AlphaForge Research Report

Generated 2026-09-28 11:29 UTC

Data provider: sample. Synthetic data for demonstrating the research pipeline; these results do not establish a tradeable edge.

Performance

start	2019-01-01
end	2024-12-31
n_periods	1566
years	6.2143
periods_per_year	252.0000
total_return	5.20%
cagr	0.82%
ann_vol	10.75%
ann_downside_dev	7.59%
sharpe	0.1296
sortino	0.1837
calmar	0.0429
max_drawdown	-19.09%
max_drawdown_date	2020-12-31
max_drawdown_duration_days	1065
var_95	-1.09%
cvar_95	-1.64%
skew	-0.0014
kurtosis	3.4362
best_period	0.0376
worst_period	-0.0349
positive_period_share	42.78%
avg_period_return	5.528e-05
hit_rate	42.78%
avg_turnover	19.13%
cost_drag_ann	0.14%
benchmark_return	-26.70%
benchmark_cagr	-4.88%
benchmark_vol	24.18%
active_return	31.90%
beta	0.3713
alpha_ann	2.16%
correlation	0.8353
r_squared	0.6978
tracking_error	16.31%
information_ratio	0.2126
up_capture	38.85%
down_capture	37.30%
treynor	3.75%
gross_total_return	6.15%
gross_cagr	0.97%
gross_ann_vol	10.75%
gross_sharpe	0.1431
gross_sortino	0.2029
gross_calmar	0.0508
gross_max_drawdown	-19.00%
cost_drag_cagr	0.0015
gross_benchmark_cagr	-0.0488

Cost Transparency — Gross vs Net

Gross = pre-cost return series reconstructed by adding the per-day cost drag back into the net series (exact, no re-run). The gap is the real transaction-cost burden.

Metric	Net (after-cost)	Gross (pre-cost)	Gap
Total Return	5.20%	6.15%	0.95%
CAGR	0.82%	0.97%	0.15%
Ann. Volatility	10.75%	10.75%	0.00%
Sharpe	0.1296	0.1431	0.0135
Sortino	0.1837	0.2029	0.0193
Calmar	0.0429	0.0508	0.0079
Max Drawdown	-19.09%	-19.00%	0.09%
Cost drag (CAGR gap)	-	-	0.15%

