research: survivorship sensitivity and total-return momentum investigation

Three questions answered against snapshot copies, with no production change.

Step 1 — how sensitive is the backtest to the ranking universe? Restoring 85
S&P 500 constituents removed between 2021-06 and 2026-07 moves the same window
from 2.09 Sharpe / 51.6% CAGR to 1.57 / 38.1%. The failed banks never reached
either book (identical best/worst trade R), so this measures universe
recomposition, not survivorship bias. The removals list is curated by hand with
per-symbol sources; only three explicitly confirmed terminal events get marks,
and four unresolved endings are reported as caveats rather than inferred.

Step 2 — does a total-return basis change the ranking? Ordered lists differ on
1009 of 1009 evaluated dates, 4.56 replacements per date. The shift correlates
with trailing implied yield (mean Spearman +0.79), which is strong evidence
consistent with a dividend effect but does not isolate own-yield, since both
the stock and benchmark legs change.

Step 3a — does that reach P&L? A paired replay reusing one shared candidate set
(control reproduces the production row exactly) changes ~30% of entries.
Treatment is -3.7pp CAGR and -1.9pp drawdown, with the entire return gap in
2025. A paired moving-block bootstrap (seed 20260907, 5000 replicates, 21/63
blocks, both reported) puts every interval across zero.

Decision: production stays unchanged. No schema, no ingestion, no wider sweep.
The observed window does not resolve which basis is better, and choosing a
threshold now — with -3.7pp on the table — would be fitting the rule to the
answer.

Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01HAH7vVtn7qbcn1EVheecHQ

docs/research/tr-rank-agreement.md

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+# Total-return vs price-return momentum — ranking screen
+
+**Run date:** 2026-09-07 · **Verdict: proceed to Step 3** (pre-registered rule fired)
+**Reports:** `reports/tr-rank-agreement.json`, `reports/tr-rank-agreement-mechanism.json`
+**Script:** `scripts/research_tr_rank_agreement.py`
+**Cache:** `backtest_snapshots/tr-rank-cache.sqlite` (507 symbols, 630,524 aligned bars)
+
+## Question
+
+12-1 momentum is defined on total returns; production computes it on
+split-adjusted prices, which ignore dividends. Before building the production
+`tr_factor` machinery (Step 3 of [the plan](../data-integrity-plan.md)), does the
+basis actually change what the gate admits and how it orders?
+
+Deliberately a screen, not a portfolio simulation. A difference here is a reason
+to measure trades, **not** evidence that P&L changes.
+
+## Configuration
+
+| | |
+|---|---|
+| Universe | `backtest_snapshots/survivorship-a.sqlite`, 505 symbols with bars (RHM has a ticker row but no bars in the snapshot, so it is inert in both arms) |
+| Window | 2021-06-24 → 2026-07-02, clipped to the snapshot |
+| Decision dates | every SPY session; 1,009 had enough history to evaluate |
+| Momentum | production `compute_residual_12_1_momentum`, unchanged; price series against nominal SPY, total-return series against total-return SPY |
+| Volatility leg | production `compute_realized_vol_6m` on the SPLIT series, computed once per date and **held fixed in both arms** so only momentum varies |
+| Gate | production `min_momentum_percentile` = 80.0, via production `_percentiles` |
+| Ordering | production `blend_strategy_rank`, symbol as deterministic tie-break, symbols fed in sorted order in both arms |
+| Comparison | the full admitted list, never truncated to `max_positions` |
+| Runtime | 146 s with the production function — no NumPy rewrite needed, so no equivalence test was required |
+
+**Coverage is complete.** One `Adjustment.SPLIT` and one `Adjustment.ALL` request
+per symbol; 507 symbols cached, **zero** dates present in one adjustment but not
+the other. No symbol with snapshot bars is missing from the cache — the script
+refuses to run in that case rather than reporting the gap as agreement.
+
+## Result
+
+| | |
+|---|---:|
+| Evaluated dates | 1,009 |
+| Dates with a **different ordered list** | **1,009 (100%)** |
+| Dates with a different admitted set | 1,007 (99.8%) |
+| Mean set disagreement, `\|A △ B\| / \|A ∪ B\|` | 0.0867 |
+| Max set disagreement | 0.2143 |
+| Mean admitted names per arm | 100.09 |
+| Mean **replacements** per date (one out paired with one in) | **4.56** |
+| Max replacements on a single date | 12 |
+| Mean symmetric difference (names counted on both sides) | 9.13 |
+
+Per year, every evaluated date differs:
+
+| Year | Dates | Different set | Different order |
+|---|---:|---:|---:|
+| 2022 | 132 | 132 | 132 |
+| 2023 | 250 | 250 | 250 |
+| 2024 | 252 | 252 | 252 |
+| 2025 | 250 | 248 | 250 |
+| 2026 | 125 | 125 | 125 |
+
+Counted directly from the daily set differences rather than derived from the
+Jaccard ratio: **4.56 names are replaced on an average date** — 4.56 leave and
+4.56 arrive, so 9.13 names appear on one side or the other, out of about 100
+admitted. A swap moves two names, which makes the symmetric difference twice the
+replacement count and the two easy to conflate.
+
+## Strong evidence of a dividend effect
+
+First changed date, 2022-06-24 — 99 names admitted in each arm, nine swapped:
+
+- **Only on price return:** CDNS, MAR, FIX, COST, LIN, AON, STE, CI, AJG
+- **Only on total return:** EXC, PSX, WY, AMCR, DTE, GIS, FE, BMY, ES
+
+Growth and low-yield names out; utilities, energy, staples and other high payers
+in. Nine tickers are not evidence, so it was measured (`--mechanism 25`, saved to
+`reports/tr-rank-agreement-mechanism.json` with its sampled dates and per-date
+values): across 40 sampled dates, the Spearman correlation between a name's
+trailing 12-month implied yield — from the ALL/SPLIT ratio over the formation
+window — and its momentum-percentile shift between arms is **+0.79** (range
++0.71 to +0.85, every sampled date positive).
+
+**What that does and does not pin down.** The reordering is systematic and
+directional rather than numerical noise, and it moves with yield. It is *not* a
+clean isolation of the stock's own yield: both the stock series and the benchmark
+leg change between arms, so the measured shift also contains the beta-weighted
+benchmark yield. Read it as strong evidence consistent with a dividend effect.
+Isolating own-yield would need a third variant — total-return stock series
+against a nominal SPY leg — which has not been run.
+
+## Verdict
+
+The pre-registered rule was "no ordered-list difference on any evaluated date →
+stop". Differences occur on **every** evaluated date, so **Step 3 proceeds**.
+
+What this does and does not establish:
+
+- **Does:** the momentum basis materially changes gate admission and ordering,
+  every day, in a yield-driven direction.
+- **Does not:** show that realised P&L changes. Production also applies setup
+  qualification, existing holdings, available slots and the rest of the admission
+  path. A name that swaps into the admitted list may never produce a setup. Step
+  3's paired portfolio replay is what decides whether any of this reaches trades.
+- **Worth noting:** the tuning recorded as closed in the research log was carried
+  out on a price-return basis throughout. This screen does not invalidate it —
+  it says the input those conclusions were computed on is not the one the factor
+  is defined on.
+
+## Reproduce
+
+```powershell
+python scripts/research_tr_rank_agreement.py --fetch          # 1,014 requests, cached
+python scripts/research_tr_rank_agreement.py --time-batch 20  # runtime projection
+python scripts/research_tr_rank_agreement.py                  # full screen
+python scripts/research_tr_rank_agreement.py --mechanism 25   # yield vs percentile shift
+```
+
+The cache makes re-runs free and the screen deterministic; delete
+`backtest_snapshots/tr-rank-cache.sqlite` to refetch.