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>
After S&P 400 names failed inside the large-cap momentum top 10, test them
as their own sleeve: top 30, monthly, buffer 1, 20 bp, judged by alpha vs
IJH and by whether 1/3 of the book in the sleeve beats 1/3 in IJH. Four
hypotheses and a control, definitions and rule written before the run.
Holdout 2017-01..2026-09: mid-cap momentum -1.0%/yr vs IJH (corr 0.83 with
the large-cap book), lottery-excluded momentum -1.7%, SUE earnings momentum
-1.7%, quality-screened momentum +3.5% (t 1.28), quality composite +3.4%
(t 1.23; book 0.91 vs 0.85 with IJH). Quality is positive in both halves
but underpowered; nothing is adopted.
fetch_us_fundamentals gains --universe mid: EDGAR facts for S&P 400
ever-members, CIKs accepted only when an SEC name matches the iShares
holding name. fundamentals.load_mid builds the same factors on that panel.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
