Equity indices
Broad indices compress the behaviour of many securities into liquid instruments that can express market direction, risk appetite and geographic or sector rotation.
- Research status
- Exploratory 1h research and portfolio-level monitoring
- Research scope
- Market-level · scoped by study
Archived experiment
Question. Could an ETF risk overlay retain enough return while reducing drawdown?
Evaluation. Six fixed later-data folds, 30 July 2025–28 April 2026, after a 63-session burn-in. The central transaction charge is 5 bp one way. SPY and a static 80% SPY / 20% IEF portfolio use the same next-bar convention.
| Case | Annualised return | Sharpe | Max drawdown |
|---|---|---|---|
| Selected risk overlay | 10.20% | 0.95 | −6.44% |
| SPY | 16.27% | 1.21 | −8.34% |
| Static 80% SPY / 20% IEF | 13.11% | 1.20 | −6.77% |
Stress and result. Higher costs, delayed execution, fixed-fold and regime checks were retained. Four of six folds were positive, but the bootstrap 5th-percentile Sharpe was −0.60. The drawdown improved while return-retention and Calmar gates failed.
Decision. Reject the proposed standalone role. These comparators are not matched on realised exposure or risk. The short, current-constituent sample limits the conclusion; its annualised figures are not a long-run forecast. An ETF component in broader paper monitoring does not establish a separate index track record.
Research record
The redacted aggregate results retain the period, metric definitions, assumptions and decision. Signal formulas, parameters, rankings, holdings and raw data are excluded.