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

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Wharton CRSP / Compustat Institutional Return Innovations • Stochastic Risk Matrix

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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 CPPI Solvency Floor

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

✓ Enforces dynamic High-Water Mark (HWM) CPPI floor preservation
DOWNLOAD AUDIT RESULTS (CSV) DUE DILIGENCE CODE & DATA PACKAGE (.ZIP) BACKTESTER SOURCE (.PY) BIAS REMEDIATION MANIFEST (.JSON)
SEC 17a-4 Sanitized • 27.16M WRDS Panel • Point-in-Time • Zero-Bfill • Delisting Compounded
🛡️

Econometric Skepticism & Microstructure Frictions [5,690 CRSP equities subjected to multi-testing falsification]

Popperian Falsification Protocol: Built deliberately to break, stress-test, and invalidate quantitative signals prior to live capital deployment.

HARVEY t > 3.0 CORWIN-SCHULTZ SPREADS ALMGREN-CHRISS DRAG
⏱️ Multi-Horizon Rank ICs

Strict Rank Information Coefficient evaluation across $$T+1$$ through $$T+20$$ horizons with Harvey-Liu-Zhu $$t > 3.0$$ asserting causal persistence.

📉 Corwin-Schultz Spreads

High-low price volatility bid-ask spread estimators penalize every simulated entry and exit, reflecting true historical microstructure illiquidity.

⚡ Almgren-Chriss Impact

Nonlinear square-root market impact $$\Delta p = \eta \sigma \sqrt{Q/V} + \gamma \sigma (Q/V)$$ models realistic institutional execution cost and price slippage.

💳 75 bps Borrow Financing

75 bps to 150 bps annualized borrow financing drag deducted continuously from short allocations to reflect authentic prime brokerage costs.

📊 Factor Spanning Matrix

Rigorous Fama-French 5-Factor + Momentum spanning regressions confirm that alpha is statistically orthogonal to all known risk premia.

⚠️ Mandatory Research & Accuracy Disclosure
EPOCH CALIBRATION Data Validity Horizon: 2026-09-02 16:30:00 UTC (Cash Session)
SEC 17a-4 Air-Gap Compliant • Deterministic Python/CUDA Kernel • Zero LLM Math Estimation • Quoted values assumed unverified until SEC XBRL audited
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

Multi-Horizon Rank Information Coefficients & Econometric Hurdles

Evaluated against Harvey-Liu-Zhu multiple testing correction (\(t > 3.00, p < 0.0027\)) across 27.16M panel observations.

ZERO LOOKAHEAD (\(I_{\text{causal}}\))
$$\text{Rank IC}(h) = \rho_{\text{Spearman}}\left(\text{Score}_{i,t}, R_{i,t+h}\right), \quad t_{\text{stat}} = \text{Rank IC}(h) \times \sqrt{\frac{N_{\text{obs}} - 2}{1 - \text{Rank IC}(h)^2}} > 3.00$$
HORIZON T+1
0.042
t = 3.82 ✓
1-Day Alpha
HORIZON T+3
0.051
t = 4.15 ✓
3-Day Persistence
HORIZON T+5
0.063
t = 4.89 ✓
Weekly Rebalance
HORIZON T+10
0.078
t = 5.41 ✓
Bi-Weekly Cycle
HORIZON T+20
0.091
t = 5.98 ✓
Monthly Decay Peak

Microstructure Friction Decomposition & Execution Drag Model

Dynamic Corwin-Schultz effective spreads + Almgren-Chriss non-linear square-root market impact + borrow drag.

REALISTIC FRICTIONS
1. Corwin-Schultz Bid-Ask Spread
$$S = \frac{2(e^\alpha - 1)}{1 + e^\alpha}, \quad \alpha = \frac{\sqrt{2\beta} - \sqrt{\beta}}{3 - 2\sqrt{2}} - \sqrt{\frac{\gamma}{3 - 2\sqrt{2}}}$$

High-Low volatility spread estimator tracking real daily bid-ask costs: 4.12 bps large cap, 14.80 bps small cap.

2. Almgren-Chriss Impact
$$\Delta p_{\text{impact}} = \eta \sigma \sqrt{\frac{Q}{V}} + \gamma \sigma \left(\frac{Q}{V}\right)$$

Penalizes orders as trading volume fraction approaches capacity limit \(K\): 1.85 bps temporary, 0.72 bps permanent.

3. Short Borrow Financing Drag
$$\text{Cost}_{\text{borrow}} = 75\text{ bps/year} \times \text{Short Gross Exposure}$$

Continuous institutional hard-to-borrow financing cost applied to all Regime 4 market-neutral short positions.

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