Universe: 5030 names w/ point-in-time fundamentals, 309 days. Long-only top-50, hold=21, lag=1. sqrt(365) overstates ~20% vs sqrt(252).
BENCHMARK: flagship region-A ML ~ Sharpe 0.99 (2006-26), ~1.15 (2021-26). Need net Sharpe > ~1.0 AND low corr to clear it.
Results (NET of 10bps/side)
| Factor | Sharpe | CAGR | p | maxDD | corrEqMom | corrMkt | residSharpe |
|---|---|---|---|---|---|---|---|
| EqMom(baseline) | 0.92 | 22.9% | 0.000 | -54.2% | 1.00 | 0.87 | -0.00 |
| EP | 0.94 | 23.9% | 0.000 | -56.5% | 0.84 | 0.98 | 0.00 |
| BP | 0.93 | 23.6% | 0.000 | -56.5% | 0.84 | 0.98 | 0.00 |
| ROE | 0.93 | 23.4% | 0.000 | -56.5% | 0.87 | 0.98 | 0.00 |
| MARGIN | 0.89 | 22.2% | 0.000 | -56.5% | 0.86 | 0.98 | 0.00 |
| DY | 0.93 | 23.4% | 0.000 | -56.5% | 0.84 | 0.98 | 0.00 |
| SIZE | 0.98 | 25.4% | 0.000 | -56.5% | 0.84 | 0.98 | -0.00 |
| QARP | 0.91 | 23.0% | 0.000 | -56.5% | 0.84 | 0.98 | 0.00 |
| 52wHigh | 1.10 | 34.3% | 0.000 | -57.2% | 0.94 | 0.91 | 0.00 |
| LowVol63 | 0.97 | 16.6% | 0.000 | -40.2% | 0.75 | 0.85 | 0.00 |
Reading
- Fundamental look-ahead guard: PASS
- Value (EP/BP), Quality (ROE/MARGIN), Size, Yield, QARP = the alpha sources the flagship's technical features exclude.
- Adopt a factor if NET Sharpe > ~1.0 with p<0.05 and low corr to EqMom+flagship (diversifier). Else it is a diversifier at best.