What the current build does, what the production engine does at commercial launch, and what is planned for Year 2.
| Capability | Demo build today (September 2026) | At commercial launch (Q1 2027) | Year 2 | Evidence |
|---|---|---|---|---|
| Coverage universe | 482 stocks (503 current S&P 500 constituents less 21) + 28 ETFs; no capitalization or volume screen | approximately 2,200 screened U.S. equities plus liquid ETFs | Liquid ADRs added | Methodology · Universe |
| Index membership | Current constituents; survivorship bias disclosed on every page | Point-in-time membership; delisted and demoted names retained | — | Demo-build note on every PDF page |
| Share counts | Current shares outstanding applied to historical prices | As-reported share counts on each date | — | Validation record |
| Fundamentals | None; library uses price and volume only | None | Point-in-time fundamentals licensed; Value and Quality families | Factor table |
| Corporate actions | Split and dividend adjustment embedded in the adjusted close; no event table | Splits, dividends, mergers, delistings, symbol changes | — | Data table |
| Macro data | VIX and VIX3M; Treasury, credit and gold ETFs as proxies | Rates, term structure, credit spreads, volatility indices | — | Core review, section 3 |
| Factor families | 4: momentum, low volatility, size, short-horizon reversal | 4 | 6: Value and Quality added | Validation record |
| Construction variants | 1: sector-neutral momentum, documented with its own validation | Planned variants per family | — | Validation record |
| Sector neutralization | Variant only; not applied to production scores | Applied where the client question warrants it, stated per deliverable | — | Construction standards |
| Validation statistics | Fama-MacBeth t (uncorrected), IR full and holdout, hit rate, maximum drawdown, turnover, net-of-cost spread | Same, reissued quarterly | — | Validation page |
| Newey-West standard errors | Not applied | Proposed for library v0.2; effective only when recorded in the changelog | — | Changelog |
| Simulation | Monthly equal-weight deciles held one month | Same | Daily-frequency simulation with position, turnover and liquidity constraints | Simulation |
| Transaction costs | Linear haircut at 0, 10, 20, 40 bps per side | Same | Spread-based estimation scaled by volume participation | Validation record |
| Core Quantitative Market Review | Specimen issue, 9 pp, public | 12–16 pp monthly to subscribers; two-business-day email support from commercial launch | — | Evidence |
| Monthly Quantitative Note | September 2026 issue, 4 pp, public, with a governance record on its last page | Monthly, with a governance record on its last page | — | Note |
| Portfolio Evidence Report | Specimen, 4 pp, on a hypothetical portfolio | 8–12 pp, quarterly per portfolio (monthly on Enterprise) | — | Evidence |
| Manager Attribution Report | Specification published; no specimen, no code path | First delivery, 6–10 pp, annual, up to three managers | — | Products |
| Substantiation File | Section plan published; no specimen | First delivery, 8–12 pp plus computation CSV, delivered in 10 business days | — | Products |
| Factor data feed | Decile membership and score CSVs exported by export.py each run (Marnello_Factor_Deciles_2026-09.csv, Marnello_Factor_Scores_2026-09.csv); not yet delivered on the site | Monthly, at each score publication | — | Products |
| Read-only REST API | None | None; arrives 2027 | Read-only v0 (refresh at each score publication in v0; daily target at production) | Products |
| Custom model licensing | None delivered | First engagements; five-phase process published | — | Products |
| Historical factor archive licence | No archive yet; it begins at the first production month and cannot be back-filled | Archive accumulates monthly | Licensing from Year 3 | Products |
| Data licence (point-in-time prices, membership, share counts) | Not yet contracted; vendor scoping Q4 2026; target signature before commercial launch | In force | Fundamentals licence added | — |
A prospect who opens a PDF after reading a marketing page should find the same numbers. Capabilities marked for launch depend on the data licence, which is not yet contracted; vendor scoping Q4 2026; target signature before commercial launch.