Cross-sectional equity research: momentum construction, quality and value replication on a survivorship-free universe, and the filing-derived signals tested against it.
This collection covers the project’s equity momentum, value, quality and filing-derived research. Read each result as a claim about a specified universe, construction and test window. A familiar factor name does not establish that this implementation reproduces an earlier study or supports deployment.
This research is run on a survivorship-free universe with point-in-time membership, because the alternative silently answers a different question. A backtest restricted to today's constituents omits former members and can introduce survivorship bias; its results cannot be treated as a reconstruction of the historical investment universe. Filing-derived signals face a sharper version of the same problem: the date a fact was measured is not the date it was knowable, and a series stamped with the former trades on information from the future.
What survived on this book's own evidence is narrow. A conventional cross-sectional momentum construction is the one equity sleeve that trades. The fifty-two-week high, post-earnings drift, gross profitability, book-to-price, net issuance, residual momentum, cross-sectional seasonality, insider purchase clusters, intraday reversal and positioning-derived signals are published as kills with the number each died on.
The enhancement papers record attempts to change the momentum construction and the gates those attempts failed. These results constrain the tested variants; they do not prove that every possible construction has been exhausted. Corrections and feasibility papers identify unresolved data and design questions. Any new attempt still needs its own governed specification and evidence.
The equities documents
- 52-Week-High Momentum (campaign): a killed candidateThe one AlphaMax construction variant whose cheap screen cleared the bar (t 2.01 vs plain momentum's 1.73), so we honored the pre-registration and ran the…
- AlphaMax equity momentum: signal, trial lineage, and evidence boundaryAlphaMax is ALPHAC's US-equity long/short momentum program. Its canonical signal is 12-minus-1 cross-sectional momentum: rank securities by split-adjusted…
- AlphaMax Short-Leg Margin Floor (disclosure, not a strategy): a killed candidateA disclosure against our own published number rather than a tested idea. The equity sleeve's backtest has never modelled the broker's $5.00-per-share short…
- Annual risk-factor narrative stability: a preregistered nullALPHAC preregistered one test of annual 10-K Item 1A narrative stability before opening the 2016–2025 return window. The locked strategy bought issuers with…
- Beta-Neutral Momentum Construction (campaign): a killed candidateThe premise was that a dollar-neutral momentum book carries hidden NEGATIVE market beta, so a junk rally hurts both legs at once. Measuring the premise first…
- Clustered Insider Open-Market Purchases: a killed candidateOne pre-registered configuration on official SEC Form 4 purchases, 2016-2026: at least two officers/directors and $100k purchased inside 30 calendar days…
- Clustered insider purchases: a corrected preregistered nullThis record examines whether clustered open-market purchases by corporate insiders predict issuer returns after a realistic filing delay. Two immutable…
- Corporate Equity Supply (Net Issuance): a killed candidateThe broad corporate-equity-supply identity was run through the deployed-path walk-forward on a point-in-time Sharadar research lake: long firms shrinking…
- COT Positioning Overlay (campaign): a killed candidateIndistinguishable from zero (t~0.42 over 25 years); dies at 2x cost; the entire 'edge' is two equity-index legs. Genuine decorrelation, no edge to attach it to.
- Cross-Sectional Same-Calendar-Month Seasonality (probe): a killed candidateThe one equity-side signal genuinely DECORRELATED from our momentum sleeve; and that is exactly why it is worth publishing. Same-calendar-month ranking…
- Crypto momentum: complete trial lineage and failed sleeve-admission evidenceAlphaForge tested cross-sectional and time-series momentum in perpetual-futures prices. Diversification without standalone edge does not earn a sleeve slot.
- Customer–supplier propagation; locked no-return relationship-source protocolUse the existing hash-addressed SEC 10-K manifest and local primary-document cache. Restrict filing dates to 2016-01-01 through 2025-12-31. Every manifest…
- Equity fundamental quality: 11 identities and no validated sleeveNovy-Marx's gross-profitability evidence provides an important prior (Journal of Financial Economics). One family can contribute at most one independent sleeve.
- Equity low beta: two negative identities and no defensive sleeveTwo historical identities test a 252-session equity beta rank. The implemented portfolio seeks a long-low-beta, short-high-beta spread under rank allocation.
