Factor lab · rebuilt from Sharadar

Academic factors,
ranked from scratch.

Published cross-sectional predictors, recomputed point-in-time and run as long-short virtual ETFs — then compared on the same footing.

51Factors rebuilt

0.73Top Sharpe, all stocks

8Variants per factor

Browse the leaderboard Build a fund

Sharadar SF1 · SEPPoint-in-time · survivorship-free

01 / Leaderboard

Every factor, side by side.

Evaluated across Train ’00–’12 · Val ’13–’18 · Test ’19–’26. Each factor also has an industry-relative and per-sector version.

Viewing All stocks

’00–’12 · ’13–’18 · ’19–’26windows

Evaluation windows

StartEnd

train

val

test

Recomputes the split Sharpes and test alpha. Full Sharpe, ann. return, max drawdown and OAP correlation span the whole sample and don’t change.

Min SharpeAll

51 of 51

47 of 51 shown hold more than 5% in a single issuer (median 13.3%). These sleeves apply no issuer cap, so 5% is a reference line from the ’40 Act bucket rule rather than a limit they undertook to meet. The figure describes how much cap-weighting concentrates a book, which is what the constrained solver in the Builder exists to change. Industry-relative and sector variants concentrate differently; switch the variant above to see their numbers.

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01CBOperProf
profitability
Full Sharpe
0.73
Long-leg Sharpe
0.86
Annual return
14.3%
Max drawdown
-43.2%
Train 0.62Val 1.68Test 0.83Turnover 10%Test α 16.3%OAP corr 0.42 (equal-weighted)Top issuer 19.0%
Build View fund
02ShareIss1Y
investment
Full Sharpe
0.69
Long-leg Sharpe
0.76
Annual return
8.5%
Max drawdown
-25.6%
Train 0.77Val 0.77Test 0.77Turnover 11%Test α 7.9%OAP corr 0.69 (equal-weighted)Top issuer 9.1%
Build View fund
03GP
profitability
Full Sharpe
0.61
Long-leg Sharpe
0.76
Annual return
11.2%
Max drawdown
-33.0%
Train 0.68Val 1.26Test 0.55Turnover 7%Test α 5.1%OAP corr 0.73 (equal-weighted)Top issuer 59.9%
Build View fund
04CompEquIss
investment
Full Sharpe
0.57
Long-leg Sharpe
0.85
Annual return
8.7%
Max drawdown
-36.5%
Train 0.60Val 0.71Test 0.51Turnover 16%Test α 7.1%OAP corr 0.94 (equal-weighted)Top issuer 29.0%
Build View fund
05InvGrowth
investment
Full Sharpe
0.54
Long-leg Sharpe
0.60
Annual return
7.4%
Max drawdown
-39.3%
Train 0.93Val 0.46Test 0.14Turnover 18%Test α 2.9%OAP corr 0.25 (equal-weighted)Top issuer 14.2%
Build View fund
06OperProf
profitability
Full Sharpe
0.50
Long-leg Sharpe
0.76
Annual return
11.0%
Max drawdown
-55.6%
Train 0.74Val 0.62Test 0.42Turnover 6%Test α 2.8%OAP corr 0.86 (equal-weighted)Top issuer 18.9%
Build View fund
07RD
value
Full Sharpe
0.48
Long-leg Sharpe
0.68
Annual return
12.3%
Max drawdown
-71.7%
Train 0.26Val 1.51Test 0.49Turnover 21%Test α 22.2%OAP corr 0.39 (equal-weighted)Top issuer 10.7%
Build View fund
08Mom12m
momentum
Full Sharpe
0.48
Long-leg Sharpe
0.71
Annual return
14.7%
Max drawdown
-58.8%
Train 0.34Val 0.57Test 0.46Turnover 28%Test α 20.4%OAP corr 0.78 (equal-weighted)Top issuer 14.5%
