Stats

The analysis is based on three premises: first, it freezes the P90 value from gains over 60 sessions ending from September 13, 2021, to December 31, 2024; second, it only evaluates gains starting on or after January 1, 2025, and removes 60 cross-boundary endpoints; third, this is a retrospective review of already-known history, not a prospective validation or strategy backtest. A data scan found the link https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=EEM&timeframe=1Day&feed=sip&adjustment=all. The frozen threshold is 7.302853636% from 831 overlapping windows, with a training exceedance of 9.987966306%. The holdout of 364 windows through September 11, 2026, exceeds the threshold by 54.120879121%, with its own P90 of 15.986842505% and a lag 1 correlation of 0.936329809. Non-overlapping 60 offset exceedance ranges from 33.3333% to 66.6667%, with each range having 6-7 samples, and these offsets overlap one another. This analysis shows regime instability, not independent samples. The current mandated five-year P90 of 10.717963% remains unchanged. This holdout is a counterexample to a stationary 10% exceedance, but it does not refute momentum or authorize a new target. The analysis misses intraday path and changing historical composition, and causality is unknown.

The question is how stable the mandated EEM five-year 60-session P90 is. The premises are: 1) adjusted closes proxy total returns, 2) 1255 rolling endpoint gains are dependent, and 3) retrospective regime slices describe this history, not a new signal. The primary data is from https://runway.adityaperswal.workers.dev/data/stock-bars, retrieved on September 13, 2020, with endpoints from 2021-09-13 to 2026-09-11. The P90 is 10.717963%, with annual P90/N: 2021 partial 0.820874/78, 2022 1.174449/251, 2023 10.297989/250, 2024 7.781806/252, 2025 13.460032/250, and 2026 YTD 17.878753/174. The lag 1 correlation is 0.973267 and lag 20 is 0.581266. There are 60 non-overlapping start offsets with 20-21 observations each, with a P90 range of 7.540264-14.458627% and a median of 10.234661%. The offsets share underlying history, not 60 independent replications. Forward cohorts N1195 have the following results: above SMA at entry N753 P90 11.063357%, median 4.20832%, negative 23.24037%; below N442 P90 8.577169%, median -1.78699%, negative 57.91855%. High vol N597 P90 14.52937%, negative 48.40871%; low N598 P90 10.29421%, negative 23.74582%. The vol median is computed from the full sample and is descriptive, not a deployable cutoff. The fixed present P90 threshold reached on a subsequent close within 60 sessions is 23.682008%, and the terminal exceed is 10.543933%. The retrospective full sample threshold has lookahead and no stops/costs/ratchet, and is explicitly not backtest or live odds. A counterexample in 2022 shows that pooled upside need not characterize the next regime. The conclusion is to retain the measured 75.11 target, reject the 90% hit-probability interpretation or precision claims, and make no policy modification.

The fund manager has made some observations about the stock market. Firstly, they have looked at how different stocks have moved together recently, which is called correlation. They found that the correlation between EEM and QQQ is 0.830609, between EEM and IWM is 0.692751, and between QQQ and IWM is 0.737515, based on the last 252 days of daily returns. This means that these stocks have been moving together a lot lately. The manager also looked at the gaps in stock prices at the opening of trading, which is a risk because it can be hard to execute trades at the desired price. They found that the worst gap in EEM was a drop of 5.739837%, and the worst gap that would affect the fund's one share position was a drop of 3.893906, which is 0.457574% of the account. This is worse than the nominal stop of 1.91. The manager also looked at the returns of the stocks over the last five years and found that the top 10% of returns were over 10.717963%, the median return was 2.401325%, and the bottom 10% of returns were -8.174912%. Based on this, the manager thinks that a target of 75.11 is reasonable, but notes that this does not mean that it will be hit 90% of the time. The manager also notes that overnight shocks can be worse than the worst gap in the sample, and that exiting trades during the day can be different from the opening gaps. The manager has decided to keep one share and not to validate a new strategy or add any new positions.

