{
  "calculation_version": "fixed-crypto-portfolio-risk-1.0",
  "protocol": "/research-data/decision-updates/2026-10-01-v1/protocol.md",
  "start": "2021-09-02T00:00:00Z",
  "end": "2026-09-30T00:00:00Z",
  "n": 1855,
  "missing_days": [
    {
      "utc_day": "2021-09-01T00:00:00Z",
      "missing_symbols": [
        "BTCUSDT",
        "ETHUSDT",
        "SOLUSDT"
      ]
    }
  ],
  "coverage": [
    {
      "symbol": "BTCUSDT",
      "partitions": 61,
      "available_days": 1856,
      "first": "2021-09-01T00:00:00Z",
      "last": "2026-09-30T00:00:00Z"
    },
    {
      "symbol": "ETHUSDT",
      "partitions": 61,
      "available_days": 1856,
      "first": "2021-09-01T00:00:00Z",
      "last": "2026-09-30T00:00:00Z"
    },
    {
      "symbol": "SOLUSDT",
      "partitions": 61,
      "available_days": 1856,
      "first": "2021-09-01T00:00:00Z",
      "last": "2026-09-30T00:00:00Z"
    }
  ],
  "summaries": [
    {
      "portfolio": "BTC",
      "n": 1855,
      "annualized_vol_pct": 51.89320319745939,
      "drawdown_pct": -76.62925431645935,
      "worst_day_pct": -15.379839267147899,
      "btc_down_day_mean_pct": -3.8710343922393564,
      "capital_weights": [
        1,
        0,
        0
      ],
      "variance_share": [
        1.0,
        0.0,
        0.0
      ],
      "gross_path_return_pct": 71.32290334132956
    },
    {
      "portfolio": "Equal BTC ETH SOL",
      "n": 1855,
      "annualized_vol_pct": 66.09756408337782,
      "drawdown_pct": -85.4623137566036,
      "worst_day_pct": -24.593980723097843,
      "btc_down_day_mean_pct": -4.6579646960806675,
      "capital_weights": [
        0.3333333333333333,
        0.3333333333333333,
        0.3333333333333333
      ],
      "variance_share": [
        0.23576923839893907,
        0.3229705029265176,
        0.44126025867454344
      ],
      "gross_path_return_pct": 44.69540774561107
    },
    {
      "portfolio": "BTC50 ETH25 SOL25",
      "n": 1855,
      "annualized_vol_pct": 61.51919689154182,
      "drawdown_pct": -83.21395472628042,
      "worst_day_pct": -21.982967958835175,
      "btc_down_day_mean_pct": -4.461232120120339,
      "capital_weights": [
        0.5,
        0.25,
        0.25
      ],
      "variance_share": [
        0.39513133600917083,
        0.2598026515705231,
        0.3450660124203061
      ],
      "gross_path_return_pct": 57.41583694408969
    },
    {
      "portfolio": "BTC70 Cash30",
      "n": 1855,
      "annualized_vol_pct": 36.32524223822157,
      "drawdown_pct": -62.03343349351758,
      "worst_day_pct": -10.765887487003528,
      "btc_down_day_mean_pct": -2.70972407456755,
      "capital_weights": [
        0.7,
        0,
        0
      ],
      "variance_share": [
        1.0,
        0.0,
        0.0
      ],
      "gross_path_return_pct": 68.3559886730148
    }
  ],
  "annual": [
    {
      "year": "2021",
      "portfolio": "BTC",
      "n": 121,
      "annualized_vol_pct": 67.5371194693384,
      "worst_day_pct": -11.013559573066178,
      "drawdown_pct": -31.683623881409506
    },
    {
      "year": "2022",
      "portfolio": "BTC",
      "n": 365,
      "annualized_vol_pct": 63.739255975000994,
      "worst_day_pct": -15.379839267147899,
      "drawdown_pct": -66.93123705410329
    },
    {
      "year": "2023",
      "portfolio": "BTC",
      "n": 365,
      "annualized_vol_pct": 44.06447961918937,
      "worst_day_pct": -7.334015302895769,
      "drawdown_pct": -20.002746848357155
    },
    {