Build View fund
09Mom6m
momentum
Full Sharpe
0.47
Long-leg Sharpe
0.73
Annual return
13.9%
Max drawdown
-62.3%
Train 0.24Val 0.82Test 0.57Turnover 37%Test α 20.7%OAP corr 0.77 (equal-weighted)Top issuer 12.2%
Build View fund
10RoA
profitability
Full Sharpe
0.45
Long-leg Sharpe
0.70
Annual return
10.1%
Max drawdown
-53.5%
Train 0.57Val 0.11Test 0.69Turnover 7%Test α 6.2%Top issuer 14.7%
Build View fund
11RoE
profitability
Full Sharpe
0.42
Long-leg Sharpe
0.78
Annual return
6.8%
Max drawdown
-54.0%
Train 0.59Val 0.10Test 0.75Turnover 8%Test α 3.9%OAP corr 0.90 (equal-weighted)Top issuer 17.0%
Build View fund
12NetDebtFin
investment
Full Sharpe
0.34
Long-leg Sharpe
0.63
Annual return
3.9%
Max drawdown
-36.3%
Train 0.43Val -0.14Test 0.66Turnover 16%Test α 9.4%OAP corr 0.48 (equal-weighted)Top issuer 22.5%
Build View fund
13NOA
accruals
Full Sharpe
0.33
Long-leg Sharpe
0.58
Annual return
5.1%
Max drawdown
-39.0%
Train 0.50Val 0.88Test -0.01Turnover 9%Test α 5.0%OAP corr 0.24 (equal-weighted)Top issuer 9.5%
Build View fund
14SP
value
Full Sharpe
0.32
Long-leg Sharpe
0.64
Annual return
7.4%
Max drawdown
-63.3%
Train 0.75Val -0.03Test 0.22Turnover 10%Test α -3.8%OAP corr 0.81 (equal-weighted)Top issuer 8.8%
Build View fund
15CFP
value
Full Sharpe
0.32
Long-leg Sharpe
0.53
Annual return
6.7%
Max drawdown
-61.2%
Train 1.00Val -0.14Test -0.25Turnover 15%Test α -10.7%OAP corr 0.49 (equal-weighted)Top issuer 10.3%
Build View fund
16dNOA
accruals
Full Sharpe
0.26
Long-leg Sharpe
0.54
Annual return
3.5%
Max drawdown
-31.5%
Train 0.20Val 0.09Test 0.72Turnover 19%Test α 14.9%OAP corr 0.38 (equal-weighted)Top issuer 12.1%
Build View fund
17IntMom
momentum
Full Sharpe
0.24
Long-leg Sharpe
0.58
Annual return
5.7%
Max drawdown
-63.0%
Train 0.23Val -0.05Test 0.08Turnover 41%Test α 0.8%OAP corr 0.78 (equal-weighted)Top issuer 49.3%
Build View fund
18ChTax
profitability
Full Sharpe
0.23
Long-leg Sharpe
0.63
Annual return
3.1%
Max drawdown
-40.0%
Train 0.03Val -0.23Test 0.35Turnover 15%Test α 2.1%OAP corr 0.66 (equal-weighted)Top issuer 22.8%
Build View fund
19NetDebtPrice
leverage
Full Sharpe
0.20
Long-leg Sharpe
0.55
Annual return
3.0%
Max drawdown
-55.6%
Train 0.17Val 0.68Test -0.20Turnover 14%Test α 2.2%OAP corr 0.64 (equal-weighted)Top issuer 12.2%
Build View fund
20DelEqu
investment
Full Sharpe
0.19
Long-leg Sharpe
0.60
Annual return
3.4%
Max drawdown
-44.2%
Train 0.27Val 0.68Test 0.22Turnover 17%Test α 4.6%OAP corr 0.26 (equal-weighted)Top issuer 9.5%
Build View fund
21InvestPPEInv
investment
Full Sharpe
0.19
Long-leg Sharpe
0.66
Annual return
2.9%
Max drawdown
-42.6%
Train 0.31Val -0.14Test 0.12Turnover 15%Test α 5.0%OAP corr 0.52 (equal-weighted)Top issuer 9.0%
Build View fund
22BM
value
Full Sharpe
0.19
Long-leg Sharpe
0.56
Annual return
3.6%
Max drawdown
-71.9%
Train 0.56Val -0.30Test 0.08Turnover 12%Test α -0.4%OAP corr 0.42 (equal-weighted)Top issuer 5.1%
Build View fund
23NetEqFin
investment
Full Sharpe
0.18
Long-leg Sharpe
0.82
Annual return
4.0%
