AlphaForge Research Report

Generated 2026-09-18 06:03 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	4.65%
cagr	0.73%
ann_vol	13.37%
ann_downside_dev	9.47%
sharpe	0.1216
sortino	0.1717
calmar	0.0321
max_drawdown	-22.86%
max_drawdown_date	2020-12-08
max_drawdown_duration_days	1081
var_95	-1.40%
cvar_95	-2.02%
skew	-0.0734
kurtosis	2.5661
best_period	0.0380
worst_period	-0.0398
positive_period_share	42.78%
avg_period_return	6.453e-05
hit_rate	42.78%
avg_turnover	24.22%
cost_drag_ann	0.19%
benchmark_return	-26.70%
benchmark_cagr	-4.88%
benchmark_vol	24.18%
active_return	31.36%
beta	0.4668
alpha_ann	2.59%
correlation	0.8441
r_squared	0.7125
tracking_error	14.75%
information_ratio	0.2508
up_capture	49.24%
down_capture	47.38%
treynor	3.48%
gross_total_return	5.88%
gross_cagr	0.92%
gross_ann_vol	13.37%
gross_sharpe	0.1356
gross_sortino	0.1916
gross_calmar	0.0406
gross_max_drawdown	-22.76%
cost_drag_cagr	0.0019
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	4.65%	5.88%	1.22%
CAGR	0.73%	0.92%	0.19%
Ann. Volatility	13.37%	13.37%	0.00%
Sharpe	0.1216	0.1356	0.0140
Sortino	0.1717	0.1916	0.0199
Calmar	0.0321	0.0406	0.0084
Max Drawdown	-22.86%	-22.76%	0.10%
Cost drag (CAGR gap)	-	-	0.19%

