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Research

Reconstructing corporate-action basis without opening strategy returns

By , Canli Capital

Author
Arhan Canli
Project
AlphaC Algorithms / Canli Capital
Research status
Corrected reproduction complete; factor remains killed; global split gate failed

Abstract

An immutable operating-margin replay exposed a corporate-action data defect: dividend values from the frozen Sharadar ACTIONS archive were being treated as raw cash amounts even when they were expressed on a later split-adjusted basis. This note records the diagnosis, issuer-anchored repair contract, versioned materialization, full-lake validation, external cross-check, path-exposure audit, exact issuer verification, and one fail-closed corrected reproduction. The dividend gate passes after repair, while the global split-boundary gate remains failed. The corrected operating-margin result improves materially but remains negative and KILLED; it does not earn sleeve admission or production promotion.

Trigger and preserved result

The valid historical operating-margin result remains KILLED: Sharpe -0.4173809362582861, maximum drawdown 0.39623483315571484, and final equity 63911.64507926929. A later apparent Sharpe of 0.2595404513705637 is rejected because its replay was contaminated by unverified corporate-action units. The first divergence was a legitimate RGLD dividend; the largest distortion was a CMCT cashflow produced by interpreting a split-adjusted dividend as raw cash. Historical results are not rewritten by this investigation.

Diagnosis and repair contract

Across 167,120 positive dividend rows, 422 exceeded the full pre-ex-date raw close. Applying the product of same-ticker raw action='split' values on or after each dividend date reconciled 421 of those 422 rows. Raw adrratiosplit rows were treated as metadata, not as a second executable share mutation.

Apple provides the ordinary-event anchor. The frozen source contains a dividend value of 0.205 on 2020-05-08 and a later four-for-one split. Their product, 0.82, exactly equals Apple's issuer-declared cash dividend. This supports: but does not elevate beyond inference: the following normalization:

raw cash amount = source dividend value × product of later same-ticker market split ratios

The sole unresolved impossible row, VATE on 2020-05-14, was quarantined exactly after issuer and independent-provider evidence failed to support it. A zero-value HDB marker was also quarantined exactly. No amount was imputed. The source archive and original lake remain immutable. The sealed repair receipt has content hash sha256:48fcfde04e3c7f7d28bc349c93b55911f97514317e74bac67fca80980b621e47.

Versioned materialization

The corrected corporate-action lake is a new physical version, not an in-place edit. It maps 171,924 base rows to 171,780 normalized rows: 167,118 dividends were normalized, 31,807 dividend amounts changed, 142 ADR-ratio metadata rows were removed from execution, 4,662 market-split rows were preserved, and exactly two source rows were quarantined. Non-corporate-action datasets are hard-linked and the original lake is preserved by hash. The materialization receipt has content hash sha256:178c4564f9c5e0b917db752879c08a2f25c3133e614f92f0ecec6af3c33ef1c0.

Full-lake validation

The dividend gate passes: all 167,118 dividend rows were checked; zero exceed the full pre-ex-date close; the maximum observed multiple is 0.9836065573770493; and 259 rows lack a two-sided price boundary and remain explicitly counted.

The split gate fails. Of 4,662 market-split groups, 4,189 are consistent, three would verify under the reciprocal ratio, 109 have unexplained price boundaries, and 361 lack a two-sided price boundary. In total, 473 failed or unverifiable events affect 401 instruments. The validation receipt therefore records CORPORATE_ACTION_VALIDATION_FAILED_SPLIT_BOUNDARIES, content hash sha256:6ed09e42b6e6a744df4dfb3c9bbd927b58ac70a813c9c819a1592daa8afae583.

The engine now fails closed when an exposed position or order encounters a split that violates its price-boundary sanity check. It may no longer log the defect and continue with unconverted exposure, which could fabricate profit and loss.

Independent split cross-check

A GET-only Polygon reference audit downloaded 28,079 split records from 1997-12-31 through 2026-08-23 and cross-checked all 473 local failed or unverifiable events by date and ticker alias. The external provider confirms the stored ratio for 114 events, confirms the reciprocal of the stored ratio for one event (BMNR on 2021-04-27), reports a materially different event ratio for two events (ACHC on 2011-11-01 and JHG on 2017-05-30), and has no matching event for 356. Three initially apparent conflicts resolve at the source's recorded five-decimal precision.