Max drawdown
-63.5%
Train 0.25Val 0.59Test 0.39Turnover 8%Test α 0.7%OAP corr 0.81 (equal-weighted)Top issuer 22.9%
Build View fund
24IndMom
momentum
Full Sharpe
0.18
Long-leg Sharpe
0.57
Annual return
3.4%
Max drawdown
-51.2%
Train 0.27Val 0.03Test -0.11Turnover 29%Test α -1.0%OAP corr 0.58 (equal-weighted)Top issuer 29.3%
Build View fund
25ChInv
investment
Full Sharpe
0.17
Long-leg Sharpe
0.71
Annual return
2.3%
Max drawdown
-47.7%
Train 0.21Val -0.18Test -0.05Turnover 16%Test α 2.3%OAP corr 0.43 (equal-weighted)Top issuer 16.6%
Build View fund
26OCFP
value
Full Sharpe
0.15
Long-leg Sharpe
0.52
Annual return
2.3%
Max drawdown
-40.1%
Train 0.47Val 0.17Test -0.24Turnover 15%Test α -6.9%OAP corr 0.70 (equal-weighted)Top issuer 9.1%
Build View fund
27AssetGrowth
investment
Full Sharpe
0.15
Long-leg Sharpe
0.57
Annual return
2.5%
Max drawdown
-49.9%
Train 0.27Val 0.03Test 0.18Turnover 18%Test α 5.9%OAP corr 0.28 (equal-weighted)Top issuer 10.8%
Build View fund
28High52
momentum
Full Sharpe
0.13
Long-leg Sharpe
0.61
Annual return
4.2%
Max drawdown
-77.1%
Train 0.07Val 0.56Test 0.03Turnover 53%Test α 4.7%OAP corr 0.75 (equal-weighted)Top issuer 13.5%
Build View fund
29OPLev
leverage
Full Sharpe
0.13
Long-leg Sharpe
0.70
Annual return
1.9%
Max drawdown
-42.8%
Train 0.14Val -0.01Test 0.06Turnover 6%Test α -0.7%OAP corr 0.79 (equal-weighted)Top issuer 18.2%
Build View fund
30ChEQ
investment
Full Sharpe
0.11
Long-leg Sharpe
0.60
Annual return
1.8%
Max drawdown
-46.4%
Train 0.32Val 0.44Test -0.09Turnover 16%Test α 1.4%OAP corr 0.33 (equal-weighted)Top issuer 7.8%
Build View fund
31EntMult
value
Full Sharpe
0.09
Long-leg Sharpe
0.65
Annual return
2.1%
Max drawdown
-85.3%
Train 0.82Val -0.77Test -0.27Turnover 13%Test α -8.9%OAP corr 0.73 (equal-weighted)Top issuer 10.7%
Build View fund
32Size
size
Full Sharpe
0.08
Long-leg Sharpe
0.67
Annual return
0.9%
Max drawdown
-66.4%
Train 0.73Val -0.08Test -0.67Turnover 15%Test α -0.5%OAP corr 0.58 (equal-weighted)Top issuer 0.6%
Build View fund
33Leverage
leverage
Full Sharpe
0.08
Long-leg Sharpe
0.42
Annual return
2.0%
Max drawdown
-85.1%
Train 0.32Val -0.04Test 0.04Turnover 7%Test α -2.8%OAP corr 0.88 (equal-weighted)Top issuer 16.5%
Build View fund
34Tang
investment
Full Sharpe
0.07
Long-leg Sharpe
0.30
Annual return
1.9%
Max drawdown
-85.8%
Train -0.08Val -0.09Test 0.01Turnover 11%Test α 0.2%OAP corr 0.64 (equal-weighted)Top issuer 31.0%
Build View fund
35EP
value
Full Sharpe
0.05
Long-leg Sharpe
0.65
Annual return
1.0%
Max drawdown
-78.8%
Train 0.63Val -0.55Test -0.22Turnover 17%Test α -9.2%OAP corr 0.57 (equal-weighted)Top issuer 11.8%
Build View fund
36Cash
profitability
Full Sharpe
0.02
Long-leg Sharpe
0.29
Annual return
0.6%
Max drawdown
-80.4%
Train -0.15Val 0.30Test -0.17Turnover 12%Test α -0.8%OAP corr 0.86 (equal-weighted)Top issuer 9.6%
Build View fund
37AM
value
Full Sharpe
0.02
Long-leg Sharpe
0.42
Annual return
0.5%
Max drawdown
-89.3%
Train 0.26Val -0.24Test -0.02Turnover 7%Test α -2.2%OAP corr 0.87 (equal-weighted)Top issuer 17.2%