Monthly Returns

Factor Research

factor	category	direction	ic_mean	ic_std	icir	rank_ic_mean	rank_ic_std	rank_icir	t_stat	positive_ic_ratio	p_value	n_periods	quantile_spread	ls_ann_return	ls_ir	turnover	coverage	significant_fdr	significant_naive
asset_turnover	quality	1	-0.0298	0.0940	-0.3174	-0.0283	0.0863	-0.3285	-3.5773	0.3862	0.0003	2491	-0.0658	-0.0658	-1.0116	0.0097	0.9628	True	True
gross_margin	quality	1	0.0443	0.1498	0.2956	0.0408	0.1498	0.2720	2.9624	0.6070	0.0031	2491	0.0742	0.0742	0.8177	0.0145	0.9628	False	True
ebit_to_ev	value	1	0.0492	0.1948	0.2526	0.0474	0.1927	0.2461	2.6807	0.6186	0.0073	2491	0.0937	0.0937	0.7020	0.0335	0.9628	False	True
fcf_yield	value	1	0.0496	0.1917	0.2586	0.0458	0.1885	0.2430	2.6469	0.6126	0.0081	2491	0.1002	0.1002	0.7732	0.0368	0.9628	False	True
earnings_yield	value	1	0.0500	0.1922	0.2602	0.0463	0.1906	0.2427	2.6434	0.6118	0.0082	2491	0.0926	0.0926	0.6678	0.0397	0.9628	False	True
gross_profitability	quality	1	0.0285	0.1243	0.2296	0.0301	0.1242	0.2426	2.6422	0.5913	0.0082	2491	0.0404	0.0404	0.5395	0.0120	0.9628	False	True
mom_60d	momentum	1	0.0612	0.2473	0.2476	0.0556	0.2395	0.2322	2.5477	0.5803	0.0108	2528	0.0976	0.0976	0.5930	0.2369	0.9770	False	True
roa	quality	1	0.0474	0.2100	0.2256	0.0460	0.2018	0.2280	2.4837	0.6118	0.0130	2491	0.0970	0.0970	0.6982	0.0151	0.9628	False	True
quality_composite	quality	1	0.0438	0.1976	0.2216	0.0429	0.1909	0.2249	2.4499	0.6030	0.0143	2491	0.0801	0.0801	0.6448	0.0146	0.9628	False	True
roe	quality	1	0.0477	0.2137	0.2235	0.0457	0.2034	0.2249	2.4491	0.6082	0.0143	2491	0.1041	0.1041	0.7579	0.0163	0.9628	False	True
value_composite	value	1	0.0459	0.1807	0.2542	0.0401	0.1841	0.2178	2.3722	0.5941	0.0177	2491	0.0674	0.0674	0.4902	0.0451	0.9628	False	True
rev_21d	reversal	-1	-0.0567	0.2510	-0.2260	-0.0483	0.2435	-0.1985	-2.1784	0.4116	0.0294	2529	-0.1054	-0.1054	-0.6243	0.4011	0.9774	False	True
earnings_quality	quality	1	0.0309	0.1694	0.1822	0.0308	0.1556	0.1978	2.1548	0.5869	0.0312	2491	0.0642	0.0642	0.6097	0.0090	0.9628	False	True
accruals	quality	-1	0.0309	0.1694	0.1822	0.0308	0.1556	0.1978	2.1548	0.5869	0.0312	2491	0.0642	0.0642	0.6097	0.0090	0.9628	False	True
mom_20d	momentum	1	0.0558	0.2513	0.2220	0.0474	0.2441	0.1940	2.1289	0.5923	0.0333	2529	0.1017	0.1017	0.6015	0.4177	0.9774	False	True
turnover_21d	liquidity	-1	-0.0077	0.0916	-0.0841	-0.0175	0.0916	-0.1909	-2.0954	0.4314	0.0361	2529	-0.0403	-0.0403	-0.6513	0.0343	0.9774	False	True
downside_volatility	risk	-1	0.0393	0.2317	0.1697	0.0366	0.2243	0.1631	1.7892	0.5578	0.0736	2528	0.0402	0.0402	0.2679	0.0512	0.9770	False	False
beta_252d	risk	-1	0.0378	0.2294	0.1646	0.0364	0.2283	0.1595	1.7061	0.5541	0.0880	2404	0.0600	0.0600	0.4102	0.0333	0.9295	False	False
volatility_252d	risk	-1	0.0345	0.2332	0.1477	0.0352	0.2223	0.1584	1.7153	0.5666	0.0863	2462	0.0165	0.0165	0.1171	0.0301	0.9517	False	False
idiosyncratic_volatility	risk	-1	0.0333	0.2287	0.1456	0.0335	0.2172	0.1542	1.6069	0.5625	0.1081	2279	0.0116	0.0116	0.0843	0.0264	0.8816	False	False
volatility_60d	risk	-1	0.0364	0.2229	0.1632	0.0324	0.2158	0.1500	1.6465	0.5599	0.0997	2529	0.0164	0.0164	0.1156	0.0777	0.9774	False	False
book_to_price	value	1	0.0259	0.1658	0.1563	0.0211	0.1637	0.1292	1.4070	0.5432	0.1594	2491	0.0269	0.0269	0.2252	0.0538	0.9628	False	False
log_price	size	-1	-0.0434	0.2900	-0.1496	-0.0356	0.2831	-0.1257	-1.3790	0.4393	0.1679	2529	-0.0660	-0.0660	-0.3220	0.0449	0.9774	False	False
low_leverage	quality	-1	0.0117	0.1073	0.1093	0.0103	0.1070	0.0963	1.0491	0.5375	0.2941	2491	-0.0191	-0.0191	-0.2457	0.0059	0.9628	False	False
log_market_cap	size	-1	0.0239	0.2441	0.0980	0.0223	0.2458	0.0908	0.9967	0.5389	0.3189	2529	0.0471	0.0471	0.3187	0.0414	0.9774	False	False
pb_ratio	value	-1	0.0132	0.1531	0.0860	0.0127	0.1471	0.0865	0.9419	0.5227	0.3462	2491	0.0034	0.0034	0.0344	0.0663	0.9628	False	False
log_adv_21d	liquidity	-1	0.0064	0.0900	0.0706	0.0063	0.0811	0.0779	0.8553	0.5208	0.3924	2529	0.0115	0.0115	0.1989	0.0266	0.9774	False	False
pe_ratio	value	-1	-0.0127	0.0729	-0.1746	0.0083	0.1157	0.0714	0.7773	0.5452	0.4370	2491	0.0099	0.0099	0.1340	0.0505	0.9628	False	False
rev_5d	reversal	-1	-0.0176	0.2523	-0.0699	-0.0169	0.2455	-0.0687	-0.7539	0.4860	0.4509	2529	-0.0467	-0.0467	-0.2694	0.8074	0.9774	False	False
sales_to_price	value	1	0.0039	0.1527	0.0253	0.0081	0.1608	0.0503	0.5476	0.5018	0.5840	2491	0.0063	0.0063	0.0566	0.0484	0.9628	False	False
industry_momentum	momentum	1	0.0004	0.2245	0.0016	-0.0088	0.2296	-0.0381	-0.2250	0.4870	0.8220	731	-0.0310	-0.0310	-0.3013	0.5101	0.9770	False	False
mom_6_1	momentum	1	-0.0061	0.2827	-0.0215	-0.0103	0.2722	-0.0380	-0.4092	0.4822	0.6824	2441	-0.0053	-0.0053	-0.0276	0.1540	0.9437	False	False
adv_21d	liquidity	-1	0.0072	0.1095	0.0653	-0.0029	0.0976	-0.0297	-0.3260	0.4816	0.7444	2529	-0.0184	-0.0184	-0.2911	0.0283	0.9774	False	False
mom_120d	momentum	1	0.0106	0.2679	0.0396	0.0054	0.2581	0.0211	0.2287	0.5041	0.8191	2468	0.0226	0.0226	0.1235	0.1593	0.9540	False	False
dollar_volume_ratio	liquidity	-1	-0.0127	0.0942	-0.1354	0.0021	0.1102	0.0189	0.2048	0.5047	0.8378	2463	0.0024	0.0024	0.0326	0.2561	0.9521	False	False
ps_ratio	value	-1	-0.0014	0.1430	-0.0100	-0.0026	0.1393	-0.0183	-0.1997	0.4721	0.8417	2491	-0.0083	-0.0083	-0.0855	0.0619	0.9628	False	False
amihud_illiquidity	liquidity	1	-0.0025	0.0914	-0.0268	0.0016	0.0930	0.0174	0.1913	0.5172	0.8483	2529	0.0171	0.0171	0.2545	0.0565	0.9774	False	False
mom_12_1	momentum	1	-0.0030	0.2685	-0.0112	-0.0040	0.2565	-0.0156	-0.1641	0.5114	0.8697	2317	-0.0180	-0.0180	-0.0962	0.1252	0.8961	False	False
max_drawdown_252d	risk	-1	-0.0030	0.2308	-0.0132	-0.0029	0.2232	-0.0130	-0.1367	0.4880	0.8913	2336	0.0364	0.0364	0.2223	0.0370	0.9034	False	False
residual_momentum	momentum	1	-0.0019	0.2498	-0.0077	-0.0026	0.2382	-0.0110	-0.1168	0.4979	0.9070	2384	-0.0169	-0.0169	-0.0965	0.1222	0.9218	False	False
return_skew_126d	risk	-1	0.0024	0.1558	0.0151	0.0001	0.1569	0.0009	0.0101	0.4869	0.9920	2528	-0.0163	-0.0163	-0.1486	0.1373	0.9770	False	False
zero_trading_days	liquidity	1	-	-	-	-	-	-	-	-	-	0	-0.0242	-0.0242	-0.3878	0.0028	0.9774	False	False

