Gahow Wang
dc14a541b0
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>
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