Build View fund
38SalesGrowth
investment
Full Sharpe
0.00
Long-leg Sharpe
0.44
Annual return
0.0%
Max drawdown
-73.8%
Train 0.30Val -0.16Test -0.30Turnover 15%Test α -4.2%Top issuer 13.3%
Build View fund
39BookLev
leverage
Full Sharpe
-0.01
Long-leg Sharpe
0.35
Annual return
-0.3%
Max drawdown
-88.3%
Train -0.17Val 0.13Test -0.25Turnover 8%Test α -0.6%OAP corr 0.84 (equal-weighted)Top issuer 30.6%
Build View fund
40RetVol
low risk
Full Sharpe
-0.03
Long-leg Sharpe
0.76
Annual return
-1.0%
Max drawdown
-93.9%
Train 0.34Val 0.00Test -0.42Turnover 14%Test α -13.7%OAP corr 0.87 (equal-weighted)Top issuer 24.8%
Build View fund
41GrossMargin
profitability
Full Sharpe
-0.06
Long-leg Sharpe
0.46
Annual return
-0.7%
Max drawdown
-65.7%
Train -0.17Val 0.54Test -0.06Turnover 3%Test α -0.2%Top issuer 24.5%
Build View fund
42StdTurn
low risk
Full Sharpe
-0.08
Long-leg Sharpe
0.60
Annual return
-1.8%
Max drawdown
-80.9%
Train 0.09Val -0.28Test -0.08Turnover 12%Test α -1.8%OAP corr 0.60 (equal-weighted)Top issuer 29.8%
Build View fund
43Price
value
Full Sharpe
-0.16
Long-leg Sharpe
0.19
Annual return
-3.5%
Max drawdown
-85.1%
Train -0.09Val -0.41Test -0.18Turnover 28%Test α -2.0%OAP corr 0.76 (equal-weighted)Top issuer 4.4%
Build View fund
44STreversal
reversal
Full Sharpe
-0.17
Long-leg Sharpe
0.22
Annual return
-4.5%
Max drawdown
-91.1%
Train 0.10Val -0.07Test -0.50Turnover 85%Test α -17.7%OAP corr 0.83 (equal-weighted)Top issuer 19.2%
Build View fund
45CashProd
value
Full Sharpe
-0.19
Long-leg Sharpe
0.45
Annual return
-2.9%
Max drawdown
-81.5%
Train 0.37Val -0.52Test -0.62Turnover 12%Test α -9.4%OAP corr 0.83 (equal-weighted)Top issuer 4.9%
Build View fund
46Accruals
accruals
Full Sharpe
-0.23
Long-leg Sharpe
0.45
Annual return
-3.6%
Max drawdown
-73.5%
Train -0.16Val 0.04Test -0.24Turnover 19%Test α -3.3%OAP corr 0.11 (equal-weighted)Top issuer 23.4%
Build View fund
47DelCOA
investment
Full Sharpe
-0.26
Long-leg Sharpe
0.57
Annual return
-4.3%
Max drawdown
-83.0%
Train -0.07Val -0.54Test -0.33Turnover 20%Test α -3.6%OAP corr 0.26 (equal-weighted)Top issuer 8.6%
Build View fund
48LRreversal
reversal
Full Sharpe
-0.32
Long-leg Sharpe
0.41
Annual return
-6.2%
Max drawdown
-86.2%
Train -0.11Val -0.28Test -0.55Turnover 19%Test α -12.0%OAP corr 0.54 (equal-weighted)Top issuer 6.3%
Build View fund
49VolSD
low risk
Full Sharpe
-0.34
Long-leg Sharpe
0.33
Annual return
-4.6%
Max drawdown
-87.1%
Train 0.02Val -0.40Test -0.79Turnover 11%Test α -3.1%OAP corr 0.53 (equal-weighted)Top issuer 4.9%
Build View fund
50DelCOL
investment
Full Sharpe
-0.36
Long-leg Sharpe
0.44
Annual return
-5.9%
Max drawdown
-89.0%
Train -0.09Val -0.87Test -0.29Turnover 22%Test α -7.6%OAP corr 0.39 (equal-weighted)Top issuer 13.2%
Build View fund
51DolVol
size
Full Sharpe
-0.48
Long-leg Sharpe
0.26
Annual return
-5.9%
Max drawdown
-88.2%
Train -0.09Val -0.42Test -0.86Turnover 37%Test α -2.2%OAP corr 0.60 (equal-weighted)Top issuer 5.1%
Build View fund

