124 lines
8.1 KiB
Markdown
124 lines
8.1 KiB
Markdown
# Point-in-time fundamentals overlay research
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Generated: 2026-07-23T14:06:10.423614+00:00
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## Protocol
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- Train ends before **2024-01-01**.
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- Validation runs until **2025-01-01**.
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- Test starts at that date and is not used to select the arm.
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- Qualification is unchanged; fundamentals only reorder qualified longs.
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- SEC filings become visible at midnight New York time after acceptance.
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- Pre-registered portfolio trials for DSR: **13**.
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## Data warnings
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- Current tracked universe only: historical constituent membership and delisted names are unavailable, so absolute results have survivorship bias.
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- Historical valuation is excluded because split-adjusted bars cannot be safely combined with filing-time EPS and shares without split factors.
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- Earnings surprise is excluded because the completed SUE study already failed its promotion bar for this strategy.
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- The test window remains research evidence, not a pristine future sample; live paper performance is still the final out-of-sample check.
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## Factor IC
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| window | signal | IC | t | positive | quintile spread | weeks | N |
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|---|---|---:|---:|---:|---:|---:|---:|
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| train | share_count_change_yoy | 0.0389 | 1.97 | 61.9 | 0.0029 | 21 | 435.5 |
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| train | net_debt_to_ebitda | 0.0141 | 0.46 | 61.9 | 0.0098 | 21 | 183.9 |
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| train | balanced | 0.0065 | 0.2 | 57.1 | 0.0007 | 21 | 381.2 |
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| train | quality | 0.0038 | 0.19 | 47.6 | -0.0033 | 21 | 396.6 |
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| train | revenue_growth_yoy | 0.0006 | 0.02 | 47.6 | 0.0044 | 21 | 406.8 |
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| train | fcf_margin | -0.006 | -0.29 | 38.1 | -0.0044 | 21 | 365.3 |
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| train | growth | -0.0077 | -0.26 | 47.6 | 0.003 | 21 | 442.5 |
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| train | eps_growth_yoy | -0.0152 | -0.65 | 52.4 | -0.004 | 21 | 370.2 |
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| train | operating_margin | -0.0288 | -1.36 | 28.6 | -0.0131 | 21 | 333.3 |
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| validation | growth | 0.0558 | 1.21 | 55.6 | 0.0177 | 9 | 450.9 |
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| validation | revenue_growth_yoy | 0.0485 | 0.95 | 55.6 | 0.0205 | 9 | 416.7 |
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| validation | balanced | 0.0483 | 1.06 | 55.6 | 0.0126 | 9 | 387.9 |
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| validation | eps_growth_yoy | 0.0473 | 1.44 | 55.6 | 0.014 | 9 | 393.8 |
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| validation | fcf_margin | 0.0268 | 0.84 | 66.7 | 0.0003 | 9 | 368 |
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| validation | net_debt_to_ebitda | 0.0066 | 0.12 | 55.6 | 0.0104 | 9 | 184.6 |
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| validation | quality | -0.0029 | -0.14 | 44.4 | -0.0002 | 9 | 401 |
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| validation | operating_margin | -0.0056 | -0.18 | 44.4 | -0.0058 | 9 | 338.3 |
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| validation | share_count_change_yoy | -0.0169 | -0.52 | 55.6 | -0.0098 | 9 | 439.9 |
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| test | eps_growth_yoy | 0.0182 | 0.88 | 46.2 | 0.0071 | 13 | 415.7 |
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| test | share_count_change_yoy | 0.0142 | 0.78 | 61.5 | -0.0147 | 13 | 451.9 |
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| test | growth | 0.011 | 0.32 | 46.2 | 0.0047 | 13 | 463.6 |
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| test | revenue_growth_yoy | 0.0053 | 0.14 | 46.2 | 0.0046 | 13 | 429.3 |
