Add data processed+raw (part 24)

data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_3db89f3c4230c3d0/manifest.json

@@ -0,0 +1,241 @@
+{
+  "record_type": "case",
+  "manifest_schema_version": "task_c_frozen_raw_rolling_manifest.v1",
+  "generator_version": "build_task_c_frozen_raw_rolling.v4_anchor_subset_policy",
+  "track": "semantic",
+  "semantic_card_schema_version": "semantic_factor_card.v1",
+  "case_number": 159,
+  "case_id": "c_case_3db89f3c4230c3d0",
+  "sequence_id": "c_case_3db89f3c4230c3d0",
+  "dataset_scope": "stock_multifactor_code_frozen_rolling",
+  "dataset_id": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_3db89f3c4230c3d0",
+  "path": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_3db89f3c4230c3d0",
+  "case_manifest_path": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_3db89f3c4230c3d0/manifest.json",
+  "block_id": "block_03",
+  "block_index": 3,
+  "anchor_month": "2008-12",
+  "history_window": "5Y",
+  "start_anchor_month": "2008-12",
+  "end_anchor_month": "2009-11",
+  "history_start_month": "2003-12",
+  "history_end_month": "2008-11",
+  "target_start_month": "2009-01",
+  "target_end_month": "2009-12",
+  "anchor_date_is_public": false,
+  "task": "stock_multifactor_model",
+  "feature_count": 38,
+  "sample_size": 38,
+  "requested_sample_size": 38,
+  "selected_feature_ids": [
+    "eq_dur",
+    "zero_trades_252d",
+    "mispricing_perf",
+    "mispricing_mgmt",
+    "aliq_at",
+    "aliq_mat",
+    "ivol_ff3_21d",
+    "oaccruals_at",
+    "ret_12_1",
+    "taccruals_at",
+    "resff3_12_1",
+    "dolvol_126d",
+    "prc",
+    "pi_nix",
+    "bev_mev",
+    "ret_60_12",
+    "market_equity",
+    "ocfq_saleq_std",
+    "ppeinv_gr1a",
+    "saleq_gr1",
+    "noa_at",
+    "age",
+    "seas_6_10na",
+    "ope_bel1",
+    "beta_60m",
+    "zero_trades_126d",
+    "netdebt_me",
+    "rd_me",
+    "cash_at",
+    "inv_gr1",
+    "o_score",
+    "chcsho_12m",
+    "ret_3_1",
+    "nfna_gr1a",
+    "taccruals_ni",
+    "qmj",
+    "sale_me",
+    "cop_atl1"
+  ],
+  "selected_feature_ids_sorted": [
+    "age",
+    "aliq_at",
+    "aliq_mat",
+    "beta_60m",
+    "bev_mev",
+    "cash_at",
+    "chcsho_12m",
+    "cop_atl1",
+    "dolvol_126d",
+    "eq_dur",
+    "inv_gr1",
+    "ivol_ff3_21d",
+    "market_equity",
+    "mispricing_mgmt",
+    "mispricing_perf",
+    "netdebt_me",
+    "nfna_gr1a",
+    "noa_at",
+    "o_score",
+    "oaccruals_at",
+    "ocfq_saleq_std",
+    "ope_bel1",
+    "pi_nix",
+    "ppeinv_gr1a",
+    "prc",
+    "qmj",
+    "rd_me",
+    "resff3_12_1",
+    "ret_12_1",
+    "ret_3_1",
+    "ret_60_12",
+    "sale_me",
+    "saleq_gr1",
+    "seas_6_10na",
+    "taccruals_at",
+    "taccruals_ni",
+    "zero_trades_126d",
+    "zero_trades_252d"
+  ],
+  "public_feature_columns": [
+    "f001",
+    "f002",
+    "f003",
+    "f004",
+    "f005",
+    "f006",
+    "f007",
+    "f008",
+    "f009",
+    "f010",
+    "f011",
+    "f012",
+    "f013",
+    "f014",
+    "f015",
+    "f016",
+    "f017",
+    "f018",
+    "f019",
+    "f020",
+    "f021",
+    "f022",
+    "f023",
+    "f024",
+    "f025",
+    "f026",
+    "f027",
+    "f028",
+    "f029",
+    "f030",
+    "f031",
+    "f032",
+    "f033",
+    "f034",
+    "f035",
+    "f036",
+    "f037",
+    "f038"
+  ],
+  "feature_names_are_masked": true,
+  "subset_id": "5Y_200812_38_s08",
+  "subset_index": 8,
+  "selection_source_windows": [
+    "2Y",
+    "3Y",
+    "5Y"
+  ],
+  "selection_plan_sha256": "410c62e9eaec356129260d72c055cc06d4d41bb8c85dccabef890963b2185918",
+  "sampling": {
+    "method": "anchor_reused_across_history_windows",
+    "same_subset_across_selection_windows": true,
+    "future_values_used_for_selection": false
+  },
+  "window": {
+    "name": "5Y",
+    "history_months": 60,
+    "train_months": 48,
+    "validation_months": 12,
+    "rolling_test_months": 12,
+    "feature_warmup_months": 0
+  },
+  "train_validation": {
+    "train_month_range": [
+      "t-60",
+      "t-13"
+    ],
+    "validation_month_range": [
+      "t-12",
+      "t-1"
+    ],
+    "relative_time_encoding": "relative_months_from_formation"
+  },
+  "rolling_protocol": {
+    "history_window": "5Y",
+    "history_window_months": 60,
+    "test_steps": 12,
+    "one_step_horizon_months": 1,
+    "train_months": 48,
+    "validation_months": 12,
+    "refit_policy": "from_scratch_each_origin",
+    "validation_policy": "select_or_early_stop_then_refit_train_plus_validation",
+    "llm_calls_during_rolling": 0
+  },
+  "source_panel": "data/raw/wrds/wgpvj1vbztoqbloo (1).parquet",
+  "source_daily_returns": "data/raw/wrds/ctff_daily_ret.parquet",
+  "source_nyse_cutoffs": "data/raw/jkp/2025-12/nyse_cutoffs.csv",
+  "public_future_labels_included": false,
+  "source_history_feature_ids_are_truth_only": true,
+  "evaluator_only_files": [
+    "rolling_truth.jsonl",
+    "evaluator_id_map.json",
+    "evaluator_feature_map.json"
+  ],
+  "artifacts": {
+    "payload": {
+      "path": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_3db89f3c4230c3d0/payload.json",
+      "bytes": 41067,
+      "sha256": "a094cd1b783e91be745a74d1af5bd7ebff80e69dae79cf2847f6a8cc477fa271"
+    },
+    "train": {
+      "path": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_3db89f3c4230c3d0/artifacts/train.parquet",
+      "format": "parquet",
+      "bytes": 57318245,
+      "sha256": "404a15f68bda3ac4c9ec37a637a332004ec954f8e808a8dca95c6929b213f270",
+      "rows": 255386
+    },
+    "validation": {
+      "path": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_3db89f3c4230c3d0/artifacts/validation.parquet",
+      "format": "parquet",
+      "bytes": 14971680,
+      "sha256": "6774b0bc93edaa085401672ea86d3bd878f10fa17a357c64870824213138b038",
+      "rows": 60890
+    },
+    "rolling_truth": {
+      "path": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_3db89f3c4230c3d0/rolling_truth.jsonl",
+      "bytes": 9183,
+      "sha256": "5a771279d56c78fbc65227e2e87ea9e913da4dc6ca3425486865b1cf41efd96a",
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+    "evaluator_id_map": {
+      "path": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_3db89f3c4230c3d0/evaluator_id_map.json",
+      "bytes": 398159,
+      "sha256": "1802dbada06042c49876e1e92748d05eea508916c4ebcf2c63d421343bee4353"
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+    "evaluator_feature_map": {
+      "path": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_3db89f3c4230c3d0/evaluator_feature_map.json",
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+}

data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_3db89f3c4230c3d0/payload.json

@@ -0,0 +1,1338 @@
+{
+  "case_id": "c_case_3db89f3c4230c3d0",
+  "task": "stock_multifactor_model",
+  "horizon_months": 1,
+  "track": "semantic",
+  "feature_columns": [
+    "f001",
+    "f002",
+    "f003",
+    "f004",
+    "f005",
+    "f006",
+    "f007",
+    "f008",
+    "f009",
+    "f010",
+    "f011",
+    "f012",
+    "f013",
+    "f014",
+    "f015",
+    "f016",
+    "f017",
+    "f018",
+    "f019",
+    "f020",
+    "f021",
+    "f022",
+    "f023",
+    "f024",
+    "f025",
+    "f026",
+    "f027",
+    "f028",
+    "f029",
+    "f030",
+    "f031",
+    "f032",
+    "f033",
+    "f034",
+    "f035",
+    "f036",
+    "f037",
+    "f038"
+  ],
+  "factor_cards": [
+    {
+      "factor_id": "f001",
+      "neutral_name": "Equity duration",
+      "neutral_description": "Equity duration",
+      "formula_or_definition": "f001_t = \\frac{ed_ed_w_t \\times FX_t}{ME_COMPANY_t} + ed_constant \\times \\frac{ME_COMPANY_t - ed_cd_t \\times FX_t}{ME_COMPANY_t}",
+      "input_fields": [
+        "FX_t",
+        "ME_COMPANY_t",
+        "NI",
+        "SALE",
+        "roe_mean",
+        "roe_ar1",
+        "g_mean",
+        "g_ar1"
+      ],
+      "formula_latex": "f001_t = \\frac{ed_ed_w_t \\times FX_t}{ME_COMPANY_t} + ed_constant \\times \\frac{ME_COMPANY_t - ed_cd_t \\times FX_t}{ME_COMPANY_t}",
+      "formula_inputs": [
+        {
+          "symbol": "FX_t",
+          "meaning": "Currency-to-USD conversion rate",
+          "construction_latex": "fx_t = \\frac{USD_{GBP,t}}{X_{GBP,t}}",
+          "source_fields": [
+            "FX"
+          ]
+        },
+        {
+          "symbol": "ME_COMPANY_t",
+          "meaning": "Company Market Equity",
+          "construction_latex": "We sum ME* grouped by PERMCO and date",
+          "source_fields": [
+            "ME",
+            "PERMCO"
+          ]
+        },
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "roe_mean",
+          "meaning": "Constant average ROE assumption",
+          "construction_latex": "roe\\_mean \\in \\mathbb{R}"
+        },
+        {
+          "symbol": "roe_ar1",
+          "meaning": "Constant expected growth rate of ROE",
+          "construction_latex": "roe\\_ar1 \\in \\mathbb{R}"
+        },
+        {
+          "symbol": "g_mean",
+          "meaning": "Constant average sales growth rate",
+          "construction_latex": "g\\_mean \\in \\mathbb{R}"
+        },
+        {
+          "symbol": "g_ar1",
+          "meaning": "Constant expected growth rate of sales",
+          "construction_latex": "g\\_ar1 \\in \\mathbb{R}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f002",
+      "neutral_name": "Number of zero trades with turnover as tiebreaker (12 months)",
+      "neutral_description": "Prior 12-month turnover-adjusted number of zero daily trading volume",
+      "formula_or_definition": "Number of days with zero trades over period. In case of equal number of zero trading days, turnover_zd will decide on the rank following Liu (2006)",
+      "input_fields": [
+        "turnover_zd"
+      ],
+      "formula_latex": "Number of days with zero trades over period. In case of equal number of zero trading days, turnover_zd will decide on the rank following Liu (2006)",
+      "formula_latex_instantiated": "Number of days with zero trades over period. In case of equal number of zero trading days, turnover_zd will decide on the rank following Liu (2006)",
+      "formula_inputs": [
+        {
+          "symbol": "turnover_zd",
+          "meaning": "Turnover",
+          "construction_latex": "\\overline{(\\frac{TVOL*_t}{SHARES*_t*1000000})}_{zD}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f003",
+      "neutral_name": "Mispricing factor: Performance",
+      "neutral_description": "Mispricing factor: Performance",
+      "formula_or_definition": "\\begin{aligned} \\frac{1}{4}\\big( & f031^{r01}_t + f009^{r01}_t + \\\\ & <input>^{r01}_t + <input>^{r01}_t\\big) \\\\ & \\end{aligned}",
+      "input_fields": [
+        "f031",
+        "f009",
+        "<input>",
+        "<input>"
+      ],
+      "formula_latex": "\\begin{aligned} \\frac{1}{4}\\big( & f031^{r01}_t + f009^{r01}_t + \\\\ & <input>^{r01}_t + <input>^{r01}_t\\big) \\\\ & \\end{aligned}",
+      "formula_inputs": [
+        {
+          "symbol": "f031",
+          "meaning": "\\hypertarget{ohl2}{Ohlson O-Score}",
+          "construction_latex": "Outlined in detail \\hyperlink{ohl}{here}"
+        },
+        {
+          "symbol": "f009",
+          "meaning": "Momentum 1-12 Months",
+          "construction_latex": "\\frac{RI*_{t-1}}{RI*_{t-12}} - 1"
+        },
+        {
+          "symbol": "<input>",
+          "meaning": "Gross Profit scaled by Assets",
+          "construction_latex": "\\frac{GP*_t}{AT*_t}"
+        },
+        {
+          "symbol": "<input>",
+          "meaning": "Quarterly Income scaled by AT",
+          "construction_latex": "\\frac{NI_QTR*_t}{AT*_{t-3}}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f004",
+      "neutral_name": "Mispricing factor: Management",
+      "neutral_description": "Mispricing factor: Management",
+      "formula_or_definition": "$ \\begin{aligned} \\frac{1}{6}\\big( & f032^{r01}_t + <input>^{r01}_t +",
+      "input_fields": [
+        "f032",
+        "<input>"
+      ],
+      "formula_latex": "$ \\begin{aligned} \\frac{1}{6}\\big( & f032^{r01}_t + <input>^{r01}_t +",
+      "formula_inputs": [
+        {
+          "symbol": "f032",
+          "meaning": "Change in Shares - 12 Month",
+          "construction_latex": "\\frac{SHARES*_t\\times ADJFCT*_t}{SHARES*_{t-12}\\times ADJFCT*_{t-12}} - 1"
+        },
+        {
+          "symbol": "<input>",
+          "meaning": "Net Equity Payout - 12 Month",
+          "construction_latex": "log(\\frac{RI*_t}{RI*_{t-12}}) - log(\\frac{ME*_t}{ME*_{t-12}})"
+        }
+      ]
+    },
+    {
+      "factor_id": "f005",
+      "neutral_name": "Liquidity of book assets",
+      "neutral_description": "Liquidity of book assets",
+      "formula_or_definition": "\\frac{ALIQ*_t}{AT*_{t-12}}",
+      "input_fields": [
+        "ALIQ",
+        "AT"
+      ],
+      "formula_latex": "\\frac{ALIQ*_t}{AT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "ALIQ",
+          "meaning": "Ortiz-Molina and Phillips Liquidity",
+          "construction_latex": "CHE + 0.75$\\times$ COA* + 0.5(AT* - CA* - INTAN). If INTAN is missing, we set it to zero",
+          "source_fields": [
+            "CHE",
+            "COA",
+            "AT",
+            "CA",
+            "INTAN"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f006",
+      "neutral_name": "Liquidity of market assets",
+      "neutral_description": "Liquidity of market assets",
+      "formula_or_definition": "\\frac{ALIQ*_t}{MAT*_{t-12}}",
+      "input_fields": [
+        "ALIQ",
+        "MAT"
+      ],
+      "formula_latex": "\\frac{ALIQ*_t}{MAT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "ALIQ",
+          "meaning": "Ortiz-Molina and Phillips Liquidity",
+          "construction_latex": "CHE + 0.75$\\times$ COA* + 0.5(AT* - CA* - INTAN). If INTAN is missing, we set it to zero",
+          "source_fields": [
+            "CHE",
+            "COA",
+            "AT",
+            "CA",
+            "INTAN"
+          ]
+        },
+        {
+          "symbol": "MAT",
+          "meaning": "Market Assets",
+          "construction_latex": "We use AT* $\\times$ FX - BE* $\\times$ FX + ME_COMPANY",
+          "source_fields": [
+            "AT",
+            "FX",
+            "BE",
+            "ME_COMPANY"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f007",
+      "neutral_name": "Idiosyncratic volatility from the Fama-French 3-factor model",
+      "neutral_description": "Idiosyncratic volatility from the Fama-French 3-factor model",
+      "formula_or_definition": "\\sigma_{21D}(e_t)",
+      "input_fields": [],
+      "formula_latex": "\\sigma_{zD}(e_t)",
+      "formula_latex_instantiated": "\\sigma_{21D}(e_t)"
+    },
+    {
+      "factor_id": "f008",
+      "neutral_name": "Operating accruals",
+      "neutral_description": "Operating accruals",
+      "formula_or_definition": "\\frac{OACC*_t}{AT*_t}",
+      "input_fields": [
+        "OACC",
+        "AT"
+      ],
+      "formula_latex": "\\frac{OACC*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "OACC",
+          "meaning": "Operating Accruals",
+          "construction_latex": "We prefer NI*-OANCF. If that is unavailable, we use the yearly change in COWC*+the yearly change in NNCOA*",
+          "source_fields": [
+            "NI",
+            "OANCF",
+            "COWC",
+            "NNCOA"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f009",
+      "neutral_name": "Price momentum t-12 to t-1",
+      "neutral_description": "Price momentum, prior 11-month returns",
+      "formula_or_definition": "\\frac{RI*_{t-1}}{RI*_{t-12}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-1}}{RI*_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f010",
+      "neutral_name": "Total accruals",
+      "neutral_description": "Total accruals",
+      "formula_or_definition": "\\frac{TACC*_t}{AT*_t}",
+      "input_fields": [
+        "TACC",
+        "AT"
+      ],
+      "formula_latex": "\\frac{TACC*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "TACC",
+          "meaning": "Total Accruals",
+          "construction_latex": "We use OACC* + the yearly change in NFNA*",
+          "source_fields": [
+            "OACC",
+            "NFNA"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f011",
+      "neutral_name": "Residual momentum t-12 to t-1",
+      "neutral_description": "Residual momentum, prior 11-month returns",
+      "formula_or_definition": "-1 + \\prod_{n = 1}^{12} 1 + e_{t-n}",
+      "input_fields": [
+        "e_"
+      ],
+      "formula_latex": "-1 + \\prod_{n = 1}^{12} 1 + e_{t-n}",
+      "formula_inputs": [
+        {
+          "symbol": "e_",
+          "meaning": "Residual from the Fama-French three-factor regression",
+          "construction_latex": "RET\\_EXC^*_t = \\beta_0 + \\beta_1 MKTRF^*_t + \\beta_2 HML^*_t + \\beta_3 SMB\\_FF^*_t + e_t"
+        }
+      ]
+    },
+    {
+      "factor_id": "f012",
+      "neutral_name": "Dollar trading volume",
+      "neutral_description": "Dollar trading volume",
+      "formula_or_definition": "\\overline{DOLVOL*_t}_{126D}",
+      "input_fields": [
+        "DOLVOL"
+      ],
+      "formula_latex": "\\overline{DOLVOL*_t}_{zD}",
+      "formula_latex_instantiated": "\\overline{DOLVOL*_t}_{126D}",
+      "formula_inputs": [
+        {
+          "symbol": "DOLVOL",
+          "meaning": "Dollar Volume",
+          "construction_latex": "We use TVOL*$\\times$f013*",
+          "source_fields": [
+            "TVOL",
+            "f013"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f013",
+      "neutral_name": "Price per share",
+      "neutral_description": "Price per share",
+      "formula_or_definition": "We use $|$f013$|$",
+      "input_fields": [],
+      "formula_latex": "We use $|$f013$|$"
+    },
+    {
+      "factor_id": "f014",
+      "neutral_name": "Taxable income-to-book income",
+      "neutral_description": "Taxable income-to-book income",
+      "formula_or_definition": "\\frac{PI*_t}{NIX*_t}",
+      "input_fields": [
+        "PI",
+        "NIX"
+      ],
+      "formula_latex": "\\frac{PI*_t}{NIX*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "PI",
+          "meaning": "Earnings before Tax and Extraordinary Items",
+          "construction_latex": "We prefer to use PI. If this is unavailable we use EBIT*-XINT+SPI+NOPI where we set SPI and NOPI to zero if missing",
+          "source_fields": [
+            "PI",
+            "EBIT",
+            "XINT",
+            "SPI",
+            "NOPI"
+          ]
+        },
+        {
+          "symbol": "NIX",
+          "meaning": "Net Income Including Extraordinary Items",
+          "construction_latex": "We prefer NI. If this is not available, we prefer NI*+XIDO*. If XIDO* is unavailable, we set it to zero. If that is unavailable, we prefer NI*+XI+DO",
+          "source_fields": [
+            "NI",
+            "XIDO",
+            "XI",
+            "DO"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f015",
+      "neutral_name": "Book-to-market enterprise value",
+      "neutral_description": "Enterprise book-to-price",
+      "formula_or_definition": "\\frac{BEV*_t}{MEV*_t}",
+      "input_fields": [
+        "BEV",
+        "MEV"
+      ],
+      "formula_latex": "\\frac{BEV*_t}{MEV*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "BEV",
+          "meaning": "Book Enterprise Value",
+          "construction_latex": "We prefer to use ICAPT+DLC-CHE where DLC and CHE are set to zero if missing. If this is unavailable, we use SEQ*+NETDEBT*+ MIB where we set MIB to zero if missing. In the global data ICAPT is reduced by Treasury stock",
+          "source_fields": [
+            "ICAPT",
+            "DLC",
+            "CHE",
+            "SEQ",
+            "NETDEBT",
+            "MIB"
+          ]
+        },
+        {
+          "symbol": "MEV",
+          "meaning": "Market Enterprise Value",
+          "construction_latex": "We use ME_COMPANY + NETDEBT* $\\times$ FX*",
+          "source_fields": [
+            "ME_COMPANY",
+            "NETDEBT",
+            "FX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f016",
+      "neutral_name": "Long-term reversal",
+      "neutral_description": "Long-term reversal",
+      "formula_or_definition": "\\frac{RI*_{t-12}}{RI*_{t-60}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-12}}{RI*_{t-60}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f017",
+      "neutral_name": "Market Equity",
+      "neutral_description": "Size (the market equity)",
+      "formula_or_definition": "ME*_t",
+      "input_fields": [
+        "ME"
+      ],
+      "formula_latex": "ME*_t",
+      "formula_inputs": [
+        {
+          "symbol": "ME",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f018",
+      "neutral_name": "Cash flow volatility",
+      "neutral_description": "Cash flow volatility",
+      "formula_or_definition": "\\sigma_{16Q}(\\frac{OCF_QTR*_t}{SALE_QTR*_t}))",
+      "input_fields": [
+        "OCF_QTR",
+        "SALE_QTR"
+      ],
+      "formula_latex": "\\sigma_{16Q}(\\frac{OCF_QTR*_t}{SALE_QTR*_t}))",
+      "formula_inputs": [
+        {
+          "symbol": "OCF_QTR",
+          "meaning": "Quarterly Operating Cash Flow",
+          "construction_latex": "We use OANCFQ. If this is unavailable, then we use IBQ + DPQ - WCAPTQ. If WCAPTQ is unavailable, we set it to",
+          "source_fields": [
+            "OANCFQ",
+            "IBQ",
+            "DPQ",
+            "WCAPTQ"
+          ]
+        },
+        {
+          "symbol": "SALE_QTR",
+          "meaning": "Net Sales",
+          "construction_latex": "We use SALEQ",
+          "source_fields": [
+            "SALEQ"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f019",
+      "neutral_name": "Change PPE and Inventory",
+      "neutral_description": "Change in property, pant and equiptment and equipment and inventory scaled by book assets",
+      "formula_or_definition": "\\frac{PPEINV*_t - PPEINV*_{t-12}}{AT*_{t-12}}",
+      "input_fields": [
+        "PPEINV",
+        "AT"
+      ],
+      "formula_latex": "\\frac{PPEINV*_t - PPEINV*_{t-12}}{AT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "PPEINV",
+          "meaning": "Property Plant and Equipment Less Inventories",
+          "construction_latex": "PPEGT + INVT",
+          "source_fields": [
+            "PPEGT",
+            "INVT"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f020",
+      "neutral_name": "Sales growth (1 quarter)",
+      "neutral_description": "Quarterly sales growth",
+      "formula_or_definition": "\\frac{SALE_QTR*_t}{SALE_QTR*_{t-12}} - 1",
+      "input_fields": [
+        "SALE_QTR"
+      ],
+      "formula_latex": "\\frac{SALE_QTR*_t}{SALE_QTR*_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "SALE_QTR",
+          "meaning": "Net Sales",
+          "construction_latex": "We use SALEQ",
+          "source_fields": [
+            "SALEQ"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f021",
+      "neutral_name": "Net operating assets",
+      "neutral_description": "Net operating assets",
+      "formula_or_definition": "\\frac{NOA*_t}{AT*_t}",
+      "input_fields": [
+        "NOA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NOA*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NOA",
+          "meaning": "Net Operating Assets",
+          "construction_latex": "We use OA*-OL*",
+          "source_fields": [
+            "OA",
+            "OL"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f022",
+      "neutral_name": "Firm age",
+      "neutral_description": "Firm age",
+      "formula_or_definition": "f022 of the firms in months",
+      "input_fields": [],
+      "formula_latex": "f022 of the firms in months"
+    },
+    {
+      "factor_id": "f023",
+      "neutral_name": "Years 6-10 lagged returns, nonannual",
+      "neutral_description": "Years 6–10 lagged returns, nonannual",
+      "formula_or_definition": "Average return over non-annual lags from year t-6 to t-10",
+      "input_fields": [],
+      "formula_latex": "Average return over non-annual lags from year t-6 to t-10"
+    },
+    {
+      "factor_id": "f024",
+      "neutral_name": "Operating profits-to-lagged book equity",
+      "neutral_description": "Operating profits-to-lagged book equity",
+      "formula_or_definition": "\\frac{OPE*_t}{BE*_{t-12}}",
+      "input_fields": [
+        "OPE",
+        "BE"
+      ],
+      "formula_latex": "\\frac{OPE*_t}{BE*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "OPE",
+          "meaning": "Operating Profit to Equity",
+          "construction_latex": "We use EBITDA*-XINT. Note that we target the same variable as the numerator of the profitability characteristic used to create the Robust-minus weak factor in the fama-French 5 factor model (Fama and French, 2015)",
+          "source_fields": [
+            "EBITDA",
+            "XINT"
+          ]
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f025",
+      "neutral_name": "Market Beta",
+      "neutral_description": "The market beta",
+      "formula_or_definition": "\\frac{COVAR_60M(RET*_t, MKTRF*_t)}{VARC_60M(MKTRF*_t)}",
+      "input_fields": [
+        "RET",
+        "MKTRF"
+      ],
+      "formula_latex": "\\frac{COVAR_60M(RET*_t, MKTRF*_t)}{VARC_60M(MKTRF*_t)}",
+      "formula_inputs": [
+        {
+          "symbol": "RET",
+          "meaning": "Return",
+          "construction_latex": "We use RET. In case of delisting, we calculate as (1+RET)*(1+DLRET)-1",
+          "source_fields": [
+            "RET",
+            "DLRET"
+          ]
+        },
+        {
+          "symbol": "MKTRF",
+          "meaning": "Excess Market Return",
+          "construction_latex": "Country specific market return"
+        }
+      ]
+    },
+    {
+      "factor_id": "f026",
+      "neutral_name": "Number of zero trades with turnover as tiebreaker (6 months)",
+      "neutral_description": "Prior 6-month turnover-adjusted number of zero daily trading volume",
+      "formula_or_definition": "Number of days with zero trades over period. In case of equal number of zero trading days, turnover_zd will decide on the rank following Liu (2006)",
+      "input_fields": [
+        "turnover_zd"
+      ],
+      "formula_latex": "Number of days with zero trades over period. In case of equal number of zero trading days, turnover_zd will decide on the rank following Liu (2006)",
+      "formula_latex_instantiated": "Number of days with zero trades over period. In case of equal number of zero trading days, turnover_zd will decide on the rank following Liu (2006)",
+      "formula_inputs": [
+        {
+          "symbol": "turnover_zd",
+          "meaning": "Turnover",
+          "construction_latex": "\\overline{(\\frac{TVOL*_t}{SHARES*_t*1000000})}_{zD}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f027",
+      "neutral_name": "Net debt-to-price",
+      "neutral_description": "Net debt-to-price",
+      "formula_or_definition": "\\frac{NETDEBT*_t}{ME_t}",
+      "input_fields": [
+        "NETDEBT",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{NETDEBT*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NETDEBT",
+          "meaning": "Net Debt",
+          "construction_latex": "We use DEBT*- CHE where we set CHE to zero if missing",
+          "source_fields": [
+            "DEBT",
+            "CHE"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f028",
+      "neutral_name": "R&D-to-market",
+      "neutral_description": "R&D expense-to-market",
+      "formula_or_definition": "\\frac{XRD_t}{ME_t}",
+      "input_fields": [
+        "XRD_t",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{XRD_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "XRD_t",
+          "meaning": "Research and Development Expenses",
+          "construction_latex": "Compustat item XRD. Note that this is not available in Compustat Global",
+          "source_fields": [
+            "XRD"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f029",
+      "neutral_name": "Cash-to-assets",
+      "neutral_description": "Cash-to-assets",
+      "formula_or_definition": "\\frac{CASH_t}{AT*_t}",
+      "input_fields": [
+        "CASH_t",
+        "AT"
+      ],
+      "formula_latex": "\\frac{CASH_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "CASH_t",
+          "meaning": "Cash and Short-Term Investment",
+          "construction_latex": "Compustat item CHE",
+          "source_fields": [
+            "CHE"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f030",
+      "neutral_name": "Inventory growth",
+      "neutral_description": "Inventory growth",
+      "formula_or_definition": "\\frac{INV_t}{INV_{t-12}} - 1",
+      "input_fields": [
+        "INV_t"
+      ],
+      "formula_latex": "\\frac{INV_t}{INV_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "INV_t",
+          "meaning": "Inventory",
+          "construction_latex": "Compustat item INVT",
+          "source_fields": [
+            "INVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f031",
+      "neutral_name": "Ohlson O-score",
+      "neutral_description": "Ohlson’s (1980) O-score",
+      "formula_or_definition": "f031_t =& -1.37 - 0.407 \\times _o_lat_t + 6.03 \\times _o_lev_t + 1.43 \\times _o_wc_t + \\\\ &0.076 \\times _o_cacl_t - 1.72 \\times _o_neg_eq_t - 2.37 \\times _o_roe_t - \\\\ &1.83 \\times _o_ffo_t + 0.285 \\times _o_neg_earn_t - 0.52 \\times _o_nich_t",
+      "input_fields": [
+        "AT",
+        "DEBT",
+        "CA",
+        "CL",
+        "NIX",
+        "PI",
+        "DP_t",
+        "LT_t"
+      ],
+      "formula_latex": "f031_t =& -1.37 - 0.407 \\times _o_lat_t + 6.03 \\times _o_lev_t + 1.43 \\times _o_wc_t + \\\\ &0.076 \\times _o_cacl_t - 1.72 \\times _o_neg_eq_t - 2.37 \\times _o_roe_t - \\\\ &1.83 \\times _o_ffo_t + 0.285 \\times _o_neg_earn_t - 0.52 \\times _o_nich_t",
+      "formula_inputs": [
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        },
+        {
+          "symbol": "DEBT",
+          "meaning": "Total Debt",
+          "construction_latex": "We use DLTT+ DLC. Either DLTT or DLC are allowed to me missing",
+          "source_fields": [
+            "DLTT",
+            "DLC"
+          ]
+        },
+        {
+          "symbol": "CA",
+          "meaning": "Current Assets",
+          "construction_latex": "We prefer ACT. If this is unavailable, we use RECT+INVT+CHE+ACO",
+          "source_fields": [
+            "ACT",
+            "RECT",
+            "INVT",
+            "CHE",
+            "ACO"
+          ]
+        },
+        {
+          "symbol": "CL",
+          "meaning": "Current Liabilities",
+          "construction_latex": "We prefer LCT. If this is unavailable, we use AP+ DLC+ TXP+ LCO",
+          "source_fields": [
+            "LCT",
+            "AP",
+            "DLC",
+            "TXP",
+            "LCO"
+          ]
+        },
+        {
+          "symbol": "NIX",
+          "meaning": "Net Income Including Extraordinary Items",
+          "construction_latex": "We prefer NI. If this is not available, we prefer NI*+XIDO*. If XIDO* is unavailable, we set it to zero. If that is unavailable, we prefer NI*+XI+DO",
+          "source_fields": [
+            "NI",
+            "XIDO",
+            "XI",
+            "DO"
+          ]
+        },
+        {
+          "symbol": "PI",
+          "meaning": "Earnings before Tax and Extraordinary Items",
+          "construction_latex": "We prefer to use PI. If this is unavailable we use EBIT*-XINT+SPI+NOPI where we set SPI and NOPI to zero if missing",
+          "source_fields": [
+            "PI",
+            "EBIT",
+            "XINT",
+            "SPI",
+            "NOPI"
+          ]
+        },
+        {
+          "symbol": "DP_t",
+          "meaning": "Depreciation and Amortization",
+          "construction_latex": "Compustat Item DP",
+          "source_fields": [
+            "DP"
+          ]
+        },
+        {
+          "symbol": "LT_t",
+          "meaning": "Total Liabilities",
+          "construction_latex": "Compustat item LT",
+          "source_fields": [
+            "LT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f032",
+      "neutral_name": "Net stock issues",
+      "neutral_description": "Net stock issues",
+      "formula_or_definition": "\\frac{SHARES*_t\\times ADJFCT*_t}{SHARES*_{t-12}\\times ADJFCT*_{t-12}} - 1",
+      "input_fields": [
+        "SHARES",
+        "ADJFCT"
+      ],
+      "formula_latex": "\\frac{SHARES*_t\\times ADJFCT*_t}{SHARES*_{t-12}\\times ADJFCT*_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "SHARES",
+          "meaning": "Shares",
+          "construction_latex": "We use SHROUT/1000 so shares outstanding are in millions.",
+          "source_fields": [
+            "SHROUT"
+          ]
+        },
+        {
+          "symbol": "ADJFCT",
+          "meaning": "Share Adjustment Factor",
+          "construction_latex": "We use CFACSHR",
+          "source_fields": [
+            "CFACSHR"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f033",
+      "neutral_name": "Price momentum t-3 to t-1",
+      "neutral_description": "Past 3 month return",
+      "formula_or_definition": "\\frac{RI*_{t-1}}{RI*_{t-3}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-1}}{RI*_{t-3}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f034",
+      "neutral_name": "Change in net financial assets",
+      "neutral_description": "Change in net financial assets",
+      "formula_or_definition": "\\frac{NFNA*_t-NFNA*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "NFNA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NFNA*_t-NFNA*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NFNA",
+          "meaning": "Net Financial Assets",
+          "construction_latex": "We use FNA*-FNL*",
+          "source_fields": [
+            "FNA",
+            "FNL"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f035",
+      "neutral_name": "Percent total accruals",
+      "neutral_description": "Percent total accruals",
+      "formula_or_definition": "\\frac{TACC*_t}{|NIX*_t|}",
+      "input_fields": [
+        "TACC",
+        "NIX"
+      ],
+      "formula_latex": "\\frac{TACC*_t}{|NIX*_t|}",
+      "formula_inputs": [
+        {
+          "symbol": "TACC",
+          "meaning": "Total Accruals",
+          "construction_latex": "We use OACC* + the yearly change in NFNA*",
+          "source_fields": [
+            "OACC",
+            "NFNA"
+          ]
+        },
+        {
+          "symbol": "NIX",
+          "meaning": "Net Income Including Extraordinary Items",
+          "construction_latex": "We prefer NI. If this is not available, we prefer NI*+XIDO*. If XIDO* is unavailable, we set it to zero. If that is unavailable, we prefer NI*+XI+DO",
+          "source_fields": [
+            "NI",
+            "XIDO",
+            "XI",
+            "DO"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f036",
+      "neutral_name": "Quality minus Junk: Composite",
+      "neutral_description": "Quality minus Junk: Composite",
+      "formula_or_definition": "\\frac{<input>_t + <input>_t + <input>_t}{3}",
+      "input_fields": [
+        "<input>",
+        "<input>",
+        "<input>"
+      ],
+      "formula_latex": "\\frac{<input>_t + <input>_t + <input>_t}{3}",
+      "formula_inputs": [
+        {
+          "symbol": "<input>_t",
+          "meaning": "Quality Minus Junk - Profit",
+          "construction_latex": "\\begin{aligned} ZV\\Big( & ZV(<input>_t) + ZV(<input>_t) + \\\\ & ZV(NI_AT_t) + ZV(<input>_t) + ZV(GP_SALE*_t) + \\\\ & ZV(f008_t)\\Big) \\\\ & \\end{aligned}"
+        },
+        {
+          "symbol": "<input>_t",
+          "meaning": "Quality Minus Junk - Growth",
+          "construction_latex": "\\begin{aligned} ZV\\Big( & ZV(GPOA_CH5_t) + ZV(ROE_CH5_t) \\\\ + & ZV(ROA_CH5_t) + ZV(CFOA_CH5_t) + \\\\ & ZV(GMAR_CH5_t) \\Big) \\\\ & \\end{aligned}"
+        },
+        {
+          "symbol": "<input>_t",
+          "meaning": "Quality Minus Junk - Safety",
+          "construction_latex": "\\begin{aligned} ZV\\Big( & ZV(<input>_t) + ZV(DEBT_AT_t) \\\\ + & ZV(f031_t) + ZV(<input>_t) + ZV(_EVOL_t)\\Big) \\end{aligned}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f037",
+      "neutral_name": "Sales-to-market",
+      "neutral_description": "Sales-to-price",
+      "formula_or_definition": "\\frac{SALE*_t}{ME_t}",
+      "input_fields": [
+        "SALE",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{SALE*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f038",
+      "neutral_name": "Cash-based operating profits-to-lagged book assets",
+      "neutral_description": "Cash-based operating profits-to-lagged book assets",
+      "formula_or_definition": "\\frac{COP*_t}{AT*_{t-12}}",
+      "input_fields": [
+        "COP",
+        "AT"
+      ],
+      "formula_latex": "\\frac{COP*_t}{AT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "COP",
+          "meaning": "Cash Based Operating Profitability",
+          "construction_latex": "We prefer EBITDA*+XRD-OACC*. If XRD is unavailable, we set it to zero",
+          "source_fields": [
+            "EBITDA",
+            "XRD",
+            "OACC"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    }
+  ],
+  "train": {
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+  },
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+    "schema": [
+      "id",
+      "time_key",
+      "f001",
+      "f002",
+      "f003",
+      "f004",
+      "f005",
+      "f006",
+      "f007",
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+      "f033",
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+      "f035",
+      "f036",
+      "f037",
+      "f038"
+    ],
+    "label_included": false,
+    "rows_visible_to_llm": false
+  },
+  "metadata": {
+    "id_column": "id",
+    "time_column": "time_key",
+    "target_is_excess_return": true,
+    "future_labels_included": false,
+    "seed": 1,
+    "history_window": "5Y",
+    "history_window_months": 60,
+    "train_months": 48,
+    "validation_months": 12,
+    "rolling_test_months": 12,
+    "feature_count": 38,
+    "feature_representation": "case_masked_numeric",
+    "refit_policy": "from_scratch_each_month",
+    "public_artifacts_only": true,
+    "time_key_encoding": "relative_months_from_formation"
+  },
+  "artifact_root": "."
+}

