Pre-Registered Value (composite): a killed candidate
Verdict: KILLED
Test window: 2005-01-04 to 2026-06-01
Identity: prereg_value
Pre-registered composite value on 21 years. Net Sharpe -0.60, failed every gate. Confirms the value thesis does not replicate without small/mid-cap breadth. KILLED.
Why it was worth testing
Value is the oldest documented cross-sectional effect in equities and the one most likely to be already in the price. The question was never whether cheap stocks have outperformed at some point in history; it is whether a mechanical, point-in-time implementation still clears its own trading costs on a universe that includes the companies that went to zero.
The result
| Measure | Value |
|---|---|
| Net Sharpe | -0.5994 |
| Annualized return | -4.05% |
| Total return | -58.75% |
| Annualized volatility | 9.23% |
| Maximum drawdown | -64.27% |
| Annualized turnover | 2.87 |
| Trading days | 5385 |
| Final equity (USD) | 41,251.08 |
| Fees paid (USD) | 292.36 |
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.