{
  "schema_version": "macrovision-case-study-evidence-v1",
  "case_study": "The 551 bp Treasury reset",
  "captured_at": "2026-07-17T13:54:08Z",
  "evidence_status": "research_case_not_prospective_performance",
  "method_versions": {
    "treasury_research": "treasury-research-baselines-v2",
    "treasury_value": "treasury-bill-value-v3",
    "forward_baseline": "treasury-forward-implied-v1",
    "lens_formula_pack": "lens-formula-pack-v0.4"
  },
  "historical_replay": {
    "target": "dgs3mo_d",
    "source_series": "DGS3MO",
    "window": {
      "from": "2022-01-03",
      "to": "2023-10-31",
      "rows": 458
    },
    "observed": {
      "start_yield_pct": 0.08,
      "end_yield_pct": 5.59,
      "move_bp": 551,
      "maximum_yield_pct": 5.63,
      "maximum_date": "2023-10-06"
    },
    "panel_hash": "c1fbd7a69a8f8b62e7b4dcf4525e4ada5a57af2ae04d9d2e18f562e21fc7d501",
    "evaluations": [
      {
        "horizon_business_days": 1,
        "observations": 457,
        "persistence_mae_bp": 3.3895,
        "persistence_rmse_bp": 5.4706,
        "persistence_bias_bp": -1.2057,
        "momentum_mae_bp": 3.6522,
        "momentum_rmse_bp": 5.6193,
        "momentum_bias_bp": 0.0015,
        "lower_mae_model": "persistence",
        "mae_difference_bp": 0.2627
      },
      {
        "horizon_business_days": 5,
        "observations": 453,
        "persistence_mae_bp": 8.2274,
        "persistence_rmse_bp": 12.1649,
        "persistence_bias_bp": -6.0728,
        "momentum_mae_bp": 9.2082,
        "momentum_rmse_bp": 13.9431,
        "momentum_bias_bp": 0.0162,
        "lower_mae_model": "persistence",
        "mae_difference_bp": 0.9808
      },
      {
        "horizon_business_days": 21,
        "observations": 437,
        "persistence_mae_bp": 27.2128,
        "persistence_rmse_bp": 36,
        "persistence_bias_bp": -26.2243,
        "momentum_mae_bp": 32.5652,
        "momentum_rmse_bp": 47.2826,
        "momentum_bias_bp": 0.1899,
        "lower_mae_model": "persistence",
        "mae_difference_bp": 5.3524
      }
    ],
    "interpretation": "The replay rejects the weaker five-day momentum challenger at every tested horizon. It does not show that Macrovision predicted the 2022 reset in advance."
  },
  "current_treasury_research_panel": {
    "target": "dgs3mo_d",
    "source": "FRED public graph CSV",
    "from": "1981-09-01",
    "to": "2026-07-15",
    "rows": 11216,
    "feature_coverage_pct": {
      "eff_fed_funds": 100,
      "dgs2_d": 100
    },
    "panel_hash": "81651d9961bc08774eb0fd3176e61458253ee874bf1ed5211be2fa9d87f87159"
  },
  "current_value_projection": {
    "as_of": "2026-07-15",
    "instrument": "3M Treasury bill",
    "horizon_business_days": 126,
    "horizon_calendar_days": 176,
    "initial_cash_usd": 1000000,
    "spot_yield_pct": 3.83,
    "companion_6m_yield_pct": 3.93,
    "forward_yield_pct": 3.991882,
    "selected_model": "forward",
    "selection_basis": "walk_forward_tournament",
    "validation": {
      "folds": 252,
      "folds_overlap": true,
      "model_comparison": [
        {
          "model": "forward",
          "mae_bp": 21.9969,
          "rmse_bp": 26.6877,
          "selected": true
        },
        {
          "model": "persistence",
          "mae_bp": 36,
          "rmse_bp": 42.8395,
          "selected": false
        },
        {
          "model": "structural",
          "mae_bp": 43.6464,
          "rmse_bp": 54.5072,
          "selected": false,
          "limitation": "Today's macro impulses are applied to historical folds, so this score is optimistic relative to point-in-time models."
        },
        {
          "model": "momentum",
          "mae_bp": 57.9683,
          "rmse_bp": 77.4027,
          "selected": false
        },
        {
          "model": "ridge",
          "mae_bp": 59.0068,
          "rmse_bp": 68.8382,
          "selected": false
        }
      ],
      "forward_mae_reduction_vs_persistence_pct": 38.9
    },
    "projection": {
      "final_value_usd": 1018927.543235,
      "return_pct": 1.892754,
      "carry_contribution_usd": 18927.543235,
      "repricing_contribution_usd": 0
    },
    "risk_transmission": {
      "available": false,
      "adjustment_bp": 0,
      "applies_to_published_path": false
    },
    "macro_branch": {
      "policy_pressure": 0,
      "applies_to_published_path": false,
      "reason": "The FRED-only run had no database-backed regional pillars, and the market-forward model won the publication tournament."
    },
    "interpretation": "This is a modelled projection from public rates, not an actual or promised return. The 252 validation folds overlap and are not 252 independent observations."
