Account allocation and reproducibility
A simulated research account, not actual account performance. Advantage unconfirmed. Calculated: 11/5/2026, 4:50:26 PM JST
U.S. USD account
Reference market date: 2026-11-04. Recalculated from stored prices. Individual ETF details show consistency with published allocations.
- Investment / cash weights
- 52.12% / 47.88%
- Estimated annualized volatility
- 9.56%
- Approximate gross / net exposure
- 150.00% / 91.09%
- LONG directions / positive allocations
- 7 / 7
- Common covariance observations
- 60 (60-session window; minimum 40 observations)
- Allocation status
- VALID
Gross = Σ weight × absolute leverage; net = Σ weight × signed leverage. Netting does not bypass the gross limit. Net exposure across different underlying assets is not an exact hedge measure.
Group allocation: Semiconductors 18.68% / Information technology 0.00% / Financials 14.33% / S&P500 14.33% / Single stock 4.78% / Nasdaq-100 0.00%
Awaiting eligibility: SPCH, SSPC. Retrieval failures for existing products suspend account allocation; their allocation is not redistributed to other products.
Backtests
A–C use S&P500 (SPY / SPXL / SPXS), with a 100% target in a single-underlying comparison. D applies current constraints to the whole account. CAGRs over different periods are not ranked. PARTIAL means a partial evaluation through the stopping date.
D Whole account under current constraints · Available period · standard · PARTIAL
2013-11-14–2026-03-09 / 3095 trading sessions / Unavailable allocation decisions: 65 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| 87.95% | 5.26% | -29.74% | 14.71% | 0.42 | 0.57 | 0.18 |
Longest underwater period: 921 calendar days (not recovered at the end) / Turnover: 137.55x / Costs: 1,954.37 USD
Average invested weight: 36.89% / Average cash weight: 63.07% / Completed episodes: 414 / Win rate: 40.34%
Worst day: -7.89% / Worst month: -12.44% / Inverse ETF P&L contribution (including costs): -9,058.18
Missing data / execution constraints: 68 entries
- 2016-09-01 Allocation decision unavailable; existing holdings retained
- 2016-09-21 Allocation decision unavailable; existing holdings retained
- 2016-09-27 Allocation decision unavailable; existing holdings retained
- 2016-10-07 Allocation decision unavailable; existing holdings retained
- 2016-10-18 Allocation decision unavailable; existing holdings retained
- 2016-10-21 Allocation decision unavailable; existing holdings retained
- 2016-11-28 Allocation decision unavailable; existing holdings retained
- 2016-12-23 Allocation decision unavailable; existing holdings retained
- 2016-12-27 Allocation decision unavailable; existing holdings retained
- 2017-05-08 Allocation decision unavailable; existing holdings retained
- 2017-05-31 Allocation decision unavailable; existing holdings retained
- 2018-05-02 SOXS No fill: opening price unverified
- 2018-05-03 Allocation decision unavailable; existing holdings retained
- 2018-08-09 Allocation decision unavailable; existing holdings retained
- 2024-04-02 Allocation decision unavailable; existing holdings retained
- 2024-04-03 Allocation decision unavailable; existing holdings retained
- 2024-04-04 Allocation decision unavailable; existing holdings retained
- 2024-04-05 Allocation decision unavailable; existing holdings retained
- 2024-04-08 Allocation decision unavailable; existing holdings retained
- 2026-03-10 TSLS Fractional-share handling for splits or reverse splits is unverified
D Whole account under current constraints · Available period · high · PARTIAL
2013-11-14–2026-03-09 / 3095 trading sessions / Unavailable allocation decisions: 65 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| 34.38% | 2.43% | -35.40% | 14.70% | 0.24 | 0.32 | 0.07 |
Longest underwater period: 1526 calendar days (not recovered at the end) / Turnover: 134.19x / Costs: 5,730.62 USD
Average invested weight: 36.84% / Average cash weight: 63.12% / Completed episodes: 414 / Win rate: 39.37%