The EEM target distribution audit is based on three premises: it uses total returns over 60 sessions, the endpoint window covers the last 5 years, and overlapping observations are not independent trades. A Systematic Investment Plan adjustment was made, and data from June 1, 2021, to September 11, 2026, shows 1255 endpoint returns since September 12, 2021. The returns are as follows: the 90th percentile is 10.717963%, the median is 2.401325%, and the 10th percentile is -8.174912%. The returns were negative 38.247012% of the time, and the range was from -20.291480 to 26.007905%. The target was calculated as 67.84 * (1 + 0.107179635), which equals 75.111066, rounding to 75.11. The initial warmup period in July missed 10 endpoint returns, resulting in a 10.744101% return, but this was corrected before the final signal recording, which agrees with 2837. Note that the 90th percentile, or P90, represents the target magnitude, not a 90% chance of gain or hitting the target. There is no new strategy backtest or edge gate, and empirical fund trade odds are not available due to zero closed lots.

The analysis of the EEM overnight performance is based on four premises: the momentum signal remains fixed, the daily opening gap is measured, the prior 20-day true range is known before opening, and historical gap frequency does not determine stopped-trade loss probability. According to data collected from September 12, 2021, to September 11, 2026, the raw gaps were -2.730322% on the first percentile, -1.652163% on the fifth percentile, and a median of +0.034083%, with a minimum of -5.739837% on March 3, 2026. The data shows that 11 out of 1255 times, the open was below the prior close by more than 2 prior raw Average True Ranges (ATR), which is a measure of price volatility. The analysis also found that Mondays did not have a significant effect, with only 3 out of 234 events showing a specific pattern. The preferred mandate alignment, which is a set of rules for making investment decisions, was met in 6 out of 812 cases, with a success rate of 0.738916%. Two additional price breaches on December 20, 2023, and December 17, 2024, matched the issuer's ex-distributions, which refers to the distribution of profits or dividends. The analysis concludes that a counterexample to a hard loss cap, which is a maximum amount of loss allowed, was observed, and there is no reason to cancel a valid long position, which is a type of investment where the investor expects the price to rise. The observations from September 23 to September 41, out of a total of 25966, preserved the full distributions of the data.

A news scan found the source https://runway.adityaperswal.workers.dev/data/stock-bars with a system for adjusting stock investments, known as SIP, from June 2021 to September 11, 2026. The system uses premises, or assumptions, that certain signals, 2781 of them, are accepted, and that correlation, which measures how much things move together, describes concentration, not a new selection gate, which is a rule for choosing investments. The daily return correlations, which measure how much the daily returns of two things move together, for EEM, or emerging markets, and QQQ, or US technology stocks, is 0.830609, for EEM and IWM, or US small-cap stocks, is 0.692751, and for QQQ and IWM is 0.737515. This means that investing in these three types of stocks would not be like making three separate bets. The rolling 60-session returns, which measure the returns over a 60-session period, for EEM in a five-year window, known as N1255, were negative 8.174912 percent at the 10th percentile, 2.401325 percent at the median, and 10.717963 percent at the 90th percentile, with 61.593625 percent of the returns being positive. The windows overlap, meaning that some sessions are counted multiple times, and the positivity rate is not the same as the win rate for stopped trades. Using the chosen 90th percentile return, the yield would be 7.271066 dollars from 67.84 dollars, with two ATR, or average true range, which measures the range of an investment's price, risk of 1.90528, and a ratio of 3.816272 before rounding and costs. A 10 percent gap, or sudden change, in the price of one share would result in a loss of 6.784 dollars, or 0.797189 percent of the account equity, compared to a nominal stop, which is a stop-loss order, of 0.223890 percent equity. The conclusion is to keep fixed equal slots and hard caps, and not to use discretionary leverage, which is borrowing money to invest, or extra correlated positions, which are investments that move together. The trend has completed zero trades, so empirical fund expectancy, which is the expected return of the fund, and slippage, which is the difference between the expected and actual returns, are not available.