- Universe: 500 names (delisting-inclusive)
- Split (fixed): IS < 2016-01-01, OOS >= 2016-01-01
- Costs: 10 bps one-way, next-open, monthly, top-50/leg
| Factor | Book | Seg | Ret | Sharpe | MaxDD | PF | boot p |
|---|---|---|---|---|---|---|---|
| MOM 12-1 | long | IS | +182.4% | 0.71 | -56.4% | 1.12 | nan |
| MOM 12-1 | long | OOS | +930.3% | 1.21 | -39.5% | 1.20 | 0.001 |
| MOM 12-1 | L/S | IS | -55.6% | -0.36 | -79.1% | 0.94 | nan |
| MOM 12-1 | L/S | OOS | -30.6% | 0.01 | -66.6% | 1.00 | 0.491 |
| STR 5d-rev | long | IS | +196.1% | 0.65 | -59.6% | 1.12 | nan |
| STR 5d-rev | long | OOS | +583.7% | 1.06 | -32.7% | 1.18 | 0.001 |
| STR 5d-rev | L/S | IS | -51.7% | -0.38 | -67.9% | 0.93 | nan |
| STR 5d-rev | L/S | OOS | -52.9% | -0.30 | -64.5% | 0.95 | 0.796 |
| LOWV 60d | long | IS | +102.5% | 0.72 | -42.5% | 1.12 | nan |
| LOWV 60d | long | OOS | +249.7% | 1.08 | -33.8% | 1.19 | 0.002 |
| LOWV 60d | L/S | IS | -90.6% | -0.85 | -92.1% | 0.87 | nan |
| LOWV 60d | L/S | OOS | -96.2% | -1.11 | -96.8% | 0.85 | 0.999 |
| HI52 prox | long | IS | +92.9% | 0.60 | -47.4% | 1.10 | nan |
| HI52 prox | long | OOS | +240.0% | 0.93 | -39.1% | 1.16 | 0.009 |
| HI52 prox | L/S | IS | -85.5% | -0.88 | -91.4% | 0.85 | nan |
| HI52 prox | L/S | OOS | -87.9% | -0.78 | -89.2% | 0.88 | 0.984 |
net25 stress (one-way cost 25 bps)
| Factor | Book | OOS Sharpe net25 | OOS Ret net25 |
|---|---|---|---|
| MOM 12-1 | long | 1.16 | +825.7% |
| MOM 12-1 | L/S | -0.08 | -43.9% |
| STR 5d-rev | long | 0.90 | +388.6% |
| STR 5d-rev | L/S | -0.66 | -75.9% |
| LOWV 60d | long | 0.99 | +210.1% |
| LOWV 60d | L/S | -1.19 | -96.9% |
| HI52 prox | long | 0.74 | +156.8% |
| HI52 prox | L/S | -0.95 | -91.7% |
Bar (loose): OOS net10 Sharpe > 0 AND net25 still > 0 (cost-robust) AND bootstrap p < 0.05.
Verdict: long-only is beta; L/S has no alpha
OOS benchmarks over the same window:
- SPY buy&hold: Sharpe 1.07, ret +349%, maxDD -34%
- EW-500 buy&hold: Sharpe 1.22, ret +501%, maxDD -38%
Every long-only factor book (MOM 1.21, STR 1.06, LOWV 1.08, HI52 0.93) is at or BELOW simply holding the equal-weight basket (EW-500 1.22). The books are beta; the "positive OOS Sharpe" is the market, not the factor. Every L/S book (the actual market-neutral alpha) is negative: MOM +0.01, STR -0.30, LOWV -1.11, HI52 -0.78.
This reproduces, on a fresh split, the repo's own equity_expand7-10 result:
asset-growth / gross-profit / QMJ-quality / net-issuance all came back
CorrMkt 0.90-0.93, residual Sharpe ~0 -> beta-reject; only accruals passed
marginally (resid +0.05) and its tilt was then rejected. The equity anomaly
space is exhausted for this data; the one validated equity alpha (residual
momentum) is already live as eqmom.