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"data_requirement": "ohlcv", "evidence_label": "Moreira & Muir \u2014 Volatility Managed Portfolios", "evidence_url": "https://www.nber.org/papers/w22208", "exact_with_yahoo": true, "example": "If last month's variance is twice its historical median, next-month exposure is roughly 0.5\u00d7. If it is half the median, exposure reaches the 2.0\u00d7 cap.", "execution_code_sha256": "747f4b6189083e9979ceb538ba2e88a8388bd2c02e526fa4e7281126943e13d4", "execution_runtime": {"packages": {"beautifulsoup4": "4.15.0", "certifi": "2026.7.22", "cffi": "2.1.1", "charset-normalizer": "3.5.1", "curl-cffi": "0.16.0", "exchange-calendars": "4.13.2", "idna": "3.18", "korean-lunar-calendar": "0.4.0", "lxml": "6.1.1", "multitasking": "0.0.13", "numpy": "2.5.1", "packaging": "26.3", "pandas": "2.3.3", "peewee": "4.3.0", "platformdirs": "4.11.3", "protobuf": "7.35.1", "pycparser": "3.0", "pyluach": "2.3.0", "python-dateutil": "2.9.0.post0", "pytz": "2026.3.post1", "requests": "2.34.2", "six": "1.17.0", "soupsieve": "2.9.2", "toolz": "1.1.0", "typing-extensions": "4.16.0", "tzdata": "2026.3", "urllib3": "2.7.0", "websockets": "17.0.1", "yfinance": "1.6.0"}, "python": "3.12.13", "system_timezone_data_sha256": ["c63188e9f5017bb86bf93bcc12613cf4f814f6864119333fae06881b5b603814", "d7f2206b3a45989fc9ad63d558922532fa7352280d5f87176bf1db79cb1d1fa9"]}, "gross_exposure": 2.0, "how_it_works": "Realized variance is persistent, while expected return does not rise proportionally with it. The model therefore takes less SPY exposure after turbulent months and more after calm months, using only information available at the rebalance.", "id": "vol_managed_market", "interval": "1d", "main_risks": ["Leverage after calm periods can meet sudden shocks", "Monthly estimates are noisy", "Financing costs are omitted", "Caps change the source portfolio's payoff"], "name": "Volatility-managed market", "origin": "research", "paper_allocation": 0.1, "paper_spec_id": "2:9f2698951f7c89c9a0c96ee8a478e16263a4a19059dba62fbb49b2eb08b0d091", "paper_spec_manifest": {"data_requirement": "ohlcv", "execution_code_sha256": "747f4b6189083e9979ceb538ba2e88a8388bd2c02e526fa4e7281126943e13d4", "execution_runtime": {"packages": {"beautifulsoup4": "4.15.0", "certifi": "2026.7.22", "cffi": "2.1.1", "charset-normalizer": "3.5.1", "curl-cffi": "0.16.0", "exchange-calendars": "4.13.2", "idna": "3.18", "korean-lunar-calendar": "0.4.0", "lxml": "6.1.1", "multitasking": "0.0.13", "numpy": "2.5.1", "packaging": "26.3", "pandas": "2.3.3", "peewee": "4.3.0", "platformdirs": "4.11.3", "protobuf": "7.35.1", "pycparser": "3.0", "pyluach": "2.3.0", "python-dateutil": "2.9.0.post0", "pytz": "2026.3.post1", "requests": "2.34.2", "six": "1.17.0", "soupsieve": "2.9.2", "toolz": "1.1.0", "typing-extensions": "4.16.0", "tzdata": "2026.3", "urllib3": "2.7.0", "websockets": "17.0.1", "yfinance": "1.6.0"}, "python": "3.12.13", "system_timezone_data_sha256": ["c63188e9f5017bb86bf93bcc12613cf4f814f6864119333fae06881b5b603814", "d7f2206b3a45989fc9ad63d558922532fa7352280d5f87176bf1db79cb1d1fa9"]}, "gross_exposure": 2.0, "interval": "1d", "name": "Volatility-managed market", "paper_allocation": 0.1, "paper_spec_id": "2:9f2698951f7c89c9a0c96ee8a478e16263a4a19059dba62fbb49b2eb08b0d091", "paper_version": "2", "qualification_benchmark": "SPY adjusted close", "round_trip_cost_bps": 4.0, "rules": ["Measure realized daily-return variance in the completed month.", "Scale next-month exposure by inverse variance relative to its expanding historical median.", "Cap exposure between 0.1\u00d7 and 2.0\u00d7.", "Rebalance monthly with no future volatility information."], "strategy_id": "vol_managed_market", "strategy_spec_hash": "9f2698951f7c89c9a0c96ee8a478e16263a4a19059dba62fbb49b2eb08b0d091", "symbol": "SPY"}, "paper_version": "2", "qualification": {"eligible_for_ai_label": false, "evidence_id": null, "gates": [], "policy": {"minimum_base_cost_bps": 4.0, "minimum_locked_calendar_days": 180, "minimum_locked_trades": 100, "minimum_stress_cost_bps": 8.0}, "status": "not_submitted", "strategy_id": "vol_managed_market"}, "qualification_benchmark": "SPY adjusted close", "rules": ["Measure realized daily-return variance in the completed month.", "Scale next-month exposure by inverse variance relative to its expanding historical median.", "Cap exposure between 0.1\u00d7 and 2.0\u00d7.", "Rebalance monthly with no future volatility information."], "strategy_spec_hash": "9f2698951f7c89c9a0c96ee8a478e16263a4a19059dba62fbb49b2eb08b0d091", "summary": "Monthly SPY exposure scaled down after high realized variance and up after low variance.", "symbol": "SPY"}}