{
  "claim_boundary": "retrospective public-factor risk-management evidence; no statistically confirmed alpha, security-level capacity, or live-trading claim",
  "costs": {
    "annualized_cost": 0.000622,
    "annualized_turnover": 7.130922,
    "claim_boundary": "transparent liquidity sensitivity; not venue calibration or capacity evidence",
    "commission_total": 0.002177,
    "half_spread_total": 0.00311,
    "impact_total": 0.000135,
    "maximum_participation": 3.5837e-05,
    "scenario": {
      "adv_notional_usd": 20000000000,
      "aum_usd": 1000000,
      "commission_bps": 0.35,
      "half_spread_bps": 0.5,
      "impact_eta_bps": 10.0
    },
    "total_cost": 0.005422
  },
  "empirical_observation": "the fixed rule reduced realized risk and drawdown and raised descriptive Sharpe versus the market and a static risk-matched baseline",
  "engineering_correctness": "source hash, strict t+1 chronology, cost identity, schema validation, and artifact hashes are executable gates",
  "fixed_specification": {
    "execution_clock": "next_session_t_plus_1",
    "lookback_sessions": 21,
    "maximum_exposure": 1.5,
    "selected_on_oos_performance": false,
    "signal_clock": "close_t",
    "target_volatility": 0.1
  },
  "investment_claim": "none",
  "market": {
    "annualized_return": 0.151388,
    "annualized_volatility": 0.192519,
    "calmar": 0.442443,
    "max_drawdown": -0.342163,
    "observations": 2198,
    "sharpe": 0.829031,
    "total_return": 2.419698,
    "worst_day": -0.12
  },
  "sample": {
    "calibration_end": "2016-12-30",
    "calibration_start": "2010-01-04",
    "oos_end": "2025-09-30",
    "oos_observations": 2198,
    "oos_start": "2017-01-03",
    "walk_forward_folds": 9
  },
  "schema_version": "microalpha.market-risk-case.v1",
  "selection_control": {
    "benchmark": "explicit_return_series",
    "best_candidate": "lookback_21",
    "block_length": 15,
    "candidate_statistics": {
      "lookback_126": -0.844117332844,
      "lookback_21": 0.405205936946,
      "lookback_42": 0.234799095169,
      "lookback_63": -0.265790319649
    },
    "method": "stationary",
    "null": "no_candidate_outperforms_benchmark",
    "null_centered": true,
    "num_bootstrap": 1999,
    "num_candidates": 4,
    "num_observations": 2198,
    "observed_statistic": 0.405205936946,
    "p_value": 0.4665,
    "synchronous_resampling": true,
    "test": "centered_synchronous_max_statistic"
  },
  "static_risk_matched": {
    "annualized_return": 0.106693,
    "annualized_volatility": 0.120324,
    "calmar": 0.476814,
    "max_drawdown": -0.223763,
    "observations": 2198,
    "sharpe": 0.902965,
    "total_return": 1.421117,
    "weight": 0.625002,
    "worst_day": -0.074963
  },
  "strategy_gross": {
    "annualized_return": 0.118424,
    "annualized_volatility": 0.113689,
    "calmar": 0.774158,
    "max_drawdown": -0.152972,
    "observations": 2198,
    "sharpe": 1.041701,
    "total_return": 1.654346,
    "worst_day": -0.04985
  },
  "strategy_net": {
    "annualized_return": 0.117729,
    "annualized_volatility": 0.11369,
    "calmar": 0.768976,
    "max_drawdown": -0.153099,
    "observations": 2198,
    "sharpe": 1.036225,
    "total_return": 1.639997,
    "worst_day": -0.04985
  },
  "stressed_5x_cost": {
    "annualized_return": 0.114954,
    "annualized_volatility": 0.113694,
    "calmar": 0.748363,
    "max_drawdown": -0.153608,
    "observations": 2198,
    "sharpe": 1.014318,
    "total_return": 1.583369,
    "worst_day": -0.04985
  },
  "study": "fixed_market_volatility_targeting",
  "uncertainty": {
    "annualized_return_95_ci": [
      0.036292,
      0.203096
    ],
    "block_length": 15,
    "draws": 999,
    "method": "stationary_block_bootstrap",
    "sharpe_95_ci": [
      0.36007,
      1.735614
    ]
  }
}