WRDS Empirical Analytics Vault (5,690 Equities) v3.2

ENGINE ONLINE

Wharton CRSP / Compustat Institutional Return Innovations • Stochastic Risk Matrix

FF5
5-Factor Baseline
MKT, SMB, HML, RMW, CMA
Fama-French 5-Factor + Momentum

Decomposes raw strategy performance into systematic market exposure vs pure idiosyncratic alpha (α). Strips out passive factor loading so you only trade true mathematical edge.

✓ Vectorized multi-factor OLS decomposition
t≥3
Harvey-Liu-Zhu Hurdle
Multiple-Testing Protection
Multiple-Testing Significance (t ≥ 3.0)

Enforces a strict t-statistic ≥ 3.0 (p < 0.0027) hurdle rate across cross-sectional backtests. Protects against p-hacking, data mining, and backtest overfitting.

✓ Rejects 95%+ of false discovery signals
15K
Zero Survivorship Bias
15,264 Delisted Equities
CRSP Delisting Return Ingestion

Incorporates 15,264 historical bankruptcies, mergers, and exchange liquidations from crsp.dsedelist to calculate true realized Sharpe and hazard rates.

✓ Eliminates surviving winners distortion
H
Hurst Surface (H)
Trending vs Mean-Reverting
Rescaled Range Hurst Exponent

Classifies asset behavior into Trending/Persistent (H > 0.55), Mean-Reverting (H < 0.45), or Random Walk (H ≈ 0.50) to dynamically swap trading engines.

✓ Automatic algorithmic regime switching
K
Carrying Capacity (K)
Compustat Solvency Bounds
Fundamental Solvency Ratchet

Evaluates quarterly point-in-time balance sheets (comp.fundq) to impose hard debt-to-assets ceiling limits and capacity haircuts.

✓ Enforces 25/15 capital preservation shave
⚠️ Mandatory Research & Accuracy Disclosure
Academic & Quantitative Research Only

STRICT RESEARCH NOTICE • ASSUMPTION OF INACCURACY: All models, simulations, algorithmic signals, parameter values, factor regressions, and analytical outputs presented across this platform are provided strictly for quantitative and academic research purposes only. All data points, financial metrics, and market values are assumed to be unverified and inaccurate until independently audited and verified against official regulatory filings (SEC XBRL) and primary exchange trade records. Nothing on this website constitutes investment, legal, tax, or financial advice.

⚠

Mandatory Research & Accuracy Disclosure

Academic & Quantitative Research Only

STRICT RESEARCH NOTICE • ASSUMPTION OF INACCURACY: All models, simulations, algorithmic signals, parameter values, factor regressions, and analytical outputs presented across this platform are provided strictly for quantitative and academic research purposes only. All data points, financial metrics, and market values are assumed to be unverified and inaccurate until independently audited and verified against official regulatory filings (SEC XBRL) and primary exchange trade records. Nothing on this website constitutes investment, legal, tax, or financial advice.

Firms Evaluated
5,280 Assets
CRSP 2020-Present Panel
Universe Median Sharpe
0.19 (Top: 0.99)
Cross-Sectional Distribution
Momentum Half-Life
18.4 Days
12-1M Decile Spread Decay
Trending Regimes
99.9% (H > 0.55)
Persistent Trending State
Compustat Solvency Bounds
22,502 Balance Sheets
Point-in-Time Joint Ingestion

Fama-French 5-Factor & Momentum Baseline Matrix

Empirically evaluated over 2,889 daily historical market sessions (2015-2026)

CRSP / FAMA-FRENCH DAILY
Factor Name Ann. Return Ann. Volatility Sharpe Max DD CVaR (99%) Hurst (H)
Factor Return vs. Volatility Distribution ANNUALIZED METRICS

Cross-Sectional Institutional Equities Leaderboard (5,280 Assets Evaluated)

Top-decile realized Sharpe, Hurst regimes, and fundamental carrying capacity K

Ticker Ann. Return Ann. Vol Sharpe CVaR (99%) Hurst (H) Carrying K ($M) Debt/Asset