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
gross_margin	quality	1	0.0449	0.1495	0.3004	0.0433	0.1487	0.2909	3.1683	0.6186	0.0015	2491	0.0720	0.0720	0.7849	0.0143	0.9628	True	True
ebit_to_ev	value	1	0.0499	0.1954	0.2556	0.0490	0.1928	0.2540	2.7663	0.6255	0.0057	2491	0.1020	0.1020	0.7563	0.0305	0.9628	True	True
earnings_yield	value	1	0.0502	0.1928	0.2601	0.0477	0.1905	0.2506	2.7289	0.6170	0.0064	2491	0.0941	0.0941	0.6808	0.0371	0.9628	True	True
fcf_yield	value	1	0.0496	0.1921	0.2580	0.0469	0.1878	0.2498	2.7210	0.6166	0.0065	2491	0.1047	0.1047	0.8054	0.0358	0.9628	True	True
gross_profitability	quality	1	0.0287	0.1288	0.2229	0.0316	0.1278	0.2474	2.6943	0.5945	0.0071	2491	0.0392	0.0392	0.4805	0.0113	0.9628	True	True
asset_turnover	quality	1	-0.0255	0.0891	-0.2861	-0.0215	0.0880	-0.2441	-2.6586	0.4087	0.0078	2491	-0.0513	-0.0513	-0.8257	0.0070	0.9628	True	True
roa	quality	1	0.0493	0.2100	0.2348	0.0480	0.2019	0.2375	2.5868	0.6118	0.0097	2491	0.0897	0.0897	0.6625	0.0122	0.9628	True	True
roe	quality	1	0.0495	0.2135	0.2317	0.0481	0.2035	0.2362	2.5723	0.6098	0.0101	2491	0.1120	0.1120	0.7936	0.0125	0.9628	True	True
quality_composite	quality	1	0.0446	0.1989	0.2243	0.0448	0.1924	0.2330	2.5379	0.6058	0.0112	2491	0.0831	0.0831	0.6631	0.0132	0.9628	True	True
mom_60d	momentum	1	0.0614	0.2488	0.2469	0.0555	0.2406	0.2306	2.5306	0.5728	0.0114	2528	0.1000	0.1000	0.6058	0.2336	0.9770	True	True
value_composite	value	1	0.0464	0.1816	0.2557	0.0412	0.1851	0.2226	2.4249	0.5909	0.0153	2491	0.0744	0.0744	0.5483	0.0455	0.9628	False	True
rev_21d	reversal	-1	-0.0589	0.2541	-0.2318	-0.0513	0.2471	-0.2076	-2.2783	0.4061	0.0227	2529	-0.1135	-0.1135	-0.6628	0.4065	0.9774	False	True
mom_20d	momentum	1	0.0579	0.2542	0.2279	0.0503	0.2473	0.2034	2.2317	0.5955	0.0256	2529	0.1130	0.1130	0.6611	0.4176	0.9774	False	True
earnings_quality	quality	1	0.0307	0.1728	0.1775	0.0325	0.1646	0.1973	2.1492	0.5797	0.0316	2491	0.0645	0.0645	0.5937	0.0068	0.9628	False	True
accruals	quality	-1	0.0307	0.1728	0.1775	0.0325	0.1646	0.1973	2.1492	0.5797	0.0316	2491	0.0645	0.0645	0.5937	0.0068	0.9628	False	True
turnover_21d	liquidity	-1	-0.0065	0.0888	-0.0730	-0.0163	0.0906	-0.1805	-1.9807	0.4195	0.0476	2529	-0.0349	-0.0349	-0.5899	0.0361	0.9774	False	True
downside_volatility	risk	-1	0.0363	0.2297	0.1580	0.0325	0.2217	0.1467	1.6093	0.5471	0.1076	2528	0.0312	0.0312	0.2095	0.0485	0.9770	False	False
beta_252d	risk	-1	0.0335	0.2275	0.1472	0.0333	0.2271	0.1465	1.5675	0.5487	0.1170	2404	0.0568	0.0568	0.3939	0.0332	0.9295	False	False
volatility_252d	risk	-1	0.0312	0.2309	0.1352	0.0314	0.2205	0.1422	1.5398	0.5634	0.1236	2462	0.0104	0.0104	0.0749	0.0252	0.9517	False	False
idiosyncratic_volatility	risk	-1	0.0299	0.2276	0.1315	0.0298	0.2173	0.1372	1.4288	0.5573	0.1531	2279	0.0025	0.0025	0.0179	0.0229	0.8816	False	False
volatility_60d	risk	-1	0.0326	0.2205	0.1477	0.0282	0.2128	0.1327	1.4567	0.5563	0.1452	2529	0.0107	0.0107	0.0774	0.0783	0.9774	False	False
book_to_price	value	1	0.0264	0.1659	0.1591	0.0216	0.1642	0.1315	1.4321	0.5391	0.1521	2491	0.0228	0.0228	0.1891	0.0539	0.9628	False	False
log_price	size	-1	-0.0409	0.2923	-0.1398	-0.0321	0.2859	-0.1124	-1.2339	0.4464	0.2172	2529	-0.0614	-0.0614	-0.2937	0.0509	0.9774	False	False
log_adv_21d	liquidity	1	-0.0084	0.0932	-0.0898	-0.0095	0.0844	-0.1122	-1.2316	0.4634	0.2181	2529	-0.0146	-0.0146	-0.2279	0.0243	0.9774	False	False
