research: survivorship sensitivity and total-return momentum investigation

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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

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dennisthiessenandClaude Opus 5 committed 2026-09-07 19:29:34 +02:00

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