      "year": "2024",
      "portfolio": "BTC",
      "n": 366,
      "annualized_vol_pct": 53.0770614801591,
      "worst_day_pct": -8.390165417862072,
      "drawdown_pct": -26.151375053867753
    },
    {
      "year": "2025",
      "portfolio": "BTC",
      "n": 365,
      "annualized_vol_pct": 41.68793273113624,
      "worst_day_pct": -8.538654927336376,
      "drawdown_pct": -32.022515264497684
    },
    {
      "year": "2026",
      "portfolio": "BTC",
      "n": 273,
      "annualized_vol_pct": 46.00148967905335,
      "worst_day_pct": -14.017431361060218,
      "drawdown_pct": -39.53209523332115
    },
    {
      "year": "2021",
      "portfolio": "Equal BTC ETH SOL",
      "n": 121,
      "annualized_vol_pct": 76.14562885286807,
      "worst_day_pct": -10.862254579108106,
      "drawdown_pct": -29.74140811136692
    },
    {
      "year": "2022",
      "portfolio": "Equal BTC ETH SOL",
      "n": 365,
      "annualized_vol_pct": 84.20587537161953,
      "worst_day_pct": -24.593980723097843,
      "drawdown_pct": -80.41619570064138
    },
    {
      "year": "2023",
      "portfolio": "Equal BTC ETH SOL",
      "n": 365,
      "annualized_vol_pct": 56.21132492202322,
      "worst_day_pct": -7.7491874222059165,
      "drawdown_pct": -27.942594766812554
    },
    {
      "year": "2024",
      "portfolio": "Equal BTC ETH SOL",
      "n": 366,
      "annualized_vol_pct": 60.7675856397179,
      "worst_day_pct": -10.663187858656386,
      "drawdown_pct": -32.865758812288924
    },
    {
      "year": "2025",
      "portfolio": "Equal BTC ETH SOL",
      "n": 365,
      "annualized_vol_pct": 63.113015415741316,
      "worst_day_pct": -14.549534278671256,
      "drawdown_pct": -48.51679498239987
    },
    {
      "year": "2026",
      "portfolio": "Equal BTC ETH SOL",
      "n": 273,
      "annualized_vol_pct": 55.326605594774435,
      "worst_day_pct": -14.642555676101091,
      "drawdown_pct": -49.76489940726542
    },
    {
      "year": "2021",
      "portfolio": "BTC50 ETH25 SOL25",
      "n": 121,
      "annualized_vol_pct": 71.80227504651154,
      "worst_day_pct": -10.3831290425722,
      "drawdown_pct": -29.944938627174533
    },
    {
      "year": "2022",
      "portfolio": "BTC50 ETH25 SOL25",
      "n": 365,
      "annualized_vol_pct": 78.15970953510278,
      "worst_day_pct": -21.982967958835175,
      "drawdown_pct": -77.13760594053501
    },
    {
      "year": "2023",
      "portfolio": "BTC50 ETH25 SOL25",
      "n": 365,
      "annualized_vol_pct": 51.8539399077536,
      "worst_day_pct": -7.082031663201057,
      "drawdown_pct": -25.323754863343385
    },
    {
      "year": "2024",
      "portfolio": "BTC50 ETH25 SOL25",
      "n": 366,
      "annualized_vol_pct": 57.92547181623754,
      "worst_day_pct": -10.094932248457807,
      "drawdown_pct": -30.64331056102794
    },
    {
      "year": "2025",
      "portfolio": "BTC50 ETH25 SOL25",
      "n": 365,
      "annualized_vol_pct": 56.95825765842329,
      "worst_day_pct": -13.046814440837537,
      "drawdown_pct": -43.686225605391115
    },
    {
      "year": "2026",
      "portfolio": "BTC50 ETH25 SOL25",
      "n": 273,
      "annualized_vol_pct": 52.62327426798195,
      "worst_day_pct": -14.486274597340874,
      "drawdown_pct": -46.82253996025943
    },
    {
      "year": "2021",
      "portfolio": "BTC70 Cash30",
      "n": 121,
      "annualized_vol_pct": 47.2759836285369,
      "worst_day_pct": -7.709491701146325,
      "drawdown_pct": -23.005467818681712
