Deep-History Quality (Top 800): a killed candidate
Verdict: KILLED
Test window: 2005-06-16 to 2026-06-22
Identity: deephist_quality_top800
Quality premium does not survive net of cost on the 21-year survivorship-free universe. Net Sharpe far below the 0.30 minimum gate. KILLED, never re-tuned.
Why it was worth testing
Quality investing is the claim that profitable, stable, low-accrual businesses earn more than their risk explains. It is among the best-documented anomalies in the literature and among the most heavily traded, which is exactly why it deserved a test on a survivorship-free universe with costs charged rather than assumed away. A premium that survives in a paper and dies in a fill is not a premium.
The result
| Measure | Value |
|---|---|
| Net Sharpe | -0.5926 |
| Annualized return | -5.74% |
| Total return | -71.16% |
| Annualized volatility | 12.89% |
| Maximum drawdown | -72.12% |
| Annualized turnover | 3.18 |
| Trading days | 5286 |
| Final equity (USD) | 28,842.90 |
| Fees paid (USD) | 321.25 |
What this does and does not say
It says this configuration, on this data, net of the costs we charge, did not clear the bar it pre-registered. It does not say the underlying economic effect does not exist, that no implementation of it works, or that someone with different data or different execution would reach the same conclusion. A null is evidence about a test, not a proof about a market.
It also does not say the trial was free. Every hypothesis tested raises the deflated-Sharpe hurdle for every sleeve already in the book, including the ones that survived. That is why the kill count is published beside the survivor count rather than behind it.