{
  "generated": "2026-07-08",
  "window": {
    "start": "2016-03-01",
    "end": "2026-07-08",
    "research_end": "2021-12-31"
  },
  "universe": "us liquid top-500 by 60d dollar volume, price>=10, ADV>=10M",
  "bp_construction": "book_per_share = equity * ttm_eps / ttm_net_income; bp = book_per_share / adj_close; guards: |ttm_eps|>0.05, equity>0, shares>0",
  "decile_annualized_full": {
    "1": 0.11585605983268477,
    "2": 0.1373451052878638,
    "3": 0.12439023990536824,
    "4": 0.11521780979799123,
    "5": 0.11042079131636284,
    "6": 0.12096533554345479,
    "7": 0.09424206059940521,
    "8": 0.07984380864232721,
    "9": 0.09575128756885909,
    "10": 0.12990782506266396
  },
  "decile_annualized_research": {
    "1": 0.19289122635616507,
    "2": 0.18916226178344786,
    "3": 0.14202929500342987,
    "4": 0.13814006666294998,
    "5": 0.12384219165340116,
    "6": 0.12601547619534292,
    "7": 0.09359722149982863,
    "8": 0.10052427962132593,
    "9": 0.11324118533312166,
    "10": 0.12200110224202665
  },
  "decile_annualized_oos": {
    "1": 0.002669811705767522,
    "2": 0.046351034178687245,
    "3": 0.07310775179345086,
    "4": 0.06883563004281235,
    "5": 0.07501519237678567,
    "6": 0.09810066696248976,
    "7": 0.0839482374612257,
    "8": 0.05421557971954649,
    "9": 0.07678435179739163,
    "10": 0.1382332555997996
  },
  "d10_minus_d1_full": 0.014051765229979196,
  "rank_ic_mean": -0.00954710538163785,
  "rank_ic_tstat": -0.6950705648648721,
  "rank_ic_pct_positive": 0.45132743362831856,
  "strategy": {
    "cagr": 0.08134029846926993,
    "daily_sharpe": 0.443804507840861,
    "mdd": -0.5016425052133695,
    "ann_vol": 0.2439535883026073,
    "total_return": 1.2468408945393494,
    "monthly_sharpe": 0.45900343820795847,
    "avg_holdings": 46.02226487523993
  },
  "qqq": {
    "cagr": 0.20227166664426477,
    "daily_sharpe": 0.9429214648208183,
    "mdd": -0.3561721824797647,
    "ann_vol": 0.2221454410931431,
    "total_return": 5.7324346943273845
  },
  "spy": {
    "cagr": 0.13683984456984644,
    "daily_sharpe": 0.8107415555525648,
    "mdd": -0.34104746704498456,
    "ann_vol": 0.1782909677552211,
    "total_return": 2.7721473130932797
  },
  "costs": "sim fee_ratio=0, tax_ratio=0 (US commissions ~0; slippage not modeled, disclosed in article)"
}