data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_3db89f3c4230c3d0/rolling_truth.jsonl

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+    "sale_me": "f070",
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+    "at_me": "f072",
+    "gp_atl1": "f073",
+    "seas_11_15na": "f074",
+    "age": "f075",
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+    "f005": "ebit_sale",
+    "f006": "rmax5_rvol_21d",
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+    "f051": "taccruals_at",
+    "f052": "eqnetis_at",
+    "f053": "ope_be",
+    "f054": "ni_ivol",
+    "f055": "prc_highprc_252d",
+    "f056": "kz_index",
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+    "f058": "inv_gr1",
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+    "f060": "resff3_12_1",
+    "f061": "nncoa_gr1a",
+    "f062": "iskew_ff3_21d",
+    "f063": "dolvol_126d",
+    "f064": "chcsho_12m",
+    "f065": "dsale_drec",
+    "f066": "seas_11_15an",
+    "f067": "cash_at",
+    "f068": "bev_mev",
+    "f069": "gp_at",
+    "f070": "sale_me",
+    "f071": "f_score",
+    "f072": "at_me",
+    "f073": "gp_atl1",
+    "f074": "seas_11_15na",
+    "f075": "age",
+    "f076": "rskew_21d"
+  },
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+    "f002",
+    "f003",
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+    "f039",
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+    "f073",
+    "f074",
+    "f075",
+    "f076"
+  ],
+  "note": "evaluator-only; feature names are anonymized in the public payload"
+}

data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_4066432550bbe8af/manifest.json

@@ -0,0 +1,355 @@
+{
+  "record_type": "case",
+  "manifest_schema_version": "task_c_frozen_raw_rolling_manifest.v1",
+  "generator_version": "build_task_c_frozen_raw_rolling.v4_anchor_subset_policy",
+  "track": "semantic",
+  "semantic_card_schema_version": "semantic_factor_card.v1",
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+  "case_id": "c_case_4066432550bbe8af",
+  "sequence_id": "c_case_4066432550bbe8af",
+  "dataset_scope": "stock_multifactor_code_frozen_rolling",
+  "dataset_id": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_4066432550bbe8af",
+  "path": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_4066432550bbe8af",
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+  "history_end_month": "2008-11",
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+    "bev_mev",
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+    "capx_gr2",
+    "capx_gr3",
+    "cash_at",
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+    "col_gr1a",
+    "cop_atl1",
+    "coskew_21d",
+    "cowc_gr1a",
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+    "eqnpo_12m",
+    "eqnpo_me",
+    "f_score",
+    "gp_at",
+    "gp_atl1",
+    "inv_gr1",
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+    "ivol_ff3_21d",
+    "kz_index",
+    "lnoa_gr1a",
+    "mispricing_perf",
+    "ni_inc8q",
+    "ni_ivol",
+    "niq_at",
+    "niq_at_chg1",
+    "niq_be_chg1",
+    "nncoa_gr1a",
+    "noa_at",
+    "noa_gr1a",
+    "o_score",
+    "oaccruals_at",
+    "ocf_at",
+    "ocf_at_chg1",
+    "ope_be",
+    "ope_bel1",
+    "prc",
+    "prc_highprc_252d",
+    "qmj_growth",
+    "qmj_prof",
+    "rd5_at",
+    "rd_me",
+    "resff3_12_1",
+    "ret_12_1",
+    "ret_1_0",
+    "ret_6_1",
+    "rmax1_21d",
+    "rmax5_21d",
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+    "rskew_21d",
+    "sale_gr1",
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+    "seas_11_15an",
+    "seas_11_15na",
+    "seas_16_20an",
+    "seas_16_20na",
+    "seas_1_1na",
+    "taccruals_at",
+    "turnover_126d",
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+  "source_daily_returns": "data/raw/wrds/ctff_daily_ret.parquet",
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+    "evaluator_feature_map.json"
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+      "bytes": 81637,
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+}

data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_4066432550bbe8af/payload.json