Worst day: -7.68% / Worst month: -13.75% / Inverse ETF P&L contribution (including costs): -8,962.62
Missing data / execution constraints: 68 entries
- 2016-09-01 Allocation decision unavailable; existing holdings retained
- 2016-09-21 Allocation decision unavailable; existing holdings retained
- 2016-09-27 Allocation decision unavailable; existing holdings retained
- 2016-10-07 Allocation decision unavailable; existing holdings retained
- 2016-10-18 Allocation decision unavailable; existing holdings retained
- 2016-10-21 Allocation decision unavailable; existing holdings retained
- 2016-11-28 Allocation decision unavailable; existing holdings retained
- 2016-12-23 Allocation decision unavailable; existing holdings retained
- 2016-12-27 Allocation decision unavailable; existing holdings retained
- 2017-05-08 Allocation decision unavailable; existing holdings retained
- 2017-05-31 Allocation decision unavailable; existing holdings retained
- 2018-05-02 SOXS No fill: opening price unverified
- 2018-05-03 Allocation decision unavailable; existing holdings retained
- 2018-08-09 Allocation decision unavailable; existing holdings retained
- 2024-04-02 Allocation decision unavailable; existing holdings retained
- 2024-04-03 Allocation decision unavailable; existing holdings retained
- 2024-04-04 Allocation decision unavailable; existing holdings retained
- 2024-04-05 Allocation decision unavailable; existing holdings retained
- 2024-04-08 Allocation decision unavailable; existing holdings retained
- 2026-03-10 TSLS Fractional-share handling for splits or reverse splits is unverified
D Whole account under current constraints · Common period for all products · · BLOCKED
No common history is available for all products. Available periods are evaluated separately.
D Whole account under current constraints · Recent clean interval (separate test with capital reset) · standard · OK
2026-07-16–2026-11-04 / 79 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| 1.05% | 3.46% | -6.78% | 13.97% | 0.31 | 0.44 | 0.51 |
Longest underwater period: 83 calendar days (not recovered at the end) / Turnover: 3.7x / Costs: 37.66 USD
Average invested weight: 47.24% / Average cash weight: 52.74% / Completed episodes: 15 / Win rate: 40.00%
Worst day: -2.45% / Worst month: -3.21% / Inverse ETF P&L contribution (including costs): 14.52
Missing data / execution constraints: 0 entries
D Whole account under current constraints · Recent clean interval (separate test with capital reset) · high · OK
2026-07-16–2026-11-04 / 79 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| -0.01% | -0.04% | -7.35% | 13.81% | 0.07 | 0.09 | -0.01 |
Longest underwater period: 83 calendar days (not recovered at the end) / Turnover: 3.59x / Costs: 127.29 USD
Average invested weight: 46.97% / Average cash weight: 53.00% / Completed episodes: 15 / Win rate: 40.00%
Worst day: -2.46% / Worst month: -3.57% / Inverse ETF P&L contribution (including costs): -3.26
Missing data / execution constraints: 0 entries
A Ordinary ETF buy and hold · Common start date for a single index · standard · OK
2013-11-14–2026-11-04 / 3262 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| 363.81% | 12.55% | -30.76% | 15.45% | 0.85 | 1.19 | 0.41 |
Longest underwater period: 708 calendar days (not recovered at the end) / Turnover: 0.44x / Costs: 9.82 USD
Average invested weight: 91.95% / Average cash weight: 7.92% / Completed episodes: 0 / Win rate: Not calculated
Worst day: -9.77% / Worst month: -11.30% / Inverse ETF P&L contribution (including costs): 0
Missing data / execution constraints: 0 entries
A Ordinary ETF buy and hold · Common start date for a single index · high · OK
2013-11-14–2026-11-04 / 3262 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| 363.56% | 12.55% | -30.80% | 15.47% | 0.84 | 1.19 | 0.41 |
Longest underwater period: 708 calendar days (not recovered at the end) / Turnover: 0.44x / Costs: 34.39 USD
