{ "any_non_conservative": true, "baskets": [ { "basket": "managed_futures_17_etf", "instruments": 17, "ladder": [ { "conservative": false, "delta_star_as_coded": 0.01830762159876317, "delta_star_reestimated_on_effective_window": 0.14851580315893076, "delta_star_rescaled_to_effective_T": 0.21752098841070172, "effective_sample_rows": 60.59869278555086, "halflife_bars": 21, "inverse_vol_weights_are_invariant": true, "max_ex_ante_vol_shift": 0.38077340016702277, "mean_ex_ante_vol_shift": 0.0446014452492797, "median_ex_ante_vol_shift": 0.03119630070740637, "rescale_clipped_at_one": false, "rows_passed_in_production": 720, "understatement_factor_pure_T": 11.881444415772556 }, { "conservative": false, "delta_star_as_coded": 0.016583376957771484, "delta_star_reestimated_on_effective_window": 0.1469334079829104, "delta_star_rescaled_to_effective_T": 0.06568304504052955, "effective_sample_rows": 181.78254985328257, "halflife_bars": 63, "inverse_vol_weights_are_invariant": true, "max_ex_ante_vol_shift": 0.07916299305399614, "mean_ex_ante_vol_shift": 0.009210205275552996, "median_ex_ante_vol_shift": 0.006112136234757426, "rescale_clipped_at_one": false, "rows_passed_in_production": 720, "understatement_factor_pure_T": 3.9607762163151237 }, { "conservative": false, "delta_star_as_coded": 0.023909302574604042, "delta_star_reestimated_on_effective_window": 0.07898914668453927, "delta_star_rescaled_to_effective_T": 0.04747435580119078, "effective_sample_rows": 362.61045701821024, "halflife_bars": 126, "inverse_vol_weights_are_invariant": true, "max_ex_ante_vol_shift": 0.025426120853380904, "mean_ex_ante_vol_shift": 0.003720108840731909, "median_ex_ante_vol_shift": 0.002637821476289738, "rescale_clipped_at_one": false, "rows_passed_in_production": 720, "understatement_factor_pure_T": 1.985601865761532 }, { "conservative": false, "delta_star_as_coded": 0.04101455623742832, "delta_star_reestimated_on_effective_window": 0.05086066325704736, "delta_star_rescaled_to_effective_T": 0.04649206801280103, "effective_sample_rows": 635.1724445300547, "halflife_bars": 252, "inverse_vol_weights_are_invariant": true, "max_ex_ante_vol_shift": 0.005112097374998409, "mean_ex_ante_vol_shift": 0.00067440695911878, "median_ex_ante_vol_shift": 0.00048537771290490107, "rescale_clipped_at_one": false, "rows_passed_in_production": 720, "understatement_factor_pure_T": 1.1335504337451332 }, { "conservative": false, "delta_star_as_coded": 0.06737510164995188, "delta_star_reestimated_on_effective_window": 0.08761750558376746, "delta_star_rescaled_to_effective_T": 0.07842888686062562, "effective_sample_rows": 618.523035704582, "halflife_bars": 504, "inverse_vol_weights_are_invariant": true, "max_ex_ante_vol_shift": 0.006610018411988283, "mean_ex_ante_vol_shift": 0.0012448709916552158, "median_ex_ante_vol_shift": 0.0009717397437041391, "rescale_clipped_at_one": false, "rows_passed_in_production": 720, "understatement_factor_pure_T": 1.1640633548592447 }, { "conservative": false, "delta_star_as_coded": 0.08160884576903019, "delta_star_reestimated_on_effective_window": 0.1479878967604686, "delta_star_rescaled_to_effective_T": 0.1142186423005888, "effective_sample_rows": 514.4376414409439, "halflife_bars": 720, "inverse_vol_weights_are_invariant": true, "max_ex_ante_vol_shift": 0.0383437117537494, "mean_ex_ante_vol_shift": 0.003607870569932673, "median_ex_ante_vol_shift": 0.0026170917598008856, "rescale_clipped_at_one": false, "rows_passed_in_production": 720, "understatement_factor_pure_T": 1.3995865426629246 } ], "rows": 720 } ], "claim_boundary": "Measures an approximation's error on real price data. Changes nothing, registers no hypothesis identity, and opens no return data on any untested identity. 