log_market_cap	size	-1	0.0265	0.2401	0.1104	0.0254	0.2410	0.1053	1.1559	0.5433	0.2477	2529	0.0482	0.0482	0.3432	0.0363	0.9774	False	False
pb_ratio	value	-1	0.0150	0.1530	0.0982	0.0151	0.1477	0.1021	1.1121	0.5231	0.2661	2491	0.0076	0.0076	0.0774	0.0642	0.9628	False	False
low_leverage	quality	-1	0.0117	0.1085	0.1081	0.0102	0.1079	0.0944	1.0279	0.5295	0.3040	2491	-0.0214	-0.0214	-0.2944	0.0062	0.9628	False	False
amihud_illiquidity	liquidity	1	0.0004	0.0943	0.0041	0.0073	0.1027	0.0715	0.7844	0.5334	0.4328	2529	0.0256	0.0256	0.3697	0.0537	0.9774	False	False
rev_5d	reversal	-1	-0.0171	0.2551	-0.0671	-0.0169	0.2484	-0.0678	-0.7445	0.4804	0.4566	2529	-0.0491	-0.0491	-0.2788	0.8108	0.9774	False	False
sales_to_price	value	1	0.0059	0.1504	0.0392	0.0107	0.1594	0.0671	0.7312	0.5183	0.4647	2491	0.0050	0.0050	0.0435	0.0454	0.9628	False	False
max_drawdown_252d	risk	-1	-0.0081	0.2033	-0.0401	-0.0133	0.1987	-0.0668	-0.7050	0.4452	0.4808	2336	0.0181	0.0181	0.1272	0.0394	0.9034	False	False
industry_momentum	momentum	1	-0.0007	0.2243	-0.0030	-0.0118	0.2342	-0.0506	-0.3185	0.4766	0.7501	833	-0.0313	-0.0313	-0.2868	0.5801	0.9770	False	False
pe_ratio	value	-1	-0.0153	0.0716	-0.2131	0.0056	0.1225	0.0455	0.4952	0.5239	0.6204	2491	0.0099	0.0099	0.1267	0.0509	0.9628	False	False
mom_6_1	momentum	1	-0.0066	0.2833	-0.0233	-0.0110	0.2721	-0.0403	-0.4348	0.4769	0.6637	2441	-0.0113	-0.0113	-0.0589	0.1604	0.9437	False	False
mom_12_1	momentum	1	-0.0051	0.2692	-0.0190	-0.0077	0.2571	-0.0298	-0.3128	0.5080	0.7544	2317	-0.0285	-0.0285	-0.1528	0.1271	0.8961	False	False
dollar_volume_ratio	liquidity	1	0.0112	0.0931	0.1207	-0.0030	0.1120	-0.0271	-0.2937	0.4905	0.7690	2463	-0.0048	-0.0048	-0.0645	0.2647	0.9521	False	False
residual_momentum	momentum	1	-0.0050	0.2492	-0.0201	-0.0064	0.2370	-0.0271	-0.2885	0.4899	0.7730	2384	-0.0256	-0.0256	-0.1475	0.1197	0.9218	False	False
adv_21d	liquidity	1	-0.0090	0.1100	-0.0816	-0.0022	0.0974	-0.0221	-0.2424	0.4891	0.8085	2529	-0.0002	-0.0002	-0.0027	0.0249	0.9774	False	False
mom_120d	momentum	1	0.0111	0.2702	0.0410	0.0054	0.2608	0.0206	0.2233	0.5036	0.8233	2468	0.0209	0.0209	0.1136	0.1630	0.9540	False	False
ps_ratio	value	-1	0.0007	0.1407	0.0047	0.0014	0.1341	0.0107	0.1169	0.4849	0.9069	2491	0.0027	0.0027	0.0287	0.0648	0.9628	False	False
return_skew_126d	risk	-1	0.0008	0.1554	0.0052	-0.0008	0.1567	-0.0053	-0.0580	0.4854	0.9538	2528	-0.0121	-0.0121	-0.1066	0.1383	0.9770	False	False
zero_trading_days	liquidity	-1	nan	nan	nan	nan	nan	nan	nan	nan	nan	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	0.8335	0.1742	0.0199	1.0593	0.2204
size	0.3427	0.0247	0.0012	0.0617	0.0984
value	0.1905	0.0045	0.0001	0.0063	0.0379
momentum	0.2472	0.0187	0.0006	0.0338	0.0404
volatility	1.0362	-0.0264	-0.0038	-0.1999	0.0358
liquidity	-0.2676	0.0024	-0.0001	-0.0047	0.0210
quality	0.2258	-0.0126	-0.0004	-0.0208	0.0359
ind_Consumer Discretionary	0.0685	0.0392	0.0004	0.0196	0.1894
ind_Consumer Staples	0.0843	0.0219	0.0003	0.0135	0.2028
ind_Energy	0.0966	0.0155	0.0002	0.0110	0.1989
ind_Financials	0.0616	-0.0051	-0.0000	-0.0023	0.1688
ind_Health Care	0.0445	0.0196	0.0001	0.0064	0.1861
ind_Industrials	0.0202	-0.0245	-0.0001	-0.0036	0.1963
ind_Information Technology	0.1302	0.0090	0.0002	0.0085	0.1876
ind_Materials	0.0910	0.0062	0.0001	0.0041	0.1740
ind_Real Estate	0.0375	-0.0186	-0.0001	-0.0051	0.2303
ind_Utilities	0.1349	-0.0060	-0.0001	-0.0059	0.1983
specific	nan	0.1347	0.0003	0.0181	0.0185