Factor	Full SR	Long SR	Train SR	Val SR	Test SR	Ann Ret	Max DD	Turnover	Top issuer	Test α	α t	OAP corr^EW	Actions
01CBOperProfprofitability	0.73	0.86	0.62	1.68	0.83	14.3%	-43.2%	10%	19.0%(5)	16.3%	2.91	0.42	Build Fund
02ShareIss1Yinvestment	0.69	0.76	0.77	0.77	0.77	8.5%	-25.6%	11%	9.1%(2)	7.9%	1.78	0.69	Build Fund
03GPprofitability	0.61	0.76	0.68	1.26	0.55	11.2%	-33.0%	7%	59.9%(3)	5.1%	0.96	0.73	Build Fund
04CompEquIssinvestment	0.57	0.85	0.60	0.71	0.51	8.7%	-36.5%	16%	29.0%(4)	7.1%	1.66	0.94	Build Fund
05InvGrowthinvestment	0.54	0.60	0.93	0.46	0.14	7.4%	-39.3%	18%	14.2%(2)	2.9%	0.56	0.25	Build Fund
06OperProfprofitability	0.50	0.76	0.74	0.62	0.42	11.0%	-55.6%	6%	18.9%(4)	2.8%	0.67	0.86	Build Fund
07RDvalue	0.48	0.68	0.26	1.51	0.49	12.3%	-71.7%	21%	10.7%(1)	22.2%	2.18	0.39	Build Fund
08Mom12mmomentum	0.48	0.71	0.34	0.57	0.46	14.7%	-58.8%	28%	14.5%(6)	20.4%	1.92	0.78	Build Fund
09Mom6mmomentum	0.47	0.73	0.24	0.82	0.57	13.9%	-62.3%	37%	12.2%(5)	20.7%	1.91	0.77	Build Fund
10RoAprofitability	0.45	0.70	0.57	0.11	0.69	10.1%	-53.5%	7%	14.7%(5)	6.2%	1.33	—	Build Fund
11RoEprofitability	0.42	0.78	0.59	0.10	0.75	6.8%	-54.0%	8%	17.0%(4)	3.9%	1.25	0.90	Build Fund
12NetDebtFininvestment	0.34	0.63	0.43	-0.14	0.66	3.9%	-36.3%	16%	22.5%(2)	9.4%	1.93	0.48	Build Fund
13NOAaccruals	0.33	0.58	0.50	0.88	-0.01	5.1%	-39.0%	9%	9.5%(5)	5.0%	0.89	0.24	Build Fund
14SPvalue	0.32	0.64	0.75	-0.03	0.22	7.4%	-63.3%	10%	8.8%(3)	-3.8%	-0.51	0.81	Build Fund
15CFPvalue	0.32	0.53	1.00	-0.14	-0.25	6.7%	-61.2%	15%	10.3%(2)	-10.7%	-1.93	0.49	Build Fund
16dNOAaccruals	0.26	0.54	0.20	0.09	0.72	3.5%	-31.5%	19%	12.1%(2)	14.9%	2.81	0.38	Build Fund
17IntMommomentum	0.24	0.58	0.23	-0.05	0.08	5.7%	-63.0%	41%	49.3%(3)	0.8%	0.09	0.78	Build Fund
18ChTaxprofitability	0.23	0.63	0.03	-0.23	0.35	3.1%	-40.0%	15%	22.8%(5)	2.1%	0.43	0.66	Build Fund
19NetDebtPriceleverage	0.20	0.55	0.17	0.68	-0.20	3.0%	-55.6%	14%	12.2%(4)	2.2%	0.50	0.64	Build Fund
20DelEquinvestment	0.19	0.60	0.27	0.68	0.22	3.4%	-44.2%	17%	9.5%(2)	4.6%	0.82	0.26	Build Fund
21InvestPPEInvinvestment	0.19	0.66	0.31	-0.14	0.12	2.9%	-42.6%	15%	9.0%(3)	5.0%	0.92	0.52	Build Fund
22BMvalue	0.19	0.56	0.56	-0.30	0.08	3.6%	-71.9%	12%	5.1%(1)	-0.4%	-0.12	0.42	Build Fund
23NetEqFininvestment	0.18	0.82	0.25	0.59	0.39	4.0%	-63.5%	8%	22.9%(3)	0.7%	0.14	0.81	Build Fund
24IndMommomentum	0.18	0.57	0.27	0.03	-0.11	3.4%	-51.2%	29%	29.3%(3)	-1.0%	-0.16	0.58	Build Fund
25ChInvinvestment	0.17	0.71	0.21	-0.18	-0.05	2.3%	-47.7%	16%	16.6%(2)	2.3%	0.37	0.43	Build Fund