@@ -0,0 +1,2692 @@
+{
+  "case_id": "c_case_4066432550bbe8af",
+  "task": "stock_multifactor_model",
+  "horizon_months": 1,
+  "track": "semantic",
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+      "input_fields": [
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+        "DOLVOL"
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+      "formula_latex": "\\overline{(\\frac{|RET*_t|}{DOLVOL*_t})}_{zD}*1000000",
+      "formula_latex_instantiated": "\\overline{(\\frac{|RET*_t|}{DOLVOL*_t})}_{126D}*1000000",
+      "formula_inputs": [
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+          "source_fields": [
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+          ]
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+        {
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+            "f047"
+          ]
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+    {
+      "factor_id": "f002",
+      "neutral_name": "Highest 5 days of return",
+      "neutral_description": "Highest 5 days of return",
+      "formula_or_definition": "\\frac{1}{5}\\sum_{n = 1}^5 X_n, X_n \\in MAX5_21D(RET*)",
+      "input_fields": [
+        "RET"
+      ],
+      "formula_latex": "\\frac{1}{5}\\sum_{n = 1}^5 X_n, X_n \\in MAX5_zD(RET*)",
+      "formula_latex_instantiated": "\\frac{1}{5}\\sum_{n = 1}^5 X_n, X_n \\in MAX5_21D(RET*)",
+      "formula_inputs": [
+        {
+          "symbol": "RET",
+          "meaning": "Return",
+          "construction_latex": "We use RET. In case of delisting, we calculate as (1+RET)*(1+DLRET)-1",
+          "source_fields": [
+            "RET",
+            "DLRET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f003",
+      "neutral_name": "Year 1-lagged return, nonannual",
+      "neutral_description": "Year 1-lagged return, nonannual",
+      "formula_or_definition": "Average return from month t-1 to t-11",
+      "input_fields": [],
+      "formula_latex": "Average return from month t-1 to t-11"
+    },
+    {
+      "factor_id": "f004",
+      "neutral_name": "CAPEX growth (1 year)",
+      "neutral_description": "Investment growth",
+      "formula_or_definition": "\\frac{CAPX_t}{CAPX_{t-12}} - 1",
+      "input_fields": [
+        "CAPX_t"
+      ],
+      "formula_latex": "\\frac{CAPX_t}{CAPX_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "CAPX_t",
+          "meaning": "Capital Expenditures",
+          "construction_latex": "Compustat item CAPX",
+          "source_fields": [
+            "CAPX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f005",
+      "neutral_name": "Profit margin",
+      "neutral_description": "Profit margin",
+      "formula_or_definition": "\\frac{EBIT*_t}{SALE*_t}",
+      "input_fields": [
+        "EBIT",
+        "SALE"
+      ],
+      "formula_latex": "\\frac{EBIT*_t}{SALE*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EBIT",
+          "meaning": "Operating Income After Depreciation",
+          "construction_latex": "We prefer to use EBIT. If this is unavailable, we use OIADP. If this is unavailable, we use EBITDA*-DP",
+          "source_fields": [
+            "EBIT",
+            "OIADP",
+            "EBITDA",
+            "DP"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f006",
+      "neutral_name": "Highest 5 days of return scaled by volatility",
+      "neutral_description": "Highest 5 days of return scaled by volatility",
+      "formula_or_definition": "\\frac{f002_t}{RVOL_252d_t}",
+      "input_fields": [
+        "f002",
+        "rvol_252d"
+      ],
+      "formula_latex": "\\frac{f002_t}{RVOL_252d_t}",
+      "formula_inputs": [
+        {
+          "symbol": "f002_t",
+          "meaning": "Mean Maximum Return",
+          "construction_latex": "\\frac{1}{5}\\sum_{n = 1}^5 X_n, X_n \\in MAX5_zD(RET*)"
+        },
+        {
+          "symbol": "RVOL_252d_t",
+          "meaning": "Return Volatility",
+          "construction_latex": "\\sigma_{zD}(RET_EXC*_t)"
+        }
+      ]
+    },
+    {
+      "factor_id": "f007",
+      "neutral_name": "Cash-based operating profits-to-lagged book assets",
+      "neutral_description": "Cash-based operating profits-to-lagged book assets",
+      "formula_or_definition": "\\frac{COP*_t}{AT*_{t-12}}",
+      "input_fields": [
+        "COP",
+        "AT"
+      ],
+      "formula_latex": "\\frac{COP*_t}{AT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "COP",
+          "meaning": "Cash Based Operating Profitability",
+          "construction_latex": "We prefer EBITDA*+XRD-OACC*. If XRD is unavailable, we set it to zero",
+          "source_fields": [
+            "EBITDA",
+            "XRD",
+            "OACC"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f008",
+      "neutral_name": "Number of consecutive quarters with earnings increases",
+      "neutral_description": "Number of consecutive quarters with earnings increases",
+      "formula_or_definition": "Count number of earnings increases over past 8 quarters",
+      "input_fields": [],
+      "formula_latex": "Count number of earnings increases over past 8 quarters"
+    },
+    {
+      "factor_id": "f009",
+      "neutral_name": "Liquidity of market assets",
+      "neutral_description": "Liquidity of market assets",
+      "formula_or_definition": "\\frac{ALIQ*_t}{MAT*_{t-12}}",
+      "input_fields": [
+        "ALIQ",
+        "MAT"
+      ],
+      "formula_latex": "\\frac{ALIQ*_t}{MAT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "ALIQ",
+          "meaning": "Ortiz-Molina and Phillips Liquidity",
+          "construction_latex": "CHE + 0.75$\\times$ COA* + 0.5(AT* - CA* - INTAN). If INTAN is missing, we set it to zero",
+          "source_fields": [
+            "CHE",
+            "COA",
+            "AT",
+            "CA",
+            "INTAN"
+          ]
+        },
+        {
+          "symbol": "MAT",
+          "meaning": "Market Assets",
+          "construction_latex": "We use AT* $\\times$ FX - BE* $\\times$ FX + ME_COMPANY",
+          "source_fields": [
+            "AT",
+            "FX",
+            "BE",
+            "ME_COMPANY"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f010",
+      "neutral_name": "Operating cash flow to assets",
+      "neutral_description": "Operating cash flow to assets",
+      "formula_or_definition": "\\frac{OCF*_t}{AT*_t}",
+      "input_fields": [
+        "OCF",
+        "AT"
+      ],
+      "formula_latex": "\\frac{OCF*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "OCF",
+          "meaning": "Operating Cash Flow",
+          "construction_latex": "We prefer to use OANCF. If this is unavailable, we use NI*-OACC*. If this is unavailable, we use NI* + DP - WCAPT. If WCAPT is missing, we use 0.",
+          "source_fields": [
+            "OANCF",
+            "NI",
+            "OACC",
+            "DP",
+            "WCAPT"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f011",
+      "neutral_name": "Net payout yield",
+      "neutral_description": "Net payout yield",
+      "formula_or_definition": "\\frac{EQNPO*_t}{ME_t}",
+      "input_fields": [
+        "EQNPO",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{EQNPO*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EQNPO",
+          "meaning": "Equity Net Payout",
+          "construction_latex": "We use DIV*-EQNETIS*",
+          "source_fields": [
+            "DIV",
+            "EQNETIS"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f012",
+      "neutral_name": "Years 16-20 lagged returns, annual",
+      "neutral_description": "Years 16–20 lagged returns, annual",
+      "formula_or_definition": "Average return over annual lags from year t-16 to t-20)",
+      "input_fields": [],
+      "formula_latex": "Average return over annual lags from year t-16 to t-20)"
+    },
+    {
+      "factor_id": "f013",
+      "neutral_name": "Mispricing factor: Performance",
+      "neutral_description": "Mispricing factor: Performance",
+      "formula_or_definition": "\\begin{aligned} \\frac{1}{4}\\big( & f050^{r01}_t + f037^{r01}_t + \\\\ & f069^{r01}_t + f024^{r01}_t\\big) \\\\ & \\end{aligned}",
+      "input_fields": [
+        "f050",
+        "f037",
+        "f069",
+        "f024"
+      ],
+      "formula_latex": "\\begin{aligned} \\frac{1}{4}\\big( & f050^{r01}_t + f037^{r01}_t + \\\\ & f069^{r01}_t + f024^{r01}_t\\big) \\\\ & \\end{aligned}",
+      "formula_inputs": [
+        {
+          "symbol": "f050",
+          "meaning": "\\hypertarget{ohl2}{Ohlson O-Score}",
+          "construction_latex": "Outlined in detail \\hyperlink{ohl}{here}"
+        },
+        {
+          "symbol": "f037",
+          "meaning": "Momentum 1-12 Months",
+          "construction_latex": "\\frac{RI*_{t-1}}{RI*_{t-12}} - 1"
+        },
+        {
+          "symbol": "f069",
+          "meaning": "Gross Profit scaled by Assets",
+          "construction_latex": "\\frac{GP*_t}{AT*_t}"
+        },
+        {
+          "symbol": "f024",
+          "meaning": "Quarterly Income scaled by AT",
+          "construction_latex": "\\frac{NI_QTR*_t}{AT*_{t-3}}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f014",
+      "neutral_name": "R&D capital-to-book assets",
+      "neutral_description": "R&D capital-to-book assets",
+      "formula_or_definition": "\\frac{\\sum_{n = 0}^4 (1 - .2\\times n)(XRD_{t-12*n})}{AT*_t}",
+      "input_fields": [
+        "XRD_",
+        "AT"
+      ],
+      "formula_latex": "\\frac{\\sum_{n = 0}^4 (1 - .2\\times n)(XRD_{t-12*n})}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "XRD_",
+          "meaning": "Research and Development Expenses",
+          "construction_latex": "Compustat item XRD. Note that this is not available in Compustat Global",
+          "source_fields": [
+            "XRD"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f015",
+      "neutral_name": "Operating profits-to-lagged book equity",
+      "neutral_description": "Operating profits-to-lagged book equity",
+      "formula_or_definition": "\\frac{OPE*_t}{BE*_{t-12}}",
+      "input_fields": [
+        "OPE",
+        "BE"
+      ],
+      "formula_latex": "\\frac{OPE*_t}{BE*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "OPE",
+          "meaning": "Operating Profit to Equity",
+          "construction_latex": "We use EBITDA*-XINT. Note that we target the same variable as the numerator of the profitability characteristic used to create the Robust-minus weak factor in the fama-French 5 factor model (Fama and French, 2015)",
+          "source_fields": [
+            "EBITDA",
+            "XINT"
+          ]
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f016",
+      "neutral_name": "Change in current operating liabilities",
+      "neutral_description": "Change in current operating liabilities",
+      "formula_or_definition": "\\frac{COL*_t-COL*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "COL",
+        "AT"
+      ],
+      "formula_latex": "\\frac{COL*_t-COL*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "COL",
+          "meaning": "Current Operating Liabilities",
+          "construction_latex": "We use CL*- DLC. If DLC is missing, it is set to zero",
+          "source_fields": [
+            "CL",
+            "DLC"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f017",
+      "neutral_name": "Sales Growth (3 years)",
+      "neutral_description": "5-year sales growth rank",
+      "formula_or_definition": "\\frac{SALE*_t}{SALE*_{t-36}} - 1",
+      "input_fields": [
+        "SALE"
+      ],
+      "formula_latex": "\\frac{SALE*_t}{SALE*_{t-36}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f018",
+      "neutral_name": "Change in operating cash flow to assets",
+      "neutral_description": "1 year change in operating cash flow to assets",
+      "formula_or_definition": "f010_t - f010_{t-12}",
+      "input_fields": [
+        "f010"
+      ],
+      "formula_latex": "f010_t - f010_{t-12}",
+      "formula_inputs": [
+        {
+          "symbol": "f010_t",
+          "meaning": "Operating Cash Flow scaled by Assets",
+          "construction_latex": "\\frac{OCF*_t}{AT*_t}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f019",
+      "neutral_name": "CAPEX growth (2 years)",
+      "neutral_description": "2-year investment growth",
+      "formula_or_definition": "\\frac{CAPX_t}{CAPX_{t-24}} - 1",
+      "input_fields": [
+        "CAPX_t"
+      ],
+      "formula_latex": "\\frac{CAPX_t}{CAPX_{t-24}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "CAPX_t",
+          "meaning": "Capital Expenditures",
+          "construction_latex": "Compustat item CAPX",
+          "source_fields": [
+            "CAPX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f020",
+      "neutral_name": "Ebitda-to-market enterprise value",
+      "neutral_description": "Enterprise multiple",
+      "formula_or_definition": "\\frac{EBITDA*_t}{MEV*_t}",
+      "input_fields": [
+        "EBITDA",
+        "MEV"
+      ],
+      "formula_latex": "\\frac{EBITDA*_t}{MEV*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EBITDA",
+          "meaning": "Operating Income Before Depreciation",
+          "construction_latex": "We prefer to use EBITDA. If this is unavailable, we use OIBDP. If this is unavailable, we use SALE*-OPEX*. If this is unavailable, we use GP*-XSGA",
+          "source_fields": [
+            "EBITDA",
+            "OIBDP",
+            "SALE",
+            "OPEX",
+            "GP",
+            "XSGA"
+          ]
+        },
+        {
+          "symbol": "MEV",
+          "meaning": "Market Enterprise Value",
+          "construction_latex": "We use ME_COMPANY + NETDEBT* $\\times$ FX*",
+          "source_fields": [
+            "ME_COMPANY",
+            "NETDEBT",
+            "FX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f021",
+      "neutral_name": "Change in quarterly return on equity",
+      "neutral_description": "4-quarter change in return on equity",
+      "formula_or_definition": "<input>_t - <input>_{t-12}",
+      "input_fields": [
+        "<input>"
+      ],
+      "formula_latex": "<input>_t - <input>_{t-12}",
+      "formula_inputs": [
+        {
+          "symbol": "<input>_t",
+          "meaning": "Quarterly Income scaled by BE",
+          "construction_latex": "\\frac{NI_QTR*_t}{BE*_{t-3}}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f022",
+      "neutral_name": "Change gross margin minus change sales",
+      "neutral_description": "Percentage change in gross margin minus percentage change in sales",
+      "formula_or_definition": "CHG_TO_EXP(GP*_t) - CHG_TO_EXP(SALE*_t)",
+      "input_fields": [
+        "GP",
+        "SALE"
+      ],
+      "formula_latex": "CHG_TO_EXP(GP*_t) - CHG_TO_EXP(SALE*_t)",
+      "formula_inputs": [
+        {
+          "symbol": "GP",
+          "meaning": "Gross Profit",
+          "construction_latex": "We prefer to use GP. If this is unavailable we use sale*-COGS",
+          "source_fields": [
+            "GP",
+            "COGS"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f023",
+      "neutral_name": "CAPEX growth (3 years)",
+      "neutral_description": "3-year investment growth",
+      "formula_or_definition": "\\frac{CAPX_t}{CAPX_{t-36}} - 1",
+      "input_fields": [
+        "CAPX_t"
+      ],
+      "formula_latex": "\\frac{CAPX_t}{CAPX_{t-36}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "CAPX_t",
+          "meaning": "Capital Expenditures",
+          "construction_latex": "Compustat item CAPX",
+          "source_fields": [
+            "CAPX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f024",
+      "neutral_name": "Quarterly return on assets",
+      "neutral_description": "Return on assets",
+      "formula_or_definition": "\\frac{NI_QTR*_t}{AT*_{t-3}}",
+      "input_fields": [
+        "NI_QTR",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NI_QTR*_t}{AT*_{t-3}}",
+      "formula_inputs": [
+        {
+          "symbol": "NI_QTR",
+          "meaning": "Income Before Extraordinary Items",
+          "construction_latex": "We use IBQ",
+          "source_fields": [
+            "IBQ"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f025",
+      "neutral_name": "Idiosyncratic volatility from the Fama-French 3-factor model",
+      "neutral_description": "Idiosyncratic volatility from the Fama-French 3-factor model",
+      "formula_or_definition": "\\sigma_{21D}(e_t)",
+      "input_fields": [],
+      "formula_latex": "\\sigma_{zD}(e_t)",
+      "formula_latex_instantiated": "\\sigma_{21D}(e_t)"
+    },
+    {
+      "factor_id": "f026",
+      "neutral_name": "Inventory change",
+      "neutral_description": "Inventory changes",
+      "formula_or_definition": "\\frac{INV_t-INV_{t-12}}{AT*_t}",
+      "input_fields": [
+        "INV_t",
+        "AT"
+      ],
+      "formula_latex": "\\frac{INV_t-INV_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "INV_t",
+          "meaning": "Inventory",
+          "construction_latex": "Compustat item INVT",
+          "source_fields": [
+            "INVT"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f027",
+      "neutral_name": "Coskewness",
+      "neutral_description": "Coskewness",
+      "formula_or_definition": "\\frac{\\overline{(\\epsilon_t \\times MKTRF_DM_t^2)}_{21D}}{\\sqrt{\\overline{(\\epsilon_t^2)}_{21D} \\times \\overline{(MKTRF_DM_t^2)}_{21D}}}",
+      "input_fields": [
+        "MKTRF_DM_t"
+      ],
+      "formula_latex": "\\frac{\\overline{(\\epsilon_t \\times MKTRF_DM_t^2)}_{zD}}{\\sqrt{\\overline{(\\epsilon_t^2)}_{zD} \\times \\overline{(MKTRF_DM_t^2)}_{zD}}}",
+      "formula_latex_instantiated": "\\frac{\\overline{(\\epsilon_t \\times MKTRF_DM_t^2)}_{21D}}{\\sqrt{\\overline{(\\epsilon_t^2)}_{21D} \\times \\overline{(MKTRF_DM_t^2)}_{21D}}}",
+      "formula_inputs": [
+        {
+          "symbol": "MKTRF_DM_t",
+          "meaning": "Demeaned excess market return over the z-day window",
+          "construction_latex": "MKTRF\\_DM_t = MKTRF^*_t - \\overline{MKTRF^*_t}_{zD}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f028",
+      "neutral_name": "Idiosyncratic skewness from the CAPM",
+      "neutral_description": "Idiosyncratic skewness from the CAPM",
+      "formula_or_definition": "SKEW_21D(\\epsilon_t)",
+      "input_fields": [],
+      "formula_latex": "SKEW_zD(\\epsilon_t)",
+      "formula_latex_instantiated": "SKEW_21D(\\epsilon_t)"
+    },
+    {
+      "factor_id": "f029",
+      "neutral_name": "Net operating assets",
+      "neutral_description": "Net operating assets",
+      "formula_or_definition": "\\frac{NOA*_t}{AT*_t}",
+      "input_fields": [
+        "NOA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NOA*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NOA",
+          "meaning": "Net Operating Assets",
+          "construction_latex": "We use OA*-OL*",
+          "source_fields": [
+            "OA",
+            "OL"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f030",
+      "neutral_name": "Equity net payout",
+      "neutral_description": "Composite equity issuance",
+      "formula_or_definition": "log(\\frac{RI*_t}{RI*_{t-12}}) - log(\\frac{ME*_t}{ME*_{t-12}})",
+      "input_fields": [
+        "RI",
+        "ME"
+      ],
+      "formula_latex": "log(\\frac{RI*_t}{RI*_{t-12}}) - log(\\frac{ME*_t}{ME*_{t-12}})",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        },
+        {
+          "symbol": "ME",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f031",
+      "neutral_name": "Coefficient of variation for share turnover",
+      "neutral_description": "Coefficient of variation for share turnover",
+      "formula_or_definition": "\\frac{\\sigma_{126D}((TVOL*_t/SHARES*_t)*1000000)}{f045_t}",
+      "input_fields": [
+        "TVOL",
+        "SHARES",
+        "turnover_zd"
+      ],
+      "formula_latex": "\\frac{\\sigma_{zD}((TVOL*_t/SHARES*_t)*1000000)}{TURNOVER_zD_t}",
+      "formula_latex_instantiated": "\\frac{\\sigma_{126D}((TVOL*_t/SHARES*_t)*1000000)}{f045_t}",
+      "formula_inputs": [
+        {
+          "symbol": "TVOL",
+          "meaning": "Trading Volume",
+          "construction_latex": "We use VOL. For NASDAQ regular-way issues (\\texttt{primaryexch}=Q and \\texttt{conditionaltype}=RW), we apply the Gao--Ritter (2010) dealer-volume adjustment: divide by 2 before <date>, by 1.8 through <date>, and by 1.6 through <date> (inclusive); thereafter leave volume unchanged.",
+          "source_fields": [
+            "VOL",
+            "NASDAQ",
+            "RW"
+          ]
+        },
+        {
+          "symbol": "SHARES",
+          "meaning": "Shares",
+          "construction_latex": "We use SHROUT/1000 so shares outstanding are in millions.",
+          "source_fields": [
+            "SHROUT"
+          ]
+        },
+        {
+          "symbol": "TURNOVER_zD_t",
+          "meaning": "Turnover",
+          "construction_latex": "\\overline{(\\frac{TVOL*_t}{SHARES*_t*1000000})}_{zD}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f032",
+      "neutral_name": "Dimson beta",
+      "neutral_description": "The Dimson beta",
+      "formula_or_definition": "\\beta^{Dimson}_{21D} = \\beta_{-1} + \\beta_0 + \\beta_{+1}",
+      "input_fields": [
+        "RET",
+        "MKTRF_"
+      ],
+      "formula_latex": "\\beta^{Dimson}_{zD} = \\beta_{-1} + \\beta_0 + \\beta_{+1}",
+      "formula_latex_instantiated": "\\beta^{Dimson}_{21D} = \\beta_{-1} + \\beta_0 + \\beta_{+1}",
+      "formula_inputs": [
+        {
+          "symbol": "RET",
+          "meaning": "Return",
+          "construction_latex": "We use RET. In case of delisting, we calculate as (1+RET)*(1+DLRET)-1",
+          "source_fields": [
+            "RET",
+            "DLRET"
+          ]
+        },
+        {
+          "symbol": "MKTRF_",
+          "meaning": "Excess Market Return",
+          "construction_latex": "Country specific market return"
+        }
+      ]
+    },
+    {
+      "factor_id": "f033",
+      "neutral_name": "Change in current operating working capital",
+      "neutral_description": "Change in net noncash working capital",
+      "formula_or_definition": "\\frac{COWC*_t-COWC*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "COWC",
+        "AT"
+      ],
+      "formula_latex": "\\frac{COWC*_t-COWC*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "COWC",
+          "meaning": "Current Operating Working Capital",
+          "construction_latex": "We use COA*-COL*",
+          "source_fields": [
+            "COA",
+            "COL"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f034",
+      "neutral_name": "Quality minus Junk: Profitability",
+      "neutral_description": "Quality minus Junk: Profitability",
+      "formula_or_definition": "\\begin{aligned} ZV\\Big( & ZV(f069_t) + ZV(<input>_t) + \\\\ & ZV(NI_AT_t) + ZV(f010_t) + ZV(GP_SALE*_t) + \\\\ & ZV(f038_t)\\Big) \\\\ & \\end{aligned}",
+      "input_fields": [
+        "f069",
+        "<input>",
+        "ni_at",
+        "f010",
+        "gp_sale",
+        "f038"
+      ],
+      "formula_latex": "\\begin{aligned} ZV\\Big( & ZV(f069_t) + ZV(<input>_t) + \\\\ & ZV(NI_AT_t) + ZV(f010_t) + ZV(GP_SALE*_t) + \\\\ & ZV(f038_t)\\Big) \\\\ & \\end{aligned}",
+      "formula_inputs": [
+        {
+          "symbol": "f069_t",
+          "meaning": "Gross Profit scaled by Assets",
+          "construction_latex": "\\frac{GP*_t}{AT*_t}"
+        },
+        {
+          "symbol": "<input>_t",
+          "meaning": "Net Income scaled by BE",
+          "construction_latex": "\\frac{NI*_t}{BE*_t}"
+        },
+        {
+          "symbol": "NI_AT_t",
+          "meaning": "Net Income scaled by Assets",
+          "construction_latex": "\\frac{NI*_t}{AT*_t}"
+        },
+        {
+          "symbol": "f010_t",
+          "meaning": "Operating Cash Flow scaled by Assets",
+          "construction_latex": "\\frac{OCF*_t}{AT*_t}"
+        },
+        {
+          "symbol": "GP_SALE",
+          "meaning": "Gross Profit Margin",
+          "construction_latex": "\\frac{GP*_t}{SALE*_t}"
+        },
+        {
+          "symbol": "f038_t",
+          "meaning": "Operating Accruals",
+          "construction_latex": "\\frac{OACC*_t}{AT*_t}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f035",
+      "neutral_name": "Change in net operating assets",
+      "neutral_description": "Change in net operating assets",
+      "formula_or_definition": "\\frac{NOA*_t-NOA*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "NOA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NOA*_t-NOA*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NOA",
+          "meaning": "Net Operating Assets",
+          "construction_latex": "We use OA*-OL*",
+          "source_fields": [
+            "OA",
+            "OL"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f036",
+      "neutral_name": "Debt-to-market",
+      "neutral_description": "Debt-to-market",
+      "formula_or_definition": "\\frac{DEBT*_t}{ME_t}",
+      "input_fields": [
+        "DEBT",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{DEBT*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "DEBT",
+          "meaning": "Total Debt",
+          "construction_latex": "We use DLTT+ DLC. Either DLTT or DLC are allowed to me missing",
+          "source_fields": [
+            "DLTT",
+            "DLC"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f037",
+      "neutral_name": "Price momentum t-12 to t-1",
+      "neutral_description": "Price momentum, prior 11-month returns",
+      "formula_or_definition": "\\frac{RI*_{t-1}}{RI*_{t-12}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-1}}{RI*_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f038",
+      "neutral_name": "Operating accruals",
+      "neutral_description": "Operating accruals",
+      "formula_or_definition": "\\frac{OACC*_t}{AT*_t}",
+      "input_fields": [
+        "OACC",
+        "AT"
+      ],
+      "formula_latex": "\\frac{OACC*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "OACC",
+          "meaning": "Operating Accruals",
+          "construction_latex": "We prefer NI*-OANCF. If that is unavailable, we use the yearly change in COWC*+the yearly change in NNCOA*",
+          "source_fields": [
+            "NI",
+            "OANCF",
+            "COWC",
+            "NNCOA"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f039",
+      "neutral_name": "Sales Growth (1 year)",
+      "neutral_description": "Annual sales growth",
+      "formula_or_definition": "\\frac{SALE*_t}{SALE*_{t-12}} - 1",
+      "input_fields": [
+        "SALE"
+      ],
+      "formula_latex": "\\frac{SALE*_t}{SALE*_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f040",
+      "neutral_name": "Years 16-20 lagged returns, nonannual",
+      "neutral_description": "Years 16–20 lagged returns, nonannual",
+      "formula_or_definition": "Average return over non-annual lags from year t-16 to t-20",
+      "input_fields": [],
+      "formula_latex": "Average return over non-annual lags from year t-16 to t-20"
+    },
+    {
+      "factor_id": "f041",
+      "neutral_name": "Change in quarterly return on assets",
+      "neutral_description": "4-quarter change in return on assets",
+      "formula_or_definition": "f024_t - f024_{t-12}",
+      "input_fields": [
+        "f024"
+      ],
+      "formula_latex": "f024_t - f024_{t-12}",
+      "formula_inputs": [
+        {
+          "symbol": "f024_t",
+          "meaning": "Quarterly Income scaled by AT",
+          "construction_latex": "\\frac{NI_QTR*_t}{AT*_{t-3}}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f042",
+      "neutral_name": "Earnings variability",
+      "neutral_description": "Earnings smoothness",
+      "formula_or_definition": "\\frac{\\sigma_{60M}(NI*_t/AT*_{t-12})}{\\sigma_{60M}(OCF*_t/AT*_{t-12})}",
+      "input_fields": [
+        "NI",
+        "AT",
+        "OCF"
+      ],
+      "formula_latex": "\\frac{\\sigma_{60M}(NI*_t/AT*_{t-12})}{\\sigma_{60M}(OCF*_t/AT*_{t-12})}",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        },
+        {
+          "symbol": "OCF",
+          "meaning": "Operating Cash Flow",
+          "construction_latex": "We prefer to use OANCF. If this is unavailable, we use NI*-OACC*. If this is unavailable, we use NI* + DP - WCAPT. If WCAPT is missing, we use 0.",
+          "source_fields": [
+            "OANCF",
+            "NI",
+            "OACC",
+            "DP",
+            "WCAPT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f043",
+      "neutral_name": "Price momentum t-6 to t-1",
+      "neutral_description": "Price momentum,  prior 6-month returns",
+      "formula_or_definition": "\\frac{RI*_{t-1}}{RI*_{t-6}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-1}}{RI*_{t-6}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f044",
+      "neutral_name": "Equity duration",
+      "neutral_description": "Equity duration",
+      "formula_or_definition": "f044_t = \\frac{ed_ed_w_t \\times FX_t}{ME_COMPANY_t} + ed_constant \\times \\frac{ME_COMPANY_t - ed_cd_t \\times FX_t}{ME_COMPANY_t}",
+      "input_fields": [
+        "FX_t",
+        "ME_COMPANY_t",
+        "NI",
+        "SALE",
+        "roe_mean",
+        "roe_ar1",
+        "g_mean",
+        "g_ar1"
+      ],
+      "formula_latex": "f044_t = \\frac{ed_ed_w_t \\times FX_t}{ME_COMPANY_t} + ed_constant \\times \\frac{ME_COMPANY_t - ed_cd_t \\times FX_t}{ME_COMPANY_t}",
+      "formula_inputs": [
+        {
+          "symbol": "FX_t",
+          "meaning": "Currency-to-USD conversion rate",
+          "construction_latex": "fx_t = \\frac{USD_{GBP,t}}{X_{GBP,t}}",
+          "source_fields": [
+            "FX"
+          ]
+        },
+        {
+          "symbol": "ME_COMPANY_t",
+          "meaning": "Company Market Equity",
+          "construction_latex": "We sum ME* grouped by PERMCO and date",
+          "source_fields": [
+            "ME",
+            "PERMCO"
+          ]
+        },
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "roe_mean",
+          "meaning": "Constant average ROE assumption",
+          "construction_latex": "roe\\_mean \\in \\mathbb{R}"
+        },
+        {
+          "symbol": "roe_ar1",
+          "meaning": "Constant expected growth rate of ROE",
+          "construction_latex": "roe\\_ar1 \\in \\mathbb{R}"
+        },
+        {
+          "symbol": "g_mean",
+          "meaning": "Constant average sales growth rate",
+          "construction_latex": "g\\_mean \\in \\mathbb{R}"
+        },
+        {
+          "symbol": "g_ar1",
+          "meaning": "Constant expected growth rate of sales",
+          "construction_latex": "g\\_ar1 \\in \\mathbb{R}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f045",
+      "neutral_name": "Share turnover",
+      "neutral_description": "Share turnover",
+      "formula_or_definition": "\\overline{(\\frac{TVOL*_t}{SHARES*_t*1000000})}_{126D}",
+      "input_fields": [
+        "TVOL",
+        "SHARES"
+      ],
+      "formula_latex": "\\overline{(\\frac{TVOL*_t}{SHARES*_t*1000000})}_{zD}",
+      "formula_latex_instantiated": "\\overline{(\\frac{TVOL*_t}{SHARES*_t*1000000})}_{126D}",
+      "formula_inputs": [
+        {
+          "symbol": "TVOL",
+          "meaning": "Trading Volume",
+          "construction_latex": "We use VOL. For NASDAQ regular-way issues (\\texttt{primaryexch}=Q and \\texttt{conditionaltype}=RW), we apply the Gao--Ritter (2010) dealer-volume adjustment: divide by 2 before <date>, by 1.8 through <date>, and by 1.6 through <date> (inclusive); thereafter leave volume unchanged.",
+          "source_fields": [
+            "VOL",
+            "NASDAQ",
+            "RW"
+          ]
+        },
+        {
+          "symbol": "SHARES",
+          "meaning": "Shares",
+          "construction_latex": "We use SHROUT/1000 so shares outstanding are in millions.",
+          "source_fields": [
+            "SHROUT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f046",
+      "neutral_name": "Short-term reversal",
+      "neutral_description": "Short-term reversal",
+      "formula_or_definition": "\\frac{RI*_{t}}{RI*_{t-1}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t}}{RI*_{t-1}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f047",
+      "neutral_name": "Price per share",
+      "neutral_description": "Price per share",
+      "formula_or_definition": "We use $|$f047$|$",
+      "input_fields": [],
+      "formula_latex": "We use $|$f047$|$"
+    },
+    {
+      "factor_id": "f048",
+      "neutral_name": "R&D-to-market",
+      "neutral_description": "R&D expense-to-market",
+      "formula_or_definition": "\\frac{XRD_t}{ME_t}",
+      "input_fields": [
+        "XRD_t",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{XRD_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "XRD_t",
+          "meaning": "Research and Development Expenses",
+          "construction_latex": "Compustat item XRD. Note that this is not available in Compustat Global",
+          "source_fields": [
+            "XRD"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f049",
+      "neutral_name": "Maximum daily return",
+      "neutral_description": "Maximum daily return",
+      "formula_or_definition": "MAX1_21D(RET*_t)",
+      "input_fields": [
+        "RET"
+      ],
+      "formula_latex": "MAX1_zD(RET*_t)",
+      "formula_latex_instantiated": "MAX1_21D(RET*_t)",
+      "formula_inputs": [
+        {
+          "symbol": "RET",
+          "meaning": "Return",
+          "construction_latex": "We use RET. In case of delisting, we calculate as (1+RET)*(1+DLRET)-1",
+          "source_fields": [
+            "RET",
+            "DLRET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f050",
+      "neutral_name": "Ohlson O-score",
+      "neutral_description": "Ohlson’s (1980) O-score",
+      "formula_or_definition": "f050_t =& -1.37 - 0.407 \\times _o_lat_t + 6.03 \\times _o_lev_t + 1.43 \\times _o_wc_t + \\\\ &0.076 \\times _o_cacl_t - 1.72 \\times _o_neg_eq_t - 2.37 \\times _o_roe_t - \\\\ &1.83 \\times _o_ffo_t + 0.285 \\times _o_neg_earn_t - 0.52 \\times _o_nich_t",
+      "input_fields": [
+        "AT",
+        "DEBT",
+        "CA",
+        "CL",
+        "NIX",
+        "PI",
+        "DP_t",
+        "LT_t"
+      ],
+      "formula_latex": "f050_t =& -1.37 - 0.407 \\times _o_lat_t + 6.03 \\times _o_lev_t + 1.43 \\times _o_wc_t + \\\\ &0.076 \\times _o_cacl_t - 1.72 \\times _o_neg_eq_t - 2.37 \\times _o_roe_t - \\\\ &1.83 \\times _o_ffo_t + 0.285 \\times _o_neg_earn_t - 0.52 \\times _o_nich_t",
+      "formula_inputs": [
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        },
+        {
+          "symbol": "DEBT",
+          "meaning": "Total Debt",
+          "construction_latex": "We use DLTT+ DLC. Either DLTT or DLC are allowed to me missing",
+          "source_fields": [
+            "DLTT",
+            "DLC"
+          ]
+        },
+        {
+          "symbol": "CA",
+          "meaning": "Current Assets",
+          "construction_latex": "We prefer ACT. If this is unavailable, we use RECT+INVT+CHE+ACO",
+          "source_fields": [
+            "ACT",
+            "RECT",
+            "INVT",
+            "CHE",
+            "ACO"
+          ]
+        },
+        {
+          "symbol": "CL",
+          "meaning": "Current Liabilities",
+          "construction_latex": "We prefer LCT. If this is unavailable, we use AP+ DLC+ TXP+ LCO",
+          "source_fields": [
+            "LCT",
+            "AP",
+            "DLC",
+            "TXP",
+            "LCO"
+          ]
+        },
+        {
+          "symbol": "NIX",
+          "meaning": "Net Income Including Extraordinary Items",
+          "construction_latex": "We prefer NI. If this is not available, we prefer NI*+XIDO*. If XIDO* is unavailable, we set it to zero. If that is unavailable, we prefer NI*+XI+DO",
+          "source_fields": [
+            "NI",
+            "XIDO",
+            "XI",
+            "DO"
+          ]
+        },
+        {
+          "symbol": "PI",
+          "meaning": "Earnings before Tax and Extraordinary Items",
+          "construction_latex": "We prefer to use PI. If this is unavailable we use EBIT*-XINT+SPI+NOPI where we set SPI and NOPI to zero if missing",
+          "source_fields": [
+            "PI",
+            "EBIT",
+            "XINT",
+            "SPI",
+            "NOPI"
+          ]
+        },
+        {
+          "symbol": "DP_t",
+          "meaning": "Depreciation and Amortization",
+          "construction_latex": "Compustat Item DP",
+          "source_fields": [
+            "DP"
+          ]
+        },
+        {
+          "symbol": "LT_t",
+          "meaning": "Total Liabilities",
+          "construction_latex": "Compustat item LT",
+          "source_fields": [
+            "LT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f051",
+      "neutral_name": "Total accruals",
+      "neutral_description": "Total accruals",
+      "formula_or_definition": "\\frac{TACC*_t}{AT*_t}",
+      "input_fields": [
+        "TACC",
+        "AT"
+      ],
+      "formula_latex": "\\frac{TACC*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "TACC",
+          "meaning": "Total Accruals",
+          "construction_latex": "We use OACC* + the yearly change in NFNA*",
+          "source_fields": [
+            "OACC",
+            "NFNA"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f052",
+      "neutral_name": "Net equity issuance",
+      "neutral_description": "Net equity finance",
+      "formula_or_definition": "\\frac{EQNETIS*_t}{AT*_t}",
+      "input_fields": [
+        "EQNETIS",
+        "AT"
+      ],
+      "formula_latex": "\\frac{EQNETIS*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EQNETIS",
+          "meaning": "Equity Net Issuance",
+          "construction_latex": "We use EQIS*-EQBB*. Either EQIS* or EQBB* are allowed to be missing",
+          "source_fields": [
+            "EQIS",
+            "EQBB"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f053",
+      "neutral_name": "Operating profits-to-book equity",
+      "neutral_description": "Operating profits-to-book equity",
+      "formula_or_definition": "\\frac{OPE*_t}{BE*_t}",
+      "input_fields": [
+        "OPE",
+        "BE"
+      ],
+      "formula_latex": "\\frac{OPE*_t}{BE*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "OPE",
+          "meaning": "Operating Profit to Equity",
+          "construction_latex": "We use EBITDA*-XINT. Note that we target the same variable as the numerator of the profitability characteristic used to create the Robust-minus weak factor in the fama-French 5 factor model (Fama and French, 2015)",
+          "source_fields": [
+            "EBITDA",
+            "XINT"
+          ]
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f054",
+      "neutral_name": "Earnings volatility",
+      "neutral_description": "Earnings predictability",
+      "formula_or_definition": "f054_t = \\sqrt{\\frac{rmse_t^2 \\times edf_t}{edf_t + 1}}",
+      "input_fields": [
+        "rmse_t",
+        "edf_t",
+        "NI",
+        "AT"
+      ],
+      "formula_latex": "f054_t = \\sqrt{\\frac{rmse_t^2 \\times edf_t}{edf_t + 1}}",
+      "formula_inputs": [
+        {
+          "symbol": "rmse_t",
+          "meaning": "Root mean square error of the rolling regression",
+          "construction_latex": "rmse_t = \\operatorname{RMSE}_t"
+        },
+        {
+          "symbol": "edf_t",
+          "meaning": "Error degrees of freedom of the rolling regression",
+          "construction_latex": "edf_t = \\operatorname{df}_{error,t}"
+        },
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f055",
+      "neutral_name": "Current price to high price over last year",
+      "neutral_description": "52-week high",
+      "formula_or_definition": "\\frac{f047_ADJ*_t}{MAX1_252D(f047_ADJ*_t)}",
+      "input_fields": [
+        "f047_ADJ"
+      ],
+      "formula_latex": "\\frac{f047_ADJ*_t}{MAX1_zD(f047_ADJ*_t)}",
+      "formula_latex_instantiated": "\\frac{f047_ADJ*_t}{MAX1_252D(f047_ADJ*_t)}",
+      "formula_inputs": [
+        {
+          "symbol": "f047_ADJ",
+          "meaning": "Split-adjusted price",
+          "construction_latex": "f047^*_t \\times ADJFCT^*_t",
+          "source_fields": [
+            "f047",
+            "ADJFCT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f056",
+      "neutral_name": "Kaplan-Zingales index",
+      "neutral_description": "The Kaplan-Zingales (1997) index of financing constraints",
+      "formula_or_definition": "f056 = -1.002 \\times _kz_cf_t + 0.283 \\times _kz_q_t + 3.139 \\times _kz_db_t - 39.368 \\times _kz_dv_t - 1.315 \\times _kz_cs_t",
+      "input_fields": [
+        "NI",
+        "DP_t",
+        "PPENT_",
+        "AT",
+        "ME_FISCAL_t",
+        "BE",
+        "DEBT",
+        "SEQ",
+        "DIV",
+        "CHE_t"
+      ],
+      "formula_latex": "f056 = -1.002 \\times _kz_cf_t + 0.283 \\times _kz_q_t + 3.139 \\times _kz_db_t - 39.368 \\times _kz_dv_t - 1.315 \\times _kz_cs_t",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "DP_t",
+          "meaning": "Depreciation and Amortization",
+          "construction_latex": "Compustat Item DP",
+          "source_fields": [
+            "DP"
+          ]
+        },
+        {
+          "symbol": "PPENT_",
+          "meaning": "Property, Plans and Equipment Net",
+          "construction_latex": "Compustat item PPENT",
+          "source_fields": [
+            "PPENT"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        },
+        {
+          "symbol": "ME_FISCAL_t",
+          "meaning": "Market equity aligned to the fiscal-period construction",
+          "construction_latex": "ME\\_FISCAL_t"
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        },
+        {
+          "symbol": "DEBT",
+          "meaning": "Total Debt",
+          "construction_latex": "We use DLTT+ DLC. Either DLTT or DLC are allowed to me missing",
+          "source_fields": [
+            "DLTT",
+            "DLC"
+          ]
+        },
+        {
+          "symbol": "SEQ",
+          "meaning": "Shareholders Equity",
+          "construction_latex": "We prefer to use SEQ. If this is unavailable, we use CEQ+PSTK* where we set PSTK* to zero if missing. If this is unavailable, we use AT- LT",
+          "source_fields": [
+            "SEQ",
+            "CEQ",
+            "PSTK",
+            "AT",
+            "LT"
+          ]
+        },
+        {
+          "symbol": "DIV",
+          "meaning": "Total Dividends",
+          "construction_latex": "We prefer DVT. If this is not available, we use DV",
+          "source_fields": [
+            "DVT",
+            "DV"
+          ]
+        },
+        {
+          "symbol": "CHE_t",
+          "meaning": "Cash and Short-Term Investment",
+          "construction_latex": "Compustat item CHE",
+          "source_fields": [
+            "CHE"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f057",
+      "neutral_name": "Quality minus Junk: Growth",
+      "neutral_description": "Quality minus Junk: Growth",
+      "formula_or_definition": "\\begin{aligned} ZV\\Big( & ZV(GPOA_CH5_t) + ZV(ROE_CH5_t) \\\\ + & ZV(ROA_CH5_t) + ZV(CFOA_CH5_t) + \\\\ & ZV(GMAR_CH5_t) \\Big) \\\\ & \\end{aligned}",
+      "input_fields": [
+        "gpoa_ch5",
+        "roe_ch5",
+        "roa_ch5",
+        "cfoa_ch5",
+        "gmar_ch5"
+      ],
+      "formula_latex": "\\begin{aligned} ZV\\Big( & ZV(GPOA_CH5_t) + ZV(ROE_CH5_t) \\\\ + & ZV(ROA_CH5_t) + ZV(CFOA_CH5_t) + \\\\ & ZV(GMAR_CH5_t) \\Big) \\\\ & \\end{aligned}",
+      "formula_inputs": [
+        {
+          "symbol": "GPOA_CH5_t",
+          "meaning": "Gross Product to Assets 5 yr Change",
+          "construction_latex": "\\frac{GP*_t}{AT*_t} - \\frac{GP*_{t-60}}{AT*_{t-60}}"
+        },
+        {
+          "symbol": "ROE_CH5_t",
+          "meaning": "ROE 5 yr Change",
+          "construction_latex": "\\frac{NI*_t}{BE*_t} - \\frac{NI*_{t-60}}{BE*_{t-60}}"
+        },
+        {
+          "symbol": "ROA_CH5_t",
+          "meaning": "ROA 5 yr Change",
+          "construction_latex": "\\frac{NI*_t}{AT*_t} - \\frac{NI*_{t-60}}{AT*_{t-60}}"
+        },
+        {
+          "symbol": "CFOA_CH5_t",
+          "meaning": "Operating Cash Flow to Assets 5 yr Change",
+          "construction_latex": "\\frac{OCF*_t}{AT*_t} - \\frac{OCF*_{t-60}}{AT*_{t-60}}"
+        },
+        {
+          "symbol": "GMAR_CH5_t",
+          "meaning": "Gross Product to Sales 5 yr Change",
+          "construction_latex": "\\frac{GP*_t}{SALE*_t} - \\frac{GP*_{t-60}}{SALE*_{t-60}}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f058",
+      "neutral_name": "Inventory growth",
+      "neutral_description": "Inventory growth",
+      "formula_or_definition": "\\frac{INV_t}{INV_{t-12}} - 1",
+      "input_fields": [
+        "INV_t"
+      ],
+      "formula_latex": "\\frac{INV_t}{INV_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "INV_t",
+          "meaning": "Inventory",
+          "construction_latex": "Compustat item INVT",
+          "source_fields": [
+            "INVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f059",
+      "neutral_name": "Change in long-term net operating assets",
+      "neutral_description": "Change in long-term net operating assets",
+      "formula_or_definition": "\\frac{LNOA*_t - LNOA*_{t-12}}{AT*_t - AT*_{t-12}}",
+      "input_fields": [
+        "LNOA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{LNOA*_t - LNOA*_{t-12}}{AT*_t - AT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "LNOA",
+          "meaning": "Long-Term NOA",
+          "construction_latex": "PPENT + INTAN + AO - LO + DP",
+          "source_fields": [
+            "PPENT",
+            "INTAN",
+            "AO",
+            "LO",
+            "DP"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f060",
+      "neutral_name": "Residual momentum t-12 to t-1",
+      "neutral_description": "Residual momentum, prior 11-month returns",
+      "formula_or_definition": "-1 + \\prod_{n = 1}^{12} 1 + e_{t-n}",
+      "input_fields": [
+        "e_"
+      ],
+      "formula_latex": "-1 + \\prod_{n = 1}^{12} 1 + e_{t-n}",
+      "formula_inputs": [
+        {
+          "symbol": "e_",
+          "meaning": "Residual from the Fama-French three-factor regression",
+          "construction_latex": "RET\\_EXC^*_t = \\beta_0 + \\beta_1 MKTRF^*_t + \\beta_2 HML^*_t + \\beta_3 SMB\\_FF^*_t + e_t"
+        }
+      ]
+    },
+    {
+      "factor_id": "f061",
+      "neutral_name": "Change in net noncurrent operating assets",
+      "neutral_description": "Change in net noncurrent operating assets",
+      "formula_or_definition": "\\frac{NNCOA*_t-NNCOA*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "NNCOA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NNCOA*_t-NNCOA*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NNCOA",
+          "meaning": "Net Non-Current Operating Assets",
+          "construction_latex": "We use NCOA*-NCOL*",
+          "source_fields": [
+            "NCOA",
+            "NCOL"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f062",
+      "neutral_name": "Idiosyncratic skewness from the Fama-French 3-factor model",
+      "neutral_description": "Idiosyncratic skewness from the Fama-French 3-factor model",
+      "formula_or_definition": "SKEW_21D(e_t)",
+      "input_fields": [],
+      "formula_latex": "SKEW_zD(e_t)",
+      "formula_latex_instantiated": "SKEW_21D(e_t)"
+    },
+    {
+      "factor_id": "f063",
+      "neutral_name": "Dollar trading volume",
+      "neutral_description": "Dollar trading volume",
+      "formula_or_definition": "\\overline{DOLVOL*_t}_{126D}",
+      "input_fields": [
+        "DOLVOL"
+      ],
+      "formula_latex": "\\overline{DOLVOL*_t}_{zD}",
+      "formula_latex_instantiated": "\\overline{DOLVOL*_t}_{126D}",
+      "formula_inputs": [
+        {
+          "symbol": "DOLVOL",
+          "meaning": "Dollar Volume",
+          "construction_latex": "We use TVOL*$\\times$f047*",
+          "source_fields": [
+            "TVOL",
+            "f047"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f064",
+      "neutral_name": "Net stock issues",
+      "neutral_description": "Net stock issues",
+      "formula_or_definition": "\\frac{SHARES*_t\\times ADJFCT*_t}{SHARES*_{t-12}\\times ADJFCT*_{t-12}} - 1",
+      "input_fields": [
+        "SHARES",
+        "ADJFCT"
+      ],
+      "formula_latex": "\\frac{SHARES*_t\\times ADJFCT*_t}{SHARES*_{t-12}\\times ADJFCT*_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "SHARES",
+          "meaning": "Shares",
+          "construction_latex": "We use SHROUT/1000 so shares outstanding are in millions.",
+          "source_fields": [
+            "SHROUT"
+          ]
+        },
+        {
+          "symbol": "ADJFCT",
+          "meaning": "Share Adjustment Factor",
+          "construction_latex": "We use CFACSHR",
+          "source_fields": [
+            "CFACSHR"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f065",
+      "neutral_name": "Change sales minus change receivables",
+      "neutral_description": "Percentage change in sales minus percentage change in accounts receivable",
+      "formula_or_definition": "CHG_TO_EXP(SALE*_t) - CHG_TO_EXP(REC_t)",
+      "input_fields": [
+        "SALE",
+        "REC_t"
+      ],
+      "formula_latex": "CHG_TO_EXP(SALE*_t) - CHG_TO_EXP(REC_t)",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "REC_t",
+          "meaning": "Account Receivables",
+          "construction_latex": "Compustat item RECT",
+          "source_fields": [
+            "RECT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f066",
+      "neutral_name": "Years 11-15 lagged returns, annual",
+      "neutral_description": "Years 11–15 lagged returns, annual",
+      "formula_or_definition": "Average return over annual lags from year t-11 to t-15",
+      "input_fields": [],
+      "formula_latex": "Average return over annual lags from year t-11 to t-15"
+    },
+    {
+      "factor_id": "f067",
+      "neutral_name": "Cash-to-assets",
+      "neutral_description": "Cash-to-assets",
+      "formula_or_definition": "\\frac{CASH_t}{AT*_t}",
+      "input_fields": [
+        "CASH_t",
+        "AT"
+      ],
+      "formula_latex": "\\frac{CASH_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "CASH_t",
+          "meaning": "Cash and Short-Term Investment",
+          "construction_latex": "Compustat item CHE",
+          "source_fields": [
+            "CHE"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f068",
+      "neutral_name": "Book-to-market enterprise value",
+      "neutral_description": "Enterprise book-to-price",
+      "formula_or_definition": "\\frac{BEV*_t}{MEV*_t}",
+      "input_fields": [
+        "BEV",
+        "MEV"
+      ],
+      "formula_latex": "\\frac{BEV*_t}{MEV*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "BEV",
+          "meaning": "Book Enterprise Value",
+          "construction_latex": "We prefer to use ICAPT+DLC-CHE where DLC and CHE are set to zero if missing. If this is unavailable, we use SEQ*+NETDEBT*+ MIB where we set MIB to zero if missing. In the global data ICAPT is reduced by Treasury stock",
+          "source_fields": [
+            "ICAPT",
+            "DLC",
+            "CHE",
+            "SEQ",
+            "NETDEBT",
+            "MIB"
+          ]
+        },
+        {
+          "symbol": "MEV",
+          "meaning": "Market Enterprise Value",
+          "construction_latex": "We use ME_COMPANY + NETDEBT* $\\times$ FX*",
+          "source_fields": [
+            "ME_COMPANY",
+            "NETDEBT",
+            "FX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f069",
+      "neutral_name": "Gross profits-to-assets",
+      "neutral_description": "Gross profits-to-assets",
+      "formula_or_definition": "\\frac{GP*_t}{AT*_t}",
+      "input_fields": [
+        "GP",
+        "AT"
+      ],
+      "formula_latex": "\\frac{GP*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "GP",
+          "meaning": "Gross Profit",
+          "construction_latex": "We prefer to use GP. If this is unavailable we use sale*-COGS",
+          "source_fields": [
+            "GP",
+            "COGS"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f070",
+      "neutral_name": "Sales-to-market",
+      "neutral_description": "Sales-to-price",
+      "formula_or_definition": "\\frac{SALE*_t}{ME_t}",
+      "input_fields": [
+        "SALE",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{SALE*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f071",
+      "neutral_name": "Pitroski F-score",
+      "neutral_description": "Fundamental score",
+      "formula_or_definition": "f071_t =& _f_roa_{>0, t} + _f_croa_{>0, t} + _f_droa_{>0, t} + _f_acc_{>0, t} + \\\\ &_f_lev_{<0, t} + _f_liq_{>0, t} + _f_eqis_{=0, t} + _f_gm_{>0, t} + _f_aturn_{>0, t}",
+      "input_fields": [
+        "NI",
+        "AT",
+        "OCF",
+        "DLTT_t",
+        "CA",
+        "CL",
+        "EQIS",
+        "GP",
+        "SALE"
+      ],
+      "formula_latex": "f071_t =& _f_roa_{>0, t} + _f_croa_{>0, t} + _f_droa_{>0, t} + _f_acc_{>0, t} + \\\\ &_f_lev_{<0, t} + _f_liq_{>0, t} + _f_eqis_{=0, t} + _f_gm_{>0, t} + _f_aturn_{>0, t}",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        },
+        {
+          "symbol": "OCF",
+          "meaning": "Operating Cash Flow",
+          "construction_latex": "We prefer to use OANCF. If this is unavailable, we use NI*-OACC*. If this is unavailable, we use NI* + DP - WCAPT. If WCAPT is missing, we use 0.",
+          "source_fields": [
+            "OANCF",
+            "NI",
+            "OACC",
+            "DP",
+            "WCAPT"
+          ]
+        },
+        {
+          "symbol": "DLTT_t",
+          "meaning": "Long-Term Debt",
+          "construction_latex": "Compustat item DLTT",
+          "source_fields": [
+            "DLTT"
+          ]
+        },
+        {
+          "symbol": "CA",
+          "meaning": "Current Assets",
+          "construction_latex": "We prefer ACT. If this is unavailable, we use RECT+INVT+CHE+ACO",
+          "source_fields": [
+            "ACT",
+            "RECT",
+            "INVT",
+            "CHE",
+            "ACO"
+          ]
+        },
+        {
+          "symbol": "CL",
+          "meaning": "Current Liabilities",
+          "construction_latex": "We prefer LCT. If this is unavailable, we use AP+ DLC+ TXP+ LCO",
+          "source_fields": [
+            "LCT",
+            "AP",
+            "DLC",
+            "TXP",
+            "LCO"
+          ]
+        },
+        {
+          "symbol": "EQIS",
+          "meaning": "Equity Issuance",
+          "construction_latex": "Compustat item SSTK",
+          "source_fields": [
+            "SSTK"
+          ]
+        },
+        {
+          "symbol": "GP",
+          "meaning": "Gross Profit",
+          "construction_latex": "We prefer to use GP. If this is unavailable we use sale*-COGS",
+          "source_fields": [
+            "GP",
+            "COGS"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f072",
+      "neutral_name": "Assets-to-market",
+      "neutral_description": "Assets-to-market",
+      "formula_or_definition": "\\frac{AT*_t}{ME_t}",
+      "input_fields": [
+        "AT",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{AT*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f073",
+      "neutral_name": "Gross profits-to-lagged assets",
+      "neutral_description": "Gross profits-to-lagged assets",
+      "formula_or_definition": "\\frac{GP*_t}{AT*_{t-12}}",
+      "input_fields": [
+        "GP",
+        "AT"
+      ],
+      "formula_latex": "\\frac{GP*_t}{AT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "GP",
+          "meaning": "Gross Profit",
+          "construction_latex": "We prefer to use GP. If this is unavailable we use sale*-COGS",
+          "source_fields": [
+            "GP",
+            "COGS"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f074",
+      "neutral_name": "Years 11-15 lagged returns, nonannual",
+      "neutral_description": "Years 11–15 lagged returns, nonannual",
+      "formula_or_definition": "Average return over non-annual lags from year t-11 to t-15",
+      "input_fields": [],
+      "formula_latex": "Average return over non-annual lags from year t-11 to t-15"
+    },
+    {
+      "factor_id": "f075",
+      "neutral_name": "Firm age",
+      "neutral_description": "Firm age",
+      "formula_or_definition": "f075 of the firms in months",
+      "input_fields": [],
+      "formula_latex": "f075 of the firms in months"
+    },
+    {
+      "factor_id": "f076",
+      "neutral_name": "Total skewness",
+      "neutral_description": "Total skewness",
+      "formula_or_definition": "SKEW_21D(RET_EXC*_t)",
+      "input_fields": [
+        "RET_EXC"
+      ],
+      "formula_latex": "SKEW_zD(RET_EXC*_t)",
+      "formula_latex_instantiated": "SKEW_21D(RET_EXC*_t)",
+      "formula_inputs": [
+        {
+          "symbol": "RET_EXC",
+          "meaning": "Excess Return",
+          "construction_latex": "We use RET*-T30RET/21. If T30RET is unavailable, we use RF. If the return is a monthly return rather than a daily return, the T30RET is divided by 1 rather than 21.",
+          "source_fields": [
+            "RET",
+            "T30RET",
+            "RF"
+          ]
+        }
+      ]
+    }
+  ],
+  "train": {
+    "rows": [],
+    "artifact": {
+      "path": "artifacts/train.parquet",
+      "format": "parquet",
+      "rows": 126069,
+      "bytes": 55499375,
+      "sha256": "ec558feeb6d1dea3a3572f03f6e45b1ef21465436f87db5eea01e0a22d49ecd2",
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+        "f073",
+        "f074",
+        "f075",
+        "f076",
+        "label"
+      ]
+    }
+  },
+  "validation": {
+    "rows": [],
+    "artifact": {
+      "path": "artifacts/validation.parquet",
+      "format": "parquet",
+      "rows": 60890,
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+        "f070",
+        "f071",
+        "f072",
+        "f073",
+        "f074",
+        "f075",
+        "f076",
+        "label"
+      ]
+    }
+  },
+  "predict": {
+    "schema": [
+      "id",
+      "time_key",
+      "f001",
+      "f002",
+      "f003",
+      "f004",
+      "f005",
+      "f006",
+      "f007",
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+      "f009",
+      "f010",
+      "f011",
+      "f012",
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+      "f025",
+      "f026",
+      "f027",
+      "f028",
+      "f029",
+      "f030",
+      "f031",
+      "f032",
+      "f033",
+      "f034",
+      "f035",
+      "f036",
+      "f037",
+      "f038",
+      "f039",
+      "f040",
+      "f041",
+      "f042",
+      "f043",
+      "f044",
+      "f045",
+      "f046",
+      "f047",
+      "f048",
+      "f049",
+      "f050",
+      "f051",
+      "f052",
+      "f053",
+      "f054",
+      "f055",
+      "f056",
+      "f057",
+      "f058",
+      "f059",
+      "f060",
+      "f061",
+      "f062",
+      "f063",
+      "f064",
+      "f065",
+      "f066",
+      "f067",
+      "f068",
+      "f069",
+      "f070",
+      "f071",
+      "f072",
+      "f073",
+      "f074",
+      "f075",
+      "f076"
+    ],
+    "label_included": false,
+    "rows_visible_to_llm": false
+  },
+  "metadata": {
+    "id_column": "id",
+    "time_column": "time_key",
+    "target_is_excess_return": true,
+    "future_labels_included": false,
+    "seed": 1,
+    "history_window": "3Y",
+    "history_window_months": 36,
+    "train_months": 24,
+    "validation_months": 12,
+    "rolling_test_months": 12,
+    "feature_count": 76,
+    "feature_representation": "case_masked_numeric",
+    "refit_policy": "from_scratch_each_month",
+    "public_artifacts_only": true,
+    "time_key_encoding": "relative_months_from_formation"
+  },
+  "artifact_root": "."
+}