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| test | net_debt_to_ebitda | -0.0082 | -0.19 | 61.5 | -0.0043 | 13 | 195.5 |
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| test | balanced | -0.0176 | -0.47 | 38.5 | -0.0147 | 13 | 402.2 |
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| test | quality | -0.0386 | -1.59 | 30.8 | -0.0257 | 13 | 419.6 |
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| test | operating_margin | -0.0436 | -1.52 | 38.5 | -0.0279 | 13 | 349.5 |
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| test | fcf_margin | -0.0535 | -1.99 | 30.8 | -0.0307 | 13 | 380.4 |
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| full | share_count_change_yoy | 0.0161 | 1.16 | 54.8 | -0.0052 | 42 | 441.3 |
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| full | growth | 0.0123 | 0.65 | 54.8 | 0.0067 | 42 | 450.5 |
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| full | revenue_growth_yoy | 0.0116 | 0.55 | 47.6 | 0.0069 | 42 | 415.5 |
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| full | eps_growth_yoy | 0.008 | 0.58 | 57.1 | 0.003 | 42 | 388.5 |
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| full | balanced | 0.0071 | 0.36 | 54.8 | -0.0014 | 42 | 388.9 |
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| full | net_debt_to_ebitda | 0.006 | 0.29 | 54.8 | 0.0037 | 42 | 187.9 |
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| full | quality | -0.0109 | -0.85 | 45.2 | -0.0092 | 42 | 404.5 |
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| full | fcf_margin | -0.0161 | -1.04 | 35.7 | -0.0123 | 42 | 370.5 |
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| full | operating_margin | -0.0252 | -1.74 | 33.3 | -0.017 | 42 | 339.2 |
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## Portfolio arms
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| arm | window | Sharpe | SE | DSR | CAGR | MaxDD | Calmar | trades | overlap |
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|---|---|---:|---:|---:|---:|---:|---:|---:|---:|
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| control_w00 | train | 1.26 | 0.764 | 0.4607 | 32.5 | 18.5 | 1.76 | 195 | — |
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| control_w00 | validation | 2.52 | 0.938 | 0.8309 | 71.3 | 14.8 | 4.82 | 106 | — |
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| control_w00 | test | 1.99 | 0.81 | 0.7757 | 54.4 | 19.2 | 2.83 | 188 | — |
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| control_w00 | full | 1.86 | 0.49 | 0.9807 | 52.1 | 22.3 | 2.34 | 483 | — |
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| quality_w10 | train | 1.66 | 0.772 | 0.6629 | 45.4 | 16.9 | 2.68 | 183 | 57.5 |
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| quality_w10 | validation | 2.44 | 0.941 | 0.8077 | 68.8 | 17.3 | 3.98 | 107 | 65.12 |
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| quality_w10 | test | 1.7 | 0.805 | 0.6562 | 43.8 | 18.8 | 2.33 | 189 | 60.43 |
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| quality_w10 | full | 1.91 | 0.493 | 0.9845 | 53.3 | 21.6 | 2.46 | 470 | 59.1 |
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| quality_w20 | train | 1.64 | 0.77 | 0.6538 | 44.4 | 17.4 | 2.55 | 181 | 42.42 |
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| quality_w20 | validation | 2.28 | 0.953 | 0.7551 | 59.4 | 18.6 | 3.19 | 111 | 53.9 |
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| quality_w20 | test | 1.49 | 0.805 | 0.5562 | 35.9 | 18.6 | 1.93 | 189 | 44.44 |
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| quality_w20 | full | 1.75 | 0.493 | 0.9666 | 46.6 | 20.7 | 2.26 | 478 | 44.73 |
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| quality_w30 | train | 1.69 | 0.767 | 0.6781 | 45 | 17.3 | 2.6 | 176 | 39.47 |
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| quality_w30 | validation | 1.83 | 0.948 | 0.5869 | 42.9 | 18.8 | 2.28 | 111 | 51.75 |
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| quality_w30 | test | 1.3 | 0.801 | 0.4621 | 28.9 | 18.6 | 1.56 | 189 | 41.73 |
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| quality_w30 | full | 1.57 | 0.491 | 0.9297 | 39.1 | 19.6 | 2 | 469 | 41.25 |
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| quality_w40 | train | 1.73 | 0.772 | 0.6954 | 46.5 | 18.2 | 2.55 | 190 | 31.85 |
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| quality_w40 | validation | 1.58 | 0.944 | 0.4824 | 36.8 | 19 | 1.94 | 110 | 48.97 |
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| quality_w40 | test | 1.18 | 0.812 | 0.4045 | 24.2 | 18 | 1.35 | 193 | 34.63 |
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| quality_w40 | full | 1.39 | 0.494 | 0.8643 | 33 | 23.8 | 1.39 | 492 | 34.11 |
