Pre-Registered Quality (GP/A + ROE): a killed candidate
Verdict: KILLED
Test window: 2005-01-04 to 2026-06-01
Identity: prereg_quality
Pre-registered quality on 21 years. Net Sharpe -0.83, the worst sleeve. KILLED; the wide-universe quality thesis fails to replicate on the available data.
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 | -0.8316 |
| Annualized return | -4.27% |
| Total return | -60.75% |
| Annualized volatility | 7.29% |
| Maximum drawdown | -64.06% |
| Annualized turnover | 2.63 |
| Trading days | 5385 |
| Final equity (USD) | 39,248.43 |
| Fees paid (USD) | 321.76 |
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.