These classifications narrow the next investigation; they do not close the gate. Stored-ratio confirmation does not explain a disagreeing or absent local price boundary. BMNR is a candidate for a separately sealed reciprocal-ratio repair, not an authorized mutation. Conflicting and unmatched events remain closed. The external cross-check receipt has content hash sha256:b401c5260988ba900d0acac857bfeda28a3cb353d6a18db3b9ef55890dc67a32.

Lifecycle and sealed-path accounting

The 473 failed or unverifiable events were then classified against each instrument's frozen price lifecycle. Of these, 332 precede the first price, 23 occur on the first-price boundary with no pre-existing exposure, five follow the final price, 112 occur within a price lifecycle, and one lacks a frozen lifecycle. This narrows the global unresolved set without deleting a source event or declaring the lake valid. The lifecycle receipt has content hash sha256:deed344bd2823f820e326b69f510f704a11b3ba3d2621100594da2600f78cb2d.

Within the operating-margin window, 71 in-lifecycle failed events were audited against the sealed historical order and position path. Fifty-one had independent-provider support and 20 remained unresolved. Sixty-nine had no observed pre-boundary position or queued order. Exactly two were held: ADTX on 2022-09-14 and SPCE on 2024-06-17. This is historical-path evidence, not an assumption about an unseen counterfactual path. The exposure receipt has content hash sha256:c9d379d6a7bd9a7991f561e84162ba1f8c78715b32d540b7b56b6d179eaf6dfd.

Issuer filings independently confirm ADTX's one-for-50 reverse split and SPCE's one-for-20 reverse split on the exact stored dates. The corrected reproduction therefore accepted only two exact (instrument, ex-date, ratio) tuples: ADTX at 0.02 and SPCE at 0.05: as authorization to bypass the price-gap heuristic. A wrong instrument, date, or ratio still failed closed. The exact-event verification receipt used by that reproduction has content hash sha256:fa8595944365c27e6a8a49a490ccdafd7f37db31808e569da527c8926fb1b550.

Global fail-closed routing and subsequent issuer resolutions

Every one of the 473 failed events now has exactly one governance route. Three hundred sixty-six are non-executable under frozen lifecycle evidence, 25 have exact issuer authorization, 12 are issuer-verified composite actions that remain quarantined, 16 have issuer conflicts or date mismatches, and 52 have provider corroboration but remain failed closed because their local price boundary still disagrees. Two remain unresolved within a price lifecycle; the sole no-lifecycle event is now an issuer-timeline conflict. The global gate therefore remains failed. The policy receipt has content hash sha256:20dceb4995121d0895223f830d87e858c5f527e2936cadb5cdf3a98778ab2b28.

The two additional exact authorizations are AMPE and EVHC. Ampio's filing establishes a fifteen-to-one reverse split effective on 2022-11-09 and the first resumed NYSE American trading date on 2022-11-22. The frozen five-decimal ratio 0.06667 is the rounded form of 1/15; the authorization binds that exact stored tuple and creates no general tolerance. Envision's filing establishes a 0.334 merger exchange conversion and first Newco trading under EVHC on 2016-12-02. The batch receipt has content hash sha256:beceafdeb0917e77ccd2c30d2bd95fd39b18e7f55e115307a36d5cb13199567e.

Ocean Rig is the fifth exact authorization. Its issuer release establishes a 1-for-9,200 reverse split effective on 2017-09-21. The frozen 0.00011 ratio is the five-decimal representation of 1/9,200, and the 2017-09-22 event date is the first frozen price bar after the issuer-effective date. Concurrent restructuring issuance explains why the local price gap cannot validate the split mechanically; the authorization covers only the old-share mutation, not any entitlement to new restructuring shares. The receipt has content hash sha256:d5b2e24b502dffc1c059e82525c30829a657a0add8354896ed57b60f474d06ea.

ETS1 is the sixth exact authorization. The issuer filing establishes a one-for-eight reverse split effective on Friday, 2005-10-28. The frozen event on Monday, 2005-10-31 is the first subsequent price bar, and its stored ratio is exactly 0.125. No nearby companion action is recorded, so the authorization binds only that exact instrument, event date, and ratio. The receipt has content hash sha256:855fdfd19c27b5cdb0250bec08fa9d443acd966c3c3b08a912d5891a0b596ce1.

