Universe: top-200 by liquidity as of 2007-06-01 (200 stocks)
Long-short = top decile minus bottom decile (next-day return).
IS/OOS at 2016-01-01. Gross returns.
mom6
| Portfolio | IS Ret | IS Sharpe | OOS Ret | OOS Sharpe | OOS PF |
|---|
| top | +169.14% | 0.67 | +907.69% | 1.24 | 1.20 |
| bottom | +180.32% | 0.59 | +774.76% | 1.07 | 1.19 |
| long_short (p=0.473) | -51.36% | -0.19 | -28.05% | 0.02 | 1.00 |
mom12
| Portfolio | IS Ret | IS Sharpe | OOS Ret | OOS Sharpe | OOS PF |
|---|
| top | +170.32% | 0.71 | +776.78% | 1.14 | 1.19 |
| bottom | +181.22% | 0.61 | +650.33% | 0.96 | 1.17 |
| long_short (p=0.490) | -54.23% | -0.20 | -34.43% | 0.01 | 1.00 |
rev1m
| Portfolio | IS Ret | IS Sharpe | OOS Ret | OOS Sharpe | OOS PF |
|---|
| top | +55.17% | 0.37 | +451.88% | 1.05 | 1.17 |
| bottom | +275.49% | 0.69 | +765.09% | 1.03 | 1.19 |
| long_short (p=0.782) | -76.17% | -0.55 | -63.67% | -0.28 | 0.95 |
rev1w
| Portfolio | IS Ret | IS Sharpe | OOS Ret | OOS Sharpe | OOS PF |
|---|
| top | +20.67% | 0.26 | +334.67% | 0.89 | 1.15 |
| bottom | +701.96% | 0.98 | +963.17% | 1.13 | 1.21 |
| long_short (p=0.896) | -90.52% | -1.07 | -75.43% | -0.47 | 0.93 |
high52
| Portfolio | IS Ret | IS Sharpe | OOS Ret | OOS Sharpe | OOS PF |
|---|
| top | -2.69% | 0.09 | +290.97% | 1.13 | 1.18 |
| bottom | +433.34% | 0.82 | +1245.45% | 1.10 | 1.20 |
| long_short (p=0.976) | -93.80% | -1.06 | -89.63% | -0.72 | 0.89 |
vol60
| Portfolio | IS Ret | IS Sharpe | OOS Ret | OOS Sharpe | OOS PF |
|---|
| top | +364.61% | 0.72 | +1666.07% | 1.17 | 1.20 |
| bottom | +139.24% | 0.89 | +289.23% | 1.23 | 1.21 |
| long_short (p=0.023) | +136.80% | 0.53 | +351.38% | 0.74 | 1.12 |
size
| Portfolio | IS Ret | IS Sharpe | OOS Ret | OOS Sharpe | OOS PF |
|---|
| top | +64.50% | 0.41 | +580.94% | 1.11 | 1.19 |
| bottom | +440.54% | 0.93 | +752.73% | 1.21 | 1.22 |
| long_short (p=0.674) | -74.56% | -1.14 | -30.44% | -0.17 | 0.97 |
beta60
| Portfolio | IS Ret | IS Sharpe | OOS Ret | OOS Sharpe | OOS PF |
|---|
| top | +157.76% | 0.55 | +1821.53% | 1.19 | 1.20 |
| bottom | +80.35% | 0.60 | +214.05% | 1.00 | 1.16 |
| long_short (p=0.018) | +72.38% | 0.41 | +461.98% | 0.78 | 1.12 |
Summary (long-short OOS)
| Factor | IS Sharpe | OOS Sharpe | OOS p | Verdict |
|---|
| mom6 | -0.19 | 0.02 | 0.473 | REJECT |
| mom12 | -0.20 | 0.01 | 0.490 | REJECT |
| rev1m | -0.55 | -0.28 | 0.782 | REJECT |
| rev1w | -1.07 | -0.47 | 0.896 | REJECT |
| high52 | -1.06 | -0.72 | 0.976 | REJECT |
| vol60 | 0.53 | 0.74 | 0.023 | PASS |
| size | -1.14 | -0.17 | 0.674 | REJECT |
| beta60 | 0.41 | 0.78 | 0.018 | PASS |
Decision memo
Tests price-based equity factors with PIT universe.
Adopt if long-short OOS Sharpe > 0 and p < 0.05.
VERDICT (2026-08-25): REJECT all as standalone anomalies
- mom6, mom12: long-short OOS Sharpe
0, p0.47-0.49. NO momentum edge
on next-day returns (factor literature uses 1-12m holding, not 1-day).
- rev1m, rev1w: negative long-short. No short-term reversal edge.
- high52: negative long-short. Stocks near 52w high do NOT outperform
(contrary to 52-week-high literature; likely 1-day horizon too short).
- size: negative long-short. Large-caps outperform small-caps in this
liquidity-selected universe (opposite of classic size effect).
- vol60, beta60: "PASS" (OOS Sharpe 0.74/0.78, p=0.023/0.018) BUT these are
RISK PREMIUMS, not anomalies — high-vol/high-beta stocks outperform
low-vol/low-beta. Long-short = bet on risk, not free alpha. Not adoptable
as a standalone signal.
CONCLUSION: No clean cross-sectional equity anomaly exists at the 1-day horizon
in this PIT universe. The "PASS" factors just confirm the risk-return tradeoff.
Next-day returns are too noisy for factor timing. Factor strategies need
longer holding periods (1-12 months) and fundamentals (value, quality) we lack.