{
 "status": "paper",
 "as_of": "2026-10-19",
 "generated_at": "2026-10-20T02:15:56+00:00",
 "inception": "2026-07-26",
 "days": 86,
 "conventions": {
  "returns": "net, daily, simple",
  "annualisation_days": 365,
  "risk_free_annual": 0.045
 },
 "nav": 103.0744,
 "total_return": 0.030743754158009562,
 "cagr": 0.13714034357484373,
 "ytd": 0.030743754158008896,
 "mtd": 0.0067656348038405145,
 "volatility": 0.005143390741188657,
 "sharpe": 16.435230874476538,
 "sortino": 19.86690775089707,
 "calmar": 71.52887819930723,
 "max_drawdown": -0.00191727239441275,
 "max_drawdown_window": [
  "2026-07-26",
  "2026-07-26"
 ],
 "current_drawdown": 0.0,
 "positive_days": 0.9767441860465116,
 "positive_months": 1.0,
 "best_month": [
  "2026-08",
  0.01208686248799995
 ],
 "worst_month": [
  "2026-07",
  0.0007118175747862221
 ],
 "monthly": {
  "2026-07": 0.0007118175747862221,
  "2026-08": 0.01208686248799995,
  "2026-09": 0.010870477358012387,
  "2026-10": 0.0067656348038405145
 },
 "curve": [
  [
   "2026-07-26",
   99.8083
  ],
  [
   "2026-08-02",
   100.1536
  ],
  [
   "2026-08-09",
   100.4525
  ],
  [
   "2026-08-16",
   100.7213
  ],
  [
   "2026-08-23",
   100.9485
  ],
  [
   "2026-08-30",
   101.2384
  ],
  [
   "2026-09-06",
   101.4753
  ],
  [
   "2026-09-13",
   101.7811
  ],
  [
   "2026-09-20",
   102.056
  ],
  [
   "2026-09-27",
   102.2847
  ],
  [
   "2026-10-04",
   102.5148
  ],
  [
   "2026-10-11",
   102.7926
  ],
  [
   "2026-10-18",
   103.0427
  ],
  [
   "2026-10-19",
   103.0744
  ]
 ],
 "drawdown": [
  [
   "2026-07-26",
   -0.00192
  ],
  [
   "2026-08-02",
   0.0
  ],
  [
   "2026-08-09",
   0.0
  ],
  [
   "2026-08-16",
   0.0
  ],
  [
   "2026-08-23",
   0.0
  ],
  [
   "2026-08-30",
   0.0
  ],
  [
   "2026-09-06",
   0.0
  ],
  [
   "2026-09-13",
   0.0
  ],
  [
   "2026-09-20",
   0.0
  ],
  [
   "2026-09-27",
   0.0
  ],
  [
   "2026-10-04",
   0.0
  ],
  [
   "2026-10-11",
   0.0
  ],
  [
   "2026-10-18",
   0.0
  ],
  [
   "2026-10-19",
   0.0
  ]
 ],
 "refresh_seconds": 3600,
 "beta_eth": -0.0011909920984785264,
 "correlation_eth": -0.12776827760201742,
 "basis": [
  "Paper fund: the carrywatch F1 paper fund on $100,000 notional. No real capital has been deployed; no trade has been signed, sent or filled.",
  "NAV accrues each position at its last quoted rate. There is no mark-to-market (Pendle PT positions carry no price mark), so volatility, drawdown, Sharpe, Sortino and Calmar are understated and are not a measure of risk.",
  "Costs are modelled, not paid: $10 gas per leg plus 5 bps slippage per move, $345.09 modelled to date.",
  "The series starts 2026-07-26 (16:00 UTC) with no backfill. The first day covers 7 hours and includes $209.86 of modelled opening costs.",
  "Daily NAV is the last tick of each UTC day; returns are simple day-on-day changes in that NAV.",
  "No calendar day is missing from the daily series.",
  "2 gap(s) in the hourly record longer than 3 hours; the longest is 19 hours (2026-10-04T19:01:04Z to 2026-10-05T14:00:35Z). Accrual over a gap is credited when ticks resume, so the NAV is continuous but was not observed during it.",
  "2026-10-20 is excluded because that UTC day had not ended.",
  "Benchmark: ETH-USD daily close from Coinbase Exchange public daily candles (close at 00:00 UTC). Beta and correlation use 86 matching days."
 ],
 "source": {
  "fund": "carrywatch F1",
  "ticks": 2038,
  "first_tick": "2026-07-26T16:00:56Z",
  "last_tick": "2026-10-20T02:00:40Z",
  "notional_usd": 100000.0,
  "nav_usd": 103074.38,
  "benchmark": {
   "series": "ETH-USD",
   "sources": [
    "Coinbase Exchange public daily candles (close at 00:00 UTC)"
   ],
   "days": 86
  }
 },
 "gaps": {
  "missing_days": [],
  "tick_gaps": [
   {
    "from": "2026-09-28T09:02:24Z",
    "to": "2026-09-28T13:01:52Z",
    "hours": 3.99
   },
   {
    "from": "2026-10-04T19:01:04Z",
    "to": "2026-10-05T14:00:35Z",
    "hours": 18.99
   }
  ]
 }
}