26OCFPvalue	0.15	0.52	0.47	0.17	-0.24	2.3%	-40.1%	15%	9.1%(3)	-6.9%	-1.59	0.70	Build Fund
27AssetGrowthinvestment	0.15	0.57	0.27	0.03	0.18	2.5%	-49.9%	18%	10.8%(4)	5.9%	1.10	0.28	Build Fund
28High52momentum	0.13	0.61	0.07	0.56	0.03	4.2%	-77.1%	53%	13.5%(4)	4.7%	0.57	0.75	Build Fund
29OPLevleverage	0.13	0.70	0.14	-0.01	0.06	1.9%	-42.8%	6%	18.2%(4)	-0.7%	-0.16	0.79	Build Fund
30ChEQinvestment	0.11	0.60	0.32	0.44	-0.09	1.8%	-46.4%	16%	7.8%(4)	1.4%	0.25	0.33	Build Fund
31EntMultvalue	0.09	0.65	0.82	-0.77	-0.27	2.1%	-85.3%	13%	10.7%(4)	-8.9%	-1.52	0.73	Build Fund
32Sizesize	0.08	0.67	0.73	-0.08	-0.67	0.9%	-66.4%	15%	0.6%	-0.5%	-0.17	0.58	Build Fund
33Leverageleverage	0.08	0.42	0.32	-0.04	0.04	2.0%	-85.1%	7%	16.5%(4)	-2.8%	-0.47	0.88	Build Fund
34Tanginvestment	0.07	0.30	-0.08	-0.09	0.01	1.9%	-85.8%	11%	31.0%(3)	0.2%	0.02	0.64	Build Fund
35EPvalue	0.05	0.65	0.63	-0.55	-0.22	1.0%	-78.8%	17%	11.8%(3)	-9.2%	-1.61	0.57	Build Fund
36Cashprofitability	0.02	0.29	-0.15	0.30	-0.17	0.6%	-80.4%	12%	9.6%(4)	-0.8%	-0.14	0.86	Build Fund
37AMvalue	0.02	0.42	0.26	-0.24	-0.02	0.5%	-89.3%	7%	17.2%(4)	-2.2%	-0.44	0.87	Build Fund
38SalesGrowthinvestment	0.00	0.44	0.30	-0.16	-0.30	0.0%	-73.8%	15%	13.3%(4)	-4.2%	-0.65	—	Build Fund
39BookLevleverage	-0.01	0.35	-0.17	0.13	-0.25	-0.3%	-88.3%	8%	30.6%(3)	-0.6%	-0.11	0.84	Build Fund
40RetVollow risk	-0.03	0.76	0.34	0.00	-0.42	-1.0%	-93.9%	14%	24.8%(4)	-13.7%	-1.43	0.87	Build Fund
41GrossMarginprofitability	-0.06	0.46	-0.17	0.54	-0.06	-0.7%	-65.7%	3%	24.5%(5)	-0.2%	-0.06	—	Build Fund
42StdTurnlow risk	-0.08	0.60	0.09	-0.28	-0.08	-1.8%	-80.9%	12%	29.8%(5)	-1.8%	-0.29	0.60	Build Fund
43Pricevalue	-0.16	0.19	-0.09	-0.41	-0.18	-3.5%	-85.1%	28%	4.4%	-2.0%	-0.53	0.76	Build Fund
44STreversalreversal	-0.17	0.22	0.10	-0.07	-0.50	-4.5%	-91.1%	85%	19.2%(4)	-17.7%	-1.77	0.83	Build Fund
45CashProdvalue	-0.19	0.45	0.37	-0.52	-0.62	-2.9%	-81.5%	12%	4.9%	-9.4%	-2.21	0.83	Build Fund
46Accrualsaccruals	-0.23	0.45	-0.16	0.04	-0.24	-3.6%	-73.5%	19%	23.4%(2)	-3.3%	-0.47	0.11	Build Fund
47DelCOAinvestment	-0.26	0.57	-0.07	-0.54	-0.33	-4.3%	-83.0%	20%	8.6%(1)	-3.6%	-0.50	0.26	Build Fund
48LRreversalreversal	-0.32	0.41	-0.11	-0.28	-0.55	-6.2%	-86.2%	19%	6.3%(4)	-12.0%	-2.45	0.54	Build Fund
49VolSDlow risk	-0.34	0.33	0.02	-0.40	-0.79	-4.6%	-87.1%	11%	4.9%	-3.1%	-1.14	0.53	Build Fund
50DelCOLinvestment	-0.36	0.44	-0.09	-0.87	-0.29	-5.9%	-89.0%	22%	13.2%(4)	-7.6%	-1.20	0.39	Build Fund
51DolVolsize	-0.48	0.26	-0.09	-0.42	-0.86	-5.9%	-88.2%	37%	5.1%(1)	-2.2%	-0.74	0.60	Build Fund