  },
  "live_lens_snapshot": {
    "snapshot_id": "lens_20260717_135408",
    "as_of": "2026-07-17T13:54:08Z",
    "status": "current",
    "formula_status": "publish",
    "us": {
      "pmrs": 63,
      "res": 73.67,
      "fps": 49.75,
      "mrtdi": 23.92,
      "confidence": 74.68
    },
    "tlai": 42.88,
    "suppressed_inputs": [
      "ea:real_income_or_consumption_stability",
      "ea:release_cluster_risk",
      "issuance_duration_pressure"
    ],
    "hashes": {
      "input": "29bf882588d7c1d2956ee041c22135bd5b7525017d0bbf3bbdc4f5b555631a92",
      "method": "f033f1b6f2047760f30d5b61f3bb0ac8db6ba2d252e212776aaf2a1b5b08e7bd",
      "output": "59722cdf8d474e0c377a7a8696e81e39a326f37441e8c8f223330cda7e1dea3c",
      "calculation": "83fd4fbb7acbfb7087ff831e397f17fcbcd1605859bfe181e4017b726a4dd8fd"
    },
    "feeds_current_value_projection": false,
    "reason": "Lens formula-pack indicators are terminal presentation analytics, not inputs to the selected forward path."
  },
  "formulas": {
    "percentage_change": "(current / previous - 1) * 100",
    "annualised_change": "((current / previous)^periods - 1) * 100",
    "shared_score_rail": "clamp((metric - reference) / band * 10, -10, +10), with registered direction and rounding",
    "regional_headline": "sum(pillar_score * pillar_weight) / sum(covered_pillar_weight), followed by imbalance adjustment and clamp to [-10,+10]",
    "regional_confidence": "0.30*coverage + 0.20*freshness + 0.20*revision_quality + 0.20*coherence + 0.10*duration",
    "us_ea_relative_bias": "(us_regional_signal - ea_regional_signal) * min(us_confidence, ea_confidence)",
    "persistence": "predicted_change_t_h = 0",
    "momentum": "predicted_change_t_h = h * (yield_t - yield_t_minus_5) / 5",
    "mae_bp": "100 * mean(abs(predicted_change - realised_change))",
    "rmse_bp": "100 * sqrt(mean((predicted_change - realised_change)^2))",
    "bias_bp": "100 * mean(predicted_change - realised_change)",
    "policy_pressure": "0.35*prices + 0.15*labour + 0.15*activity + 0.15*money_financial + 0.10*sovereign_liquidity + 0.10*eurusd_relative_bias",
    "structural_move": "0.55*momentum + 0.35*macro_impulse*sqrt(progress) + 0.08*curve_slope*sqrt(progress) + 0.02*fx_bias*sqrt(progress)",
    "forward_rate": "(1 + y_long*t_long/365) = (1 + y_short*t_short/365) * (1 + f*(t_long-t_short)/365)",
    "publication_gate": "selected_path = argmin eligible_model(latest_walk_forward_mae), minimum 20 observations, ties prefer fewer estimated parameters",
    "bill_price": "price = face / (1 + bond_equivalent_yield*days_to_maturity/365)",
    "rolling_ladder": "face_k = value_k/price_k; value_k_plus_1 = face_k at maturity; repeat until horizon",
    "value_identity": "final_value = initial_cash + carry_contribution + repricing_contribution",
    "wrapper_model_weight": "weight_m is proportional to exp(-eta * loss_m)",
    "wrapper_shrinkage_weight": "n * quality / (n * quality + kappa)",
    "wrapper_shrunk_apy": "shrinkage_weight*model_apy + (1-shrinkage_weight)*peer_apy",
    "wrapper_uncertainty": "sqrt(variance + (1-quality)*ambiguity^2)",
    "wrapper_daily_return": "(1 + apy/100)^(1/365) - 1",
    "allocation_utility": "expected_edge - tail_penalty - uncertainty_penalty - proof_penalty - liquidity_penalty - operational_penalty - turnover_penalty - concentration_penalty",
    "decision_threshold": "max(5bp, uncertainty_buffer + operational_buffer), plus probability, expected-edge, fifth-percentile downside and breakeven tests"
  },
  "dependency_status": [
    {
      "node": "Official source observations and release metadata",
      "status": "active"
    },
    {
      "node": "Point-in-time panel, freshness checks and calculation hashes",
      "status": "active"
    },
    {
      "node": "Scorecards, regional pillars and relative macro bias",
      "status": "implemented_but_unavailable_in_fred_only_value_run"
    },
    {
      "node": "Promoted risk-to-macro transmission edges",
      "status": "unavailable_and_inactive"
    },
    {
      "node": "Five-model publication tournament",
      "status": "active"
    },
    {
      "node": "Market-forward yield path",
      "status": "selected"
    },
    {
      "node": "Bill pricing and rolling-ladder value",
      "status": "active"
    },
    {
      "node": "Wrapper allocation and YieldGuard decision packet",
      "status": "not_evaluated_in_this_case"
    }
  ],
  "sources": [
    {
      "name": "FRED DGS3MO",
      "url": "https://fred.stlouisfed.org/series/DGS3MO"
    },
    {
      "name": "FRED DGS6MO",
      "url": "https://fred.stlouisfed.org/series/DGS6MO"
    },
    {
      "name": "FRED DGS2",
      "url": "https://fred.stlouisfed.org/series/DGS2"
    },
    {
      "name": "FRED FEDFUNDS",
      "url": "https://fred.stlouisfed.org/series/FEDFUNDS"
    },
    {
      "name": "YieldGuard live Lens endpoint",
      "url": "https://yieldguard.io/api/macro/v1/lens/treasury-snapshot"
    }
  ],
  "claim_boundary": "This evidence proves deterministic calculation lineage, model comparison and suppression behaviour for the stated runs. It does not prove prospective forecasting skill, causal macro transmission, realised investment performance or customer financial outcomes."
}