{
  "assets": [
    "btc",
    "equity",
    "gold",
    "bond",
    "cash"
  ],
  "factors": [
    "btc",
    "equity",
    "gold",
    "bond",
    "cash",
    "cpi"
  ],
  "end": "2026-09-30",
  "months": 120,
  "first_return_end": "2016-10-31",
  "annual_real_log_volatility": [
    0.6933010550077351,
    0.1486878649114806,
    0.1575905749990635,
    0.0691069324277842,
    0.014438622217380346
  ],
  "annual_nominal_log_volatility": [
    0.6922068178359624,
    0.14746247842156585,
    0.156518359681691,
    0.06571942637864911,
    0.002672165364141733,
    0.008388734611085373
  ],
  "monthly_rate_ar": {
    "cash": {
      "monthly_phi": 0.8861730645550588,
      "monthly_innovation_sd": 0.0007713876961532121,
      "stationary_monthly_sd": 0.0016647898385513866,
      "mean_reversion_per_year": 1.4501161799644375,
      "monthly_rate_units": "Log return per month; simulation rate states use twelve times these units."
    },
    "cpi": {
      "monthly_phi": 0.5152570871965756,
      "monthly_innovation_sd": 0.0024216190929352353,
      "stationary_monthly_sd": 0.0028255756287231745,
      "mean_reversion_per_year": 7.9570716532384616,
      "monthly_rate_units": "Log return per month; simulation rate states use twelve times these units."
    }
  },
  "annual_nominal_return_volatility": [
    0.6922068178359624,
    0.14746247842156585,
    0.156518359681691,
    0.06571942637864911,
    0.0058179844420440064
  ],
  "correlation_ten_year": [
    [
      1.0,
      0.34260735065700343,
      0.08416998730054541,
      0.06989717483451627,
      0.06392968357342414
    ],
    [
      0.34260735065700343,
      0.9999999999999999,
      0.20011154210991766,
      0.26116238243409085,
      0.13363884135505538
    ],
    [
      0.08416998730054541,
      0.2001115421099177,
      1.0,
      0.39751519411896846,
      0.20061014943644612
    ],
    [
      0.06989717483451625,
      0.26116238243409085,
      0.39751519411896846,
      1.0,
      0.42148914926996284
    ],
    [
      0.06392968357342414,
      0.13363884135505538,
      0.2006101494364461,
      0.42148914926996284,
      1.0
    ]
  ],
  "correlation_five_year": [
    [
      1.0,
      0.46136930585433605,
      0.18200862945167842,
      0.1372982447686379,
      0.1616043316493689
    ],
    [
      0.46136930585433605,
      1.0,
      0.2746697451686695,
      0.6423399955068011,
      0.3058961175528163
    ],
    [
      0.1820086294516784,
      0.2746697451686695,
      1.0,
      0.3847599139654528,
      0.21837807575696702
    ],
    [
      0.1372982447686379,
      0.6423399955068011,
      0.3847599139654528,
      0.9999999999999999,
      0.4478646458923075
    ],
    [
      0.16160433164936894,
      0.3058961175528163,
      0.21837807575696702,
      0.4478646458923075,
      1.0
    ]
  ],
  "correlation_long": [
    [
      0.9999999999999998,
      0.2541084410238473,
      0.01625461172036225,
      0.017956657256830162,
      -0.022017680785899125
    ],
    [
      0.25410844102384733,
      1.0,
      0.19946792529026816,
      0.0501958497678979,
      0.09707639237067074
    ],
    [
      0.01625461172036225,
      0.19946792529026813,
      1.0,
      0.32463856677916486,
      0.1251056878695633
    ],
    [
      0.017956657256830162,
      0.0501958497678979,
      0.3246385667791648,
      1.0,
      0.3807216016461781
    ],
    [
      -0.022017680785899125,
      0.09707639237067073,
      0.1251056878695633,
      0.3807216016461781,
      0.9999999999999999
    ]
  ],
  "nominal_factor_correlations": {
    "ten_year": [
      [
        0.9999999999999999,
        0.3367965225014646,
        0.07632963027336025,
        0.0519330161802828,
        -0.018434578556929558,
        0.012639400678080275
      ],
      [
        0.3367965225014646,
        1.0,
