Pre-registered 2026-09-09. Cash-flow XBRL NEI/NDI, absent=0 under cash-flow-regime proof, ex-financials, winsorized 1/99, June frozen 12m. Long-only top-10, hold=21, next-open, 10bps, sqrt(252). Split 2016-01-01. Guard PASS.
| Arm | OOS elig | OOS Ret | OOS Sharpe | OOS MaxDD | Turn/yr | CorrMkt | ResidSh | CorrMom | boot-p | Verdict |
|---|---|---|---|---|---|---|---|---|---|---|
| I1 net-issuance | 79 | +488.31% | 0.96 | -35.08% | 0.67 | 0.92 | -0.03 | 0.69 | 0.0010 | REJECT |
| I2 financing-composite | 79 | +568.04% | 1.04 | -33.16% | 0.89 | 0.93 | 0.14 | 0.70 | 0.0006 | PASS |
IS (2010-2015, short) reference
| Arm | IS Ret | IS Sharpe | IS MaxDD |
|---|---|---|---|
| I1 net-issuance | +123.23% | 0.86 | -17.32% |
| I2 financing-composite | +112.83% | 0.79 | -16.41% |
Bar (pre-registered): OOS Sharpe >= 0.50 AND bootstrap p < 0.05 AND resid Sharpe vs market > 0. Bonferroni ~= 0.025 for 2 tests noted.
Verdicts (2026-09-09)
- I1 net-issuance — REJECT (beta). Significant standalone (0.96, p=0.001) with resid -0.03, corrMkt 0.92: the issuance puzzle does not survive long-only on liquid large-caps by itself.
- I2 financing-composite — PASS (validated) but NOT PROMOTED (no book value). Clears the bar outright (1.04, p=0.0006 — survives Bonferroni — resid +0.14, IS 0.79 consistent, green 10/11 OOS years with only 2022 red at -7.4%): the first fundamental arm with a materially positive residual, i.e. a REAL anomaly replication, not beta. Promotion denied on portfolio grounds, not statistics: 50/50 blend with live EqMom scores 1.267 vs EqMom alone 1.286 (corr 0.70 too high, Sharpe lower) — it would dilute the book it joins. Shelved as a documented diversifier candidate; promotion requires forward shadow evidence or a regime where its -33.2% DD decorrelates. No live change.
- Program ledger (6 fundamental arms): AG/GP/QMJ-profit/I1 beta-reject, accruals marginal-beta-plus, I2 validated-not-promoted. The EDGAR panel stays as source library; remaining fundamental frontier is issuance-adjacent novelty only (new hypothesis + protocol).