data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_4066432550bbe8af/rolling_truth.jsonl

@@ -0,0 +1,12 @@
+{"record_type": "rolling_truth", "truth_schema_version": "task_c_frozen_raw_rolling_truth.v1", "sequence_id": "c_case_4066432550bbe8af", "sequence_step": 1, "history_window": "3Y", "history_window_months": 36, "formation_eom": "2008-12-31", "holding_month": "2009-01", "train_month_range": ["t-36", "t-13"], "validation_month_range": ["t-12", "t-1"], "predict_month": "t-0", "train_rows": 126069, "validation_rows": 60890, "predict_rows": 5066, "realized_label_rows": 4897, "realized_label_column": "ret_exc_lead1m", "source_panel": "data/raw/wrds/wgpvj1vbztoqbloo (1).parquet", "source_daily_returns": "data/raw/wrds/ctff_daily_ret.parquet", "source_nyse_cutoffs": "data/raw/jkp/2025-12/nyse_cutoffs.csv", "labels_released_after_prediction": true, "llm_calls": 0}
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+    "dgp_dsale",
+    "netis_at",
+    "be_gr1a"
+  ],
+  "selected_feature_ids_sorted": [
+    "aliq_at",
+    "aliq_mat",
+    "be_gr1a",
+    "beta_dimson_21d",
+    "betabab_1260d",
+    "betadown_252d",
+    "bev_mev",
+    "capx_gr2",
+    "capx_gr3",
+    "cash_at",
+    "coa_gr1a",
+    "col_gr1a",
+    "cop_at",
+    "cop_atl1",
+    "corr_1260d",
+    "coskew_21d",
+    "debt_gr3",
+    "debt_me",
+    "dgp_dsale",
+    "dolvol_var_126d",
+    "dsale_dsga",
+    "earnings_variability",
+    "ebit_bev",
+    "ebitda_mev",
+    "emp_gr1",
+    "eq_dur",
+    "eqnetis_at",
+    "eqpo_me",
+    "f_score",
+    "inv_gr1",
+    "inv_gr1a",
+    "iskew_hxz4_21d",
+    "ivol_capm_252d",
+    "ivol_ff3_21d",
+    "kz_index",
+    "lnoa_gr1a",
+    "ncol_gr1a",
+    "netdebt_me",
+    "netis_at",
+    "nfna_gr1a",
+    "ni_ar1",
+    "ni_be",
+    "ni_inc8q",
+    "ni_me",
+    "niq_at_chg1",
+    "niq_be_chg1",
+    "niq_su",
+    "noa_at",
+    "noa_gr1a",
+    "oaccruals_ni",
+    "ocf_at",
+    "ocf_at_chg1",
+    "ocf_me",
+    "ocfq_saleq_std",
+    "op_at",
+    "ope_be",
+    "ope_bel1",
+    "opex_at",
+    "pi_nix",
+    "rd_me",
+    "resff3_6_1",
+    "ret_12_1",
+    "ret_12_7",
+    "ret_1_0",
+    "ret_9_1",
+    "rmax1_21d",
+    "rmax5_21d",
+    "rvol_21d",
+    "sale_bev",
+    "sale_me",
+    "seas_16_20an",
+    "seas_2_5an",
+    "seas_2_5na",
+    "tax_gr1a",
+    "turnover_var_126d",
+    "zero_trades_252d"
+  ],
+  "public_feature_columns": [
+    "f001",
+    "f002",
+    "f003",
+    "f004",
+    "f005",
+    "f006",
+    "f007",
+    "f008",
+    "f009",
+    "f010",
+    "f011",
+    "f012",
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+    "f015",
+    "f016",
+    "f017",
+    "f018",
+    "f019",
+    "f020",
+    "f021",
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+    "f023",
+    "f024",
+    "f025",
+    "f026",
+    "f027",
+    "f028",
+    "f029",
+    "f030",
+    "f031",
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+    "f033",
+    "f034",
+    "f035",
+    "f036",
+    "f037",
+    "f038",
+    "f039",
+    "f040",
+    "f041",
+    "f042",
+    "f043",
+    "f044",
+    "f045",
+    "f046",
+    "f047",
+    "f048",
+    "f049",
+    "f050",
+    "f051",
+    "f052",
+    "f053",
+    "f054",
+    "f055",
+    "f056",
+    "f057",
+    "f058",
+    "f059",
+    "f060",
+    "f061",
+    "f062",
+    "f063",
+    "f064",
+    "f065",
+    "f066",
+    "f067",
+    "f068",
+    "f069",
+    "f070",
+    "f071",
+    "f072",
+    "f073",
+    "f074",
+    "f075",
+    "f076"
+  ],
+  "feature_names_are_masked": true,
+  "subset_id": "3Y_200812_76_s02",
+  "subset_index": 2,
+  "selection_source_windows": [
+    "2Y",
+    "3Y",
+    "5Y"
+  ],
+  "selection_plan_sha256": "410c62e9eaec356129260d72c055cc06d4d41bb8c85dccabef890963b2185918",
+  "sampling": {
+    "method": "anchor_reused_across_history_windows",
+    "same_subset_across_selection_windows": true,
+    "future_values_used_for_selection": false
+  },
+  "window": {
+    "name": "3Y",
+    "history_months": 36,
+    "train_months": 24,
+    "validation_months": 12,
+    "rolling_test_months": 12,
+    "feature_warmup_months": 0
+  },
+  "train_validation": {
+    "train_month_range": [
+      "t-36",
+      "t-13"
+    ],
+    "validation_month_range": [
+      "t-12",
+      "t-1"
+    ],
+    "relative_time_encoding": "relative_months_from_formation"
+  },
+  "rolling_protocol": {
+    "history_window": "3Y",
+    "history_window_months": 36,
+    "test_steps": 12,
+    "one_step_horizon_months": 1,
+    "train_months": 24,
+    "validation_months": 12,
+    "refit_policy": "from_scratch_each_origin",
+    "validation_policy": "select_or_early_stop_then_refit_train_plus_validation",
+    "llm_calls_during_rolling": 0
+  },
+  "source_panel": "data/raw/wrds/wgpvj1vbztoqbloo (1).parquet",
+  "source_daily_returns": "data/raw/wrds/ctff_daily_ret.parquet",
+  "source_nyse_cutoffs": "data/raw/jkp/2025-12/nyse_cutoffs.csv",
+  "public_future_labels_included": false,
+  "source_history_feature_ids_are_truth_only": true,
+  "evaluator_only_files": [
+    "rolling_truth.jsonl",
+    "evaluator_id_map.json",
+    "evaluator_feature_map.json"
+  ],
+  "artifacts": {
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+}

data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_45d73d7be0d807d2/payload.json