        0.1879991037260525,
        0.2346188359485798,
        -0.08564359029947606,
        0.02765596188692712
      ],
      [
        0.07632963027336025,
        0.18799910372605252,
        1.0,
        0.3822970276775334,
        0.04586781340775063,
        -0.030869053414008436
      ],
      [
        0.0519330161802828,
        0.2346188359485798,
        0.38229702767753343,
        1.0,
        0.3396981169262231,
        -0.2532698700797133
      ],
      [
        -0.018434578556929558,
        -0.08564359029947606,
        0.045867813407750625,
        0.33969811692622315,
        1.0,
        -0.12914677476666642
      ],
      [
        0.012639400678080273,
        0.027655961886927122,
        -0.030869053414008432,
        -0.2532698700797133,
        -0.12914677476666642,
        1.0
      ]
    ],
    "five_year": [
      [
        1.0,
        0.4603901793507431,
        0.17683392522734917,
        0.12799491988596837,
        0.2651990273897134,
        0.03758216188590764
      ],
      [
        0.46039017935074317,
        1.0,
        0.25580893048238823,
        0.6270699010401772,
        0.39059573242526496,
        -0.12391085873083567
      ],
      [
        0.17683392522734917,
        0.25580893048238823,
        0.9999999999999999,
        0.3620793885489634,
        0.039539244208620664,
        -0.06160995574256531
      ],
      [
        0.12799491988596837,
        0.6270699010401773,
        0.3620793885489634,
        1.0,
        0.38534751131686434,
        -0.22250192197106997
      ],
      [
        0.2651990273897134,
        0.39059573242526496,
        0.03953924420862066,
        0.38534751131686434,
        1.0,
        -0.36205669800595836
      ],
      [
        0.037582161885907635,
        -0.12391085873083568,
        -0.06160995574256531,
        -0.22250192197106994,
        -0.36205669800595836,
        1.0
      ]
    ],
    "long": [
      [
        1.0,
        0.25049076108564805,
        0.018282838755187384,
        0.01827492343964913,
        -0.04867344933311128,
        0.011960627728168088
      ],
      [
        0.25049076108564805,
        1.0,
        0.20282612139922457,
        0.030170959621665175,
        -0.09012985152279454,
        0.0918426116797272
      ],
      [
        0.018282838755187384,
        0.20282612139922457,
        1.0,
        0.31432412485290967,
        0.0758803749286504,
        0.012271019897938466
      ],
      [
        0.01827492343964913,
        0.03017095962166518,
        0.31432412485290967,
        1.0,
        0.28171811685492837,
        -0.2801759979776352
      ],
      [
        -0.048673449333111275,
        -0.09012985152279453,
        0.0758803749286504,
        0.2817181168549283,
        1.0,
        -0.0902386134326205
      ],
      [
        0.011960627728168088,
        0.0918426116797272,
        0.012271019897938466,
        -0.2801759979776352,
        -0.0902386134326205,
        1.0
      ]
    ]
  },
  "long_first_return_end": "2010-08-31",
  "long_months": 194,
  "forecast_rule": "Central forward correlation equals the 120-month matrix. This is an explicit mixed-inflation-regime forecast, supported by contemporary BIS, Fed and JPM research, not an assertion that historical correlations are permanent. Five-year and full-common-history matrices are separate future-regime sensitivities, preserving marginal volatilities.",
  "cpi_interpolation": "Only missing October 2025 is interpolated in log levels between September and November; no October 2026 proxy is included. Inflation-rate innovations use seasonally adjusted CPI-U to avoid randomizing predictable seasonality; purchasing-power history and the common CPI center use NSA CPI-U.",
  "source_history_sha256": "604d9aea72140c17e8b4a702de6cb1d2ae8a1fa5cbd1d965481fe44ea11deb51"
}