The publication rule, the result of applying it to library v0.1 on data through 2026-08-31, and the cross-validation against public benchmarks. The full record is a public PDF.
Download the validation record (PDF, 11 pp) Methodology changelog
Status vocabulary. PASS: meets all criteria of the publication rule in force and is eligible for publication as a return factor; MONITOR: does not meet the rule but shows either a Fama-MacBeth t-statistic above 1.0 or a positive holdout information ratio; computed and reported as a risk descriptor, not presented as a source of return; FAIL: does not meet the rule on any count; computed and reported as a risk descriptor pending point-in-time data.
Proposed, not in force. Proposed for library v0.2: all t-statistics Newey-West adjusted (lag 6); adds (iv) holdout-period joint Fama-MacBeth t-statistic > 1.0. Effective only when approved and recorded in the changelog.
| Family | Implemented definition (library v0.1) | FM t-stat | IR (full) | IR (holdout) | Turnover / mo | Net @20 bps | Status |
|---|---|---|---|---|---|---|---|
| Momentum | Total return from month-end t-12 to month-end t-1 (skips the most recent month) | 0.50 | -0.02 | 0.61 | 55% | -3.0% | MONITOR |
| Low volatility | Negative of annualized standard deviation of daily returns over trailing 252 trading days | -3.11 | -1.01 | -1.19 | 17% | -27.6% | FAIL |
| Size (small minus big) | Negative log market capitalization (current shares x month-end price; demo approximation) | 3.03 | 1.27 | 0.44 | 11% | +15.4% | PASS |
| Short-horizon reversal | Negative of trailing 21-trading-day total return | -0.12 | -0.09 | -0.79 | 172% | -9.5% | FAIL |
Construction sample 2016–2022, holdout 2023-01-01 onward; 127 monthly cross-sections; 482 stocks. Fama-MacBeth t-statistics are uncorrected for autocorrelation. Net @20 bps is the annualized long-short return after a linear cost haircut of 20 basis points per side on measured turnover.
| In-house spread | Benchmark | Months | Period | Correlation | Beta to benchmark | Sign agreement |
|---|---|---|---|---|---|---|
| Momentum | French UMD | 126 | 2016-02 to 2026-07 | 0.900 | 1.33 | 87% |
| Size (small minus big) | French SMB | 126 | 2016-02 to 2026-07 | 0.598 | 0.80 | 67% |
| Momentum, sector-neutral variant | French UMD | 126 | 2016-02 to 2026-07 | 0.841 | — | — |
The benchmark series are value-weighted 2×3 sorts on the full CRSP universe; the in-house spreads are equal-weighted deciles within the demo universe, so correlation rather than level agreement is the relevant test. The size spread correlates at 0.60 with SMB; the lower figure is expected because SMB spans the full market while the demo universe contains large caps only, so the in-house spread measures size dispersion within the S&P 500 rather than small-versus-large across the market. Sector neutralization removes the component of momentum that is a bet on sector rotation; both variants are carried with their own validation.