Six further plain splits complete the 12 exact authorizations. Issuer filings bind BNI's three-for-one distribution, EPAC's two-for-one distribution, GDW's three-for-one distribution, HAFC's and JAKK's three-for-two distributions, and LNG's one-for-four reverse split to the frozen event date or first frozen post-distribution bar. Each has an exact scalar shareholder mutation, no nearby companion action, and no general ratio tolerance. The batch receipt has content hash sha256:6342504521c9d41ce2e22eb7fd54273ba7db85ca46a3ab00a24557c52fa400da.

Four further events bring the exact authorization set to 16. CuraGen's filing binds its two-for-one distribution on 2000-03-30 to the first subsequent frozen bar. Wild Oats' filings bind its three-for-two splits effected on 1998-01-07 and 1999-12-01 to their respective first subsequent frozen bars. Intermedia's filing similarly binds its two-for-one split paid on 1998-06-15 to the 1998-06-16 frozen event. All four lack nearby companion actions. Allaire remains quarantined because its filing confirms the split and record date but does not establish the exact distribution or trading-effective date needed to bind the frozen event. The batch receipt has content hash sha256:e6885c1f1b355f5fb71f030a0edb9d21baf3a5bacd07de0ce99f38f0ea435a1c.

UTI Energy is the 17th exact authorization. Its filing states that the board authorized a two-for-one stock split in the form of a stock dividend, paid on 2000-10-03 to holders of record on 2000-09-25. The issuer payment date, frozen event date, and stored ratio 2.0 agree exactly, and there is no nearby companion action. The receipt has content hash sha256:4fd9b0d804c589bbf619ab89ed1146a57d8a6448911cc847da1bcdead781533a.

Three further events bring the exact authorization set to 20. McLeodUSA's filings bind its two-for-one distribution on 1999-07-26 and three-for-one distribution effective 2000-04-24 to their respective first subsequent frozen bars. Metzler's filing binds its three-for-two stock dividend directly to 1998-04-01. The separate NCI1 event on 1998-04-02 is not authorized because the issuer describes only the April 1 action. The exact batch receipt has content hash sha256:61f151501bd8c35b483517399632062aeea7e48938129ee6b91fbe373aa6bbf3.

Five further plain events bring the exact authorization set to 25. Beyond.com and Network Commerce each completed one-for-15 reverse splits on their frozen event dates. Worldwide Xceed completed a one-for-10 reverse split on its frozen date. ACE Limited's three-for-one distribution and Cellular Communications International's three-for-two distribution bind to their respective first frozen post-distribution bars. Each stored ratio is the exact issuer ratio or its explicit five-decimal representation, and none has nearby companion-action context. The batch receipt has content hash sha256:3fe329129db627a4fa26b3a6f51d75ddc70ac77d5857f788de68c399b08384ac.

Twelve composite share mutations are issuer-verified but not executable. ITT completed a one-for-two reverse split after distributing Exelis and Xylem; Sabra's REIT conversion delivered one Sabra share for every three Old Sun shares; NorthStar completed a one-for-two reverse split alongside its asset-management separation; IHG exchanged 11 new shares for every 15 old shares plus £1.65 cash per old share; and Tyco completed a one-for-four reverse split immediately after distributing Tyco Electronics and Covidien. CMO paired its one-for-two reverse split with a $7.30 special cash dividend on the same ex-date. ATNI's 0.4 share mutation accompanied one Emerging Communications share per old share, while KSU's one-for-two reverse split accompanied two Stilwell shares per old share. KMI1's three-for-two split was distributed concurrently with a cash dividend that is absent from the frozen actions feed. AT&T's one-for-five reverse split followed its same-day Broadband spin-off and Comcast-share distribution. Redback's approximate 73.39:1 reverse split accompanied new creditor equity and stockholder warrants under its bankruptcy plan. Sodexho Marriott's one-for-four reverse split was part of Marriott's spin-off and merger transaction: each old share also received one share in each of two New Marriott classes, and the issuer completed the transaction four days after the frozen event date. Applying only the share mutation would corrupt shareholder value, so all 12 remain composite-action quarantines. The receipt has content hash sha256:e1d1d9fb384877b52199e86d0924e126b4eb208a7a9382ef3c9fc2aa5e60334b.

