Universe: 5030 names, 314 days. Hold=21 (month) for factor legs, PEAD hold=60 trading days. Long/short where noted.
NOTE: equity Sharpes use sqrt(365) (house crypto convention) -> ~20% OVERSTATED vs sqrt(252).
Results
| Factor | Sharpe | CAGR | p | maxDD | corrEqMom | corrMkt | residSharpe |
|---|---|---|---|---|---|---|---|
| EqMom(baseline) | 0.92 | 23.0% | 0.000 | -54.6% | 1.00 | 0.87 | -0.00 |
| Rev(1mo,LS) | 0.09 | -0.3% | 0.377 | -41.9% | 0.01 | 0.23 | -0.00 |
| PEAD(LS) | 0.64 | 4.2% | 0.009 | -10.6% | 0.37 | 0.37 | -0.00 |
| PEAD(Long) | 0.67 | 5.4% | 0.007 | -14.9% | 0.39 | 0.40 | -0.00 |
| EqMom(gated curve<0) | 0.83 | 19.1% | 0.001 | -54.6% | 0.94 | 0.83 | 0.00 |
| EqMom(gated credit>med) | 0.80 | 11.9% | 0.002 | -21.4% | 0.59 | 0.38 | 0.00 |
Reading
- PEAD(LS): post-earnings drift. If Sharpe>0.5 & p<0.05 with low corr to EqMom -> NEW genuine edge.
- Rev(1mo,LS): short-horizon reversal. Expect corr<0 to EqMom (diversifier). If Sharpe>0.5 -> adopt as diversifier.
- EqMom(gated *): macro-timing. If gated Sharpe > EqMom baseline AND maxDD lower -> the regime gate adds value (new method).
- PEAD look-ahead guard: PASS
- FX carry: BLOCKED (FRED lacks foreign short-rate series; needs a rates source).