0 trials.", "non_conservative_halflives": [ 21, 63, 126, 252, 504, 720 ], "production_setting": { "conservative": false, "delta_star_as_coded": 0.08160884576903019, "delta_star_reestimated_on_effective_window": 0.1479878967604686, "delta_star_rescaled_to_effective_T": 0.1142186423005888, "effective_sample_rows": 514.4376414409439, "halflife_bars": 720, "inverse_vol_weights_are_invariant": true, "max_ex_ante_vol_shift": 0.0383437117537494, "mean_ex_ante_vol_shift": 0.003607870569932673, "median_ex_ante_vol_shift": 0.0026170917598008856, "rescale_clipped_at_one": false, "rows_passed_in_production": 720, "understatement_factor_pure_T": 1.3995865426629246 }, "schema": "canli.alphac-ledoit-wolf-effective-sample.v1", "the_approximation": "ledoit_wolf_cc computes delta* = clip((pi - rho)/(gamma*T), 0, 1) with T = the rows PASSED. Production passes the full unweighted 720-row window while the matrix being shrunk is the EWMA covariance. Documented in the function's own docstring as the closest admissible sample.", "the_channel_the_error_travels": "NOT position sizing. The constant-correlation target shares S's diagonal, so this shrinkage cannot change a variance and inverse-vol weights \u2014 what the production `rank` allocator sizes on \u2014 are mathematically invariant to it. The error reaches the book only through quantities that use the off-diagonal: the overlay's ex-ante vol sqrt(w' Sigma w), which scales the whole book, and the MVO allocator, which is not the production default.", "verdict": "NOT CONSERVATIVE AT ANY HALFLIFE, BUT IMMATERIAL AT THE PRODUCTION SETTING (0.36% mean ex-ante vol error). It becomes MATERIAL at a short halflife: 4.46% mean and 38.1% worst case at 21 bars. Fix it BEFORE shortening the covariance halflife, not after.", "what_this_does_not_do": "It does not change the live path. Production runs the legacy 720-bar covariance halflife, and any change to it is gated by the live-change ceremony and is the owner's. This measures what a future halflife decision would be walking into.", "why_it_is_never_conservative": "The documented reasoning \u2014 that the unweighted window is the closest admissible sample \u2014 assumed the EWMA's effective sample could EXCEED the window. It cannot: ewma_cov is windowed at cov_window_bars, so its effective sample is bounded by the window at every halflife. Measured here it peaks at 635 rows against a T of 720 and falls to 514 at the production setting, so delta* is understated everywhere rather than only at short halflives.", "why_it_was_conservative": "A larger true T means a smaller true delta*, so using 720 when the estimator's effective sample EXCEEDS 720 over-shrinks slightly \u2014 and over-shrinking is the safe direction for a covariance estimate. The concern is the opposite case.", "worst_case_in_ladder": { "conservative": false, "delta_star_as_coded": 0.01830762159876317, "delta_star_reestimated_on_effective_window": 0.14851580315893076, "delta_star_rescaled_to_effective_T": 0.21752098841070172, "effective_sample_rows": 60.59869278555086, "halflife_bars": 21, "inverse_vol_weights_are_invariant": true, "max_ex_ante_vol_shift": 0.38077340016702277, "mean_ex_ante_vol_shift": 0.0446014452492797, "median_ex_ante_vol_shift": 0.03119630070740637, "rescale_clipped_at_one": false, "rows_passed_in_production": 720, "understatement_factor_pure_T": 11.881444415772556 } }