Macro-aware risk parity — PIT spec, US proxy, search log (qm-pft.2)
Investigate-only qm-pft.2 ·
Decision
No JPMaQS/blog-panel fidelity accept for qm-pft.2. Catalog registration of the labelled US ETF + FRED proxy is handled in qm-pft.3 as macro-aware-rp-us-proxy (disclosed non-AS research variant).
Provenance
Equity vs S&P (aligned, rebased to 1.0)
No signal overlay for this experiment (parameter sweep / search)
Aligned window, both rebased to 1.0 at start — Aligned window, both rebased to 1.0 at start for fair comparison · S&P dashed, experiment solid. X = Date, Y = Equity (rebased to 1.0).
Signal driver & thresholds (x-aligned)
Labelled search matrix (31 trials)
Portfolio Optimizer Sharpe 2.20 claim vs labelled proxy
Search matrix — see finding for 31 trials vs blog claim.
Stats
| CAGR | 6.53% | Sharpe | 67.06% |
|---|---|---|---|
| Sortino | 98.10% | maxDD | -17.48% |
Disposition
**No JPMaQS/blog-panel fidelity accept** for qm-pft.2. Catalog registration of the labelled **US ETF + FRED proxy** is handled in **qm-pft.3** as `macro-aware-rp-us-proxy` (disclosed non-AS research variant). The Macrosynergy May 2025 post specifies an eight-country, JPMaQS-backed, vol-targeted equity–duration futures/swap book with curated point-in-time quantamental scores. This workspace has **no J.P. Morgan DataQuery / JPMaQS credentials**, so a literal panel replication remains blocked. The US proxy implements the post’s mechanical skeleton (slack composite → month-end winsorized signal → next-bar equity/duration risk parity) and logs a full escalation grid. Proxy Sharpes can look numeri
Follow-on work
- Follow-up qm-pft.2
- Follow-up qm-pft.2.
- Follow-up qm-pft.3
Errors & data gaps
FRED gaps and API limits may truncate macro coverage; bounded history noted.
Follow-up
gh issue create --title "Follow-up Macro-aware risk parity PIT spec US proxy search log qm-pft" --body "Follow-up to qm-pft.2: Decision" --label "priority:p2" --label "pipeline:research" --label "agent:ready"