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| growth_w10 | train | 1.24 | 0.769 | 0.4506 | 31.1 | 18.2 | 1.71 | 190 | 53.39 |
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| growth_w10 | validation | 2.65 | 0.915 | 0.8695 | 74.6 | 11.6 | 6.41 | 103 | 74.17 |
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| growth_w10 | test | 1.87 | 0.807 | 0.7297 | 52.4 | 18.9 | 2.77 | 197 | 61.09 |
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| growth_w10 | full | 1.83 | 0.49 | 0.9776 | 51.5 | 21.6 | 2.39 | 485 | 58.43 |
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| growth_w20 | train | 1.16 | 0.775 | 0.4105 | 27.3 | 17.8 | 1.53 | 189 | 42.75 |
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| growth_w20 | validation | 1.99 | 0.945 | 0.6516 | 50.1 | 19.2 | 2.61 | 101 | 56.82 |
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| growth_w20 | test | 1.59 | 0.8 | 0.6053 | 40.5 | 18.7 | 2.16 | 191 | 53.44 |
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| growth_w20 | full | 1.55 | 0.493 | 0.9232 | 39.3 | 21.1 | 1.86 | 477 | 49.07 |
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| growth_w30 | train | 0.94 | 0.784 | 0.307 | 19.5 | 17.7 | 1.1 | 199 | 41.22 |
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| growth_w30 | validation | 1.79 | 0.954 | 0.57 | 42.4 | 19.5 | 2.18 | 101 | 55.64 |
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| growth_w30 | test | 1.32 | 0.8 | 0.472 | 31.5 | 18.3 | 1.72 | 198 | 47.33 |
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| growth_w30 | full | 1.29 | 0.496 | 0.8143 | 29.9 | 20.7 | 1.44 | 500 | 45.63 |
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| growth_w40 | train | 1.08 | 0.785 | 0.3725 | 22.5 | 16.2 | 1.38 | 196 | 32.54 |
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| growth_w40 | validation | 1.96 | 0.956 | 0.6383 | 48.1 | 19.3 | 2.5 | 101 | 55.64 |
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| growth_w40 | test | 1.45 | 0.799 | 0.5368 | 36.3 | 17.8 | 2.03 | 193 | 50.59 |
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| growth_w40 | full | 1.47 | 0.495 | 0.896 | 35.6 | 26 | 1.37 | 487 | 40.99 |
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| balanced_w10 | train | 1.66 | 0.773 | 0.6627 | 45.7 | 18.5 | 2.47 | 191 | 62.87 |
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| balanced_w10 | validation | 2.42 | 0.931 | 0.8044 | 64.1 | 17.4 | 3.69 | 105 | 64.84 |
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| balanced_w10 | test | 2.05 | 0.808 | 0.7978 | 57.6 | 18.9 | 3.04 | 186 | 56.49 |
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| balanced_w10 | full | 2 | 0.493 | 0.9903 | 57.4 | 21.4 | 2.69 | 471 | 58.21 |
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| balanced_w20 | train | 1.5 | 0.774 | 0.5842 | 40.3 | 16.2 | 2.49 | 186 | 48.25 |
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| balanced_w20 | validation | 1.94 | 0.945 | 0.6319 | 45.7 | 18.5 | 2.47 | 113 | 58.7 |
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| balanced_w20 | test | 1.99 | 0.805 | 0.7771 | 52.6 | 18.3 | 2.88 | 189 | 46.12 |
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| balanced_w20 | full | 1.71 | 0.493 | 0.96 | 45.6 | 19.3 | 2.37 | 481 | 47.18 |
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| balanced_w30 | train | 1.11 | 0.774 | 0.3854 | 26.5 | 17.1 | 1.55 | 201 | 37.98 |
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| balanced_w30 | validation | 1.9 | 0.94 | 0.6164 | 47.7 | 17.3 | 2.76 | 104 | 60.31 |
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| balanced_w30 | test | 1.54 | 0.799 | 0.5812 | 37.9 | 18.3 | 2.08 | 197 | 45.83 |
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| balanced_w30 | full | 1.52 | 0.492 | 0.9144 | 39.4 | 21.3 | 1.85 | 496 | 43.55 |
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| balanced_w40 | train | 1.16 | 0.782 | 0.4113 | 25.9 | 16.2 | 1.6 | 202 | 34.58 |
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| balanced_w40 | validation | 2.07 | 0.943 | 0.6827 | 56.2 | 18.4 | 3.06 | 103 | 50.36 |
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| balanced_w40 | test | 1.29 | 0.807 | 0.4574 | 30 | 17.8 | 1.68 | 202 | 46.62 |
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| balanced_w40 | full | 1.34 | 0.496 | 0.8401 | 32.3 | 26.4 | 1.22 | 507 | 40.83 |
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## Mechanical selection
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- No overlay passed the train + validation requirements.
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Production remains unchanged pending human review.
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