Point-in-time equity factor research

Signal — 150 independent out-of-sample months

Factors by information coefficient

Equity curve, net of costs

Portfolio, net of costs

Cost sensitivity — Sharpe at 5bp slippage 0.30, at 10bp 0.24, at 20bp 0.12.

Where the edge comes from

A decile spread with a t-statistic above 2 looks like a strategy. Regressing that spread on the market is what decides whether it is one.

The long decile runs a beta of 1.10 against the short decile's 0.99 — a tilt positive in 73% of months, over a window in which the market compounded at 13.7%. Once it is removed, what remains is not statistically separable from zero.

Across six model seeds with identical economics, IC holds at 0.0164 ± 0.0008 while Sharpe ranges from 0.09 to 0.49. The signal is stable; the Sharpe is a draw from a distribution, and every performance figure above should be read against that spread.

Universe coverage

Point-in-time index membership against names that could actually be priced and traded. The gap is the residual survivorship limitation: delisted tickers are frequently unavailable from the price source.