Risk Decomposition

factor	exposure	marginal_contribution	contribution_to_variance	pct_of_variance	standalone_vol
market	0.6527	0.1740	0.0122	1.0562	0.2203
size	0.2691	0.0254	0.0007	0.0635	0.0982
value	0.1122	0.0043	0.0001	0.0045	0.0377
momentum	0.1657	0.0191	0.0003	0.0295	0.0410
volatility	0.8160	-0.0262	-0.0023	-0.1990	0.0357
liquidity	-0.2143	0.0020	-0.0000	-0.0041	0.0205
quality	0.1093	-0.0129	-0.0002	-0.0131	0.0358
ind_Consumer Discretionary	0.0540	0.0425	0.0002	0.0214	0.1930
ind_Consumer Staples	0.0650	0.0199	0.0001	0.0120	0.2028
ind_Energy	0.0764	0.0150	0.0001	0.0107	0.1988
ind_Financials	0.0490	-0.0047	-0.0000	-0.0022	0.1689
ind_Health Care	0.0349	0.0220	0.0001	0.0071	0.1867
ind_Industrials	0.0154	-0.0239	-0.0000	-0.0034	0.1963
ind_Information Technology	0.1013	0.0072	0.0001	0.0068	0.1845
ind_Materials	0.0715	0.0056	0.0000	0.0037	0.1730
ind_Real Estate	0.0297	-0.0195	-0.0001	-0.0054	0.2299
ind_Utilities	0.1059	-0.0062	-0.0001	-0.0061	0.1983
specific	-	0.1336	0.0002	0.0178	0.0144