@@ -0,0 +1,2691 @@
+{
+  "case_id": "c_case_45d73d7be0d807d2",
+  "task": "stock_multifactor_model",
+  "horizon_months": 1,
+  "track": "semantic",
+  "feature_columns": [
+    "f001",
+    "f002",
+    "f003",
+    "f004",
+    "f005",
+    "f006",
+    "f007",
+    "f008",
+    "f009",
+    "f010",
+    "f011",
+    "f012",
+    "f013",
+    "f014",
+    "f015",
+    "f016",
+    "f017",
+    "f018",
+    "f019",
+    "f020",
+    "f021",
+    "f022",
+    "f023",
+    "f024",
+    "f025",
+    "f026",
+    "f027",
+    "f028",
+    "f029",
+    "f030",
+    "f031",
+    "f032",
+    "f033",
+    "f034",
+    "f035",
+    "f036",
+    "f037",
+    "f038",
+    "f039",
+    "f040",
+    "f041",
+    "f042",
+    "f043",
+    "f044",
+    "f045",
+    "f046",
+    "f047",
+    "f048",
+    "f049",
+    "f050",
+    "f051",
+    "f052",
+    "f053",
+    "f054",
+    "f055",
+    "f056",
+    "f057",
+    "f058",
+    "f059",
+    "f060",
+    "f061",
+    "f062",
+    "f063",
+    "f064",
+    "f065",
+    "f066",
+    "f067",
+    "f068",
+    "f069",
+    "f070",
+    "f071",
+    "f072",
+    "f073",
+    "f074",
+    "f075",
+    "f076"
+  ],
+  "factor_cards": [
+    {
+      "factor_id": "f001",
+      "neutral_name": "Kaplan-Zingales index",
+      "neutral_description": "The Kaplan-Zingales (1997) index of financing constraints",
+      "formula_or_definition": "f001 = -1.002 \\times _kz_cf_t + 0.283 \\times _kz_q_t + 3.139 \\times _kz_db_t - 39.368 \\times _kz_dv_t - 1.315 \\times _kz_cs_t",
+      "input_fields": [
+        "NI",
+        "DP_t",
+        "PPENT_",
+        "AT",
+        "ME_FISCAL_t",
+        "BE",
+        "DEBT",
+        "SEQ",
+        "DIV",
+        "CHE_t"
+      ],
+      "formula_latex": "f001 = -1.002 \\times _kz_cf_t + 0.283 \\times _kz_q_t + 3.139 \\times _kz_db_t - 39.368 \\times _kz_dv_t - 1.315 \\times _kz_cs_t",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "DP_t",
+          "meaning": "Depreciation and Amortization",
+          "construction_latex": "Compustat Item DP",
+          "source_fields": [
+            "DP"
+          ]
+        },
+        {
+          "symbol": "PPENT_",
+          "meaning": "Property, Plans and Equipment Net",
+          "construction_latex": "Compustat item PPENT",
+          "source_fields": [
+            "PPENT"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        },
+        {
+          "symbol": "ME_FISCAL_t",
+          "meaning": "Market equity aligned to the fiscal-period construction",
+          "construction_latex": "ME\\_FISCAL_t"
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        },
+        {
+          "symbol": "DEBT",
+          "meaning": "Total Debt",
+          "construction_latex": "We use DLTT+ DLC. Either DLTT or DLC are allowed to me missing",
+          "source_fields": [
+            "DLTT",
+            "DLC"
+          ]
+        },
+        {
+          "symbol": "SEQ",
+          "meaning": "Shareholders Equity",
+          "construction_latex": "We prefer to use SEQ. If this is unavailable, we use CEQ+PSTK* where we set PSTK* to zero if missing. If this is unavailable, we use AT- LT",
+          "source_fields": [
+            "SEQ",
+            "CEQ",
+            "PSTK",
+            "AT",
+            "LT"
+          ]
+        },
+        {
+          "symbol": "DIV",
+          "meaning": "Total Dividends",
+          "construction_latex": "We prefer DVT. If this is not available, we use DV",
+          "source_fields": [
+            "DVT",
+            "DV"
+          ]
+        },
+        {
+          "symbol": "CHE_t",
+          "meaning": "Cash and Short-Term Investment",
+          "construction_latex": "Compustat item CHE",
+          "source_fields": [
+            "CHE"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f002",
+      "neutral_name": "Return on equity",
+      "neutral_description": "Annual Return on equity",
+      "formula_or_definition": "\\frac{NI*_t}{BE*_t}",
+      "input_fields": [
+        "NI",
+        "BE"
+      ],
+      "formula_latex": "\\frac{NI*_t}{BE*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f003",
+      "neutral_name": "Maximum daily return",
+      "neutral_description": "Maximum daily return",
+      "formula_or_definition": "MAX1_21D(RET*_t)",
+      "input_fields": [
+        "RET"
+      ],
+      "formula_latex": "MAX1_zD(RET*_t)",
+      "formula_latex_instantiated": "MAX1_21D(RET*_t)",
+      "formula_inputs": [
+        {
+          "symbol": "RET",
+          "meaning": "Return",
+          "construction_latex": "We use RET. In case of delisting, we calculate as (1+RET)*(1+DLRET)-1",
+          "source_fields": [
+            "RET",
+            "DLRET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f004",
+      "neutral_name": "Price momentum t-9 to t-1",
+      "neutral_description": "Past 9 month return",
+      "formula_or_definition": "\\frac{RI*_{t-1}}{RI*_{t-9}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-1}}{RI*_{t-9}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f005",
+      "neutral_name": "Operating profits-to-book assets",
+      "neutral_description": "Operating profits-to-book assets",
+      "formula_or_definition": "\\frac{OP*_t}{AT*_t}",
+      "input_fields": [
+        "OP",
+        "AT"
+      ],
+      "formula_latex": "\\frac{OP*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "OP",
+          "meaning": "Operating Profit ala Ball et al (2015)",
+          "construction_latex": "We use EBITDA* + XRD. If XRD is unavailable, we set it to zero",
+          "source_fields": [
+            "EBITDA",
+            "XRD"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f006",
+      "neutral_name": "Change in noncurrent operating liabilities",
+      "neutral_description": "Change in noncurrent operating liabilities",
+      "formula_or_definition": "\\frac{NCOL*_t-NCOL*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "NCOL",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NCOL*_t-NCOL*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NCOL",
+          "meaning": "Non-Current Operating Liabilities",
+          "construction_latex": "We use LT-CL*- DLTT",
+          "source_fields": [
+            "LT",
+            "CL",
+            "DLTT"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f007",
+      "neutral_name": "Dimson beta",
+      "neutral_description": "The Dimson beta",
+      "formula_or_definition": "\\beta^{Dimson}_{21D} = \\beta_{-1} + \\beta_0 + \\beta_{+1}",
+      "input_fields": [
+        "RET",
+        "MKTRF_"
+      ],
+      "formula_latex": "\\beta^{Dimson}_{zD} = \\beta_{-1} + \\beta_0 + \\beta_{+1}",
+      "formula_latex_instantiated": "\\beta^{Dimson}_{21D} = \\beta_{-1} + \\beta_0 + \\beta_{+1}",
+      "formula_inputs": [
+        {
+          "symbol": "RET",
+          "meaning": "Return",
+          "construction_latex": "We use RET. In case of delisting, we calculate as (1+RET)*(1+DLRET)-1",
+          "source_fields": [
+            "RET",
+            "DLRET"
+          ]
+        },
+        {
+          "symbol": "MKTRF_",
+          "meaning": "Excess Market Return",
+          "construction_latex": "Country specific market return"
+        }
+      ]
+    },
+    {
+      "factor_id": "f008",
+      "neutral_name": "Price momentum t-12 to t-1",
+      "neutral_description": "Price momentum, prior 11-month returns",
+      "formula_or_definition": "\\frac{RI*_{t-1}}{RI*_{t-12}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-1}}{RI*_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f009",
+      "neutral_name": "Operating profits-to-book equity",
+      "neutral_description": "Operating profits-to-book equity",
+      "formula_or_definition": "\\frac{OPE*_t}{BE*_t}",
+      "input_fields": [
+        "OPE",
+        "BE"
+      ],
+      "formula_latex": "\\frac{OPE*_t}{BE*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "OPE",
+          "meaning": "Operating Profit to Equity",
+          "construction_latex": "We use EBITDA*-XINT. Note that we target the same variable as the numerator of the profitability characteristic used to create the Robust-minus weak factor in the fama-French 5 factor model (Fama and French, 2015)",
+          "source_fields": [
+            "EBITDA",
+            "XINT"
+          ]
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f010",
+      "neutral_name": "Taxable income-to-book income",
+      "neutral_description": "Taxable income-to-book income",
+      "formula_or_definition": "\\frac{PI*_t}{NIX*_t}",
+      "input_fields": [
+        "PI",
+        "NIX"
+      ],
+      "formula_latex": "\\frac{PI*_t}{NIX*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "PI",
+          "meaning": "Earnings before Tax and Extraordinary Items",
+          "construction_latex": "We prefer to use PI. If this is unavailable we use EBIT*-XINT+SPI+NOPI where we set SPI and NOPI to zero if missing",
+          "source_fields": [
+            "PI",
+            "EBIT",
+            "XINT",
+            "SPI",
+            "NOPI"
+          ]
+        },
+        {
+          "symbol": "NIX",
+          "meaning": "Net Income Including Extraordinary Items",
+          "construction_latex": "We prefer NI. If this is not available, we prefer NI*+XIDO*. If XIDO* is unavailable, we set it to zero. If that is unavailable, we prefer NI*+XI+DO",
+          "source_fields": [
+            "NI",
+            "XIDO",
+            "XI",
+            "DO"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f011",
+      "neutral_name": "Sales-to-market",
+      "neutral_description": "Sales-to-price",
+      "formula_or_definition": "\\frac{SALE*_t}{ME_t}",
+      "input_fields": [
+        "SALE",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{SALE*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f012",
+      "neutral_name": "Payout yield",
+      "neutral_description": "Payout yield",
+      "formula_or_definition": "\\frac{EQPO*_t}{ME_t}",
+      "input_fields": [
+        "EQPO",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{EQPO*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EQPO",
+          "meaning": "Net Equity Payout",
+          "construction_latex": "We use DIV*+EQBB*",
+          "source_fields": [
+            "DIV",
+            "EQBB"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f013",
+      "neutral_name": "Tax expense surprise",
+      "neutral_description": "Tax expense surprise",
+      "formula_or_definition": "\\frac{TAX_t - TAX_{t-12}}{AT*_t}",
+      "input_fields": [
+        "TAX_t",
+        "AT"
+      ],
+      "formula_latex": "\\frac{TAX_t - TAX_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "TAX_t",
+          "meaning": "Income Tax",
+          "construction_latex": "Compustat item TXT",
+          "source_fields": [
+            "TXT"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f014",
+      "neutral_name": "Short-term reversal",
+      "neutral_description": "Short-term reversal",
+      "formula_or_definition": "\\frac{RI*_{t}}{RI*_{t-1}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t}}{RI*_{t-1}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f015",
+      "neutral_name": "Return on net operating assets",
+      "neutral_description": "Return on net operating assets",
+      "formula_or_definition": "\\frac{EBIT*_t}{BEV*_t}",
+      "input_fields": [
+        "EBIT",
+        "BEV"
+      ],
+      "formula_latex": "\\frac{EBIT*_t}{BEV*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EBIT",
+          "meaning": "Operating Income After Depreciation",
+          "construction_latex": "We prefer to use EBIT. If this is unavailable, we use OIADP. If this is unavailable, we use EBITDA*-DP",
+          "source_fields": [
+            "EBIT",
+            "OIADP",
+            "EBITDA",
+            "DP"
+          ]
+        },
+        {
+          "symbol": "BEV",
+          "meaning": "Book Enterprise Value",
+          "construction_latex": "We prefer to use ICAPT+DLC-CHE where DLC and CHE are set to zero if missing. If this is unavailable, we use SEQ*+NETDEBT*+ MIB where we set MIB to zero if missing. In the global data ICAPT is reduced by Treasury stock",
+          "source_fields": [
+            "ICAPT",
+            "DLC",
+            "CHE",
+            "SEQ",
+            "NETDEBT",
+            "MIB"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f016",
+      "neutral_name": "Inventory change",
+      "neutral_description": "Inventory changes",
+      "formula_or_definition": "\\frac{INV_t-INV_{t-12}}{AT*_t}",
+      "input_fields": [
+        "INV_t",
+        "AT"
+      ],
+      "formula_latex": "\\frac{INV_t-INV_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "INV_t",
+          "meaning": "Inventory",
+          "construction_latex": "Compustat item INVT",
+          "source_fields": [
+            "INVT"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f017",
+      "neutral_name": "Downside beta",
+      "neutral_description": "Downside beta",
+      "formula_or_definition": "\\beta_1\\text{ from } RET\\_EXC^*_t = \\beta_0 + \\beta_1 MKTRF^*_t + \\epsilon_t\\text{ restricted to }MKTRF^*_t<0",
+      "input_fields": [
+        "RET",
+        "MKTRF"
+      ],
+      "formula_latex": "\\beta_1\\text{ from } RET\\_EXC^*_t = \\beta_0 + \\beta_1 MKTRF^*_t + \\epsilon_t\\text{ restricted to }MKTRF^*_t<0",
+      "formula_latex_instantiated": "\\beta_1\\text{ from } RET\\_EXC^*_t = \\beta_0 + \\beta_1 MKTRF^*_t + \\epsilon_t\\text{ restricted to }MKTRF^*_t<0",
+      "formula_inputs": [
+        {
+          "symbol": "RET",
+          "meaning": "Return",
+          "construction_latex": "We use RET. In case of delisting, we calculate as (1+RET)*(1+DLRET)-1",
+          "source_fields": [
+            "RET",
+            "DLRET"
+          ]
+        },
+        {
+          "symbol": "MKTRF",
+          "meaning": "Excess Market Return",
+          "construction_latex": "Country specific market return"
+        }
+      ]
+    },
+    {
+      "factor_id": "f018",
+      "neutral_name": "Operating cash flow to assets",
+      "neutral_description": "Operating cash flow to assets",
+      "formula_or_definition": "\\frac{OCF*_t}{AT*_t}",
+      "input_fields": [
+        "OCF",
+        "AT"
+      ],
+      "formula_latex": "\\frac{OCF*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "OCF",
+          "meaning": "Operating Cash Flow",
+          "construction_latex": "We prefer to use OANCF. If this is unavailable, we use NI*-OACC*. If this is unavailable, we use NI* + DP - WCAPT. If WCAPT is missing, we use 0.",
+          "source_fields": [
+            "OANCF",
+            "NI",
+            "OACC",
+            "DP",
+            "WCAPT"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f019",
+      "neutral_name": "Price momentum t-12 to t-7",
+      "neutral_description": "Past 12 to 7 month momentum",
+      "formula_or_definition": "\\frac{RI*_{t-7}}{RI*_{t-12}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-7}}{RI*_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f020",
+      "neutral_name": "Percent operating accruals",
+      "neutral_description": "Percent operating accruals",
+      "formula_or_definition": "\\frac{OACC*_t}{|NIX*_t|}",
+      "input_fields": [
+        "OACC",
+        "NIX"
+      ],
+      "formula_latex": "\\frac{OACC*_t}{|NIX*_t|}",
+      "formula_inputs": [
+        {
+          "symbol": "OACC",
+          "meaning": "Operating Accruals",
+          "construction_latex": "We prefer NI*-OANCF. If that is unavailable, we use the yearly change in COWC*+the yearly change in NNCOA*",
+          "source_fields": [
+            "NI",
+            "OANCF",
+            "COWC",
+            "NNCOA"
+          ]
+        },
+        {
+          "symbol": "NIX",
+          "meaning": "Net Income Including Extraordinary Items",
+          "construction_latex": "We prefer NI. If this is not available, we prefer NI*+XIDO*. If XIDO* is unavailable, we set it to zero. If that is unavailable, we prefer NI*+XI+DO",
+          "source_fields": [
+            "NI",
+            "XIDO",
+            "XI",
+            "DO"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f021",
+      "neutral_name": "Standardized earnings surprise",
+      "neutral_description": "Earnings surprise",
+      "formula_or_definition": "SUR(NI_QTR*)",
+      "input_fields": [
+        "NI_QTR"
+      ],
+      "formula_latex": "SUR(NI_QTR*)",
+      "formula_inputs": [
+        {
+          "symbol": "NI_QTR",
+          "meaning": "Income Before Extraordinary Items",
+          "construction_latex": "We use IBQ",
+          "source_fields": [
+            "IBQ"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f022",
+      "neutral_name": "Earnings-to-price",
+      "neutral_description": "Earnings-to-price",
+      "formula_or_definition": "\\frac{NI*_t}{ME_t}",
+      "input_fields": [
+        "NI",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{NI*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f023",
+      "neutral_name": "Change in quarterly return on assets",
+      "neutral_description": "4-quarter change in return on assets",
+      "formula_or_definition": "<input>_t - <input>_{t-12}",
+      "input_fields": [
+        "<input>"
+      ],
+      "formula_latex": "<input>_t - <input>_{t-12}",
+      "formula_inputs": [
+        {
+          "symbol": "<input>_t",
+          "meaning": "Quarterly Income scaled by AT",
+          "construction_latex": "\\frac{NI_QTR*_t}{AT*_{t-3}}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f024",
+      "neutral_name": "Change in operating cash flow to assets",
+      "neutral_description": "1 year change in operating cash flow to assets",
+      "formula_or_definition": "f018_t - f018_{t-12}",
+      "input_fields": [
+        "f018"
+      ],
+      "formula_latex": "f018_t - f018_{t-12}",
+      "formula_inputs": [
+        {
+          "symbol": "f018_t",
+          "meaning": "Operating Cash Flow scaled by Assets",
+          "construction_latex": "\\frac{OCF*_t}{AT*_t}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f025",
+      "neutral_name": "CAPEX growth (2 years)",
+      "neutral_description": "2-year investment growth",
+      "formula_or_definition": "\\frac{CAPX_t}{CAPX_{t-24}} - 1",
+      "input_fields": [
+        "CAPX_t"
+      ],
+      "formula_latex": "\\frac{CAPX_t}{CAPX_{t-24}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "CAPX_t",
+          "meaning": "Capital Expenditures",
+          "construction_latex": "Compustat item CAPX",
+          "source_fields": [
+            "CAPX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f026",
+      "neutral_name": "Change in net operating assets",
+      "neutral_description": "Change in net operating assets",
+      "formula_or_definition": "\\frac{NOA*_t-NOA*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "NOA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NOA*_t-NOA*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NOA",
+          "meaning": "Net Operating Assets",
+          "construction_latex": "We use OA*-OL*",
+          "source_fields": [
+            "OA",
+            "OL"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f027",
+      "neutral_name": "Hiring rate",
+      "neutral_description": "Hiring rate",
+      "formula_or_definition": "\\frac{EMP_t - EMP_{t-12}}{0.5\\times EMP_t + 0.5\\times EMP_{t-12}}",
+      "input_fields": [
+        "EMP_t"
+      ],
+      "formula_latex": "\\frac{EMP_t - EMP_{t-12}}{0.5\\times EMP_t + 0.5\\times EMP_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "EMP_t",
+          "meaning": "Employees in Thousands",
+          "construction_latex": "Compustat item EMP",
+          "source_fields": [
+            "EMP"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f028",
+      "neutral_name": "Number of consecutive quarters with earnings increases",
+      "neutral_description": "Number of consecutive quarters with earnings increases",
+      "formula_or_definition": "Count number of earnings increases over past 8 quarters",
+      "input_fields": [],
+      "formula_latex": "Count number of earnings increases over past 8 quarters"
+    },
+    {
+      "factor_id": "f029",
+      "neutral_name": "Cash-based operating profits-to-lagged book assets",
+      "neutral_description": "Cash-based operating profits-to-lagged book assets",
+      "formula_or_definition": "\\frac{COP*_t}{AT*_{t-12}}",
+      "input_fields": [
+        "COP",
+        "AT"
+      ],
+      "formula_latex": "\\frac{COP*_t}{AT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "COP",
+          "meaning": "Cash Based Operating Profitability",
+          "construction_latex": "We prefer EBITDA*+XRD-OACC*. If XRD is unavailable, we set it to zero",
+          "source_fields": [
+            "EBITDA",
+            "XRD",
+            "OACC"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f030",
+      "neutral_name": "Coefficient of variation for share turnover",
+      "neutral_description": "Coefficient of variation for share turnover",
+      "formula_or_definition": "\\frac{\\sigma_{126D}((TVOL*_t/SHARES*_t)*1000000)}{<input>_t}",
+      "input_fields": [
+        "TVOL",
+        "SHARES",
+        "turnover_zd"
+      ],
+      "formula_latex": "\\frac{\\sigma_{zD}((TVOL*_t/SHARES*_t)*1000000)}{TURNOVER_zD_t}",
+      "formula_latex_instantiated": "\\frac{\\sigma_{126D}((TVOL*_t/SHARES*_t)*1000000)}{<input>_t}",
+      "formula_inputs": [
+        {
+          "symbol": "TVOL",
+          "meaning": "Trading Volume",
+          "construction_latex": "We use VOL. For NASDAQ regular-way issues (\\texttt{primaryexch}=Q and \\texttt{conditionaltype}=RW), we apply the Gao--Ritter (2010) dealer-volume adjustment: divide by 2 before <date>, by 1.8 through <date>, and by 1.6 through <date> (inclusive); thereafter leave volume unchanged.",
+          "source_fields": [
+            "VOL",
+            "NASDAQ",
+            "RW"
+          ]
+        },
+        {
+          "symbol": "SHARES",
+          "meaning": "Shares",
+          "construction_latex": "We use SHROUT/1000 so shares outstanding are in millions.",
+          "source_fields": [
+            "SHROUT"
+          ]
+        },
+        {
+          "symbol": "TURNOVER_zD_t",
+          "meaning": "Turnover",
+          "construction_latex": "\\overline{(\\frac{TVOL*_t}{SHARES*_t*1000000})}_{zD}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f031",
+      "neutral_name": "Change sales minus change SG&A",
+      "neutral_description": "Percentage change in sales minus percentage change in SG&A",
+      "formula_or_definition": "CHG_TO_EXP(SALE*_t) - CHG_TO_EXP(XSGA_t)",
+      "input_fields": [
+        "SALE",
+        "XSGA_t"
+      ],
+      "formula_latex": "CHG_TO_EXP(SALE*_t) - CHG_TO_EXP(XSGA_t)",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "XSGA_t",
+          "meaning": "Selling, General and Administrative Expenses",
+          "construction_latex": "Compustat item XSGA",
+          "source_fields": [
+            "XSGA"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f032",
+      "neutral_name": "Coskewness",
+      "neutral_description": "Coskewness",
+      "formula_or_definition": "\\frac{\\overline{(\\epsilon_t \\times MKTRF_DM_t^2)}_{21D}}{\\sqrt{\\overline{(\\epsilon_t^2)}_{21D} \\times \\overline{(MKTRF_DM_t^2)}_{21D}}}",
+      "input_fields": [
+        "MKTRF_DM_t"
+      ],
+      "formula_latex": "\\frac{\\overline{(\\epsilon_t \\times MKTRF_DM_t^2)}_{zD}}{\\sqrt{\\overline{(\\epsilon_t^2)}_{zD} \\times \\overline{(MKTRF_DM_t^2)}_{zD}}}",
+      "formula_latex_instantiated": "\\frac{\\overline{(\\epsilon_t \\times MKTRF_DM_t^2)}_{21D}}{\\sqrt{\\overline{(\\epsilon_t^2)}_{21D} \\times \\overline{(MKTRF_DM_t^2)}_{21D}}}",
+      "formula_inputs": [
+        {
+          "symbol": "MKTRF_DM_t",
+          "meaning": "Demeaned excess market return over the z-day window",
+          "construction_latex": "MKTRF\\_DM_t = MKTRF^*_t - \\overline{MKTRF^*_t}_{zD}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f033",
+      "neutral_name": "Change in net financial assets",
+      "neutral_description": "Change in net financial assets",
+      "formula_or_definition": "\\frac{NFNA*_t-NFNA*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "NFNA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NFNA*_t-NFNA*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NFNA",
+          "meaning": "Net Financial Assets",
+          "construction_latex": "We use FNA*-FNL*",
+          "source_fields": [
+            "FNA",
+            "FNL"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f034",
+      "neutral_name": "Cash-based operating profits-to-book assets",
+      "neutral_description": "Cash-based operating profits-to-book assets",
+      "formula_or_definition": "\\frac{COP*_t}{AT*_t}",
+      "input_fields": [
+        "COP",
+        "AT"
+      ],
+      "formula_latex": "\\frac{COP*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "COP",
+          "meaning": "Cash Based Operating Profitability",
+          "construction_latex": "We prefer EBITDA*+XRD-OACC*. If XRD is unavailable, we set it to zero",
+          "source_fields": [
+            "EBITDA",
+            "XRD",
+            "OACC"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f035",
+      "neutral_name": "Operating leverage",
+      "neutral_description": "Operating leverage",
+      "formula_or_definition": "\\frac{OPEX*_t}{AT*_t}",
+      "input_fields": [
+        "OPEX",
+        "AT"
+      ],
+      "formula_latex": "\\frac{OPEX*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "OPEX",
+          "meaning": "Operating Expenses",
+          "construction_latex": "We prefer to use XOPR. If this is unavailable, we use COGS+XSGA",
+          "source_fields": [
+            "XOPR",
+            "COGS",
+            "XSGA"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f036",
+      "neutral_name": "Idiosyncratic volatility from the Fama-French 3-factor model",
+      "neutral_description": "Idiosyncratic volatility from the Fama-French 3-factor model",
+      "formula_or_definition": "\\sigma_{21D}(e_t)",
+      "input_fields": [],
+      "formula_latex": "\\sigma_{zD}(e_t)",
+      "formula_latex_instantiated": "\\sigma_{21D}(e_t)"
+    },
+    {
+      "factor_id": "f037",
+      "neutral_name": "Equity duration",
+      "neutral_description": "Equity duration",
+      "formula_or_definition": "f037_t = \\frac{ed_ed_w_t \\times FX_t}{ME_COMPANY_t} + ed_constant \\times \\frac{ME_COMPANY_t - ed_cd_t \\times FX_t}{ME_COMPANY_t}",
+      "input_fields": [
+        "FX_t",
+        "ME_COMPANY_t",
+        "NI",
+        "SALE",
+        "roe_mean",
+        "roe_ar1",
+        "g_mean",
+        "g_ar1"
+      ],
+      "formula_latex": "f037_t = \\frac{ed_ed_w_t \\times FX_t}{ME_COMPANY_t} + ed_constant \\times \\frac{ME_COMPANY_t - ed_cd_t \\times FX_t}{ME_COMPANY_t}",
+      "formula_inputs": [
+        {
+          "symbol": "FX_t",
+          "meaning": "Currency-to-USD conversion rate",
+          "construction_latex": "fx_t = \\frac{USD_{GBP,t}}{X_{GBP,t}}",
+          "source_fields": [
+            "FX"
+          ]
+        },
+        {
+          "symbol": "ME_COMPANY_t",
+          "meaning": "Company Market Equity",
+          "construction_latex": "We sum ME* grouped by PERMCO and date",
+          "source_fields": [
+            "ME",
+            "PERMCO"
+          ]
+        },
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "roe_mean",
+          "meaning": "Constant average ROE assumption",
+          "construction_latex": "roe\\_mean \\in \\mathbb{R}"
+        },
+        {
+          "symbol": "roe_ar1",
+          "meaning": "Constant expected growth rate of ROE",
+          "construction_latex": "roe\\_ar1 \\in \\mathbb{R}"
+        },
+        {
+          "symbol": "g_mean",
+          "meaning": "Constant average sales growth rate",
+          "construction_latex": "g\\_mean \\in \\mathbb{R}"
+        },
+        {
+          "symbol": "g_ar1",
+          "meaning": "Constant expected growth rate of sales",
+          "construction_latex": "g\\_ar1 \\in \\mathbb{R}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f038",
+      "neutral_name": "Net debt-to-price",
+      "neutral_description": "Net debt-to-price",
+      "formula_or_definition": "\\frac{NETDEBT*_t}{ME_t}",
+      "input_fields": [
+        "NETDEBT",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{NETDEBT*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NETDEBT",
+          "meaning": "Net Debt",
+          "construction_latex": "We use DEBT*- CHE where we set CHE to zero if missing",
+          "source_fields": [
+            "DEBT",
+            "CHE"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f039",
+      "neutral_name": "Liquidity of market assets",
+      "neutral_description": "Liquidity of market assets",
+      "formula_or_definition": "\\frac{ALIQ*_t}{MAT*_{t-12}}",
+      "input_fields": [
+        "ALIQ",
+        "MAT"
+      ],
+      "formula_latex": "\\frac{ALIQ*_t}{MAT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "ALIQ",
+          "meaning": "Ortiz-Molina and Phillips Liquidity",
+          "construction_latex": "CHE + 0.75$\\times$ COA* + 0.5(AT* - CA* - INTAN). If INTAN is missing, we set it to zero",
+          "source_fields": [
+            "CHE",
+            "COA",
+            "AT",
+            "CA",
+            "INTAN"
+          ]
+        },
+        {
+          "symbol": "MAT",
+          "meaning": "Market Assets",
+          "construction_latex": "We use AT* $\\times$ FX - BE* $\\times$ FX + ME_COMPANY",
+          "source_fields": [
+            "AT",
+            "FX",
+            "BE",
+            "ME_COMPANY"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f040",
+      "neutral_name": "Ebitda-to-market enterprise value",
+      "neutral_description": "Enterprise multiple",
+      "formula_or_definition": "\\frac{EBITDA*_t}{MEV*_t}",
+      "input_fields": [
+        "EBITDA",
+        "MEV"
+      ],
+      "formula_latex": "\\frac{EBITDA*_t}{MEV*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EBITDA",
+          "meaning": "Operating Income Before Depreciation",
+          "construction_latex": "We prefer to use EBITDA. If this is unavailable, we use OIBDP. If this is unavailable, we use SALE*-OPEX*. If this is unavailable, we use GP*-XSGA",
+          "source_fields": [
+            "EBITDA",
+            "OIBDP",
+            "SALE",
+            "OPEX",
+            "GP",
+            "XSGA"
+          ]
+        },
+        {
+          "symbol": "MEV",
+          "meaning": "Market Enterprise Value",
+          "construction_latex": "We use ME_COMPANY + NETDEBT* $\\times$ FX*",
+          "source_fields": [
+            "ME_COMPANY",
+            "NETDEBT",
+            "FX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f041",
+      "neutral_name": "Debt-to-market",
+      "neutral_description": "Debt-to-market",
+      "formula_or_definition": "\\frac{DEBT*_t}{ME_t}",
+      "input_fields": [
+        "DEBT",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{DEBT*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "DEBT",
+          "meaning": "Total Debt",
+          "construction_latex": "We use DLTT+ DLC. Either DLTT or DLC are allowed to me missing",
+          "source_fields": [
+            "DLTT",
+            "DLC"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f042",
+      "neutral_name": "Cash flow volatility",
+      "neutral_description": "Cash flow volatility",
+      "formula_or_definition": "\\sigma_{16Q}(\\frac{OCF_QTR*_t}{SALE_QTR*_t}))",
+      "input_fields": [
+        "OCF_QTR",
+        "SALE_QTR"
+      ],
+      "formula_latex": "\\sigma_{16Q}(\\frac{OCF_QTR*_t}{SALE_QTR*_t}))",
+      "formula_inputs": [
+        {
+          "symbol": "OCF_QTR",
+          "meaning": "Quarterly Operating Cash Flow",
+          "construction_latex": "We use OANCFQ. If this is unavailable, then we use IBQ + DPQ - WCAPTQ. If WCAPTQ is unavailable, we set it to",
+          "source_fields": [
+            "OANCFQ",
+            "IBQ",
+            "DPQ",
+            "WCAPTQ"
+          ]
+        },
+        {
+          "symbol": "SALE_QTR",
+          "meaning": "Net Sales",
+          "construction_latex": "We use SALEQ",
+          "source_fields": [
+            "SALEQ"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f043",
+      "neutral_name": "Years 2-5 lagged returns, nonannual",
+      "neutral_description": "Years 2–5 lagged returns, nonannual",
+      "formula_or_definition": "Average return over non-annual lags from year t-2 to t-5",
+      "input_fields": [],
+      "formula_latex": "Average return over non-annual lags from year t-2 to t-5"
+    },
+    {
+      "factor_id": "f044",
+      "neutral_name": "Number of zero trades with turnover as tiebreaker (12 months)",
+      "neutral_description": "Prior 12-month turnover-adjusted number of zero daily trading volume",
+      "formula_or_definition": "Number of days with zero trades over period. In case of equal number of zero trading days, turnover_zd will decide on the rank following Liu (2006)",
+      "input_fields": [
+        "turnover_zd"
+      ],
+      "formula_latex": "Number of days with zero trades over period. In case of equal number of zero trading days, turnover_zd will decide on the rank following Liu (2006)",
+      "formula_latex_instantiated": "Number of days with zero trades over period. In case of equal number of zero trading days, turnover_zd will decide on the rank following Liu (2006)",
+      "formula_inputs": [
+        {
+          "symbol": "turnover_zd",
+          "meaning": "Turnover",
+          "construction_latex": "\\overline{(\\frac{TVOL*_t}{SHARES*_t*1000000})}_{zD}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f045",
+      "neutral_name": "Change in current operating liabilities",
+      "neutral_description": "Change in current operating liabilities",
+      "formula_or_definition": "\\frac{COL*_t-COL*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "COL",
+        "AT"
+      ],
+      "formula_latex": "\\frac{COL*_t-COL*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "COL",
+          "meaning": "Current Operating Liabilities",
+          "construction_latex": "We use CL*- DLC. If DLC is missing, it is set to zero",
+          "source_fields": [
+            "CL",
+            "DLC"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f046",
+      "neutral_name": "Operating cash flow-to-market",
+      "neutral_description": "Operating cash flow-to-price",
+      "formula_or_definition": "\\frac{OCF*_t}{ME_t}",
+      "input_fields": [
+        "OCF",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{OCF*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "OCF",
+          "meaning": "Operating Cash Flow",
+          "construction_latex": "We prefer to use OANCF. If this is unavailable, we use NI*-OACC*. If this is unavailable, we use NI* + DP - WCAPT. If WCAPT is missing, we use 0.",
+          "source_fields": [
+            "OANCF",
+            "NI",
+            "OACC",
+            "DP",
+            "WCAPT"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f047",
+      "neutral_name": "Asset turnover",
+      "neutral_description": "Asset turnover",
+      "formula_or_definition": "\\frac{SALE*_t}{BEV*_t}",
+      "input_fields": [
+        "SALE",
+        "BEV"
+      ],
+      "formula_latex": "\\frac{SALE*_t}{BEV*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "BEV",
+          "meaning": "Book Enterprise Value",
+          "construction_latex": "We prefer to use ICAPT+DLC-CHE where DLC and CHE are set to zero if missing. If this is unavailable, we use SEQ*+NETDEBT*+ MIB where we set MIB to zero if missing. In the global data ICAPT is reduced by Treasury stock",
+          "source_fields": [
+            "ICAPT",
+            "DLC",
+            "CHE",
+            "SEQ",
+            "NETDEBT",
+            "MIB"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f048",
+      "neutral_name": "Inventory growth",
+      "neutral_description": "Inventory growth",
+      "formula_or_definition": "\\frac{INV_t}{INV_{t-12}} - 1",
+      "input_fields": [
+        "INV_t"
+      ],
+      "formula_latex": "\\frac{INV_t}{INV_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "INV_t",
+          "meaning": "Inventory",
+          "construction_latex": "Compustat item INVT",
+          "source_fields": [
+            "INVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f049",
+      "neutral_name": "Net equity issuance",
+      "neutral_description": "Net equity finance",
+      "formula_or_definition": "\\frac{EQNETIS*_t}{AT*_t}",
+      "input_fields": [
+        "EQNETIS",
+        "AT"
+      ],
+      "formula_latex": "\\frac{EQNETIS*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EQNETIS",
+          "meaning": "Equity Net Issuance",
+          "construction_latex": "We use EQIS*-EQBB*. Either EQIS* or EQBB* are allowed to be missing",
+          "source_fields": [
+            "EQIS",
+            "EQBB"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f050",
+      "neutral_name": "Coefficient of variation for dollar trading volume",
+      "neutral_description": "Coefficient of variation for dollar trading volume",
+      "formula_or_definition": "\\frac{\\sigma_{126D}(DOLVOL*_t)}{<input>_t}",
+      "input_fields": [
+        "DOLVOL",
+        "dolvol_zd"
+      ],
+      "formula_latex": "\\frac{\\sigma_{zD}(DOLVOL*_t)}{DOLVOL_zD_t}",
+      "formula_latex_instantiated": "\\frac{\\sigma_{126D}(DOLVOL*_t)}{<input>_t}",
+      "formula_inputs": [
+        {
+          "symbol": "DOLVOL",
+          "meaning": "Dollar Volume",
+          "construction_latex": "We use TVOL*$\\times$<input>*",
+          "source_fields": [
+            "TVOL",
+            "<input>"
+          ]
+        },
+        {
+          "symbol": "DOLVOL_zD_t",
+          "meaning": "Dollar Volume",
+          "construction_latex": "\\overline{DOLVOL*_t}_{zD}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f051",
+      "neutral_name": "CAPEX growth (3 years)",
+      "neutral_description": "3-year investment growth",
+      "formula_or_definition": "\\frac{CAPX_t}{CAPX_{t-36}} - 1",
+      "input_fields": [
+        "CAPX_t"
+      ],
+      "formula_latex": "\\frac{CAPX_t}{CAPX_{t-36}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "CAPX_t",
+          "meaning": "Capital Expenditures",
+          "construction_latex": "Compustat item CAPX",
+          "source_fields": [
+            "CAPX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f052",
+      "neutral_name": "Cash-to-assets",
+      "neutral_description": "Cash-to-assets",
+      "formula_or_definition": "\\frac{CASH_t}{AT*_t}",
+      "input_fields": [
+        "CASH_t",
+        "AT"
+      ],
+      "formula_latex": "\\frac{CASH_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "CASH_t",
+          "meaning": "Cash and Short-Term Investment",
+          "construction_latex": "Compustat item CHE",
+          "source_fields": [
+            "CHE"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f053",
+      "neutral_name": "Operating profits-to-lagged book equity",
+      "neutral_description": "Operating profits-to-lagged book equity",
+      "formula_or_definition": "\\frac{OPE*_t}{BE*_{t-12}}",
+      "input_fields": [
+        "OPE",
+        "BE"
+      ],
+      "formula_latex": "\\frac{OPE*_t}{BE*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "OPE",
+          "meaning": "Operating Profit to Equity",
+          "construction_latex": "We use EBITDA*-XINT. Note that we target the same variable as the numerator of the profitability characteristic used to create the Robust-minus weak factor in the fama-French 5 factor model (Fama and French, 2015)",
+          "source_fields": [
+            "EBITDA",
+            "XINT"
+          ]
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f054",
+      "neutral_name": "Highest 5 days of return",
+      "neutral_description": "Highest 5 days of return",
+      "formula_or_definition": "\\frac{1}{5}\\sum_{n = 1}^5 X_n, X_n \\in MAX5_21D(RET*)",
+      "input_fields": [
+        "RET"
+      ],
+      "formula_latex": "\\frac{1}{5}\\sum_{n = 1}^5 X_n, X_n \\in MAX5_zD(RET*)",
+      "formula_latex_instantiated": "\\frac{1}{5}\\sum_{n = 1}^5 X_n, X_n \\in MAX5_21D(RET*)",
+      "formula_inputs": [
+        {
+          "symbol": "RET",
+          "meaning": "Return",
+          "construction_latex": "We use RET. In case of delisting, we calculate as (1+RET)*(1+DLRET)-1",
+          "source_fields": [
+            "RET",
+            "DLRET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f055",
+      "neutral_name": "Pitroski F-score",
+      "neutral_description": "Fundamental score",
+      "formula_or_definition": "f055_t =& _f_roa_{>0, t} + _f_croa_{>0, t} + _f_droa_{>0, t} + _f_acc_{>0, t} + \\\\ &_f_lev_{<0, t} + _f_liq_{>0, t} + _f_eqis_{=0, t} + _f_gm_{>0, t} + _f_aturn_{>0, t}",
+      "input_fields": [
+        "NI",
+        "AT",
+        "OCF",
+        "DLTT_t",
+        "CA",
+        "CL",
+        "EQIS",
+        "GP",
+        "SALE"
+      ],
+      "formula_latex": "f055_t =& _f_roa_{>0, t} + _f_croa_{>0, t} + _f_droa_{>0, t} + _f_acc_{>0, t} + \\\\ &_f_lev_{<0, t} + _f_liq_{>0, t} + _f_eqis_{=0, t} + _f_gm_{>0, t} + _f_aturn_{>0, t}",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        },
+        {
+          "symbol": "OCF",
+          "meaning": "Operating Cash Flow",
+          "construction_latex": "We prefer to use OANCF. If this is unavailable, we use NI*-OACC*. If this is unavailable, we use NI* + DP - WCAPT. If WCAPT is missing, we use 0.",
+          "source_fields": [
+            "OANCF",
+            "NI",
+            "OACC",
+            "DP",
+            "WCAPT"
+          ]
+        },
+        {
+          "symbol": "DLTT_t",
+          "meaning": "Long-Term Debt",
+          "construction_latex": "Compustat item DLTT",
+          "source_fields": [
+            "DLTT"
+          ]
+        },
+        {
+          "symbol": "CA",
+          "meaning": "Current Assets",
+          "construction_latex": "We prefer ACT. If this is unavailable, we use RECT+INVT+CHE+ACO",
+          "source_fields": [
+            "ACT",
+            "RECT",
+            "INVT",
+            "CHE",
+            "ACO"
+          ]
+        },
+        {
+          "symbol": "CL",
+          "meaning": "Current Liabilities",
+          "construction_latex": "We prefer LCT. If this is unavailable, we use AP+ DLC+ TXP+ LCO",
+          "source_fields": [
+            "LCT",
+            "AP",
+            "DLC",
+            "TXP",
+            "LCO"
+          ]
+        },
+        {
+          "symbol": "EQIS",
+          "meaning": "Equity Issuance",
+          "construction_latex": "Compustat item SSTK",
+          "source_fields": [
+            "SSTK"
+          ]
+        },
+        {
+          "symbol": "GP",
+          "meaning": "Gross Profit",
+          "construction_latex": "We prefer to use GP. If this is unavailable we use sale*-COGS",
+          "source_fields": [
+            "GP",
+            "COGS"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f056",
+      "neutral_name": "Change in long-term net operating assets",
+      "neutral_description": "Change in long-term net operating assets",
+      "formula_or_definition": "\\frac{LNOA*_t - LNOA*_{t-12}}{AT*_t - AT*_{t-12}}",
+      "input_fields": [
+        "LNOA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{LNOA*_t - LNOA*_{t-12}}{AT*_t - AT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "LNOA",
+          "meaning": "Long-Term NOA",
+          "construction_latex": "PPENT + INTAN + AO - LO + DP",
+          "source_fields": [
+            "PPENT",
+            "INTAN",
+            "AO",
+            "LO",
+            "DP"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f057",
+      "neutral_name": "Years 16-20 lagged returns, annual",
+      "neutral_description": "Years 16–20 lagged returns, annual",
+      "formula_or_definition": "Average return over annual lags from year t-16 to t-20)",
+      "input_fields": [],
+      "formula_latex": "Average return over annual lags from year t-16 to t-20)"
+    },
+    {
+      "factor_id": "f058",
+      "neutral_name": "Idiosyncratic volatility from the CAPM (252 days)",
+      "neutral_description": "Idiosyncratic volatility",
+      "formula_or_definition": "\\sigma_{252D}(\\epsilon_t)",
+      "input_fields": [],
+      "formula_latex": "\\sigma_{zD}(\\epsilon_t)",
+      "formula_latex_instantiated": "\\sigma_{252D}(\\epsilon_t)"
+    },
+    {
+      "factor_id": "f059",
+      "neutral_name": "Residual momentum t-6 to t-1",
+      "neutral_description": "Residual momentum,  prior 6-month returns",
+      "formula_or_definition": "-1 + \\prod_{n = 1}^6 1 + e_{t-n}",
+      "input_fields": [
+        "e_"
+      ],
+      "formula_latex": "-1 + \\prod_{n = 1}^6 1 + e_{t-n}",
+      "formula_inputs": [
+        {
+          "symbol": "e_",
+          "meaning": "Residual from the Fama-French three-factor regression",
+          "construction_latex": "RET\\_EXC^*_t = \\beta_0 + \\beta_1 MKTRF^*_t + \\beta_2 HML^*_t + \\beta_3 SMB\\_FF^*_t + e_t"
+        }
+      ]
+    },
+    {
+      "factor_id": "f060",
+      "neutral_name": "Years 2-5 lagged returns, annual",
+      "neutral_description": "Years 2–5 lagged returns, annual",
+      "formula_or_definition": "Average return over annual lags from year t-2 to t-5",
+      "input_fields": [],
+      "formula_latex": "Average return over annual lags from year t-2 to t-5"
+    },
+    {
+      "factor_id": "f061",
+      "neutral_name": "Frazzini-Pedersen market beta",
+      "neutral_description": "The Frazzini-Pedersen beta",
+      "formula_or_definition": "\\frac{f063_t \\times RVOL_252d_t}{_MKTVOL_252d*_t}",
+      "input_fields": [
+        "f063",
+        "rvol_252d"
+      ],
+      "formula_latex": "\\frac{f063_t \\times RVOL_252d_t}{_MKTVOL_252d*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "f063_t",
+          "meaning": "Correlation to Market",
+          "construction_latex": "The correlation between $RET_EXC*_3l = RET_EXC*_t + RET_EXC*_{t-1} + RET_EXC*_{t-2}$ and $MKT_EXC_3l = MKTRF*_t + MKTRF*_{t-1} + MKTRF*_{t-2}$"
+        },
+        {
+          "symbol": "RVOL_252d_t",
+          "meaning": "Return Volatility",
+          "construction_latex": "\\sigma_{zD}(RET_EXC*_t)"
+        }
+      ]
+    },
+    {
+      "factor_id": "f062",
+      "neutral_name": "Idiosyncratic skewness from the q-factor model",
+      "neutral_description": "Idiosyncratic skewness from the q-factor model",
+      "formula_or_definition": "SKEW_21D(\\sigma_t)",
+      "input_fields": [],
+      "formula_latex": "SKEW_zD(\\sigma_t)",
+      "formula_latex_instantiated": "SKEW_21D(\\sigma_t)"
+    },
+    {
+      "factor_id": "f063",
+      "neutral_name": "Market correlation",
+      "neutral_description": "Market Correlation",
+      "formula_or_definition": "The correlation between $RET_EXC*_3l = RET_EXC*_t + RET_EXC*_{t-1} + RET_EXC*_{t-2}$ and $MKT_EXC_3l = MKTRF*_t + MKTRF*_{t-1} + MKTRF*_{t-2}$",
+      "input_fields": [
+        "RET_EXC",
+        "MKTRF"
+      ],
+      "formula_latex": "The correlation between $RET_EXC*_3l = RET_EXC*_t + RET_EXC*_{t-1} + RET_EXC*_{t-2}$ and $MKT_EXC_3l = MKTRF*_t + MKTRF*_{t-1} + MKTRF*_{t-2}$",
+      "formula_latex_instantiated": "The correlation between $RET_EXC*_3l = RET_EXC*_t + RET_EXC*_{t-1} + RET_EXC*_{t-2}$ and $MKT_EXC_3l = MKTRF*_t + MKTRF*_{t-1} + MKTRF*_{t-2}$",
+      "formula_inputs": [
+        {
+          "symbol": "RET_EXC",
+          "meaning": "Excess Return",
+          "construction_latex": "We use RET*-T30RET/21. If T30RET is unavailable, we use RF. If the return is a monthly return rather than a daily return, the T30RET is divided by 1 rather than 21.",
+          "source_fields": [
+            "RET",
+            "T30RET",
+            "RF"
+          ]
+        },
+        {
+          "symbol": "MKTRF",
+          "meaning": "Excess Market Return",
+          "construction_latex": "Country specific market return"
+        }
+      ]
+    },
+    {
+      "factor_id": "f064",
+      "neutral_name": "Net operating assets",
+      "neutral_description": "Net operating assets",
+      "formula_or_definition": "\\frac{NOA*_t}{AT*_t}",
+      "input_fields": [
+        "NOA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NOA*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NOA",
+          "meaning": "Net Operating Assets",
+          "construction_latex": "We use OA*-OL*",
+          "source_fields": [
+            "OA",
+            "OL"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f065",
+      "neutral_name": "Change in current operating assets",
+      "neutral_description": "Change in current operating assets",
+      "formula_or_definition": "\\frac{COA*_t-COA*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "COA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{COA*_t-COA*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "COA",
+          "meaning": "Current Operating Assets",
+          "construction_latex": "We use CA*- CHE",
+          "source_fields": [
+            "CA",
+            "CHE"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f066",
+      "neutral_name": "Change in quarterly return on equity",
+      "neutral_description": "4-quarter change in return on equity",
+      "formula_or_definition": "<input>_t - <input>_{t-12}",
+      "input_fields": [
+        "<input>"
+      ],
+      "formula_latex": "<input>_t - <input>_{t-12}",
+      "formula_inputs": [
+        {
+          "symbol": "<input>_t",
+          "meaning": "Quarterly Income scaled by BE",
+          "construction_latex": "\\frac{NI_QTR*_t}{BE*_{t-3}}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f067",
+      "neutral_name": "Earnings persistence",
+      "neutral_description": "Earnings persistence",
+      "formula_or_definition": "{ \\frac{cov((NI*/AT*)_t, (NI*/AT*)_{t-12})}{var((NI*/AT*)_{t-12})} }",
+      "input_fields": [
+        "NI",
+        "AT"
+      ],
+      "formula_latex": "{ \\frac{cov((NI*/AT*)_t, (NI*/AT*)_{t-12})}{var((NI*/AT*)_{t-12})} }",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f068",
+      "neutral_name": "R&D-to-market",
+      "neutral_description": "R&D expense-to-market",
+      "formula_or_definition": "\\frac{XRD_t}{ME_t}",
+      "input_fields": [
+        "XRD_t",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{XRD_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "XRD_t",
+          "meaning": "Research and Development Expenses",
+          "construction_latex": "Compustat item XRD. Note that this is not available in Compustat Global",
+          "source_fields": [
+            "XRD"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f069",
+      "neutral_name": "Book-to-market enterprise value",
+      "neutral_description": "Enterprise book-to-price",
+      "formula_or_definition": "\\frac{BEV*_t}{MEV*_t}",
+      "input_fields": [
+        "BEV",
+        "MEV"
+      ],
+      "formula_latex": "\\frac{BEV*_t}{MEV*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "BEV",
+          "meaning": "Book Enterprise Value",
+          "construction_latex": "We prefer to use ICAPT+DLC-CHE where DLC and CHE are set to zero if missing. If this is unavailable, we use SEQ*+NETDEBT*+ MIB where we set MIB to zero if missing. In the global data ICAPT is reduced by Treasury stock",
+          "source_fields": [
+            "ICAPT",
+            "DLC",
+            "CHE",
+            "SEQ",
+            "NETDEBT",
+            "MIB"
+          ]
+        },
+        {
+          "symbol": "MEV",
+          "meaning": "Market Enterprise Value",
+          "construction_latex": "We use ME_COMPANY + NETDEBT* $\\times$ FX*",
+          "source_fields": [
+            "ME_COMPANY",
+            "NETDEBT",
+            "FX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f070",
+      "neutral_name": "Liquidity of book assets",
+      "neutral_description": "Liquidity of book assets",
+      "formula_or_definition": "\\frac{ALIQ*_t}{AT*_{t-12}}",
+      "input_fields": [
+        "ALIQ",
+        "AT"
+      ],
+      "formula_latex": "\\frac{ALIQ*_t}{AT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "ALIQ",
+          "meaning": "Ortiz-Molina and Phillips Liquidity",
+          "construction_latex": "CHE + 0.75$\\times$ COA* + 0.5(AT* - CA* - INTAN). If INTAN is missing, we set it to zero",
+          "source_fields": [
+            "CHE",
+            "COA",
+            "AT",
+            "CA",
+            "INTAN"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f071",
+      "neutral_name": "Earnings variability",
+      "neutral_description": "Earnings smoothness",
+      "formula_or_definition": "\\frac{\\sigma_{60M}(NI*_t/AT*_{t-12})}{\\sigma_{60M}(OCF*_t/AT*_{t-12})}",
+      "input_fields": [
+        "NI",
+        "AT",
+        "OCF"
+      ],
+      "formula_latex": "\\frac{\\sigma_{60M}(NI*_t/AT*_{t-12})}{\\sigma_{60M}(OCF*_t/AT*_{t-12})}",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        },
+        {
+          "symbol": "OCF",
+          "meaning": "Operating Cash Flow",
+          "construction_latex": "We prefer to use OANCF. If this is unavailable, we use NI*-OACC*. If this is unavailable, we use NI* + DP - WCAPT. If WCAPT is missing, we use 0.",
+          "source_fields": [
+            "OANCF",
+            "NI",
+            "OACC",
+            "DP",
+            "WCAPT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f072",
+      "neutral_name": "Growth in book debt (3 years)",
+      "neutral_description": "Composite debt issuance",
+      "formula_or_definition": "\\frac{DEBT*_t}{DEBT*_{t-36}} - 1",
+      "input_fields": [
+        "DEBT"
+      ],
+      "formula_latex": "\\frac{DEBT*_t}{DEBT*_{t-36}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "DEBT",
+          "meaning": "Total Debt",
+          "construction_latex": "We use DLTT+ DLC. Either DLTT or DLC are allowed to me missing",
+          "source_fields": [
+            "DLTT",
+            "DLC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f073",
+      "neutral_name": "Return volatility",
+      "neutral_description": "Total volatility",
+      "formula_or_definition": "\\sigma_{21D}(RET_EXC*_t)",
+      "input_fields": [
+        "RET_EXC"
+      ],
+      "formula_latex": "\\sigma_{zD}(RET_EXC*_t)",
+      "formula_latex_instantiated": "\\sigma_{21D}(RET_EXC*_t)",
+      "formula_inputs": [
+        {
+          "symbol": "RET_EXC",
+          "meaning": "Excess Return",
+          "construction_latex": "We use RET*-T30RET/21. If T30RET is unavailable, we use RF. If the return is a monthly return rather than a daily return, the T30RET is divided by 1 rather than 21.",
+          "source_fields": [
+            "RET",
+            "T30RET",
+            "RF"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f074",
+      "neutral_name": "Change gross margin minus change sales",
+      "neutral_description": "Percentage change in gross margin minus percentage change in sales",
+      "formula_or_definition": "CHG_TO_EXP(GP*_t) - CHG_TO_EXP(SALE*_t)",
+      "input_fields": [
+        "GP",
+        "SALE"
+      ],
+      "formula_latex": "CHG_TO_EXP(GP*_t) - CHG_TO_EXP(SALE*_t)",
+      "formula_inputs": [
+        {
+          "symbol": "GP",
+          "meaning": "Gross Profit",
+          "construction_latex": "We prefer to use GP. If this is unavailable we use sale*-COGS",
+          "source_fields": [
+            "GP",
+            "COGS"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f075",
+      "neutral_name": "Net total issuance",
+      "neutral_description": "Net external finance",
+      "formula_or_definition": "\\frac{NETIS*_t}{AT*_t}",
+      "input_fields": [
+        "NETIS",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NETIS*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NETIS",
+          "meaning": "Net Issuance",
+          "construction_latex": "We use EQNETIS*+DBNETIS* and require that both EQNETIS* and DBNETIS* are non-missing",
+          "source_fields": [
+            "EQNETIS",
+            "DBNETIS"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f076",
+      "neutral_name": "Change in common equity",
+      "neutral_description": "Change in common equity",
+      "formula_or_definition": "\\frac{BE*_t - BE*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "BE",
+        "AT"
+      ],
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+    "f006": "seas_1_1na",
+    "f007": "ivol_capm_21d",
+    "f008": "nfna_gr1a",
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+    "f010": "seas_2_5an",
+    "f011": "capx_gr1",
+    "f012": "dsale_drec",
+    "f013": "at_be",
+    "f014": "at_turnover",
+    "f015": "iskew_capm_21d",
+    "f016": "sale_emp_gr1",
+    "f017": "cop_at",
+    "f018": "ncoa_gr1a",
+    "f019": "ivol_capm_252d",
+    "f020": "ebit_sale",
+    "f021": "rmax1_21d",
+    "f022": "aliq_mat",
+    "f023": "o_score",
+    "f024": "ppeinv_gr1a",
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+    "f026": "resff3_6_1",
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+    "f028": "seas_1_1an",
+    "f029": "at_gr1",
+    "f030": "col_gr1a",
+    "f031": "taccruals_at",
+    "f032": "market_equity",
+    "f033": "seas_6_10na",
+    "f034": "debt_gr3",
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+    "f036": "ni_be",
+    "f037": "bev_mev",
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+    "f040": "ni_ar1",
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+    "f044": "coskew_21d",
+    "f045": "fnl_gr1a",
+    "f046": "ret_1_0",
+    "f047": "niq_be_chg1",
+    "f048": "cash_at",
+    "f049": "mispricing_mgmt",
+    "f050": "ret_12_1",
+    "f051": "dolvol_126d",
+    "f052": "dsale_dsga",
+    "f053": "ret_60_12",
+    "f054": "lnoa_gr1a",
+    "f055": "sale_gr3",
+    "f056": "ocf_me",
+    "f057": "iskew_hxz4_21d",
+    "f058": "rmax5_rvol_21d",
+    "f059": "coa_gr1a",
+    "f060": "f_score",
+    "f061": "seas_16_20an",
+    "f062": "eqnpo_12m",
+    "f063": "sale_me",
+    "f064": "ival_me",
+    "f065": "be_gr1a",
+    "f066": "qmj_safety",
+    "f067": "ope_bel1",
+    "f068": "ebitda_mev",
+    "f069": "niq_su",
+    "f070": "noa_at",
+    "f071": "cop_atl1",
+    "f072": "rvol_21d",
+    "f073": "ocfq_saleq_std",
+    "f074": "dgp_dsale",
+    "f075": "dolvol_var_126d",
+    "f076": "saleq_su"
+  },
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+    "f002",
+    "f003",
+    "f004",
+    "f005",
+    "f006",
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+    "f020",
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+    "f023",
+    "f024",
+    "f025",
+    "f026",
+    "f027",
+    "f028",
+    "f029",
+    "f030",
+    "f031",
+    "f032",
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+    "f035",
+    "f036",
+    "f037",
+    "f038",
+    "f039",
+    "f040",
+    "f041",
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+    "f043",
+    "f044",
+    "f045",
+    "f046",
+    "f047",
+    "f048",
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+    "f050",
+    "f051",
+    "f052",
+    "f053",
+    "f054",
+    "f055",
+    "f056",
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+    "f059",
+    "f060",
+    "f061",
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+    "f068",
+    "f069",
+    "f070",
+    "f071",
+    "f072",
+    "f073",
+    "f074",
+    "f075",
+    "f076"
+  ],
+  "note": "evaluator-only; feature names are anonymized in the public payload"
+}