Average invested weight: 92.08% / Average cash weight: 7.80% / Completed episodes: 0 / Win rate: Not calculated
Worst day: -9.79% / Worst month: -11.31% / Inverse ETF P&L contribution (including costs): 0
Missing data / execution constraints: 0 entries
B Bull ETF / cash switching · Common start date for a single index · standard · OK
2013-11-14–2026-11-04 / 3262 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| 748.91% | 17.92% | -55.68% | 34.39% | 0.65 | 0.89 | 0.32 |
Longest underwater period: 924 calendar days (not recovered at the end) / Turnover: 59.18x / Costs: 1,845.48 USD
Average invested weight: 82.55% / Average cash weight: 17.40% / Completed episodes: 38 / Win rate: 31.58%
Worst day: -17.33% / Worst month: -29.32% / Inverse ETF P&L contribution (including costs): 0
Missing data / execution constraints: 0 entries
B Bull ETF / cash switching · Common start date for a single index · high · OK
2013-11-14–2026-11-04 / 3262 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| 601.52% | 16.20% | -57.83% | 34.39% | 0.61 | 0.83 | 0.28 |
Longest underwater period: 1087 calendar days (not recovered at the end) / Turnover: 60.01x / Costs: 5,749.91 USD
Average invested weight: 82.50% / Average cash weight: 17.45% / Completed episodes: 38 / Win rate: 28.95%
Worst day: -17.33% / Worst month: -29.36% / Inverse ETF P&L contribution (including costs): 0
Missing data / execution constraints: 0 entries
C Bull / inverse ETF switching · Common start date for a single index · standard · OK
2013-11-14–2026-11-04 / 3262 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| 93.07% | 5.20% | -70.26% | 47.85% | 0.35 | 0.48 | 0.07 |
Longest underwater period: 1766 calendar days (not recovered at the end) / Turnover: 121.54x / Costs: 1,695 USD
Average invested weight: 92.72% / Average cash weight: 7.21% / Completed episodes: 80 / Win rate: 27.50%
Worst day: -27.78% / Worst month: -33.72% / Inverse ETF P&L contribution (including costs): -19,380.32
Missing data / execution constraints: 0 entries
C Bull / inverse ETF switching · Common start date for a single index · high · OK
2013-11-14–2026-11-04 / 3262 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| 36.35% | 2.42% | -73.55% | 47.85% | 0.29 | 0.4 | 0.03 |
Longest underwater period: 1766 calendar days (not recovered at the end) / Turnover: 122.14x / Costs: 4,968.72 USD
Average invested weight: 92.71% / Average cash weight: 7.22% / Completed episodes: 81 / Win rate: 23.46%
Worst day: -27.78% / Worst month: -34.08% / Inverse ETF P&L contribution (including costs): -18,090.12
Missing data / execution constraints: 0 entries
Frequency of hitting the instrument cap: 77.39% (across 8759 instrument-days with valid LONG sizing). Base allocations reach the cap below approximately 83.3% annualized volatility for ordinary products and 500% for single-stock products. Account constraints may reduce final weights further.
Changes in eligible holdings
- 2013-11-04: No eligible holdings
- 2013-11-13: SOXL, SPXL, SPXS, SQQQ, TECL, TQQQ
- 2015-07-02: SOXL, SPXL, SPXS, SQQQ, TECL, TECS, TQQQ
- 2018-04-30: SOXL, SOXS, SPXL, SPXS, SQQQ, TECL, TECS, TQQQ
- 2022-09-27: FAZ, SOXL, SOXS, SPXL, SPXS, SQQQ, TECL, TECS, TQQQ
- 2022-09-28: FAS, FAZ, SOXL, SOXS, SPXL, SPXS, SQQQ, TECL, TECS, TQQQ
- 2022-10-05: FAS, FAZ, SOXL, SOXS, SPXL, SPXS, SQQQ, TECL, TECS, TQQQ, TSLL
- 2022-10-06: FAS, FAZ, SOXL, SOXS, SPXL, SPXS, SQQQ, TECL, TECS, TQQQ, TSLL, TSLS
- 2023-02-10: FAS, FAZ, NVDL, SOXL, SOXS, SPXL, SPXS, SQQQ, TECL, TECS, TQQQ, TSLL, TSLS
- 2023-11-08: FAS, FAZ, NVDD, NVDL, SOXL, SOXS, SPXL, SPXS, SQQQ, TECL, TECS, TQQQ, TSLL, TSLS
- 2024-12-06: FAS, FAZ, MUU, NVDD, NVDL, SOXL, SOXS, SPXL, SPXS, SQQQ, TECL, TECS, TQQQ, TSLL, TSLS
- 2024-12-23: FAS, FAZ, MUD, MUU, NVDD, NVDL, SOXL, SOXS, SPXL, SPXS, SQQQ, TECL, TECS, TQQQ, TSLL, TSLS
Hypothetical stress tests
Immediate mark-to-market results with recalculated weights held fixed. These are assumptions, not forecast probabilities, and exclude stop-loss execution and trading costs.
