| Leg | OOS Sharpe | OOS Ret | OOS MaxDD |
|---|
| overnight-only | 1.37 | +12.42% | -6.65% |
| intraday-only | 1.00 | +22.93% | -14.02% |
| close-close check | 1.79 | +63.43% | -14.05% |
earn-window days: 1555 (30.9%), mean +13.34bps/d vs other +5.66bps/d, share of cum P&L: +51.3%
| Lead | Sharpe | Ret | MaxDD | p |
|---|
| TLT | -0.54 | -61.03% | -69.59% | 0.962 |
| GLD | -0.27 | -39.06% | -49.72% | 0.803 |
- Overnight/intraday split: REJECT as new sleeve (both legs positive; overnight 1.37/-6.7% vs intraday 1.00/-14.0% � decomposition insight only, economically small at +12%/+23% over 10.6y).
- Earnings exclusion: REJECT decisively (earn-window days earn +13.3bps/d vs +5.7bps/d, 51% of cum P&L � exclusion would remove the alpha).
- TLT/GLD leads: REJECT (-0.54/-0.27, p 0.80-0.96).