data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_4d998bedbff7d783/manifest.json

@@ -0,0 +1,355 @@
+{
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+  "generator_version": "build_task_c_frozen_raw_rolling.v4_anchor_subset_policy",
+  "track": "semantic",
+  "semantic_card_schema_version": "semantic_factor_card.v1",
+  "case_number": 150,
+  "case_id": "c_case_4d998bedbff7d783",
+  "sequence_id": "c_case_4d998bedbff7d783",
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+  "path": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_4d998bedbff7d783",
+  "case_manifest_path": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_4d998bedbff7d783/manifest.json",
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+    "ope_bel1",
+    "ebitda_mev",
+    "niq_su",
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+    "rvol_21d",
+    "ocfq_saleq_std",
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+    "saleq_su"
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+    "capx_gr1",
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+    "coa_gr1a",
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+    "cop_atl1",
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+    "debt_me",
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+    "dsale_dsga",
+    "ebit_sale",
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+    "eqnpo_12m",
+    "eqnpo_me",
+    "f_score",
+    "fnl_gr1a",
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+    "ival_me",
+    "ivol_capm_21d",
+    "ivol_capm_252d",
+    "lnoa_gr1a",
+    "market_equity",
+    "mispricing_mgmt",
+    "ncoa_gr1a",
+    "nfna_gr1a",
+    "ni_ar1",
+    "ni_be",
+    "ni_inc8q",
+    "niq_at",
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+    "niq_be_chg1",
+    "niq_su",
+    "noa_at",
+    "o_score",
+    "ocf_at_chg1",
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+    "ocfq_saleq_std",
+    "ope_bel1",
+    "ppeinv_gr1a",
+    "prc",
+    "qmj_safety",
+    "resff3_6_1",
+    "ret_12_1",
+    "ret_1_0",
+    "ret_3_1",
+    "ret_60_12",
+    "ret_9_1",
+    "rmax1_21d",
+    "rmax5_rvol_21d",
+    "rvol_21d",
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+    "sale_gr3",
+    "sale_me",
+    "saleq_su",
+    "seas_16_20an",
+    "seas_1_1an",
+    "seas_1_1na",
+    "seas_2_5an",
+    "seas_6_10an",
+    "seas_6_10na",
+    "sti_gr1a",
+    "taccruals_at"
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+  ],
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+}

data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_4d998bedbff7d783/payload.json

