Input: data/baselines/eqmom_live_v1.csv (2006-08-14..2026-08-12, already net @10bps; config resid+sector+book+credit). Split 2016-01-01. Overlay turnover charged on top.
Condition [2] proxy-vs-book beta (C7)
| beta proxy | corr(beta_book, beta_proxy) | mean beta_proxy | mean |diff| | |---|---|---|---| | universe beta (old) | -0.372 | 0.946 | 0.379 | | selected beta (fix) | +0.684 | 1.141 | 0.204 | | book (reference) | +1.000 | 1.103 | 0.000 |
Proxy PASS if corr >= 0.70. The production fix uses the selected basket.
extra overlay cost = 10bps one-way
| Variant | OOS Ret | OOS SR | OOS maxDD | IS SR | boot-p vs D0 |
|---|---|---|---|---|---|
| D0 baseline | +1176.2% | 1.17 | -34.1% | 0.51 | - |
| D1 SPY>200d | +685.5% | 1.14 | -21.5% | 0.61 | 0.9072 |
| C7 hedge (universe beta (old)) | +934.3% | 1.22 | -25.7% | 0.52 | 0.8878 |
| C7 hedge (selected beta (fix)) | +932.4% | 1.22 | -25.7% | 0.52 | 0.8886 |
| C7 hedge (book beta) | +934.3% | 1.22 | -25.7% | 0.56 | 0.8878 |
| D1+C7 | +661.0% | 1.16 | -18.8% | 0.55 | 0.9216 |
extra overlay cost = 25bps one-way
| Variant | OOS Ret | OOS SR | OOS maxDD | IS SR | boot-p vs D0 |
|---|---|---|---|---|---|
| D0 baseline | +1176.2% | 1.17 | -34.1% | 0.51 | - |
| D1 SPY>200d | +624.4% | 1.10 | -21.9% | 0.55 | 0.9342 |
| C7 hedge (universe beta (old)) | +865.3% | 1.18 | -26.0% | 0.47 | 0.9372 |
| C7 hedge (selected beta (fix)) | +863.5% | 1.18 | -26.0% | 0.47 | 0.9386 |
| C7 hedge (book beta) | +865.3% | 1.18 | -26.0% | 0.52 | 0.9372 |
| D1+C7 | +564.8% | 1.09 | -20.7% | 0.45 | 0.9538 |
Read / vote rule
- Adopt an overlay only if OOS p<0.05 vs D0 OR a structural DD cut >=10pp with SR within -0.10, AND the edge survives net@25bps.
- D1 all-flat is the documented candidate; C7 book-beta is a best-case ceiling; the selected-beta row is what would actually ship.