Inclusion look-ahead removed via fja05680/sp500 historical membership (446 panel names matched). DELISTING survivorship remains (no keyless source serves delisted prices) - treat numbers as an upper bound.
Avg eligible names/month: 323
| variant | total | CAGR | Sharpe | MaxDD | cal | val |
|---|---|---|---|---|---|---|
| 12-1 LO top10% PIT-net | +7.7x | +12.30% | 0.60 | -51.0% | +108.6% | +317.4% |
| 12-1 LO top10% PIT-gross | +8.9x | +13.10% | 0.64 | -50.7% | +123.6% | +344.6% |
Reference (biased universe, same rules): net CAGR +20.0%, Sharpe 0.85.
ALL DONE