{ "analysis_1_serial_correlation": { "ljung_box": { "lag_1": { "lb_stat": 0.0922, "p_value": 0.761444, "significant_5pct": false }, "lag_5": { "lb_stat": 7.1803, "p_value": 0.207576, "significant_5pct": false }, "lag_10": { "lb_stat": 15.5325, "p_value": 0.113819, "significant_5pct": false }, "lag_20": { "lb_stat": 27.8027, "p_value": 0.114154, "significant_5pct": false } }, "autocorrelation_lag1": -0.0087, "autocorrelation_lag1_flag": "LOW", "autocorrelation_profile": { "lag_1": -0.0087, "lag_2": -0.0097, "lag_3": 0.0333, "lag_4": -0.005, "lag_5": 0.0676, "lag_6": -0.0414, "lag_7": -0.0231, "lag_8": 0.0026, "lag_9": 0.0457, "lag_10": 0.0507 }, "jarque_bera": { "statistic": 649.672, "p_value": 8.423905e-142, "reject_normality": "True", "skewness": -0.8149, "excess_kurtosis": 3.1926 }, "zero_returns": { "exact_zero_pct": 0.0, "near_zero_pct": 0.24, "count": 0, "total_obs": 1225, "flag": "LOW" }, "runs_test": { "z_statistic": 1.3669, "p_value": 0.171669, "reject_randomness": "False" }, "consecutive_runs": { "max_run": 22, "avg_run_length": 2.18 }, "interpretation": "Fraud screening flags: AC1=low, Zero-returns=low, Normality=rejected, Randomness=not rejected" }, "analysis_2_capacity_decay": { "assumptions": { "current_aum_millions": 64.0, "claimed_eth_capacity_millions": 200.0, "claimed_total_capacity_millions": 300.0, "monthly_turnover": 250, "gross_alpha_annualized_pct": 237.0, "base_impact_bps_at_64m": 10, "impact_model": "square-root (Almgren-Chriss): impact_bps = base_bps * sqrt(AUM / 64M)" }, "decay_schedule": [ { "aum_millions": 64.0, "effective_impact_bps": 10.0, "annual_volume_millions": 192000.0, "impact_cost_millions": 192.0, "impact_as_pct_of_aum": 300.0, "net_alpha_pct": -63.0, "alpha_decay_pct": 126.6 }, { "aum_millions": 128.0, "effective_impact_bps": 14.1, "annual_volume_millions": 384000.0, "impact_cost_millions": 543.06, "impact_as_pct_of_aum": 424.3, "net_alpha_pct": -187.3, "alpha_decay_pct": 179.0 }, { "aum_millions": 200.0, "effective_impact_bps": 17.7, "annual_volume_millions": 600000.0, "impact_cost_millions": 1060.66, "impact_as_pct_of_aum": 530.3, "net_alpha_pct": -293.3, "alpha_decay_pct": 223.8 }, { "aum_millions": 320.0, "effective_impact_bps": 22.4, "annual_volume_millions": 960000.0, "impact_cost_millions": 2146.63, "impact_as_pct_of_aum": 670.8, "net_alpha_pct": -433.8, "alpha_decay_pct": 283.0 }, { "aum_millions": 500.0, "effective_impact_bps": 28.0, "annual_volume_millions": 1500000.0, "impact_cost_millions": 4192.63, "impact_as_pct_of_aum": 838.5, "net_alpha_pct": -601.5, "alpha_decay_pct": 353.8 }, { "aum_millions": 640.0, "effective_impact_bps": 31.6, "annual_volume_millions": 1920000.0, "impact_cost_millions": 6071.57, "impact_as_pct_of_aum": 948.7, "net_alpha_pct": -711.7, "alpha_decay_pct": 400.3 } ], "breakeven_aum_millions": 39.9, "sensitivity_at_200m": [ { "base_impact_bps": 2, "effective_impact_bps_at_200m": 3.5, "impact_cost_pct": 106.1, "net_alpha_pct": 130.9 }, { "base_impact_bps": 5, "effective_impact_bps_at_200m": 8.8, "impact_cost_pct": 265.2, "net_alpha_pct": -28.2 }, { "base_impact_bps": 10, "effective_impact_bps_at_200m": 17.7, "impact_cost_pct": 530.3, "net_alpha_pct": -293.3 }, { "base_impact_bps": 15, "effective_impact_bps_at_200m": 26.5, "impact_cost_pct": 795.5, "net_alpha_pct": -558.5 }, { "base_impact_bps": 20, "effective_impact_bps_at_200m": 35.4, "impact_cost_pct": 1060.7, "net_alpha_pct": -823.7 }, { "base_impact_bps": 25, "effective_impact_bps_at_200m": 44.2, "impact_cost_pct": 1325.8, "net_alpha_pct": -1088.8 } ], "interpretation": "At 250x monthly turnover with sqrt-scaling impact (base 10bps at $64M), impact costs scale as AUM^0.5 but total cost scales as AUM^1.5, creating severe alpha decay. Break-even at ~$40M. The 250x monthly turnover is the critical capacity constraint. Even at just 2bps base impact, the strategy loses 53% of gross alpha at $200M." }, "analysis_3_annual_sharpe": { "2021": { "annualized_return_pct": 1292.91, "annualized_vol_pct": 43.45, "sharpe_ratio": 29.67, "n_observations": 323, "max_drawdown_pct": -9.15, "best_day_pct": 10.88, "worst_day_pct": -6.54, "win_rate": 74.6, "sharpe_se": 1.1687, "sharpe_t_stat": 25.39, "sharpe_p_value": 0.0 }, "2022": { "annualized_return_pct": 299.33, "annualized_vol_pct": 44.75, "sharpe_ratio": 6.6, "n_observations": 310, "max_drawdown_pct": -21.88, "best_day_pct": 8.72, "worst_day_pct": -11.89, "win_rate": 69.7, "sharpe_se": 0.2711, "sharpe_t_stat": 24.35, "sharpe_p_value": 0.0 }, "2023": { "annualized_return_pct": 79.5, "annualized_vol_pct": 31.48, "sharpe_ratio": 2.4, "n_observations": 280, "max_drawdown_pct": -18.72, "best_day_pct": 4.56, "worst_day_pct": -5.75, "win_rate": 56.8, "sharpe_se": 0.1177, "sharpe_t_stat": 20.39, "sharpe_p_value": 0.0 }, "2024": { "annualized_return_pct": 189.09, "annualized_vol_pct": 37.09, "sharpe_ratio": 4.99, "n_observations": 312, "max_drawdown_pct": -19.14, "best_day_pct": 6.35, "worst_day_pct": -9.81, "win_rate": 63.8, "sharpe_se": 0.2076, "sharpe_t_stat": 24.03, "sharpe_p_value": 0.0 }, "full_sample": { "annualized_return_pct": 325.88, "annualized_vol_pct": 39.93, "sharpe_ratio": 8.06, "n_observations": 1225, "max_drawdown_pct": -21.88, "date_range": "2021-01-01 to 2024-12-31" } } }
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