Attribution (Factor Bets)

factor	beta	attributed_return	t_stat
market	-0.3738	0.0000	-14.0247
size	-0.7560	0.0001	-19.8048
value	-0.0147	-0.0000	-0.2463
momentum	-0.0706	-0.0000	-0.6927
volatility	0.6243	0.0000	5.0487
liquidity	-0.5204	0.0000	-4.6468
quality	-0.0861	-0.0000	-1.2926
ind_Consumer Discretionary	-0.0989	-0.0000	-7.0561
ind_Consumer Staples	-0.0330	-0.0000	-3.1263
ind_Energy	0.0185	0.0000	1.4672
ind_Financials	-0.0069	0.0000	-0.4816
ind_Health Care	0.0080	-0.0000	0.6383
ind_Industrials	-0.0001	0.0000	-0.0119
ind_Information Technology	-0.0286	-0.0000	-2.1378
ind_Materials	-0.0749	-0.0000	-4.4410
ind_Real Estate	-0.0049	-0.0000	-0.4867
ind_Utilities	-0.0799	-0.0000	-7.1243

Brinson Attribution

sector	portfolio_weight	benchmark_weight	allocation	selection	interaction
Information Technology	0.1302	0.1406	-0.0000	0.0000	0.0000
Consumer Staples	0.0843	0.1182	0.0000	0.0000	0.0000
Financials	0.0616	0.0878	0.0000	0.0000	0.0000
Health Care	0.0445	0.0628	0.0000	0.0000	0.0000
Utilities	0.1349	0.1283	0.0000	0.0000	0.0000
Materials	0.0910	0.0794	0.0000	0.0000	0.0000
Communication Services	0.0642	0.1035	0.0000	0.0000	0.0000
Energy	0.0966	0.1074	0.0000	0.0000	0.0000
Consumer Discretionary	0.0685	0.1038	-0.0000	0.0000	0.0000
Real Estate	0.0375	0.0331	0.0000	0.0000	0.0000
Industrials	0.0202	0.0351	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	18.15%	11.35%	1.5266
Bull/HighVol	429	30.13%	14.41%	1.9006
Bear/LowVol	392	-8.93%	8.15%	-1.1078
Bear/HighVol	561	-15.66%	15.78%	-1.0001

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	-8.33%	SIM0018 -0.42%, SIM0048 -0.42%, SIM0125 -0.42%
momentum_crash_2sigma	-1.99%	SIM0005 -0.60%, SIM0018 -0.50%, SIM0003 -0.31%
value_selloff_5pct	-0.95%	SIM0005 -1.11%, SIM0025 -0.19%, SIM0003 -0.19%
volatility_spike_3sigma	11.13%	SIM0137 -0.47%, SIM0103 -0.03%, SIM0075 -0.02%
quality_rotation_5pct	1.13%	SIM0080 -0.24%, SIM0048 -0.24%, SIM0026 -0.20%
liquidity_dryup_2sigma	1.13%	SIM0048 -0.31%, SIM0031 -0.10%, SIM0057 -0.06%

Notes & Caveats

Survivorship bias disclaimer is ON: the sample provider supplies point-in-time membership only.
Backtest: 60 rebalances, 1867 trades, avg turnover 0.24.

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