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Stock Factor Research

Translate factor definitions into dated scores, portfolio rules and checkable evaluation results.

11 guides

• Build an earnings-yield stock factor using filing availability dates

  Build a monthly earnings-yield basket from available filing versions, exclude losses and trace revisions through selection, trades and cash.

• Trace missing stock factor scores into portfolio decisions

  Trace missing stock factor observations through score age, eligibility, replacement trades and net equity under three explicit policies.

• Turn a paper abstract into a testable stock factor experiment

  Turn a visible stock-paper abstract into a bounded experiment by labeling source rules, author assumptions and missing replication inputs.

• Evaluate a stock factor from daily scores to net group portfolios

  Rebuild daily stock factor groups, rank correlations, executable quantities and a separate cost ledger using an auditable synthetic example.

• Verify stock factor direction before building a long-only basket

  Map a lower-is-better stock factor into utility scores, long-only selections and explicit nonnegative orders before evaluating outcomes.

• What changes when a stock factor uses a VWAP proxy

  Compare a VWAP-based stock alpha with an explicitly named OHLC proxy, checking field units, changed selections and separate cash results.

• Test whether a stock factor survives the first executable entry

  Rebuild factor formation, availability and first executable entry, separating a forward label from a later cost-bearing holding path.

• Make tied stock factor scores produce deterministic portfolios

  Make discrete stock factor scores produce repeatable portfolios through explicit tie keys, incumbent retention and permutation tests.

• Audit an added stock factor through changed selections and net costs

  Test a frozen added-factor combination through changed stock ranks, boundary replacements, incremental trading costs and net account value.

• How to winsorize stock factors and check changes in ranks and trades

  Trace a current-cross-section winsorization rule into score ties, unchanged holdings, boundary replacements, actual orders and net equity.

• Test within-industry stock factor ranks through tradable baskets

  Compare overall and within-industry stock rankings using dated classifications, fixed slots, independent orders and net account ledgers.