{
 "artifact": "corrly-concentration-report-sample",
 "kind": "calculation summary (output record; not a reproducible input snapshot)",
 "generated": "2026-07-12",
 "retrieved_utc": "2026-07-12T16:55:01+00:00",
 "provider": "fmp",
 "data": {
  "series": "daily adjusted closes",
  "window": [
   "2024-07-08",
   "2026-07-10"
  ],
  "trading_days": 504,
  "return_days": 503,
  "snapshot_sha256_16": "0a1ea644f957f02f",
  "note": "figures are snapshot-specific; re-pulls from the provider may shift adjusted closes and therefore dates/values at the margin"
 },
 "method": {
  "covariance": "sample covariance of daily simple returns, annualized x252 (all DISPLAYED metrics; min-vol weight SELECTION used EWMA \u2014 see minvol)",
  "risk_contribution": "Euler: w_i*(Cov w)_i / w'Cov w",
  "effective_positions": "entropy effective number of variance-contribution bets (exp of Shannon entropy of clipped, renormalized contributions); NOT the Choueifaty diversification ratio",
  "dollar_convention": "all dollar figures are current-value equivalents: pct outcomes of a daily-rebalanced constant-weight backcast multiplied by the illustrative current value; not a dated holdings path or realized account loss",
  "range_126d": "Gaussian reference interval: 126d mean +/- 1.96 sigma, from sample mean/std of daily returns; NOT a confidence interval; normality not assumed valid",
  "rolling_126d": "empirical rolling 126-trading-day compounded returns over the window",
  "minvol": "TWO-STAGE: weights SELECTED by engine min_volatility_allocation using 180-day EWMA covariance, per-asset bounds 5%-40%, L2 regularization gamma=0.1 (engine defaults); resulting weights then SCORED here under sample covariance like all other figures. The 12.4% is therefore a sample-covariance score of EWMA-selected weights, not the sample-covariance minimum. In-sample, illustrative of allocation effect only.",
  "risk_free": "engine DEFAULT_RF"
 },
 "figures": {
  "portfolio_value_illustrative": 1240000,
  "weights": {
   "MSFT": 0.55,
   "QQQ": 0.15,
   "SPY": 0.15,
   "VTI": 0.1,
   "BND": 0.05
  },
  "minvol_weights_unrounded": {
   "MSFT": 0.13678136781367814,
   "QQQ": 0.13432134321343212,
   "SPY": 0.20103201032010318,
   "VTI": 0.1991419914199142,
   "BND": 0.3287232872328723
  },
  "current": {
   "vol_annual_sample": 0.1979,
   "total_return_window": 0.0438,
   "risk_contributions": {
    "MSFT": 0.6942,
    "QQQ": 0.1342,
    "SPY": 0.1028,
    "VTI": 0.0682,
    "BND": 0.0006
   },
   "effective_positions": 2.57,
   "max_drawdown": -0.2328,
   "dd_peak": "2025-10-28",
   "dd_trough": "2026-03-27",
   "gauss_126d_range_usd": [
    -315000.0,
    365000.0
   ],
   "rolling_126d_worst_best_usd": [
    -238000.0,
    525000.0,
    378
   ]
  },
  "minvol": {
   "vol_annual_sample": 0.124,
   "risk_contributions": {
    "MSFT": 0.2149,
    "QQQ": 0.2278,
    "SPY": 0.2658,
    "VTI": 0.2639,
    "BND": 0.0276
   },
   "effective_positions": 4.35,
   "max_drawdown": -0.1382,
   "dd_peak": "2024-12-06",
   "dd_trough": "2025-04-08",
   "gauss_126d_range_usd": [
    -158000.0,
    269000.0
   ]
  },
  "equity_sleeve": {
   "avg_pairwise_corr": 0.966,
   "spy_vti_corr": 0.996
  },
  "expense_ratios_sponsor_disclosed": {
   "MSFT": 0.0,
   "QQQ": 0.0018,
   "SPY": 0.000945,
   "VTI": 0.0003,
   "BND": 0.0003
  },
  "weighted_expense_ratio": 0.000457,
  "stress_days": {
   "2026-01-29": {
    "portfolio": -0.0564,
    "usd": -69900.0,
    "by_ticker": {
     "MSFT": -0.0999,
     "QQQ": -0.006,
     "SPY": -0.002,
     "VTI": -0.0023,
     "BND": 0.0001
    }
   },
   "2025-04-04": {
    "portfolio": -0.0435,
    "usd": -53900.0,
    "by_ticker": {
     "MSFT": -0.0356,
     "QQQ": -0.0621,
     "SPY": -0.0585,
     "VTI": -0.0587,
     "BND": 0.0008
    }
   },
   "2024-10-31": {
    "portfolio": -0.0419,
    "usd": -51900.0,
    "by_ticker": {
     "MSFT": -0.0605,
     "QQQ": -0.0252,
     "SPY": -0.0196,
     "VTI": -0.0186,
     "BND": -0.0001
    }
   }
  }
 }
}