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Long low DelEqu · rebalanced monthly · cap-weighted long-short
Difference in book equity (ceq) between years t-1 and t, scaled by average total assets (at) in years t-1 and t.
Investment: firms that expand assets/capex aggressively have historically underperformed conservative firms (the asset-growth effect).
Consumer Cyclical only · cap-weighted · 335 months
The bottom-bucket figures are that basket’s ownreturn (a long position in what the strategy shorts) — not the short side’s P&L. Long-short return = long leg − bottom bucket, so a falling bottom bucket widens the spread.
Richardson et al. · 2005
Journal of Accounting & Economics
Live inputs for a real holding
| Input | Value |
|---|
signed_value is the internal ranking value; only its cross-sectional rank matters. $-vs-$M unit mix means ratio magnitudes carry a constant offset and are not comparable to textbook levels.
How closely this rebuild tracks the published research
The OSAP comparison is only computed for the all-stocks variant — switch to “All stocks” above to see how the rebuild tracks the published series.
Size × value map of the long leg
Share of long-leg capital by market cap × book-to-market, using terciles of the 302-name universe at November 2026. Rows: Large ≥ $5.8B, Small < $1.3B. Columns: Value ≥ 0.64, Growth < 0.36 B/M. The dot marks the capital-weighted centroid of the book — 96% toward Large, 70% toward Growth. +5% unclassified (15 missing size/value). Hypothetical holdings — descriptive, not realized P&L.
Capital-weighted centroid of the long leg, December 1998 → November 2026; the right-hand end is the same value as the box’s dot. 60 names now. Hypothetical holdings — descriptive, not P&L.
Did the edge survive the paper coming out?
Split at January of the year after the factor was published. The post-publication stretch IS genuinely out-of-sample relative to the original study -- the predictor was public by then -- so it speaks to whether the effect survived being known. Nothing is fitted here, so this is performance SINCE PUBLICATION, not validation of a model. Note the 'pre' side is our data before publication (our panel starts ~1999), NOT the study's original in-sample period, which usually ran decades earlier; a decay figure compares before-vs-after within our sample and is not a comparison against the published result.
Relative VaR against the designated reference portfolio — as implemented here
This assessment describes the research long-short construction — long the top bucket, short the bottom.
This fund does NOT qualify for the limited-derivatives-user exception (100% of net assets vs <= 10% of net assets), so the relative VaR test governs. Note the inversion: a dollar-neutral long-short book suppresses the market risk the VaR ratio measures and so tends to pass it, while being barred from the exception by construction — what disqualifies the strategy is the exposure threshold, not the risk limit.
Rule 18f-4(c)(4): a fund whose derivatives exposure (gross notional, including the value of assets sold short) is <= 10% of net assets is excepted from the VaR tests and the full derivatives risk management program.
No confidence interval: this follows from portfolio construction, not from an estimate.
Rule 18f-4(c)(2)(i): fund VaR at 99% over 20 trading days must not exceed 200% of the designated reference portfolio's VaR on the same basis.
Not settled by the dataThe interval spans the limit. The point estimate is 1.74x but the 95% interval runs 1.21–2.26x, which includes 2.00x. This test does not settle which side of the line the fund is on.
historical method · 335 monthly observations · about 3.4 in the 99% tail · paired percentile bootstrap over months
The estimators differ materially in value but agree on the verdict. Historical and Gaussian fund VaR differ by 18%; both still land on the same side of the 2x limit.
Engineering approximation of SEC Rule 18f-4 for research display. Not a compliance opinion and not a determination that any fund is compliant. Hypothetical model portfolio, not a registered fund.
Is this record broadly durable, or one regime?
3-year rolling windows, stepping 1 year (26 windows). Dispersion is the spread of window Sharpes — higher means the record depends more on which era you look at.
Rules-based factors fit no parameters, so these windows are not out-of-sample tests and do not validate a fitted model. They show whether the factor's record is consistent across eras or driven by one regime.
Long-short is the research line; the long leg is what a long-only fund could hold
| Period | Long-short | Long leg |
|---|---|---|
| 1 yearcum. | -11.3% | -5.6% |
| 3 yearsp.a. | -10.3% | 9.3% |
| 5 yearsp.a. | -7.1% | 4.4% |
| 10 yearsp.a. | -12.4% | 13.2% |
| Since inceptionp.a. | -6.5% | 8.6% |
| Year | Long-short | Long leg |
|---|---|---|
| 202611 mo | -13.3% | -8.5% |
| 2025 | -1.2% | 8.1% |
| 2024 | -17.0% | 23.5% |
| 2023 | -42.3% | 29.0% |
| 2022 | 53.7% | -23.2% |
| 2021 | -17.8% | 22.1% |
| 2020 | -34.5% | 42.0% |
| 2019 | -0.4% | 27.4% |
| 2018 | -19.1% | -3.8% |
| 2017 | -2.9% | 33.4% |
| 2016 | -2.4% | 6.5% |
| 2015 | -0.3% | 7.3% |
| 2014 | 15.4% | 19.0% |
| 2013 | 8.8% | 46.1% |
| 2012 | -1.1% | 24.7% |
| 2011 | -6.5% | 6.1% |
| 2010 | -13.2% | 21.1% |
| 2009 | -10.7% | 58.2% |
| 2008 | 19.3% | -37.7% |
| 2007 | -14.9% | -18.5% |
| 2006 | 23.1% | 25.6% |
| 2005 | 8.3% | -0.3% |
| 2004 | -17.3% | 12.3% |
| 2003 | -2.8% | 40.3% |
| 2002 | 3.0% | -19.4% |
| 2001 | -22.8% | -0.4% |
| 2000 | 11.3% | -26.0% |
| 1999 | -31.8% | -2.7% |
Long-short is the research line (long the top bucket, short the bottom); the long leg alone is what a long-only fund could actually hold. Trailing figures run through November 2026: 1 year is a plain cumulative 12-month return (cum.), 3 years and longer are annualised (p.a.). Years marked with a month count are partial. These match the fact sheet’s tables by construction. Hypothetical backtest, gross of the placeholder expense ratio and trading costs — not investor results.
Signal computed monthly from Sharadar point-in-time data, signed so higher = higher expected return. Restricted to the Consumer Cyclical sector, then sorted into quintiles within that sector. The virtual ETF is long the top bucket, short the bottom, cap-weighted, rebalanced monthly. FF5 alpha regresses the long-short on the Fama-French 5 factors.
Hypothetical research backtest. Not an offer, recommendation, or investment advice.