    },
    {
      "year": "2022",
      "portfolio": "BTC70 Cash30",
      "n": 365,
      "annualized_vol_pct": 44.61747918250069,
      "worst_day_pct": -10.765887487003528,
      "drawdown_pct": -52.23488210374478
    },
    {
      "year": "2023",
      "portfolio": "BTC70 Cash30",
      "n": 365,
      "annualized_vol_pct": 30.84513573343256,
      "worst_day_pct": -5.133810712027038,
      "drawdown_pct": -14.298194483985661
    },
    {
      "year": "2024",
      "portfolio": "BTC70 Cash30",
      "n": 366,
      "annualized_vol_pct": 37.15394303611137,
      "worst_day_pct": -5.87311579250345,
      "drawdown_pct": -18.075824098227645
    },
    {
      "year": "2025",
      "portfolio": "BTC70 Cash30",
      "n": 365,
      "annualized_vol_pct": 29.18155291179537,
      "worst_day_pct": -5.977058449135463,
      "drawdown_pct": -23.447470020994345
    },
    {
      "year": "2026",
      "portfolio": "BTC70 Cash30",
      "n": 273,
      "annualized_vol_pct": 32.20104277533734,
      "worst_day_pct": -9.812201952742152,
      "drawdown_pct": -28.81371968027604
    }
  ],
  "downside": {
    "btc_threshold_pct": -2,
    "n": 302,
    "eth_down_n": 297,
    "sol_down_n": 284,
    "all_three_down_n": 280,
    "correlations": {
      "BTC_ETH": 0.7557880558308465,
      "BTC_SOL": 0.5231780612876196
    }
  },
  "full_correlation": [
    [
      1.0,
      0.8400563934415354,
      0.7208494433465275
    ],
    [
      0.8400563934415355,
      1.0,
      0.7320656603356136
    ],
    [
      0.7208494433465276,
      0.7320656603356136,
      0.9999999999999999
    ]
  ],
  "recent90_correlation": [
    [
      0.9999999999999998,
      0.8719652374837823,
      0.8296136847727632
    ],
    [
      0.8719652374837823,
      1.0,
      0.8084332104286431
    ],
    [
      0.8296136847727631,
      0.8084332104286431,
      1.0
    ]
  ],
  "recent90": [
    {
      "portfolio": "BTC",
      "vol_pct": 38.74889131372401
    },
    {
      "portfolio": "Equal BTC ETH SOL",
      "vol_pct": 46.76983544974355
    },
    {
      "portfolio": "BTC50 ETH25 SOL25",
      "vol_pct": 44.32814877511183
    },
    {
      "portfolio": "BTC70 Cash30",
      "vol_pct": 27.12422391960681
    }
  ],
  "vol_difference_ci95_pp": {
    "Equal BTC ETH SOL": [
      11.06350134049893,
      17.35737935676632
    ],
    "BTC50 ETH25 SOL25": [
      7.341789510979131,
      12.054299312217742
    ],
    "BTC70 Cash30": [
      -16.844319348939784,
      -14.268418418137959
    ]
  },
  "bootstrap": {
    "generator": "numpy PCG64",
    "seed": 20261001,
    "draws": 1000,
    "block_days": 30,
    "index": "circular starts over observed contiguous UTC days, truncation to n",
    "quantile": "linear"
  },
  "cost_sensitivity": [
    {
      "portfolio": "BTC",
      "fee_per_unit_traded": 0,
      "turnover_sum": 0.0,
      "net_path_return_pct": 71.32290334132956
    },
    {
      "portfolio": "BTC",
      "fee_per_unit_traded": 0.001,
      "turnover_sum": 0.0,
      "net_path_return_pct": 70.98042885755025
    },
    {
      "portfolio": "BTC",
      "fee_per_unit_traded": 0.002,
      "turnover_sum": 0.0,
      "net_path_return_pct": 70.6382970195776
    },
    {
      "portfolio": "Equal BTC ETH SOL",
      "fee_per_unit_traded": 0,
      "turnover_sum": 21.715301069223987,
      "net_path_return_pct": 44.69540774561107
    },
    {
      "portfolio": "Equal BTC ETH SOL",
      "fee_per_unit_traded": 0.001,
      "turnover_sum": 21.715301069223987,
