n": 85,
      "start": "2005Q2",
      "end": "2026Q2",
      "coefficients": {
        "intercept": 0.01343527554928305,
        "current": 0.13650575990495195,
        "lag1": 0.03960056788950943,
        "lag2": 0.02907603690888684
      },
      "sum_beta": 0.20518236470334822,
      "sum_beta_hac2_standard_error": 0.03608163890221684
    },
    "one_lead_current_one_lag": {
      "n": 86,
      "start": "2005Q1",
      "end": "2026Q2",
      "coefficients": {
        "intercept": 0.013479151621517223,
        "current": 0.13527539451217452,
        "lag1": 0.04113494513562144,
        "lead1": 0.026919394854339543
      },
      "sum_beta": 0.20332973450213548,
      "sum_beta_hac2_standard_error": 0.0413180265928021
    }
  },
  "illustrative_flat_fee_drag": {
    "annualised_mean_excess_return_before_drag": 0.07473480345299334,
    "annual_drag_1_5pct_sharpe": 1.7487153549142027,
    "annual_drag_2pct_sharpe": 1.6023421140371064
  }
}