Attribution (Factor Bets)

factor	beta	attributed_return	t_stat
market	-0.5188	0.0000	-23.6644
size	-0.8183	0.0001	-25.7807
value	-0.0536	-0.0000	-1.0754
momentum	-0.0641	-0.0000	-0.7485
volatility	0.4749	-0.0000	4.7454
liquidity	-0.3826	0.0000	-4.0290
quality	-0.1385	-0.0000	-2.5088
ind_Consumer Discretionary	-0.0998	-0.0000	-8.5857
ind_Consumer Staples	-0.0520	-0.0000	-5.8825
ind_Energy	-0.0029	-0.0000	-0.2732
ind_Financials	-0.0184	0.0000	-1.5347
ind_Health Care	-0.0059	0.0000	-0.5686
ind_Industrials	-0.0090	0.0000	-0.9317
ind_Information Technology	-0.0554	-0.0000	-4.9638
ind_Materials	-0.0768	-0.0000	-5.4492
ind_Real Estate	-0.0166	-0.0000	-1.9867
ind_Utilities	-0.1029	-0.0001	-10.9778

Brinson Attribution

sector	portfolio_weight	benchmark_weight	allocation	selection	interaction
Information Technology	0.1013	0.1406	-0.0000	0.0000	0.0000
Financials	0.0490	0.0878	0.0000	0.0000	0.0000
Health Care	0.0349	0.0628	0.0000	0.0000	0.0000
Consumer Staples	0.0650	0.1182	0.0000	0.0000	0.0000
Communication Services	0.0494	0.1035	0.0000	0.0000	-0.0000
Materials	0.0715	0.0794	0.0000	0.0000	0.0000
Consumer Discretionary	0.0540	0.1038	-0.0000	0.0000	0.0000
Real Estate	0.0297	0.0331	0.0000	0.0000	0.0000
Industrials	0.0154	0.0351	0.0000	-0.0000	-0.0000
Energy	0.0764	0.1074	0.0000	0.0000	-0.0000
Utilities	0.1059	0.1283	-0.0000	0.0000	0.0000

Market Regime

Per-day regime from benchmark trend × volatility (no future data).

Bear/HighVol 688 (28%)

Bull/LowVol 616 (25%)

Bear/LowVol 594 (24%)

Bull/HighVol 585 (24%)

regime	n_days	ann_return	ann_vol	sharpe
Bull/LowVol	184	15.15%	9.44%	1.5416
Bull/HighVol	429	23.96%	12.42%	1.7917
Bear/LowVol	392	-6.95%	6.35%	-1.1017
Bear/HighVol	561	-12.84%	12.04%	-1.0804

Stress Testing

Scenario P&L from factor shocks on the representative book (time-mean of absolute weights). Deterministic, no Monte Carlo.

scenario	pnl	worst holdings
market_drawdown_10pct	-6.53%	SIM0018 -0.33%, SIM0048 -0.33%, SIM0125 -0.33%
momentum_crash_2sigma	-1.36%	SIM0005 -0.45%, SIM0018 -0.40%, SIM0003 -0.24%
value_selloff_5pct	-0.56%	SIM0005 -0.85%, SIM0025 -0.15%, SIM0003 -0.15%
volatility_spike_3sigma	8.75%	SIM0137 -0.35%, SIM0103 -0.02%, SIM0075 -0.01%
quality_rotation_5pct	0.55%	SIM0080 -0.23%, SIM0026 -0.23%, SIM0048 -0.19%
liquidity_dryup_2sigma	0.88%	SIM0048 -0.24%, SIM0031 -0.09%, SIM0057 -0.07%

Notes & Caveats

Survivorship bias disclaimer is ON: the sample provider supplies point-in-time membership only.
Backtest: 60 rebalances, 1855 trades, avg turnover 0.19.

AlphaForge - institutional quant research & portfolio engineering. Figures are research outputs, not investment advice.