All held ETFs fall 20% simultaneously (correlation breakdown): -10.42%
All held ETFs fall 30% at the next open: -15.64%
Post-publication simulated performance
Record under review
Period: 2026-10-27–2026-11-04 / Total return: 0.02% / Allocations published at the time are held fixed. Execution and valuation prices use the currently stored version and may reflect later price corrections.
Japan JPY account
Reference market date: 2026-11-05. Recalculated from stored prices. Individual ETF details show consistency with published allocations.
- Investment / cash weights
- 30.00% / 70.00%
- Estimated annualized volatility
- 14.25%
- Approximate gross / net exposure
- 60.00% / 60.00%
- LONG directions / positive allocations
- 1 / 1
- Common covariance observations
- 60 (60-session window; minimum 40 observations)
- Allocation status
- VALID
Gross = Σ weight × absolute leverage; net = Σ weight × signed leverage. Netting does not bypass the gross limit. Net exposure across different underlying assets is not an exact hedge measure.
Group allocation: Japanese equities 30.00%
Awaiting eligibility: None. Retrieval failures for existing products suspend account allocation; their allocation is not redistributed to other products.
Backtests
A–C use Nikkei 225 (1321.T / 1570 / 1357), with a 100% target in a single-underlying comparison. D applies current constraints to the whole account. CAGRs over different periods are not ranked. PARTIAL means a partial evaluation through the stopping date.
D Whole account under current constraints · Available period · standard · PARTIAL
2013-11-25–2024-12-13 / 2702 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| 6.66% | 0.59% | -29.90% | 11.59% | 0.11 | 0.16 | 0.02 |
Longest underwater period: 2884 calendar days (not recovered at the end) / Turnover: 80.98x / Costs: 76,801.02 JPY
Average invested weight: 28.08% / Average cash weight: 71.92% / Completed episodes: 122 / Win rate: 67.21%
Worst day: -4.84% / Worst month: -8.25% / Inverse ETF P&L contribution (including costs): -368,760.15
Missing data / execution constraints: 1 entries
- 2024-12-16 1357 Fractional-share handling for splits or reverse splits is unverified
D Whole account under current constraints · Available period · high · PARTIAL
2013-11-25–2024-12-13 / 2702 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| -12.24% | -1.17% | -35.93% | 11.59% | -0.05 | -0.07 | -0.03 |
Longest underwater period: 3706 calendar days (not recovered at the end) / Turnover: 79.56x / Costs: 243,210.55 JPY
Average invested weight: 28.05% / Average cash weight: 71.95% / Completed episodes: 122 / Win rate: 63.11%
Worst day: -4.96% / Worst month: -8.26% / Inverse ETF P&L contribution (including costs): -423,044.26
Missing data / execution constraints: 1 entries
- 2024-12-16 1357 Fractional-share handling for splits or reverse splits is unverified
D Whole account under current constraints · Common period for all products · standard · PARTIAL
2014-09-12–2024-12-13 / 2505 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| 0.39% | 0.04% | -30.10% | 11.91% | 0.06 | 0.09 | 0 |
Longest underwater period: 2886 calendar days (not recovered at the end) / Turnover: 75.82x / Costs: 67,220.88 JPY
Average invested weight: 29.77% / Average cash weight: 70.23% / Completed episodes: 114 / Win rate: 64.91%
Worst day: -4.92% / Worst month: -8.25% / Inverse ETF P&L contribution (including costs): -349,826.35
Missing data / execution constraints: 1 entries
- 2024-12-16 1357 Fractional-share handling for splits or reverse splits is unverified
D Whole account under current constraints · Common period for all products · high · PARTIAL
2014-09-12–2024-12-13 / 2505 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| -15.91% | -1.68% | -35.65% | 11.94% | -0.09 | -0.13 | -0.05 |
Longest underwater period: 3706 calendar days (not recovered at the end) / Turnover: 74.6x / Costs: 215,685.8 JPY
Average invested weight: 29.75% / Average cash weight: 70.25% / Completed episodes: 114 / Win rate: 60.53%
Worst day: -4.78% / Worst month: -8.27% / Inverse ETF P&L contribution (including costs): -401,398.5
Missing data / execution constraints: 1 entries