@@ -0,0 +1,2436 @@
+{
+  "case_id": "c_case_4d998bedbff7d783",
+  "task": "stock_multifactor_model",
+  "horizon_months": 1,
+  "track": "semantic",
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+    "f029",
+    "f030",
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+    "f060",
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+    "f075",
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+      "input_fields": [
+        "NI_QTR",
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+      "formula_latex": "\\frac{NI_QTR*_t}{AT*_{t-3}}",
+      "formula_inputs": [
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+          "construction_latex": "We use IBQ",
+          "source_fields": [
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+        "ME_t"
+      ],
+      "formula_latex": "\\frac{EQNPO*_t}{ME_t}",
+      "formula_inputs": [
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+          "symbol": "EQNPO",
+          "meaning": "Equity Net Payout",
+          "construction_latex": "We use DIV*-EQNETIS*",
+          "source_fields": [
+            "DIV",
+            "EQNETIS"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
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+        }
+      ]
+    },
+    {
+      "factor_id": "f003",
+      "neutral_name": "Price per share",
+      "neutral_description": "Price per share",
+      "formula_or_definition": "We use $|$f003$|$",
+      "input_fields": [],
+      "formula_latex": "We use $|$f003$|$"
+    },
+    {
+      "factor_id": "f004",
+      "neutral_name": "Change sales minus change Inventory",
+      "neutral_description": "Percentage change in sales minus percentage change in inventory",
+      "formula_or_definition": "CHG_TO_EXP(SALE*_t) - CHG_TO_EXP(INV_t)",
+      "input_fields": [
+        "SALE",
+        "INV_t"
+      ],
+      "formula_latex": "CHG_TO_EXP(SALE*_t) - CHG_TO_EXP(INV_t)",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "INV_t",
+          "meaning": "Inventory",
+          "construction_latex": "Compustat item INVT",
+          "source_fields": [
+            "INVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f005",
+      "neutral_name": "Market Beta",
+      "neutral_description": "The market beta",
+      "formula_or_definition": "\\frac{COVAR_60M(RET*_t, MKTRF*_t)}{VARC_60M(MKTRF*_t)}",
+      "input_fields": [
+        "RET",
+        "MKTRF"
+      ],
+      "formula_latex": "\\frac{COVAR_60M(RET*_t, MKTRF*_t)}{VARC_60M(MKTRF*_t)}",
+      "formula_inputs": [
+        {
+          "symbol": "RET",
+          "meaning": "Return",
+          "construction_latex": "We use RET. In case of delisting, we calculate as (1+RET)*(1+DLRET)-1",
+          "source_fields": [
+            "RET",
+            "DLRET"
+          ]
+        },
+        {
+          "symbol": "MKTRF",
+          "meaning": "Excess Market Return",
+          "construction_latex": "Country specific market return"
+        }
+      ]
+    },
+    {
+      "factor_id": "f006",
+      "neutral_name": "Year 1-lagged return, nonannual",
+      "neutral_description": "Year 1-lagged return, nonannual",
+      "formula_or_definition": "Average return from month t-1 to t-11",
+      "input_fields": [],
+      "formula_latex": "Average return from month t-1 to t-11"
+    },
+    {
+      "factor_id": "f007",
+      "neutral_name": "Idiosyncratic volatility from the CAPM (21 days)",
+      "neutral_description": "Idiosyncratic volatility from the CAPM",
+      "formula_or_definition": "\\sigma_{21D}(\\epsilon_t)",
+      "input_fields": [],
+      "formula_latex": "\\sigma_{zD}(\\epsilon_t)",
+      "formula_latex_instantiated": "\\sigma_{21D}(\\epsilon_t)"
+    },
+    {
+      "factor_id": "f008",
+      "neutral_name": "Change in net financial assets",
+      "neutral_description": "Change in net financial assets",
+      "formula_or_definition": "\\frac{NFNA*_t-NFNA*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "NFNA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NFNA*_t-NFNA*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NFNA",
+          "meaning": "Net Financial Assets",
+          "construction_latex": "We use FNA*-FNL*",
+          "source_fields": [
+            "FNA",
+            "FNL"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f009",
+      "neutral_name": "Change in short-term investments",
+      "neutral_description": "Change in short-term investments",
+      "formula_or_definition": "\\frac{IVST_t - IVST_{t-12}}{AT*_t}",
+      "input_fields": [
+        "IVST_t",
+        "AT"
+      ],
+      "formula_latex": "\\frac{IVST_t - IVST_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "IVST_t",
+          "meaning": "Compustat cash and short-term investments item IVST",
+          "construction_latex": "\\mathrm{Compustat}\\ IVST",
+          "source_fields": [
+            "IVST"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f010",
+      "neutral_name": "Years 2-5 lagged returns, annual",
+      "neutral_description": "Years 2–5 lagged returns, annual",
+      "formula_or_definition": "Average return over annual lags from year t-2 to t-5",
+      "input_fields": [],
+      "formula_latex": "Average return over annual lags from year t-2 to t-5"
+    },
+    {
+      "factor_id": "f011",
+      "neutral_name": "CAPEX growth (1 year)",
+      "neutral_description": "Investment growth",
+      "formula_or_definition": "\\frac{CAPX_t}{CAPX_{t-12}} - 1",
+      "input_fields": [
+        "CAPX_t"
+      ],
+      "formula_latex": "\\frac{CAPX_t}{CAPX_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "CAPX_t",
+          "meaning": "Capital Expenditures",
+          "construction_latex": "Compustat item CAPX",
+          "source_fields": [
+            "CAPX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f012",
+      "neutral_name": "Change sales minus change receivables",
+      "neutral_description": "Percentage change in sales minus percentage change in accounts receivable",
+      "formula_or_definition": "CHG_TO_EXP(SALE*_t) - CHG_TO_EXP(REC_t)",
+      "input_fields": [
+        "SALE",
+        "REC_t"
+      ],
+      "formula_latex": "CHG_TO_EXP(SALE*_t) - CHG_TO_EXP(REC_t)",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "REC_t",
+          "meaning": "Account Receivables",
+          "construction_latex": "Compustat item RECT",
+          "source_fields": [
+            "RECT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f013",
+      "neutral_name": "Book leverage",
+      "neutral_description": "Book leverage",
+      "formula_or_definition": "\\frac{AT*_t}{BE*_t}",
+      "input_fields": [
+        "AT",
+        "BE"
+      ],
+      "formula_latex": "\\frac{AT*_t}{BE*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f014",
+      "neutral_name": "Capital turnover",
+      "neutral_description": "Capital turnover",
+      "formula_or_definition": "\\frac{SALE*_t}{(AT*_t+AT*_{t -12})/2}",
+      "input_fields": [
+        "SALE",
+        "AT"
+      ],
+      "formula_latex": "\\frac{SALE*_t}{(AT*_t+AT*_{t -12})/2}",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f015",
+      "neutral_name": "Idiosyncratic skewness from the CAPM",
+      "neutral_description": "Idiosyncratic skewness from the CAPM",
+      "formula_or_definition": "SKEW_21D(\\epsilon_t)",
+      "input_fields": [],
+      "formula_latex": "SKEW_zD(\\epsilon_t)",
+      "formula_latex_instantiated": "SKEW_21D(\\epsilon_t)"
+    },
+    {
+      "factor_id": "f016",
+      "neutral_name": "Labor force efficiency",
+      "neutral_description": "Labor force efficiency",
+      "formula_or_definition": "\\frac{SALE_EMP_t}{SALE_EMP_{t-12}} - 1",
+      "input_fields": [
+        "sale_emp"
+      ],
+      "formula_latex": "\\frac{SALE_EMP_t}{SALE_EMP_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "SALE_EMP_t",
+          "meaning": "Sales scaled by Employees",
+          "construction_latex": "\\frac{SALE*_t}{EMP_t}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f017",
+      "neutral_name": "Cash-based operating profits-to-book assets",
+      "neutral_description": "Cash-based operating profits-to-book assets",
+      "formula_or_definition": "\\frac{COP*_t}{AT*_t}",
+      "input_fields": [
+        "COP",
+        "AT"
+      ],
+      "formula_latex": "\\frac{COP*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "COP",
+          "meaning": "Cash Based Operating Profitability",
+          "construction_latex": "We prefer EBITDA*+XRD-OACC*. If XRD is unavailable, we set it to zero",
+          "source_fields": [
+            "EBITDA",
+            "XRD",
+            "OACC"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f018",
+      "neutral_name": "Change in noncurrent operating assets",
+      "neutral_description": "Change in noncurrent operating assets",
+      "formula_or_definition": "\\frac{NCOA*_t-NCOA*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "NCOA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NCOA*_t-NCOA*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NCOA",
+          "meaning": "Non-Current Operating Assets",
+          "construction_latex": "We use AT* - CA*- IVAO",
+          "source_fields": [
+            "AT",
+            "CA",
+            "IVAO"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f019",
+      "neutral_name": "Idiosyncratic volatility from the CAPM (252 days)",
+      "neutral_description": "Idiosyncratic volatility",
+      "formula_or_definition": "\\sigma_{252D}(\\epsilon_t)",
+      "input_fields": [],
+      "formula_latex": "\\sigma_{zD}(\\epsilon_t)",
+      "formula_latex_instantiated": "\\sigma_{252D}(\\epsilon_t)"
+    },
+    {
+      "factor_id": "f020",
+      "neutral_name": "Profit margin",
+      "neutral_description": "Profit margin",
+      "formula_or_definition": "\\frac{EBIT*_t}{SALE*_t}",
+      "input_fields": [
+        "EBIT",
+        "SALE"
+      ],
+      "formula_latex": "\\frac{EBIT*_t}{SALE*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EBIT",
+          "meaning": "Operating Income After Depreciation",
+          "construction_latex": "We prefer to use EBIT. If this is unavailable, we use OIADP. If this is unavailable, we use EBITDA*-DP",
+          "source_fields": [
+            "EBIT",
+            "OIADP",
+            "EBITDA",
+            "DP"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f021",
+      "neutral_name": "Maximum daily return",
+      "neutral_description": "Maximum daily return",
+      "formula_or_definition": "MAX1_21D(RET*_t)",
+      "input_fields": [
+        "RET"
+      ],
+      "formula_latex": "MAX1_zD(RET*_t)",
+      "formula_latex_instantiated": "MAX1_21D(RET*_t)",
+      "formula_inputs": [
+        {
+          "symbol": "RET",
+          "meaning": "Return",
+          "construction_latex": "We use RET. In case of delisting, we calculate as (1+RET)*(1+DLRET)-1",
+          "source_fields": [
+            "RET",
+            "DLRET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f022",
+      "neutral_name": "Liquidity of market assets",
+      "neutral_description": "Liquidity of market assets",
+      "formula_or_definition": "\\frac{ALIQ*_t}{MAT*_{t-12}}",
+      "input_fields": [
+        "ALIQ",
+        "MAT"
+      ],
+      "formula_latex": "\\frac{ALIQ*_t}{MAT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "ALIQ",
+          "meaning": "Ortiz-Molina and Phillips Liquidity",
+          "construction_latex": "CHE + 0.75$\\times$ COA* + 0.5(AT* - CA* - INTAN). If INTAN is missing, we set it to zero",
+          "source_fields": [
+            "CHE",
+            "COA",
+            "AT",
+            "CA",
+            "INTAN"
+          ]
+        },
+        {
+          "symbol": "MAT",
+          "meaning": "Market Assets",
+          "construction_latex": "We use AT* $\\times$ FX - BE* $\\times$ FX + ME_COMPANY",
+          "source_fields": [
+            "AT",
+            "FX",
+            "BE",
+            "ME_COMPANY"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f023",
+      "neutral_name": "Ohlson O-score",
+      "neutral_description": "Ohlson’s (1980) O-score",
+      "formula_or_definition": "f023_t =& -1.37 - 0.407 \\times _o_lat_t + 6.03 \\times _o_lev_t + 1.43 \\times _o_wc_t + \\\\ &0.076 \\times _o_cacl_t - 1.72 \\times _o_neg_eq_t - 2.37 \\times _o_roe_t - \\\\ &1.83 \\times _o_ffo_t + 0.285 \\times _o_neg_earn_t - 0.52 \\times _o_nich_t",
+      "input_fields": [
+        "AT",
+        "DEBT",
+        "CA",
+        "CL",
+        "NIX",
+        "PI",
+        "DP_t",
+        "LT_t"
+      ],
+      "formula_latex": "f023_t =& -1.37 - 0.407 \\times _o_lat_t + 6.03 \\times _o_lev_t + 1.43 \\times _o_wc_t + \\\\ &0.076 \\times _o_cacl_t - 1.72 \\times _o_neg_eq_t - 2.37 \\times _o_roe_t - \\\\ &1.83 \\times _o_ffo_t + 0.285 \\times _o_neg_earn_t - 0.52 \\times _o_nich_t",
+      "formula_inputs": [
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        },
+        {
+          "symbol": "DEBT",
+          "meaning": "Total Debt",
+          "construction_latex": "We use DLTT+ DLC. Either DLTT or DLC are allowed to me missing",
+          "source_fields": [
+            "DLTT",
+            "DLC"
+          ]
+        },
+        {
+          "symbol": "CA",
+          "meaning": "Current Assets",
+          "construction_latex": "We prefer ACT. If this is unavailable, we use RECT+INVT+CHE+ACO",
+          "source_fields": [
+            "ACT",
+            "RECT",
+            "INVT",
+            "CHE",
+            "ACO"
+          ]
+        },
+        {
+          "symbol": "CL",
+          "meaning": "Current Liabilities",
+          "construction_latex": "We prefer LCT. If this is unavailable, we use AP+ DLC+ TXP+ LCO",
+          "source_fields": [
+            "LCT",
+            "AP",
+            "DLC",
+            "TXP",
+            "LCO"
+          ]
+        },
+        {
+          "symbol": "NIX",
+          "meaning": "Net Income Including Extraordinary Items",
+          "construction_latex": "We prefer NI. If this is not available, we prefer NI*+XIDO*. If XIDO* is unavailable, we set it to zero. If that is unavailable, we prefer NI*+XI+DO",
+          "source_fields": [
+            "NI",
+            "XIDO",
+            "XI",
+            "DO"
+          ]
+        },
+        {
+          "symbol": "PI",
+          "meaning": "Earnings before Tax and Extraordinary Items",
+          "construction_latex": "We prefer to use PI. If this is unavailable we use EBIT*-XINT+SPI+NOPI where we set SPI and NOPI to zero if missing",
+          "source_fields": [
+            "PI",
+            "EBIT",
+            "XINT",
+            "SPI",
+            "NOPI"
+          ]
+        },
+        {
+          "symbol": "DP_t",
+          "meaning": "Depreciation and Amortization",
+          "construction_latex": "Compustat Item DP",
+          "source_fields": [
+            "DP"
+          ]
+        },
+        {
+          "symbol": "LT_t",
+          "meaning": "Total Liabilities",
+          "construction_latex": "Compustat item LT",
+          "source_fields": [
+            "LT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f024",
+      "neutral_name": "Change PPE and Inventory",
+      "neutral_description": "Change in property, pant and equiptment and equipment and inventory scaled by book assets",
+      "formula_or_definition": "\\frac{PPEINV*_t - PPEINV*_{t-12}}{AT*_{t-12}}",
+      "input_fields": [
+        "PPEINV",
+        "AT"
+      ],
+      "formula_latex": "\\frac{PPEINV*_t - PPEINV*_{t-12}}{AT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "PPEINV",
+          "meaning": "Property Plant and Equipment Less Inventories",
+          "construction_latex": "PPEGT + INVT",
+          "source_fields": [
+            "PPEGT",
+            "INVT"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f025",
+      "neutral_name": "Number of consecutive quarters with earnings increases",
+      "neutral_description": "Number of consecutive quarters with earnings increases",
+      "formula_or_definition": "Count number of earnings increases over past 8 quarters",
+      "input_fields": [],
+      "formula_latex": "Count number of earnings increases over past 8 quarters"
+    },
+    {
+      "factor_id": "f026",
+      "neutral_name": "Residual momentum t-6 to t-1",
+      "neutral_description": "Residual momentum,  prior 6-month returns",
+      "formula_or_definition": "-1 + \\prod_{n = 1}^6 1 + e_{t-n}",
+      "input_fields": [
+        "e_"
+      ],
+      "formula_latex": "-1 + \\prod_{n = 1}^6 1 + e_{t-n}",
+      "formula_inputs": [
+        {
+          "symbol": "e_",
+          "meaning": "Residual from the Fama-French three-factor regression",
+          "construction_latex": "RET\\_EXC^*_t = \\beta_0 + \\beta_1 MKTRF^*_t + \\beta_2 HML^*_t + \\beta_3 SMB\\_FF^*_t + e_t"
+        }
+      ]
+    },
+    {
+      "factor_id": "f027",
+      "neutral_name": "Debt-to-market",
+      "neutral_description": "Debt-to-market",
+      "formula_or_definition": "\\frac{DEBT*_t}{ME_t}",
+      "input_fields": [
+        "DEBT",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{DEBT*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "DEBT",
+          "meaning": "Total Debt",
+          "construction_latex": "We use DLTT+ DLC. Either DLTT or DLC are allowed to me missing",
+          "source_fields": [
+            "DLTT",
+            "DLC"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f028",
+      "neutral_name": "Year 1-lagged return, annual",
+      "neutral_description": "Year 1-lagged return, annual",
+      "formula_or_definition": "Return in month t-12",
+      "input_fields": [],
+      "formula_latex": "Return in month t-12"
+    },
+    {
+      "factor_id": "f029",
+      "neutral_name": "Asset Growth",
+      "neutral_description": "Investment-to-assets",
+      "formula_or_definition": "\\frac{AT*_t}{AT*_{t-12}} - 1",
+      "input_fields": [
+        "AT"
+      ],
+      "formula_latex": "\\frac{AT*_t}{AT*_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f030",
+      "neutral_name": "Change in current operating liabilities",
+      "neutral_description": "Change in current operating liabilities",
+      "formula_or_definition": "\\frac{COL*_t-COL*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "COL",
+        "AT"
+      ],
+      "formula_latex": "\\frac{COL*_t-COL*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "COL",
+          "meaning": "Current Operating Liabilities",
+          "construction_latex": "We use CL*- DLC. If DLC is missing, it is set to zero",
+          "source_fields": [
+            "CL",
+            "DLC"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f031",
+      "neutral_name": "Total accruals",
+      "neutral_description": "Total accruals",
+      "formula_or_definition": "\\frac{TACC*_t}{AT*_t}",
+      "input_fields": [
+        "TACC",
+        "AT"
+      ],
+      "formula_latex": "\\frac{TACC*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "TACC",
+          "meaning": "Total Accruals",
+          "construction_latex": "We use OACC* + the yearly change in NFNA*",
+          "source_fields": [
+            "OACC",
+            "NFNA"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f032",
+      "neutral_name": "Market Equity",
+      "neutral_description": "Size (the market equity)",
+      "formula_or_definition": "ME*_t",
+      "input_fields": [
+        "ME"
+      ],
+      "formula_latex": "ME*_t",
+      "formula_inputs": [
+        {
+          "symbol": "ME",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f033",
+      "neutral_name": "Years 6-10 lagged returns, nonannual",
+      "neutral_description": "Years 6–10 lagged returns, nonannual",
+      "formula_or_definition": "Average return over non-annual lags from year t-6 to t-10",
+      "input_fields": [],
+      "formula_latex": "Average return over non-annual lags from year t-6 to t-10"
+    },
+    {
+      "factor_id": "f034",
+      "neutral_name": "Growth in book debt (3 years)",
+      "neutral_description": "Composite debt issuance",
+      "formula_or_definition": "\\frac{DEBT*_t}{DEBT*_{t-36}} - 1",
+      "input_fields": [
+        "DEBT"
+      ],
+      "formula_latex": "\\frac{DEBT*_t}{DEBT*_{t-36}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "DEBT",
+          "meaning": "Total Debt",
+          "construction_latex": "We use DLTT+ DLC. Either DLTT or DLC are allowed to me missing",
+          "source_fields": [
+            "DLTT",
+            "DLC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f035",
+      "neutral_name": "Price momentum t-9 to t-1",
+      "neutral_description": "Past 9 month return",
+      "formula_or_definition": "\\frac{RI*_{t-1}}{RI*_{t-9}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-1}}{RI*_{t-9}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f036",
+      "neutral_name": "Return on equity",
+      "neutral_description": "Annual Return on equity",
+      "formula_or_definition": "\\frac{NI*_t}{BE*_t}",
+      "input_fields": [
+        "NI",
+        "BE"
+      ],
+      "formula_latex": "\\frac{NI*_t}{BE*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f037",
+      "neutral_name": "Book-to-market enterprise value",
+      "neutral_description": "Enterprise book-to-price",
+      "formula_or_definition": "\\frac{BEV*_t}{MEV*_t}",
+      "input_fields": [
+        "BEV",
+        "MEV"
+      ],
+      "formula_latex": "\\frac{BEV*_t}{MEV*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "BEV",
+          "meaning": "Book Enterprise Value",
+          "construction_latex": "We prefer to use ICAPT+DLC-CHE where DLC and CHE are set to zero if missing. If this is unavailable, we use SEQ*+NETDEBT*+ MIB where we set MIB to zero if missing. In the global data ICAPT is reduced by Treasury stock",
+          "source_fields": [
+            "ICAPT",
+            "DLC",
+            "CHE",
+            "SEQ",
+            "NETDEBT",
+            "MIB"
+          ]
+        },
+        {
+          "symbol": "MEV",
+          "meaning": "Market Enterprise Value",
+          "construction_latex": "We use ME_COMPANY + NETDEBT* $\\times$ FX*",
+          "source_fields": [
+            "ME_COMPANY",
+            "NETDEBT",
+            "FX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f038",
+      "neutral_name": "Change in quarterly return on assets",
+      "neutral_description": "4-quarter change in return on assets",
+      "formula_or_definition": "f001_t - f001_{t-12}",
+      "input_fields": [
+        "f001"
+      ],
+      "formula_latex": "f001_t - f001_{t-12}",
+      "formula_inputs": [
+        {
+          "symbol": "f001_t",
+          "meaning": "Quarterly Income scaled by AT",
+          "construction_latex": "\\frac{NI_QTR*_t}{AT*_{t-3}}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f039",
+      "neutral_name": "Years 6-10 lagged returns, annual",
+      "neutral_description": "Years 6–10 lagged returns, annual",
+      "formula_or_definition": "Average return over annual lags from year t-6 to t-10",
+      "input_fields": [],
+      "formula_latex": "Average return over annual lags from year t-6 to t-10"
+    },
+    {
+      "factor_id": "f040",
+      "neutral_name": "Earnings persistence",
+      "neutral_description": "Earnings persistence",
+      "formula_or_definition": "{ \\frac{cov((NI*/AT*)_t, (NI*/AT*)_{t-12})}{var((NI*/AT*)_{t-12})} }",
+      "input_fields": [
+        "NI",
+        "AT"
+      ],
+      "formula_latex": "{ \\frac{cov((NI*/AT*)_t, (NI*/AT*)_{t-12})}{var((NI*/AT*)_{t-12})} }",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f041",
+      "neutral_name": "Price momentum t-3 to t-1",
+      "neutral_description": "Past 3 month return",
+      "formula_or_definition": "\\frac{RI*_{t-1}}{RI*_{t-3}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-1}}{RI*_{t-3}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f042",
+      "neutral_name": "Change in operating cash flow to assets",
+      "neutral_description": "1 year change in operating cash flow to assets",
+      "formula_or_definition": "<input>_t - <input>_{t-12}",
+      "input_fields": [
+        "<input>"
+      ],
+      "formula_latex": "<input>_t - <input>_{t-12}",
+      "formula_inputs": [
+        {
+          "symbol": "<input>_t",
+          "meaning": "Operating Cash Flow scaled by Assets",
+          "construction_latex": "\\frac{OCF*_t}{AT*_t}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f043",
+      "neutral_name": "Net equity issuance",
+      "neutral_description": "Net equity finance",
+      "formula_or_definition": "\\frac{EQNETIS*_t}{AT*_t}",
+      "input_fields": [
+        "EQNETIS",
+        "AT"
+      ],
+      "formula_latex": "\\frac{EQNETIS*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EQNETIS",
+          "meaning": "Equity Net Issuance",
+          "construction_latex": "We use EQIS*-EQBB*. Either EQIS* or EQBB* are allowed to be missing",
+          "source_fields": [
+            "EQIS",
+            "EQBB"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f044",
+      "neutral_name": "Coskewness",
+      "neutral_description": "Coskewness",
+      "formula_or_definition": "\\frac{\\overline{(\\epsilon_t \\times MKTRF_DM_t^2)}_{21D}}{\\sqrt{\\overline{(\\epsilon_t^2)}_{21D} \\times \\overline{(MKTRF_DM_t^2)}_{21D}}}",
+      "input_fields": [
+        "MKTRF_DM_t"
+      ],
+      "formula_latex": "\\frac{\\overline{(\\epsilon_t \\times MKTRF_DM_t^2)}_{zD}}{\\sqrt{\\overline{(\\epsilon_t^2)}_{zD} \\times \\overline{(MKTRF_DM_t^2)}_{zD}}}",
+      "formula_latex_instantiated": "\\frac{\\overline{(\\epsilon_t \\times MKTRF_DM_t^2)}_{21D}}{\\sqrt{\\overline{(\\epsilon_t^2)}_{21D} \\times \\overline{(MKTRF_DM_t^2)}_{21D}}}",
+      "formula_inputs": [
+        {
+          "symbol": "MKTRF_DM_t",
+          "meaning": "Demeaned excess market return over the z-day window",
+          "construction_latex": "MKTRF\\_DM_t = MKTRF^*_t - \\overline{MKTRF^*_t}_{zD}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f045",
+      "neutral_name": "Change in financial liabilities",
+      "neutral_description": "Change in financial liabilities",
+      "formula_or_definition": "\\frac{FNL*_t-FNL*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "FNL",
+        "AT"
+      ],
+      "formula_latex": "\\frac{FNL*_t-FNL*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "FNL",
+          "meaning": "Financial Liabilities",
+          "construction_latex": "We use DEBT*+PSTK*. If PSTK* is missing, it is set to zero",
+          "source_fields": [
+            "DEBT",
+            "PSTK"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f046",
+      "neutral_name": "Short-term reversal",
+      "neutral_description": "Short-term reversal",
+      "formula_or_definition": "\\frac{RI*_{t}}{RI*_{t-1}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t}}{RI*_{t-1}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f047",
+      "neutral_name": "Change in quarterly return on equity",
+      "neutral_description": "4-quarter change in return on equity",
+      "formula_or_definition": "<input>_t - <input>_{t-12}",
+      "input_fields": [
+        "<input>"
+      ],
+      "formula_latex": "<input>_t - <input>_{t-12}",
+      "formula_inputs": [
+        {
+          "symbol": "<input>_t",
+          "meaning": "Quarterly Income scaled by BE",
+          "construction_latex": "\\frac{NI_QTR*_t}{BE*_{t-3}}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f048",
+      "neutral_name": "Cash-to-assets",
+      "neutral_description": "Cash-to-assets",
+      "formula_or_definition": "\\frac{CASH_t}{AT*_t}",
+      "input_fields": [
+        "CASH_t",
+        "AT"
+      ],
+      "formula_latex": "\\frac{CASH_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "CASH_t",
+          "meaning": "Cash and Short-Term Investment",
+          "construction_latex": "Compustat item CHE",
+          "source_fields": [
+            "CHE"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f049",
+      "neutral_name": "Mispricing factor: Management",
+      "neutral_description": "Mispricing factor: Management",
+      "formula_or_definition": "$ \\begin{aligned} \\frac{1}{6}\\big( & <input>^{r01}_t + f062^{r01}_t +",
+      "input_fields": [
+        "<input>",
+        "f062"
+      ],
+      "formula_latex": "$ \\begin{aligned} \\frac{1}{6}\\big( & <input>^{r01}_t + f062^{r01}_t +",
+      "formula_inputs": [
+        {
+          "symbol": "<input>",
+          "meaning": "Change in Shares - 12 Month",
+          "construction_latex": "\\frac{SHARES*_t\\times ADJFCT*_t}{SHARES*_{t-12}\\times ADJFCT*_{t-12}} - 1"
+        },
+        {
+          "symbol": "f062",
+          "meaning": "Net Equity Payout - 12 Month",
+          "construction_latex": "log(\\frac{RI*_t}{RI*_{t-12}}) - log(\\frac{ME*_t}{ME*_{t-12}})"
+        }
+      ]
+    },
+    {
+      "factor_id": "f050",
+      "neutral_name": "Price momentum t-12 to t-1",
+      "neutral_description": "Price momentum, prior 11-month returns",
+      "formula_or_definition": "\\frac{RI*_{t-1}}{RI*_{t-12}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-1}}{RI*_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f051",
+      "neutral_name": "Dollar trading volume",
+      "neutral_description": "Dollar trading volume",
+      "formula_or_definition": "\\overline{DOLVOL*_t}_{126D}",
+      "input_fields": [
+        "DOLVOL"
+      ],
+      "formula_latex": "\\overline{DOLVOL*_t}_{zD}",
+      "formula_latex_instantiated": "\\overline{DOLVOL*_t}_{126D}",
+      "formula_inputs": [
+        {
+          "symbol": "DOLVOL",
+          "meaning": "Dollar Volume",
+          "construction_latex": "We use TVOL*$\\times$f003*",
+          "source_fields": [
+            "TVOL",
+            "f003"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f052",
+      "neutral_name": "Change sales minus change SG&A",
+      "neutral_description": "Percentage change in sales minus percentage change in SG&A",
+      "formula_or_definition": "CHG_TO_EXP(SALE*_t) - CHG_TO_EXP(XSGA_t)",
+      "input_fields": [
+        "SALE",
+        "XSGA_t"
+      ],
+      "formula_latex": "CHG_TO_EXP(SALE*_t) - CHG_TO_EXP(XSGA_t)",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "XSGA_t",
+          "meaning": "Selling, General and Administrative Expenses",
+          "construction_latex": "Compustat item XSGA",
+          "source_fields": [
+            "XSGA"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f053",
+      "neutral_name": "Long-term reversal",
+      "neutral_description": "Long-term reversal",
+      "formula_or_definition": "\\frac{RI*_{t-12}}{RI*_{t-60}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-12}}{RI*_{t-60}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f054",
+      "neutral_name": "Change in long-term net operating assets",
+      "neutral_description": "Change in long-term net operating assets",
+      "formula_or_definition": "\\frac{LNOA*_t - LNOA*_{t-12}}{AT*_t - AT*_{t-12}}",
+      "input_fields": [
+        "LNOA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{LNOA*_t - LNOA*_{t-12}}{AT*_t - AT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "LNOA",
+          "meaning": "Long-Term NOA",
+          "construction_latex": "PPENT + INTAN + AO - LO + DP",
+          "source_fields": [
+            "PPENT",
+            "INTAN",
+            "AO",
+            "LO",
+            "DP"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f055",
+      "neutral_name": "Sales Growth (3 years)",
+      "neutral_description": "5-year sales growth rank",
+      "formula_or_definition": "\\frac{SALE*_t}{SALE*_{t-36}} - 1",
+      "input_fields": [
+        "SALE"
+      ],
+      "formula_latex": "\\frac{SALE*_t}{SALE*_{t-36}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f056",
+      "neutral_name": "Operating cash flow-to-market",
+      "neutral_description": "Operating cash flow-to-price",
+      "formula_or_definition": "\\frac{OCF*_t}{ME_t}",
+      "input_fields": [
+        "OCF",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{OCF*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "OCF",
+          "meaning": "Operating Cash Flow",
+          "construction_latex": "We prefer to use OANCF. If this is unavailable, we use NI*-OACC*. If this is unavailable, we use NI* + DP - WCAPT. If WCAPT is missing, we use 0.",
+          "source_fields": [
+            "OANCF",
+            "NI",
+            "OACC",
+            "DP",
+            "WCAPT"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f057",
+      "neutral_name": "Idiosyncratic skewness from the q-factor model",
+      "neutral_description": "Idiosyncratic skewness from the q-factor model",
+      "formula_or_definition": "SKEW_21D(\\sigma_t)",
+      "input_fields": [],
+      "formula_latex": "SKEW_zD(\\sigma_t)",
+      "formula_latex_instantiated": "SKEW_21D(\\sigma_t)"
+    },
+    {
+      "factor_id": "f058",
+      "neutral_name": "Highest 5 days of return scaled by volatility",
+      "neutral_description": "Highest 5 days of return scaled by volatility",
+      "formula_or_definition": "\\frac{<input>_t}{RVOL_252d_t}",
+      "input_fields": [
+        "<input>",
+        "rvol_252d"
+      ],
+      "formula_latex": "\\frac{<input>_t}{RVOL_252d_t}",
+      "formula_inputs": [
+        {
+          "symbol": "<input>_t",
+          "meaning": "Mean Maximum Return",
+          "construction_latex": "\\frac{1}{5}\\sum_{n = 1}^5 X_n, X_n \\in MAX5_zD(RET*)"
+        },
+        {
+          "symbol": "RVOL_252d_t",
+          "meaning": "Return Volatility",
+          "construction_latex": "\\sigma_{zD}(RET_EXC*_t)"
+        }
+      ]
+    },
+    {
+      "factor_id": "f059",
+      "neutral_name": "Change in current operating assets",
+      "neutral_description": "Change in current operating assets",
+      "formula_or_definition": "\\frac{COA*_t-COA*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "COA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{COA*_t-COA*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "COA",
+          "meaning": "Current Operating Assets",
+          "construction_latex": "We use CA*- CHE",
+          "source_fields": [
+            "CA",
+            "CHE"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f060",
+      "neutral_name": "Pitroski F-score",
+      "neutral_description": "Fundamental score",
+      "formula_or_definition": "f060_t =& _f_roa_{>0, t} + _f_croa_{>0, t} + _f_droa_{>0, t} + _f_acc_{>0, t} + \\\\ &_f_lev_{<0, t} + _f_liq_{>0, t} + _f_eqis_{=0, t} + _f_gm_{>0, t} + _f_aturn_{>0, t}",
+      "input_fields": [
+        "NI",
+        "AT",
+        "OCF",
+        "DLTT_t",
+        "CA",
+        "CL",
+        "EQIS",
+        "GP",
+        "SALE"
+      ],
+      "formula_latex": "f060_t =& _f_roa_{>0, t} + _f_croa_{>0, t} + _f_droa_{>0, t} + _f_acc_{>0, t} + \\\\ &_f_lev_{<0, t} + _f_liq_{>0, t} + _f_eqis_{=0, t} + _f_gm_{>0, t} + _f_aturn_{>0, t}",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        },
+        {
+          "symbol": "OCF",
+          "meaning": "Operating Cash Flow",
+          "construction_latex": "We prefer to use OANCF. If this is unavailable, we use NI*-OACC*. If this is unavailable, we use NI* + DP - WCAPT. If WCAPT is missing, we use 0.",
+          "source_fields": [
+            "OANCF",
+            "NI",
+            "OACC",
+            "DP",
+            "WCAPT"
+          ]
+        },
+        {
+          "symbol": "DLTT_t",
+          "meaning": "Long-Term Debt",
+          "construction_latex": "Compustat item DLTT",
+          "source_fields": [
+            "DLTT"
+          ]
+        },
+        {
+          "symbol": "CA",
+          "meaning": "Current Assets",
+          "construction_latex": "We prefer ACT. If this is unavailable, we use RECT+INVT+CHE+ACO",
+          "source_fields": [
+            "ACT",
+            "RECT",
+            "INVT",
+            "CHE",
+            "ACO"
+          ]
+        },
+        {
+          "symbol": "CL",
+          "meaning": "Current Liabilities",
+          "construction_latex": "We prefer LCT. If this is unavailable, we use AP+ DLC+ TXP+ LCO",
+          "source_fields": [
+            "LCT",
+            "AP",
+            "DLC",
+            "TXP",
+            "LCO"
+          ]
+        },
+        {
+          "symbol": "EQIS",
+          "meaning": "Equity Issuance",
+          "construction_latex": "Compustat item SSTK",
+          "source_fields": [
+            "SSTK"
+          ]
+        },
+        {
+          "symbol": "GP",
+          "meaning": "Gross Profit",
+          "construction_latex": "We prefer to use GP. If this is unavailable we use sale*-COGS",
+          "source_fields": [
+            "GP",
+            "COGS"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f061",
+      "neutral_name": "Years 16-20 lagged returns, annual",
+      "neutral_description": "Years 16–20 lagged returns, annual",
+      "formula_or_definition": "Average return over annual lags from year t-16 to t-20)",
+      "input_fields": [],
+      "formula_latex": "Average return over annual lags from year t-16 to t-20)"
+    },
+    {
+      "factor_id": "f062",
+      "neutral_name": "Equity net payout",
+      "neutral_description": "Composite equity issuance",
+      "formula_or_definition": "log(\\frac{RI*_t}{RI*_{t-12}}) - log(\\frac{ME*_t}{ME*_{t-12}})",
+      "input_fields": [
+        "RI",
+        "ME"
+      ],
+      "formula_latex": "log(\\frac{RI*_t}{RI*_{t-12}}) - log(\\frac{ME*_t}{ME*_{t-12}})",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        },
+        {
+          "symbol": "ME",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f063",
+      "neutral_name": "Sales-to-market",
+      "neutral_description": "Sales-to-price",
+      "formula_or_definition": "\\frac{SALE*_t}{ME_t}",
+      "input_fields": [
+        "SALE",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{SALE*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f064",
+      "neutral_name": "Intrinsic value-to-market",
+      "neutral_description": "Intrinsic value-to-market",
+      "formula_or_definition": "\\frac{INTRINSIC_VALUE*_t}{ME_t}",
+      "input_fields": [
+        "intrinsic_value",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{INTRINSIC_VALUE*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "INTRINSIC_VALUE",
+          "meaning": "\\hypertarget{intval2}{Intrinsic Value}",
+          "construction_latex": "Outlined in detail \\hyperlink{intval}{here}"
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f065",
+      "neutral_name": "Change in common equity",
+      "neutral_description": "Change in common equity",
+      "formula_or_definition": "\\frac{BE*_t - BE*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "BE",
+        "AT"
+      ],
+      "formula_latex": "\\frac{BE*_t - BE*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f066",
+      "neutral_name": "Quality minus Junk: Safety",
+      "neutral_description": "Quality minus Junk: Safety",
+      "formula_or_definition": "\\begin{aligned} ZV\\Big( & ZV(<input>_t) + ZV(DEBT_AT_t) \\\\ + & ZV(f023_t) + ZV(<input>_t) + ZV(_EVOL_t)\\Big) \\end{aligned}",
+      "input_fields": [
+        "<input>",
+        "debt_at",
+        "f023",
+        "<input>"
+      ],
+      "formula_latex": "\\begin{aligned} ZV\\Big( & ZV(<input>_t) + ZV(DEBT_AT_t) \\\\ + & ZV(f023_t) + ZV(<input>_t) + ZV(_EVOL_t)\\Big) \\end{aligned}",
+      "formula_inputs": [
+        {
+          "symbol": "<input>_t",
+          "meaning": "Betting Against Beta",
+          "construction_latex": "\\frac{<input>_t \\times RVOL_252d_t}{_MKTVOL_252d*_t}"
+        },
+        {
+          "symbol": "DEBT_AT_t",
+          "meaning": "Debt-to-Assets",
+          "construction_latex": "\\frac{DEBT*_t}{AT*_t}"
+        },
+        {
+          "symbol": "f023_t",
+          "meaning": "\\hypertarget{ohl2}{Ohlson O-Score}",
+          "construction_latex": "Outlined in detail \\hyperlink{ohl}{here}"
+        },
+        {
+          "symbol": "<input>_t",
+          "meaning": "\\hypertarget{alt2}{Altman Z-Score}",
+          "construction_latex": "Outlined in detail \\hyperlink{alt}{here}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f067",
+      "neutral_name": "Operating profits-to-lagged book equity",
+      "neutral_description": "Operating profits-to-lagged book equity",
+      "formula_or_definition": "\\frac{OPE*_t}{BE*_{t-12}}",
+      "input_fields": [
+        "OPE",
+        "BE"
+      ],
+      "formula_latex": "\\frac{OPE*_t}{BE*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "OPE",
+          "meaning": "Operating Profit to Equity",
+          "construction_latex": "We use EBITDA*-XINT. Note that we target the same variable as the numerator of the profitability characteristic used to create the Robust-minus weak factor in the fama-French 5 factor model (Fama and French, 2015)",
+          "source_fields": [
+            "EBITDA",
+            "XINT"
+          ]
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f068",
+      "neutral_name": "Ebitda-to-market enterprise value",
+      "neutral_description": "Enterprise multiple",
+      "formula_or_definition": "\\frac{EBITDA*_t}{MEV*_t}",
+      "input_fields": [
+        "EBITDA",
+        "MEV"
+      ],
+      "formula_latex": "\\frac{EBITDA*_t}{MEV*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EBITDA",
+          "meaning": "Operating Income Before Depreciation",
+          "construction_latex": "We prefer to use EBITDA. If this is unavailable, we use OIBDP. If this is unavailable, we use SALE*-OPEX*. If this is unavailable, we use GP*-XSGA",
+          "source_fields": [
+            "EBITDA",
+            "OIBDP",
+            "SALE",
+            "OPEX",
+            "GP",
+            "XSGA"
+          ]
+        },
+        {
+          "symbol": "MEV",
+          "meaning": "Market Enterprise Value",
+          "construction_latex": "We use ME_COMPANY + NETDEBT* $\\times$ FX*",
+          "source_fields": [
+            "ME_COMPANY",
+            "NETDEBT",
+            "FX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f069",
+      "neutral_name": "Standardized earnings surprise",
+      "neutral_description": "Earnings surprise",
+      "formula_or_definition": "SUR(NI_QTR*)",
+      "input_fields": [
+        "NI_QTR"
+      ],
+      "formula_latex": "SUR(NI_QTR*)",
+      "formula_inputs": [
+        {
+          "symbol": "NI_QTR",
+          "meaning": "Income Before Extraordinary Items",
+          "construction_latex": "We use IBQ",
+          "source_fields": [
+            "IBQ"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f070",
+      "neutral_name": "Net operating assets",
+      "neutral_description": "Net operating assets",
+      "formula_or_definition": "\\frac{NOA*_t}{AT*_t}",
+      "input_fields": [
+        "NOA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NOA*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NOA",
+          "meaning": "Net Operating Assets",
+          "construction_latex": "We use OA*-OL*",
+          "source_fields": [
+            "OA",
+            "OL"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f071",
+      "neutral_name": "Cash-based operating profits-to-lagged book assets",
+      "neutral_description": "Cash-based operating profits-to-lagged book assets",
+      "formula_or_definition": "\\frac{COP*_t}{AT*_{t-12}}",
+      "input_fields": [
+        "COP",
+        "AT"
+      ],
+      "formula_latex": "\\frac{COP*_t}{AT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "COP",
+          "meaning": "Cash Based Operating Profitability",
+          "construction_latex": "We prefer EBITDA*+XRD-OACC*. If XRD is unavailable, we set it to zero",
+          "source_fields": [
+            "EBITDA",
+            "XRD",
+            "OACC"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f072",
+      "neutral_name": "Return volatility",
+      "neutral_description": "Total volatility",
+      "formula_or_definition": "\\sigma_{21D}(RET_EXC*_t)",
+      "input_fields": [
+        "RET_EXC"
+      ],
+      "formula_latex": "\\sigma_{zD}(RET_EXC*_t)",
+      "formula_latex_instantiated": "\\sigma_{21D}(RET_EXC*_t)",
+      "formula_inputs": [
+        {
+          "symbol": "RET_EXC",
+          "meaning": "Excess Return",
+          "construction_latex": "We use RET*-T30RET/21. If T30RET is unavailable, we use RF. If the return is a monthly return rather than a daily return, the T30RET is divided by 1 rather than 21.",
+          "source_fields": [
+            "RET",
+            "T30RET",
+            "RF"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f073",
+      "neutral_name": "Cash flow volatility",
+      "neutral_description": "Cash flow volatility",
+      "formula_or_definition": "\\sigma_{16Q}(\\frac{OCF_QTR*_t}{SALE_QTR*_t}))",
+      "input_fields": [
+        "OCF_QTR",
+        "SALE_QTR"
+      ],
+      "formula_latex": "\\sigma_{16Q}(\\frac{OCF_QTR*_t}{SALE_QTR*_t}))",
+      "formula_inputs": [
+        {
+          "symbol": "OCF_QTR",
+          "meaning": "Quarterly Operating Cash Flow",
+          "construction_latex": "We use OANCFQ. If this is unavailable, then we use IBQ + DPQ - WCAPTQ. If WCAPTQ is unavailable, we set it to",
+          "source_fields": [
+            "OANCFQ",
+            "IBQ",
+            "DPQ",
+            "WCAPTQ"
+          ]
+        },
+        {
+          "symbol": "SALE_QTR",
+          "meaning": "Net Sales",
+          "construction_latex": "We use SALEQ",
+          "source_fields": [
+            "SALEQ"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f074",
+      "neutral_name": "Change gross margin minus change sales",
+      "neutral_description": "Percentage change in gross margin minus percentage change in sales",
+      "formula_or_definition": "CHG_TO_EXP(GP*_t) - CHG_TO_EXP(SALE*_t)",
+      "input_fields": [
+        "GP",
+        "SALE"
+      ],
+      "formula_latex": "CHG_TO_EXP(GP*_t) - CHG_TO_EXP(SALE*_t)",
+      "formula_inputs": [
+        {
+          "symbol": "GP",
+          "meaning": "Gross Profit",
+          "construction_latex": "We prefer to use GP. If this is unavailable we use sale*-COGS",
+          "source_fields": [
+            "GP",
+            "COGS"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f075",
+      "neutral_name": "Coefficient of variation for dollar trading volume",
+      "neutral_description": "Coefficient of variation for dollar trading volume",
+      "formula_or_definition": "\\frac{\\sigma_{126D}(DOLVOL*_t)}{f051_t}",
+      "input_fields": [
+        "DOLVOL",
+        "dolvol_zd"
+      ],
+      "formula_latex": "\\frac{\\sigma_{zD}(DOLVOL*_t)}{DOLVOL_zD_t}",
+      "formula_latex_instantiated": "\\frac{\\sigma_{126D}(DOLVOL*_t)}{f051_t}",
+      "formula_inputs": [
+        {
+          "symbol": "DOLVOL",
+          "meaning": "Dollar Volume",
+          "construction_latex": "We use TVOL*$\\times$f003*",
+          "source_fields": [
+            "TVOL",
+            "f003"
+          ]
+        },
+        {
+          "symbol": "DOLVOL_zD_t",
+          "meaning": "Dollar Volume",
+          "construction_latex": "\\overline{DOLVOL*_t}_{zD}"
+        }
+      ]
+    },
+    {
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+    "f026",
+    "f027",
+    "f028",
+    "f029",
+    "f030",
+    "f031",
+    "f032",
+    "f033",
+    "f034",
+    "f035",
+    "f036",
+    "f037",
+    "f038"
+  ],
+  "note": "evaluator-only; feature names are anonymized in the public payload"
+}

data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_50b10d0c23d00cdf/manifest.json

