Quarterly GIPS Presentation

Time-weighted composite returns, GIPS-aligned disclosures, attestation-chain signed. Engine: THV2V55 · sealed via THV2V54

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Quarter

Firm

Composite — Flagship

Period Performance

Benchmark Comparison

Annual Returns

Risk Metrics — Trailing 3-Year

Tail-Risk & Drawdown Forensics

Method: EVT (Generalized Pareto, peaks-over-threshold) for VaR/ES at q=0.99 — captures fat tails missed by Gaussian VaR. Correlation-shock simulates portfolio σ if all pair-correlations snap to ρ=0.95 (risk-off regime). Drawdown-velocity decomposes peak-to-trough depth and per-day decline rate against THv2 chase-audit thresholds (-3 / -7 / -12%, ≥2%/day escalator). Leverage-decay quantifies the daily-reset vol-decay tax on leveraged ETPs (k·(k-1)·σ² annualized).

Required Disclosures

    Attestation

    Factor Health ⓘ

    Loading factor diagnostics — requires snapshot history of ≥30 cross-sectional observations.

    Rolling 6-Month IC Table

    Loading IC history…

    Top collinear factor pairs (|r| ≥ 0.7)

    Archive candidates (sustained low IC)

    Methodology — factor orthogonalization · Findings (2026-04-28)

    Methodology & rigor

    GIPS-aligned composite: returns computed time-weighted (TWR) using daily revaluation per GIPS 2020 §3.A.6. Geometric linking for periods > 1 year. Composite construction follows §4 (single composite per investment strategy, all discretionary fee-paying portfolios included).

    Risk metrics: annualized volatility = std-dev of daily returns × √252. Sharpe = (annualized return − Rf) / annualized vol, Rf = 90-day T-bill yield (FRED DGS3MO). Max DD computed peak-to-trough on the cumulative return series.

    Benchmarks: S&P 500 Total Return for equity composites; Bloomberg US Aggregate for bond composites; CFA Institute "GIPS Provisions for Asset Owners" for non-traditional composites.

    Cryptographic attestation: SHA-256 hash of the entire presentation, chained to the prior quarter. Anyone can re-hash the displayed JSON and verify against the on-chain record.

    Limitations: research presentation only — no third-party GIPS verifier engaged; performance attribution at the factor level is on the per-security pages, not aggregated here; no client-account performance shown (firm-only research book).

    Sources: CFA Institute "Global Investment Performance Standards (GIPS®) 2020", FRED DGS3MO (3-month T-bill yield), Bloomberg US Aggregate Bond Index methodology.

    See: AI & methodology hub · Scoring Model Card · Calibration card