- 2024-12-16 1357 Fractional-share handling for splits or reverse splits is unverified
D Whole account under current constraints · Recent clean interval (separate test with capital reset) · standard · OK
2024-12-17–2026-11-05 / 457 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| -26.32% | -14.95% | -35.93% | 15.93% | -0.98 | -1.3 | -0.42 |
Longest underwater period: 528 calendar days (not recovered at the end) / Turnover: 9.91x / Costs: 8,657.87 JPY
Average invested weight: 29.67% / Average cash weight: 70.33% / Completed episodes: 12 / Win rate: 58.33%
Worst day: -4.14% / Worst month: -9.16% / Inverse ETF P&L contribution (including costs): -275,958.48
Missing data / execution constraints: 0 entries
D Whole account under current constraints · Recent clean interval (separate test with capital reset) · high · OK
2024-12-17–2026-11-05 / 457 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| -27.87% | -15.90% | -36.43% | 15.96% | -1.05 | -1.39 | -0.44 |
Longest underwater period: 528 calendar days (not recovered at the end) / Turnover: 9.92x / Costs: 29,852.68 JPY
Average invested weight: 29.73% / Average cash weight: 70.27% / Completed episodes: 12 / Win rate: 58.33%
Worst day: -4.18% / Worst month: -9.06% / Inverse ETF P&L contribution (including costs): -282,991.59
Missing data / execution constraints: 0 entries
A Ordinary ETF buy and hold · Common start date for a single index · standard · OK
2014-09-12–2024-12-13 / 2505 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| 175.20% | 10.37% | -29.11% | 19.10% | 0.63 | 0.89 | 0.36 |
Longest underwater period: 818 calendar days (not recovered at the end) / Turnover: 0.6x / Costs: 987.14 JPY
Average invested weight: 94.00% / Average cash weight: 5.88% / Completed episodes: 0 / Win rate: Not calculated
Worst day: -10.23% / Worst month: -9.91% / Inverse ETF P&L contribution (including costs): 0
Missing data / execution constraints: 0 entries
A Ordinary ETF buy and hold · Common start date for a single index · high · OK
2014-09-12–2024-12-13 / 2505 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| 174.96% | 10.36% | -29.16% | 19.13% | 0.63 | 0.89 | 0.36 |
Longest underwater period: 818 calendar days (not recovered at the end) / Turnover: 0.6x / Costs: 3,456.9 JPY
Average invested weight: 94.15% / Average cash weight: 5.73% / Completed episodes: 0 / Win rate: Not calculated
Worst day: -10.24% / Worst month: -9.93% / Inverse ETF P&L contribution (including costs): 0
Missing data / execution constraints: 0 entries
B Bull ETF / cash switching · Common start date for a single index · standard · OK
2014-09-12–2024-12-13 / 2505 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| 188.19% | 10.87% | -43.41% | 28.77% | 0.51 | 0.75 | 0.25 |
Longest underwater period: 1060 calendar days / Turnover: 133.06x / Costs: 179,983.83 JPY
Average invested weight: 33.07% / Average cash weight: 66.93% / Completed episodes: 57 / Win rate: 73.68%
Worst day: -16.01% / Worst month: -21.00% / Inverse ETF P&L contribution (including costs): 0
Missing data / execution constraints: 0 entries
B Bull ETF / cash switching · Common start date for a single index · high · OK
2014-09-12–2024-12-13 / 2505 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| 115.78% | 7.79% | -43.59% | 28.80% | 0.41 | 0.6 | 0.18 |
Longest underwater period: 2046 calendar days / Turnover: 129.13x / Costs: 529,040.07 JPY
Average invested weight: 33.06% / Average cash weight: 66.94% / Completed episodes: 57 / Win rate: 68.42%
Worst day: -16.11% / Worst month: -21.02% / Inverse ETF P&L contribution (including costs): 0
Missing data / execution constraints: 0 entries
C Bull / inverse ETF switching · Common start date for a single index · standard · PARTIAL
2014-09-12–2024-12-13 / 2505 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| -19.43% | -2.08% | -73.34% | 39.31% | 0.14 | 0.21 | -0.03 |
Longest underwater period: 3705 calendar days (not recovered at the end) / Turnover: 191.43x / Costs: 115,663.54 JPY
Average invested weight: 96.17% / Average cash weight: 3.83% / Completed episodes: 97 / Win rate: 63.92%
Worst day: -16.13% / Worst month: -25.41% / Inverse ETF P&L contribution (including costs): -954,803.43