Sixteen records remain hard quarantined because primary issuer evidence conflicts with the frozen event semantics. GEVA's one-for-five effective date differs from the stored event date; MHGVY's filing says each ADS represented one ordinary share rather than the stored 0.1; DIAL1's 200-for-one reverse split became effective before the frozen event date; and PRTK's one-for-five mutation occurred inside a merger that also issued 0.14134 shares per target share, before the frozen event date. IPAR, USB, and CDR have issuer distribution or occurrence dates that differ from their frozen events. NVEC's stored one-for-five mutation occurred inside a merger that also issued 3.5 surviving-company shares per acquired-company share, before the frozen event date. NCI1's April 2 row duplicates the issuer's single April 1 stock dividend. Peregrine's issuer filing binds its old-to-new equity conversion to the August 7 reorganization effective date and states that new stock traded from August 8, not the frozen October 17 event date. Ambev's issuer filing places its one-for-five share conversion and stock bonus on May 31, not the frozen June 9 event. Eni's filing places its two-for-one reverse split and ADS-ratio change on June 18, not the frozen June 22 event. EXMCQ's filing shows stable shares outstanding across the alleged split window and identifies 0.05 as a rights-offering exercise price rather than a share mutation. None is executable as a plain split. Atlas Air's issuer filing reports 19,815,338 shares at 2005 year-end and 20,049,108 at 2006 Q2, contradicting the frozen six-for-one mutation. Alcon's filing reports 308,519,051 shares at 2003 year-end and 305,654,454 at 2004 year-end, contradicting the frozen one-for-ten mutation. Arizona Aircraft Spares' filing states that the public company was incorporated in December 2000 and that AZAA trading began on 2003-10-01; the frozen 2000-11-10 event predates both the issuer and ticker lifecycle. None of the three additions authorizes a ratio repair. The conflict receipt has content hash sha256:fa5c744c0268e1c05c32d3fbfd286db01073a9e1a6367331ca908dae04145395.

Six records are resolved in the opposite direction. BASXQ, TDW, CIVI, KEGX, EGLE2, and CQB all cross bankruptcy or recapitalization boundaries where old equity was canceled and replacement value included a new CUSIP, warrants, aggregate ownership allocations, new shares, or combinations of those instruments. Chiquita's old preferred, preference, and common stock was exchanged for an aggregate new-equity allocation plus seven-year warrants. A scalar stored ratio is not a complete supported old-to-new shareholder conversion for any of the six. Each row is preserved in lineage and routed as a non-executable lifecycle discontinuity; a simulated position crossing one must abort. The receipt has content hash sha256:af66b2190bc8aac83320d7ff7b8b540d57372698bd8a6d9cfde96f668d7f44dc.

Corrected zero-trial reproduction

A trial-specific authorization bound the corrected lake, failed global split status, lifecycle accounting, sealed-path exposure, exact issuer events, and execution-code hashes before returns were reopened. One reproduction of the immutable single_operating_margin identity then ran in a new content-addressed directory. It spent zero hypotheses and left the historical result and experiment ledger unchanged.

Measurement Immutable result Corrected reproduction
Annualized Sharpe -0.4173809363 -0.1457641219
Maximum drawdown 39.62348332% 24.46692315%
Final equity $63,911.65 $84,805.92
Total return Not separately sealed -15.19408261%

The correction removes a material distortion, but it does not rescue the factor: Sharpe, CAGR, and total return remain negative. The verdict remains KILL. The sealed reproduction receipt has content hash sha256:04c000216be3ba13f1ba3e196d8543e77ff1f18a876753005c6b13a7b856ed0f.

Claim boundary and next decision

This study reconstructs corporate-action data and reports one corrected reproduction of an already-spent identity. It spends no new strategy hypothesis and establishes no sleeve, live-performance, capacity, or forward-performance result. The global split gate remains failed; future identities may not treat this lake as globally valid while two events remain genuinely unresolved. A runner may bind only an explicitly sealed exact authorization and must abort on any other exposed failed event. Unmatched records cannot be made green by deletion.

Primary issuer and schema references: