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research: S&P 600 replication of mid-cap quality sleeves (all REJECT)

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Preregistered replication vs IJR, 2017-01..2026-09, 20bp decides:
quality composite +2.3%/yr (t 0.78; halves +8.0/-3.5), quality-filtered
momentum +2.2% (t 0.73); SUE and lottery-filtered momentum also REJECT,
all weaker at 40bp. Equal-weight members beat IJR (t 3.2) and every
sleeve. Decision: drop quality stock selection in mid/small caps.

Adds --universe small to fetch_us_fundamentals (IJR, name-checked CIKs),
a `which` argument to fundamentals.load_mid, and --universe small to
midcap_sleeve.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
This commit is contained in:
Gahow Wang
2026-10-08 18:46:45 -07:00
parent dc14a541b0
commit 0f9554e77f
4 changed files with 84 additions and 36 deletions
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@@ -82,7 +82,8 @@ uv run python -m research.lab.fetch_wiki_attention && PYTHONPATH=. uv run --with
PYTHONPATH=. uv run --with numba python -m research.lab.concentration # industry caps on the momentum sleeve
PYTHONPATH=. uv run python -m research.lab.universe_midcap # overnight_recovery_top10 on S&P 500 ∪ S&P 400 (preregistered; FAIL 2026-10-08)
uv run python -m research.lab.fetch_us_fundamentals --universe mid # EDGAR PIT facts for S&P 400 ever-members (name-checked CIKs)
PYTHONPATH=. uv run python -m research.lab.midcap_sleeve [--only h1..h4] # separate S&P 400 sleeve vs IJH (preregistered; all REJECT 2026-10-08)
uv run python -m research.lab.fetch_us_fundamentals --universe small # the same for S&P 600 (IJR)
PYTHONPATH=. uv run python -m research.lab.midcap_sleeve [--only h1..h4] [--universe small] # S&P 400 sleeves vs IJH; S&P 600 replication vs IJR (all REJECT 2026-10-08)
PYTHONPATH=. uv run python -m research.lab.fetch_shortvolume # FINRA REG SHO daily short volume (~8y archive, resume-safe)
PYTHONPATH=. uv run python -m research.lab.short_volume [us|midsmall|all] # SVR (short-volume ratio) IC / quintile scan on PIT panels
PYTHONPATH=. uv run python -m research.lab.fetch_fails # SEC fails-to-deliver archives (2018+, resume-safe)