Missing data / execution constraints: 1 entries
- 2024-12-16 1357 Fractional-share handling for splits or reverse splits is unverified
C Bull / inverse ETF switching · Common start date for a single index · high · PARTIAL
2014-09-12–2024-12-13 / 2505 trading sessions / Unavailable allocation decisions: 0 days
| Total return | CAGR | Maximum drawdown | Annualized volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| -48.64% | -6.29% | -78.98% | 39.27% | 0.03 | 0.04 | -0.08 |
Longest underwater period: 3705 calendar days (not recovered at the end) / Turnover: 182.39x / Costs: 322,079.04 JPY
Average invested weight: 96.03% / Average cash weight: 3.97% / Completed episodes: 97 / Win rate: 59.79%
Worst day: -16.03% / Worst month: -25.40% / Inverse ETF P&L contribution (including costs): -936,023.68
Missing data / execution constraints: 1 entries
- 2024-12-16 1357 Fractional-share handling for splits or reverse splits is unverified
Frequency of hitting the instrument cap: 98.24% (across 3007 instrument-days with valid LONG sizing). Base allocations reach the cap below approximately 83.3% annualized volatility for ordinary products and 500% for single-stock products. Account constraints may reduce final weights further.
Changes in eligible holdings
- 2013-11-12: No eligible holdings
- 2013-11-22: 1570
- 2014-09-11: 1357, 1570
Hypothetical stress tests
Immediate mark-to-market results with recalculated weights held fixed. These are assumptions, not forecast probabilities, and exclude stop-loss execution and trading costs.
All held ETFs fall 20% simultaneously (correlation breakdown): -6.00%
All held ETFs fall 30% at the next open: -9.00%
Post-publication simulated performance
Record under review
Period: 2026-10-26–2026-11-05 / Total return: -1.03% / Allocations published at the time are held fixed. Execution and valuation prices use the currently stored version and may reflect later price corrections.
Assumptions and limitations
October 24, 2026: Japanese ETF distribution units, splits, reverse splits and missing sessions, and the cancelled MUD reverse-split event were reconciled with original sources, corrected and recalculated. Sessions without verified volume are not used for orders or model decisions. Existing holdings are valued only using actual closes that pass validation. Cumulative evaluation stops where cash-in-lieu amounts for reverse-split fractions are unverified.
Quantities are fixed at the previous close and executed at the next session’s open. Reallocation requires a difference of at least 1 percentage point; a full exit to CASH is executed even for small positions. Quantities round down to whole trading units, with no additional minimum trade value. Unexecuted sale proceeds are not spent in advance; purchases are reduced if opening cash is insufficient.
Standard costs are 2 bp commission, 3 bp half-spread and 5 bp slippage; high costs are 10, 10 and 15 bp. Distributions are receivables converted to cash after 30 calendar days. Cash interest assumes a fixed annual rate of 0.00% (historical rates unavailable). Expenses embedded in prices are not deducted again.
CAGR uses calendar time. Volatility and Sharpe use 252 trading sessions and sample standard deviation. Sortino uses the root mean square of negative daily returns; Calmar is CAGR divided by absolute maximum drawdown. Turnover is total traded value divided by average NAV. Worst-month results include incomplete boundary months. Each flat-to-flat episode counts once, including partial sales; open episodes are excluded from win rate.
Evaluation stops for verification when a distribution exceeds 25% of price, a conservative rule that also covers special distributions. This is a retrospective evaluation using stored revised prices. Applying the current universe to the past introduces survivorship and hindsight-selection bias. No synthetic pre-listing values are used. A comprehensive reconciliation of historical leverage multiples is unverified. Taxes, order books and market impact are not modeled. No parameter selection was performed. An annual volatility cap is not a loss limit.