      "net_path_return_pct": 41.30410712557291
    },
    {
      "portfolio": "Equal BTC ETH SOL",
      "fee_per_unit_traded": 0.002,
      "turnover_sum": 21.715301069223987,
      "net_path_return_pct": 37.991947648120394
    },
    {
      "portfolio": "BTC50 ETH25 SOL25",
      "fee_per_unit_traded": 0,
      "turnover_sum": 19.915629347683648,
      "net_path_return_pct": 57.41583694408969
    },
    {
      "portfolio": "BTC50 ETH25 SOL25",
      "fee_per_unit_traded": 0.001,
      "turnover_sum": 19.915629347683648,
      "net_path_return_pct": 54.00331401533735
    },
    {
      "portfolio": "BTC50 ETH25 SOL25",
      "fee_per_unit_traded": 0.002,
      "turnover_sum": 19.915629347683648,
      "net_path_return_pct": 50.66440840067759
    },
    {
      "portfolio": "BTC70 Cash30",
      "fee_per_unit_traded": 0,
      "turnover_sum": 14.53630538245972,
      "net_path_return_pct": 68.3559886730148
    },
    {
      "portfolio": "BTC70 Cash30",
      "fee_per_unit_traded": 0.001,
      "turnover_sum": 14.53630538245972,
      "net_path_return_pct": 65.69418014563773
    },
    {
      "portfolio": "BTC70 Cash30",
      "fee_per_unit_traded": 0.002,
      "turnover_sum": 14.53630538245972,
      "net_path_return_pct": 63.07425684988945
    }
  ],
  "worst_common_days": [
    {
      "time": 1655078400,
      "utc_day": "2022-06-13T00:00:00Z",
      "BTCUSDT": -0.153798392671479,
      "ETHUSDT": -0.15682584817819412,
      "SOLUSDT": -0.0656648154197974
    },
    {
      "time": 1667952000,
      "utc_day": "2022-11-09T00:00:00Z",
      "BTCUSDT": -0.14149929666047167,
      "ETHUSDT": -0.17384268450744322,
      "SOLUSDT": -0.42247744052502045
    },
    {
      "time": 1770249600,
      "utc_day": "2026-02-05T00:00:00Z",
      "BTCUSDT": -0.14017431361060217,
      "ETHUSDT": -0.14962341616005526,
      "SOLUSDT": -0.1494789405123753
    },
    {
      "time": 1652054400,
      "utc_day": "2022-05-09T00:00:00Z",
      "BTCUSDT": -0.11640059462254393,
      "ETHUSDT": -0.11555298030328887,
      "SOLUSDT": -0.17537808437251257
    },
    {
      "time": 1630972800,
      "utc_day": "2021-09-07T00:00:00Z",
      "BTCUSDT": -0.11013559573066178,
      "ETHUSDT": -0.12534474899217418,
      "SOLUSDT": 0.05626598465473154
    },
    {
      "time": 1642723200,
      "utc_day": "2022-01-21T00:00:00Z",
      "BTCUSDT": -0.10411763158690412,
      "ETHUSDT": -0.14437210975918546,
      "SOLUSDT": -0.11972714442527843
    },
    {
      "time": 1660867200,
      "utc_day": "2022-08-19T00:00:00Z",
      "BTCUSDT": -0.10162518541515753,
      "ETHUSDT": -0.12856438780539325,
      "SOLUSDT": -0.09387651821862353
    },
    {
      "time": 1667865600,
      "utc_day": "2022-11-08T00:00:00Z",
      "BTCUSDT": -0.09926118673428808,
      "ETHUSDT": -0.14879790829666473,
      "SOLUSDT": -0.17690749493585423
    },
    {
      "time": 1663027200,
      "utc_day": "2022-09-13T00:00:00Z",
      "BTCUSDT": -0.0992228879242214,
      "ETHUSDT": -0.08271526535653728,
      "SOLUSDT": -0.1185897435897435
    },
    {
      "time": 1655337600,
      "utc_day": "2022-06-16T00:00:00Z",
      "BTCUSDT": -0.09663642659402438,
      "ETHUSDT": -0.13657961083457237,
      "SOLUSDT": -0.1334867663981587
    }
  ],
  "limitation": "Three selected present-day survivors; daily rebalanced reference, retrospective, not PIT. Gross risk statistics omit costs. Bootstrap is uncertainty conditional on observed history, not forecasting."
}