- Equity Momentum (with Margin Costs): a killed candidateMargin financing costs erode the momentum edge below the frozen k30dn63 baseline. This tested one specific construction choice inside the momentum family.
- Equity Quality (Gross Profitability): a killed candidateQuality via GP/A + ROE fails on the narrow top-200 / 5-year slice. Net Sharpe below the 0.30 gate; needs the wide Sharadar fundamentals universe (20yr / 3000…
- Equity Value (Book-to-Price): a killed candidateValue premium inverted across the 2022-2026 window. Net Sharpe below the 0.30 gate; the narrow top-200 universe is too small for the small/mid-cap value signal.
- Equity value, issuance, and investment: 13 identities and unstable evidenceValue ratios ask whether prices are low relative to accounting fundamentals. Cooper, Gulen, and Schill document the asset-growth effect (Journal of Finance).
- Equity-Index VRP / short-vol (campaign): a killed candidateThe premium is REAL (VIX minus realized = +4 vol pts, t=57) but UNHARVESTABLE: negative in every crisis, skew -1.8 to -2.2, corr +0.45 to +0.66 to SPY : …
- FilingFacts v0: financial reasoning items verified from SEC XBRL dataFilingFacts is a set of 1,882 questions about the annual SEC filings of 402 companies. Every answer is computed from the company's XBRL facts, re-derived by…
- Intraday Flow-Momentum, first-30m predicts last-30m (probe): a killed candidateThe twice-JFE-documented effect (Gao-Han-Li-Zhou) is fully DECAYED post-publication on SPY/QQQ/IWM: dead-zero in 2023-2026, and significantly INVERTED in…
- Long-Vol Tail Overlay (campaign): a killed candidateAn honest positive-skew (+2.06) anti-equity hedge; but its ONLY thesis, improving the combined book, fails at every hedge weight. AlphaTrend already provides…
- Options dispersion: literature and implementation boundaryThe defensible mechanism is a priced difference between index correlation/variance insurance and the corresponding single-stock option basket. It is not a…
- Point-in-Time Inflation Surprise and the Equity Size SpreadThis paper reports a point-in-time inflation-surprise strategy applied to the dollar-neutral IWM-minus-SPY equity size spread. The fixed specification…
- Post-Earnings-Announcement Drift (campaign): a killed candidateClean null on a tradable top-1000 universe: the drift is the WRONG sign net of cost; the published PEAD edge lives only in untradeable micro-caps. Corr 0.47…
- Pre-Registered Momentum (deep history): a killed candidatePre-registered momentum on 21 years of deep history. Net Sharpe ~ -0.05, failed the DSR >= 0.95 gate. The deployed momentum sleeve is the frozen 2023+ k30dn63…
- PRE-REGISTRATION; annual risk-factor narrative stabilityDeclared 2026-08-15 after the filing-only feasibility pass and before loading any security return associated with this signal. One hypothesis identity.
- Repurchase and issuance flow: literature dossierThe literature supports a real economic family around corporate equity supply. Net share issuance has predicted lower subsequent cross-sectional returns…
- Repurchase and issuance flow: no-return SEC feasibility protocolThis audit measures data feasibility only. It may inspect filing metadata, XBRL facts, Item 703 tables, taxonomies, contexts, amendments, and extraction errors.
- Residual (beta-neutral) Momentum (campaign): a killed candidateCorr 0.87 to raw 12-1 momentum on the broad survivorship-free universe; it is the SAME bet as AlphaMax, net-negative. The claimed 'separation' is false here.
- Spin-off dislocation; initial Form 10 document-schema protocolNo company names, filings, or years may be removed because they are not genuine spin-offs. Form 10 is deliberately being tested as a noisy discovery source.
- Spin-off dislocation; SEC Form 10 lineage protocolCan the complete 2016–2025 exchange-registration candidate universe be reconstructed from official quarterly EDGAR full indexes without starting from a modern…
- Stablecoin par dislocations: literature and implementation boundaryFiat-backed stablecoins have a two-tier market. A limited set of eligible institutions can transact with the issuer near par, while everyone else trades in…
- Vol-Scaled / Crash-Protected Momentum overlay (campaign): a killed candidateBarroso-Santa-Clara constant-vol and Daniel-Moskowitz variance/dynamic scaling applied to the live AlphaMax sleeve. On the canonical window it HURTS (net…