Click any column header to sort. Train / Val / Test Sharpe and Test α recompute with the evaluation windows; Full SR, Long SR, ann. return, max drawdown and OAP correlation span the whole sample. Long SR is the top bucket on its own — the side a long-only fund can actually hold. OAP corr is measured equal-weighted against Open Source Asset Pricing’s published series — a replication check on how closely our rebuild tracks theirs, not a performance number. Every Sharpe column beside it is cap-weighted, so a high correlation can sit next to a weak Sharpe without either being wrong. Hypothetical research backtests — not investment advice.

02 / Method

From paper to portfolio.

The same three steps sit behind every row of the leaderboard and every fund the Builder saves.

Fig 0.1

Rebuilt, not downloaded

Each signal is recomputed from as-reported fundamentals and survivorship-free prices, point-in-time — then checked against the published series.

Fig 0.2

Sorted on one footing

Stocks are ranked monthly into deciles; the virtual ETF is long the top bucket and short the bottom, cap-weighted, across the same three windows.

Fig 0.3

Assembled into a fund

The Builder takes any sleeve through universe filters, issuer and industry caps and a backtest, and drafts the fund page and documents from the result.

03 / Build

Turn a factor into a fund.

Pick a sleeve, set the universe and the constraints, and read the backtest beside its compliance checks. Save it, and the draft documents write themselves.

Open the Builder