@@ -0,0 +1,241 @@
+{
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+  "case_id": "c_case_50b10d0c23d00cdf",
+  "sequence_id": "c_case_50b10d0c23d00cdf",
+  "dataset_scope": "stock_multifactor_code_frozen_rolling",
+  "dataset_id": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_50b10d0c23d00cdf",
+  "path": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_50b10d0c23d00cdf",
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+  "block_id": "block_03",
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+  "end_anchor_month": "2009-11",
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+  "history_end_month": "2008-11",
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+  "requested_sample_size": 38,
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+    "netis_at",
+    "coskew_21d",
+    "ncoa_gr1a",
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+    "betadown_252d",
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+    "seas_11_15na",
+    "seas_2_5na",
+    "ni_be",
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+    "debt_me",
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+    "ncoa_gr1a",
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+    "niq_be",
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+    "seas_2_5na",
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+    "test_steps": 12,
+    "one_step_horizon_months": 1,
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+    "refit_policy": "from_scratch_each_origin",
+    "validation_policy": "select_or_early_stop_then_refit_train_plus_validation",
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+  },
+  "source_panel": "data/raw/wrds/wgpvj1vbztoqbloo (1).parquet",
+  "source_daily_returns": "data/raw/wrds/ctff_daily_ret.parquet",
+  "source_nyse_cutoffs": "data/raw/jkp/2025-12/nyse_cutoffs.csv",
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+  "source_history_feature_ids_are_truth_only": true,
+  "evaluator_only_files": [
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data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_50b10d0c23d00cdf/payload.json

@@ -0,0 +1,1358 @@
+{
+  "case_id": "c_case_50b10d0c23d00cdf",
+  "task": "stock_multifactor_model",
+  "horizon_months": 1,
+  "track": "semantic",
+  "feature_columns": [
+    "f001",
+    "f002",
+    "f003",
+    "f004",
+    "f005",
+    "f006",
+    "f007",
+    "f008",
+    "f009",
+    "f010",
+    "f011",
+    "f012",
+    "f013",
+    "f014",
+    "f015",
+    "f016",
+    "f017",
+    "f018",
+    "f019",
+    "f020",
+    "f021",
+    "f022",
+    "f023",
+    "f024",
+    "f025",
+    "f026",
+    "f027",
+    "f028",
+    "f029",
+    "f030",
+    "f031",
+    "f032",
+    "f033",
+    "f034",
+    "f035",
+    "f036",
+    "f037",
+    "f038"
+  ],
+  "factor_cards": [
+    {
+      "factor_id": "f001",
+      "neutral_name": "Idiosyncratic volatility from the Fama-French 3-factor model",
+      "neutral_description": "Idiosyncratic volatility from the Fama-French 3-factor model",
+      "formula_or_definition": "\\sigma_{21D}(e_t)",
+      "input_fields": [],
+      "formula_latex": "\\sigma_{zD}(e_t)",
+      "formula_latex_instantiated": "\\sigma_{21D}(e_t)"
+    },
+    {
+      "factor_id": "f002",
+      "neutral_name": "Idiosyncratic volatility from the q-factor model",
+      "neutral_description": "Idiosyncratic volatility from the q-factor model",
+      "formula_or_definition": "\\sigma_{21D}(\\mu_t)",
+      "input_fields": [],
+      "formula_latex": "\\sigma_{zD}(\\mu_t)",
+      "formula_latex_instantiated": "\\sigma_{21D}(\\mu_t)"
+    },
+    {
+      "factor_id": "f003",
+      "neutral_name": "Asset tangibility",
+      "neutral_description": "Tangibility of assets",
+      "formula_or_definition": "\\frac{CASH_t + 0.715\\times REC_t + 0.547\\times INV_t + 0.535\\times PPEG_t}{AT*_t}",
+      "input_fields": [
+        "CASH_t",
+        "REC_t",
+        "INV_t",
+        "PPEG_t",
+        "AT"
+      ],
+      "formula_latex": "\\frac{CASH_t + 0.715\\times REC_t + 0.547\\times INV_t + 0.535\\times PPEG_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "CASH_t",
+          "meaning": "Cash and Short-Term Investment",
+          "construction_latex": "Compustat item CHE",
+          "source_fields": [
+            "CHE"
+          ]
+        },
+        {
+          "symbol": "REC_t",
+          "meaning": "Account Receivables",
+          "construction_latex": "Compustat item RECT",
+          "source_fields": [
+            "RECT"
+          ]
+        },
+        {
+          "symbol": "INV_t",
+          "meaning": "Inventory",
+          "construction_latex": "Compustat item INVT",
+          "source_fields": [
+            "INVT"
+          ]
+        },
+        {
+          "symbol": "PPEG_t",
+          "meaning": "Property, Plans and Equipment Gross",
+          "construction_latex": "Compustat item PPEGT",
+          "source_fields": [
+            "PPEGT"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f004",
+      "neutral_name": "Assets-to-market",
+      "neutral_description": "Assets-to-market",
+      "formula_or_definition": "\\frac{AT*_t}{ME_t}",
+      "input_fields": [
+        "AT",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{AT*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f005",
+      "neutral_name": "Hiring rate",
+      "neutral_description": "Hiring rate",
+      "formula_or_definition": "\\frac{EMP_t - EMP_{t-12}}{0.5\\times EMP_t + 0.5\\times EMP_{t-12}}",
+      "input_fields": [
+        "EMP_t"
+      ],
+      "formula_latex": "\\frac{EMP_t - EMP_{t-12}}{0.5\\times EMP_t + 0.5\\times EMP_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "EMP_t",
+          "meaning": "Employees in Thousands",
+          "construction_latex": "Compustat item EMP",
+          "source_fields": [
+            "EMP"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f006",
+      "neutral_name": "Sales-to-market",
+      "neutral_description": "Sales-to-price",
+      "formula_or_definition": "\\frac{SALE*_t}{ME_t}",
+      "input_fields": [
+        "SALE",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{SALE*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f007",
+      "neutral_name": "Quarterly return on equity",
+      "neutral_description": "Return on equity",
+      "formula_or_definition": "\\frac{NI_QTR*_t}{BE*_{t-3}}",
+      "input_fields": [
+        "NI_QTR",
+        "BE"
+      ],
+      "formula_latex": "\\frac{NI_QTR*_t}{BE*_{t-3}}",
+      "formula_inputs": [
+        {
+          "symbol": "NI_QTR",
+          "meaning": "Income Before Extraordinary Items",
+          "construction_latex": "We use IBQ",
+          "source_fields": [
+            "IBQ"
+          ]
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f008",
+      "neutral_name": "Inventory growth",
+      "neutral_description": "Inventory growth",
+      "formula_or_definition": "\\frac{INV_t}{INV_{t-12}} - 1",
+      "input_fields": [
+        "INV_t"
+      ],
+      "formula_latex": "\\frac{INV_t}{INV_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "INV_t",
+          "meaning": "Inventory",
+          "construction_latex": "Compustat item INVT",
+          "source_fields": [
+            "INVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f009",
+      "neutral_name": "Change in long-term net operating assets",
+      "neutral_description": "Change in long-term net operating assets",
+      "formula_or_definition": "\\frac{LNOA*_t - LNOA*_{t-12}}{AT*_t - AT*_{t-12}}",
+      "input_fields": [
+        "LNOA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{LNOA*_t - LNOA*_{t-12}}{AT*_t - AT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "LNOA",
+          "meaning": "Long-Term NOA",
+          "construction_latex": "PPENT + INTAN + AO - LO + DP",
+          "source_fields": [
+            "PPENT",
+            "INTAN",
+            "AO",
+            "LO",
+            "DP"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f010",
+      "neutral_name": "Operating profits-to-lagged book equity",
+      "neutral_description": "Operating profits-to-lagged book equity",
+      "formula_or_definition": "\\frac{OPE*_t}{BE*_{t-12}}",
+      "input_fields": [
+        "OPE",
+        "BE"
+      ],
+      "formula_latex": "\\frac{OPE*_t}{BE*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "OPE",
+          "meaning": "Operating Profit to Equity",
+          "construction_latex": "We use EBITDA*-XINT. Note that we target the same variable as the numerator of the profitability characteristic used to create the Robust-minus weak factor in the fama-French 5 factor model (Fama and French, 2015)",
+          "source_fields": [
+            "EBITDA",
+            "XINT"
+          ]
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f011",
+      "neutral_name": "Asset turnover",
+      "neutral_description": "Asset turnover",
+      "formula_or_definition": "\\frac{SALE*_t}{BEV*_t}",
+      "input_fields": [
+        "SALE",
+        "BEV"
+      ],
+      "formula_latex": "\\frac{SALE*_t}{BEV*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "BEV",
+          "meaning": "Book Enterprise Value",
+          "construction_latex": "We prefer to use ICAPT+DLC-CHE where DLC and CHE are set to zero if missing. If this is unavailable, we use SEQ*+NETDEBT*+ MIB where we set MIB to zero if missing. In the global data ICAPT is reduced by Treasury stock",
+          "source_fields": [
+            "ICAPT",
+            "DLC",
+            "CHE",
+            "SEQ",
+            "NETDEBT",
+            "MIB"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f012",
+      "neutral_name": "Free cash flow-to-price",
+      "neutral_description": "Cash flow-to-price",
+      "formula_or_definition": "\\frac{FCF*_t}{ME_t}",
+      "input_fields": [
+        "FCF",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{FCF*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "FCF",
+          "meaning": "Free Cash Flow",
+          "construction_latex": "We use OCF*-CAPX. Note that the free cash flow is computed before financing activities and sale of assets is taken into account",
+          "source_fields": [
+            "OCF",
+            "CAPX"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f013",
+      "neutral_name": "Years 2-5 lagged returns, annual",
+      "neutral_description": "Years 2–5 lagged returns, annual",
+      "formula_or_definition": "Average return over annual lags from year t-2 to t-5",
+      "input_fields": [],
+      "formula_latex": "Average return over annual lags from year t-2 to t-5"
+    },
+    {
+      "factor_id": "f014",
+      "neutral_name": "Cash-based operating profits-to-book assets",
+      "neutral_description": "Cash-based operating profits-to-book assets",
+      "formula_or_definition": "\\frac{COP*_t}{AT*_t}",
+      "input_fields": [
+        "COP",
+        "AT"
+      ],
+      "formula_latex": "\\frac{COP*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "COP",
+          "meaning": "Cash Based Operating Profitability",
+          "construction_latex": "We prefer EBITDA*+XRD-OACC*. If XRD is unavailable, we set it to zero",
+          "source_fields": [
+            "EBITDA",
+            "XRD",
+            "OACC"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f015",
+      "neutral_name": "Short-term reversal",
+      "neutral_description": "Short-term reversal",
+      "formula_or_definition": "\\frac{RI*_{t}}{RI*_{t-1}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t}}{RI*_{t-1}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f016",
+      "neutral_name": "Quality minus Junk: Profitability",
+      "neutral_description": "Quality minus Junk: Profitability",
+      "formula_or_definition": "\\begin{aligned} ZV\\Big( & ZV(<input>_t) + ZV(f036_t) + \\\\ & ZV(NI_AT_t) + ZV(<input>_t) + ZV(GP_SALE*_t) + \\\\ & ZV(<input>_t)\\Big) \\\\ & \\end{aligned}",
+      "input_fields": [
+        "<input>",
+        "f036",
+        "ni_at",
+        "<input>",
+        "gp_sale",
+        "<input>"
+      ],
+      "formula_latex": "\\begin{aligned} ZV\\Big( & ZV(<input>_t) + ZV(f036_t) + \\\\ & ZV(NI_AT_t) + ZV(<input>_t) + ZV(GP_SALE*_t) + \\\\ & ZV(<input>_t)\\Big) \\\\ & \\end{aligned}",
+      "formula_inputs": [
+        {
+          "symbol": "<input>_t",
+          "meaning": "Gross Profit scaled by Assets",
+          "construction_latex": "\\frac{GP*_t}{AT*_t}"
+        },
+        {
+          "symbol": "f036_t",
+          "meaning": "Net Income scaled by BE",
+          "construction_latex": "\\frac{NI*_t}{BE*_t}"
+        },
+        {
+          "symbol": "NI_AT_t",
+          "meaning": "Net Income scaled by Assets",
+          "construction_latex": "\\frac{NI*_t}{AT*_t}"
+        },
+        {
+          "symbol": "<input>_t",
+          "meaning": "Operating Cash Flow scaled by Assets",
+          "construction_latex": "\\frac{OCF*_t}{AT*_t}"
+        },
+        {
+          "symbol": "GP_SALE",
+          "meaning": "Gross Profit Margin",
+          "construction_latex": "\\frac{GP*_t}{SALE*_t}"
+        },
+        {
+          "symbol": "<input>_t",
+          "meaning": "Operating Accruals",
+          "construction_latex": "\\frac{OACC*_t}{AT*_t}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f017",
+      "neutral_name": "Net debt issuance",
+      "neutral_description": "Net debt finance",
+      "formula_or_definition": "\\frac{DBNETIS*_t}{AT*_t}",
+      "input_fields": [
+        "DBNETIS",
+        "AT"
+      ],
+      "formula_latex": "\\frac{DBNETIS*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "DBNETIS",
+          "meaning": "Net Debt Issuance",
+          "construction_latex": "We use DLTNETIS*+DSTNETIS* and only require one of the items to be non-missing",
+          "source_fields": [
+            "DLTNETIS",
+            "DSTNETIS"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f018",
+      "neutral_name": "Operating leverage",
+      "neutral_description": "Operating leverage",
+      "formula_or_definition": "\\frac{OPEX*_t}{AT*_t}",
+      "input_fields": [
+        "OPEX",
+        "AT"
+      ],
+      "formula_latex": "\\frac{OPEX*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "OPEX",
+          "meaning": "Operating Expenses",
+          "construction_latex": "We prefer to use XOPR. If this is unavailable, we use COGS+XSGA",
+          "source_fields": [
+            "XOPR",
+            "COGS",
+            "XSGA"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f019",
+      "neutral_name": "Percent total accruals",
+      "neutral_description": "Percent total accruals",
+      "formula_or_definition": "\\frac{TACC*_t}{|NIX*_t|}",
+      "input_fields": [
+        "TACC",
+        "NIX"
+      ],
+      "formula_latex": "\\frac{TACC*_t}{|NIX*_t|}",
+      "formula_inputs": [
+        {
+          "symbol": "TACC",
+          "meaning": "Total Accruals",
+          "construction_latex": "We use OACC* + the yearly change in NFNA*",
+          "source_fields": [
+            "OACC",
+            "NFNA"
+          ]
+        },
+        {
+          "symbol": "NIX",
+          "meaning": "Net Income Including Extraordinary Items",
+          "construction_latex": "We prefer NI. If this is not available, we prefer NI*+XIDO*. If XIDO* is unavailable, we set it to zero. If that is unavailable, we prefer NI*+XI+DO",
+          "source_fields": [
+            "NI",
+            "XIDO",
+            "XI",
+            "DO"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f020",
+      "neutral_name": "Inventory change",
+      "neutral_description": "Inventory changes",
+      "formula_or_definition": "\\frac{INV_t-INV_{t-12}}{AT*_t}",
+      "input_fields": [
+        "INV_t",
+        "AT"
+      ],
+      "formula_latex": "\\frac{INV_t-INV_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "INV_t",
+          "meaning": "Inventory",
+          "construction_latex": "Compustat item INVT",
+          "source_fields": [
+            "INVT"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f021",
+      "neutral_name": "Ebitda-to-market enterprise value",
+      "neutral_description": "Enterprise multiple",
+      "formula_or_definition": "\\frac{EBITDA*_t}{MEV*_t}",
+      "input_fields": [
+        "EBITDA",
+        "MEV"
+      ],
+      "formula_latex": "\\frac{EBITDA*_t}{MEV*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EBITDA",
+          "meaning": "Operating Income Before Depreciation",
+          "construction_latex": "We prefer to use EBITDA. If this is unavailable, we use OIBDP. If this is unavailable, we use SALE*-OPEX*. If this is unavailable, we use GP*-XSGA",
+          "source_fields": [
+            "EBITDA",
+            "OIBDP",
+            "SALE",
+            "OPEX",
+            "GP",
+            "XSGA"
+          ]
+        },
+        {
+          "symbol": "MEV",
+          "meaning": "Market Enterprise Value",
+          "construction_latex": "We use ME_COMPANY + NETDEBT* $\\times$ FX*",
+          "source_fields": [
+            "ME_COMPANY",
+            "NETDEBT",
+            "FX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f022",
+      "neutral_name": "Debt-to-market",
+      "neutral_description": "Debt-to-market",
+      "formula_or_definition": "\\frac{DEBT*_t}{ME_t}",
+      "input_fields": [
+        "DEBT",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{DEBT*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "DEBT",
+          "meaning": "Total Debt",
+          "construction_latex": "We use DLTT+ DLC. Either DLTT or DLC are allowed to me missing",
+          "source_fields": [
+            "DLTT",
+            "DLC"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f023",
+      "neutral_name": "Idiosyncratic skewness from the Fama-French 3-factor model",
+      "neutral_description": "Idiosyncratic skewness from the Fama-French 3-factor model",
+      "formula_or_definition": "SKEW_21D(e_t)",
+      "input_fields": [],
+      "formula_latex": "SKEW_zD(e_t)",
+      "formula_latex_instantiated": "SKEW_21D(e_t)"
+    },
+    {
+      "factor_id": "f024",
+      "neutral_name": "Quality minus Junk: Safety",
+      "neutral_description": "Quality minus Junk: Safety",
+      "formula_or_definition": "\\begin{aligned} ZV\\Big( & ZV(<input>_t) + ZV(DEBT_AT_t) \\\\ + & ZV(<input>_t) + ZV(<input>_t) + ZV(_EVOL_t)\\Big) \\end{aligned}",
+      "input_fields": [
+        "<input>",
+        "debt_at",
+        "<input>",
+        "<input>"
+      ],
+      "formula_latex": "\\begin{aligned} ZV\\Big( & ZV(<input>_t) + ZV(DEBT_AT_t) \\\\ + & ZV(<input>_t) + ZV(<input>_t) + ZV(_EVOL_t)\\Big) \\end{aligned}",
+      "formula_inputs": [
+        {
+          "symbol": "<input>_t",
+          "meaning": "Betting Against Beta",
+          "construction_latex": "\\frac{<input>_t \\times RVOL_252d_t}{_MKTVOL_252d*_t}"
+        },
+        {
+          "symbol": "DEBT_AT_t",
+          "meaning": "Debt-to-Assets",
+          "construction_latex": "\\frac{DEBT*_t}{AT*_t}"
+        },
+        {
+          "symbol": "<input>_t",
+          "meaning": "\\hypertarget{ohl2}{Ohlson O-Score}",
+          "construction_latex": "Outlined in detail \\hyperlink{ohl}{here}"
+        },
+        {
+          "symbol": "<input>_t",
+          "meaning": "\\hypertarget{alt2}{Altman Z-Score}",
+          "construction_latex": "Outlined in detail \\hyperlink{alt}{here}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f025",
+      "neutral_name": "Net total issuance",
+      "neutral_description": "Net external finance",
+      "formula_or_definition": "\\frac{NETIS*_t}{AT*_t}",
+      "input_fields": [
+        "NETIS",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NETIS*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NETIS",
+          "meaning": "Net Issuance",
+          "construction_latex": "We use EQNETIS*+DBNETIS* and require that both EQNETIS* and DBNETIS* are non-missing",
+          "source_fields": [
+            "EQNETIS",
+            "DBNETIS"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f026",
+      "neutral_name": "Coskewness",
+      "neutral_description": "Coskewness",
+      "formula_or_definition": "\\frac{\\overline{(\\epsilon_t \\times MKTRF_DM_t^2)}_{21D}}{\\sqrt{\\overline{(\\epsilon_t^2)}_{21D} \\times \\overline{(MKTRF_DM_t^2)}_{21D}}}",
+      "input_fields": [
+        "MKTRF_DM_t"
+      ],
+      "formula_latex": "\\frac{\\overline{(\\epsilon_t \\times MKTRF_DM_t^2)}_{zD}}{\\sqrt{\\overline{(\\epsilon_t^2)}_{zD} \\times \\overline{(MKTRF_DM_t^2)}_{zD}}}",
+      "formula_latex_instantiated": "\\frac{\\overline{(\\epsilon_t \\times MKTRF_DM_t^2)}_{21D}}{\\sqrt{\\overline{(\\epsilon_t^2)}_{21D} \\times \\overline{(MKTRF_DM_t^2)}_{21D}}}",
+      "formula_inputs": [
+        {
+          "symbol": "MKTRF_DM_t",
+          "meaning": "Demeaned excess market return over the z-day window",
+          "construction_latex": "MKTRF\\_DM_t = MKTRF^*_t - \\overline{MKTRF^*_t}_{zD}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f027",
+      "neutral_name": "Change in noncurrent operating assets",
+      "neutral_description": "Change in noncurrent operating assets",
+      "formula_or_definition": "\\frac{NCOA*_t-NCOA*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "NCOA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NCOA*_t-NCOA*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NCOA",
+          "meaning": "Non-Current Operating Assets",
+          "construction_latex": "We use AT* - CA*- IVAO",
+          "source_fields": [
+            "AT",
+            "CA",
+            "IVAO"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f028",
+      "neutral_name": "Standardized Revenue surprise",
+      "neutral_description": "Revenue surprise",
+      "formula_or_definition": "SUR(SALE_QTR*)",
+      "input_fields": [
+        "SALE_QTR"
+      ],
+      "formula_latex": "SUR(SALE_QTR*)",
+      "formula_inputs": [
+        {
+          "symbol": "SALE_QTR",
+          "meaning": "Net Sales",
+          "construction_latex": "We use SALEQ",
+          "source_fields": [
+            "SALEQ"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f029",
+      "neutral_name": "Price momentum t-9 to t-1",
+      "neutral_description": "Past 9 month return",
+      "formula_or_definition": "\\frac{RI*_{t-1}}{RI*_{t-9}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-1}}{RI*_{t-9}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f030",
+      "neutral_name": "Number of zero trades with turnover as tiebreaker (1 month)",
+      "neutral_description": "Prior 1-month turnover-adjusted number of zero daily trading volume",
+      "formula_or_definition": "Number of days with zero trades over period. In case of equal number of zero trading days, turnover_zd will decide on the rank following Liu (2006)",
+      "input_fields": [
+        "turnover_zd"
+      ],
+      "formula_latex": "Number of days with zero trades over period. In case of equal number of zero trading days, turnover_zd will decide on the rank following Liu (2006)",
+      "formula_latex_instantiated": "Number of days with zero trades over period. In case of equal number of zero trading days, turnover_zd will decide on the rank following Liu (2006)",
+      "formula_inputs": [
+        {
+          "symbol": "turnover_zd",
+          "meaning": "Turnover",
+          "construction_latex": "\\overline{(\\frac{TVOL*_t}{SHARES*_t*1000000})}_{zD}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f031",
+      "neutral_name": "Net operating assets",
+      "neutral_description": "Net operating assets",
+      "formula_or_definition": "\\frac{NOA*_t}{AT*_t}",
+      "input_fields": [
+        "NOA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NOA*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NOA",
+          "meaning": "Net Operating Assets",
+          "construction_latex": "We use OA*-OL*",
+          "source_fields": [
+            "OA",
+            "OL"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f032",
+      "neutral_name": "Downside beta",
+      "neutral_description": "Downside beta",
+      "formula_or_definition": "\\beta_1\\text{ from } RET\\_EXC^*_t = \\beta_0 + \\beta_1 MKTRF^*_t + \\epsilon_t\\text{ restricted to }MKTRF^*_t<0",
+      "input_fields": [
+        "RET",
+        "MKTRF"
+      ],
+      "formula_latex": "\\beta_1\\text{ from } RET\\_EXC^*_t = \\beta_0 + \\beta_1 MKTRF^*_t + \\epsilon_t\\text{ restricted to }MKTRF^*_t<0",
+      "formula_latex_instantiated": "\\beta_1\\text{ from } RET\\_EXC^*_t = \\beta_0 + \\beta_1 MKTRF^*_t + \\epsilon_t\\text{ restricted to }MKTRF^*_t<0",
+      "formula_inputs": [
+        {
+          "symbol": "RET",
+          "meaning": "Return",
+          "construction_latex": "We use RET. In case of delisting, we calculate as (1+RET)*(1+DLRET)-1",
+          "source_fields": [
+            "RET",
+            "DLRET"
+          ]
+        },
+        {
+          "symbol": "MKTRF",
+          "meaning": "Excess Market Return",
+          "construction_latex": "Country specific market return"
+        }
+      ]
+    },
+    {
+      "factor_id": "f033",
+      "neutral_name": "Pitroski F-score",
+      "neutral_description": "Fundamental score",
+      "formula_or_definition": "f033_t =& _f_roa_{>0, t} + _f_croa_{>0, t} + _f_droa_{>0, t} + _f_acc_{>0, t} + \\\\ &_f_lev_{<0, t} + _f_liq_{>0, t} + _f_eqis_{=0, t} + _f_gm_{>0, t} + _f_aturn_{>0, t}",
+      "input_fields": [
+        "NI",
+        "AT",
+        "OCF",
+        "DLTT_t",
+        "CA",
+        "CL",
+        "EQIS",
+        "GP",
+        "SALE"
+      ],
+      "formula_latex": "f033_t =& _f_roa_{>0, t} + _f_croa_{>0, t} + _f_droa_{>0, t} + _f_acc_{>0, t} + \\\\ &_f_lev_{<0, t} + _f_liq_{>0, t} + _f_eqis_{=0, t} + _f_gm_{>0, t} + _f_aturn_{>0, t}",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        },
+        {
+          "symbol": "OCF",
+          "meaning": "Operating Cash Flow",
+          "construction_latex": "We prefer to use OANCF. If this is unavailable, we use NI*-OACC*. If this is unavailable, we use NI* + DP - WCAPT. If WCAPT is missing, we use 0.",
+          "source_fields": [
+            "OANCF",
+            "NI",
+            "OACC",
+            "DP",
+            "WCAPT"
+          ]
+        },
+        {
+          "symbol": "DLTT_t",
+          "meaning": "Long-Term Debt",
+          "construction_latex": "Compustat item DLTT",
+          "source_fields": [
+            "DLTT"
+          ]
+        },
+        {
+          "symbol": "CA",
+          "meaning": "Current Assets",
+          "construction_latex": "We prefer ACT. If this is unavailable, we use RECT+INVT+CHE+ACO",
+          "source_fields": [
+            "ACT",
+            "RECT",
+            "INVT",
+            "CHE",
+            "ACO"
+          ]
+        },
+        {
+          "symbol": "CL",
+          "meaning": "Current Liabilities",
+          "construction_latex": "We prefer LCT. If this is unavailable, we use AP+ DLC+ TXP+ LCO",
+          "source_fields": [
+            "LCT",
+            "AP",
+            "DLC",
+            "TXP",
+            "LCO"
+          ]
+        },
+        {
+          "symbol": "EQIS",
+          "meaning": "Equity Issuance",
+          "construction_latex": "Compustat item SSTK",
+          "source_fields": [
+            "SSTK"
+          ]
+        },
+        {
+          "symbol": "GP",
+          "meaning": "Gross Profit",
+          "construction_latex": "We prefer to use GP. If this is unavailable we use sale*-COGS",
+          "source_fields": [
+            "GP",
+            "COGS"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f034",
+      "neutral_name": "Years 11-15 lagged returns, nonannual",
+      "neutral_description": "Years 11–15 lagged returns, nonannual",
+      "formula_or_definition": "Average return over non-annual lags from year t-11 to t-15",
+      "input_fields": [],
+      "formula_latex": "Average return over non-annual lags from year t-11 to t-15"
+    },
+    {
+      "factor_id": "f035",
+      "neutral_name": "Years 2-5 lagged returns, nonannual",
+      "neutral_description": "Years 2–5 lagged returns, nonannual",
+      "formula_or_definition": "Average return over non-annual lags from year t-2 to t-5",
+      "input_fields": [],
+      "formula_latex": "Average return over non-annual lags from year t-2 to t-5"
+    },
+    {
+      "factor_id": "f036",
+      "neutral_name": "Return on equity",
+      "neutral_description": "Annual Return on equity",
+      "formula_or_definition": "\\frac{NI*_t}{BE*_t}",
+      "input_fields": [
+        "NI",
+        "BE"
+      ],
+      "formula_latex": "\\frac{NI*_t}{BE*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f037",
+      "neutral_name": "Tax expense surprise",
+      "neutral_description": "Tax expense surprise",
+      "formula_or_definition": "\\frac{TAX_t - TAX_{t-12}}{AT*_t}",
+      "input_fields": [
+        "TAX_t",
+        "AT"
+      ],
+      "formula_latex": "\\frac{TAX_t - TAX_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "TAX_t",
+          "meaning": "Income Tax",
+          "construction_latex": "Compustat item TXT",
+          "source_fields": [
+            "TXT"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f038",
+      "neutral_name": "Cash flow volatility",
+      "neutral_description": "Cash flow volatility",
+      "formula_or_definition": "\\sigma_{16Q}(\\frac{OCF_QTR*_t}{SALE_QTR*_t}))",
+      "input_fields": [
+        "OCF_QTR",
+        "SALE_QTR"
+      ],
+      "formula_latex": "\\sigma_{16Q}(\\frac{OCF_QTR*_t}{SALE_QTR*_t}))",
+      "formula_inputs": [
+        {
+          "symbol": "OCF_QTR",
+          "meaning": "Quarterly Operating Cash Flow",
+          "construction_latex": "We use OANCFQ. If this is unavailable, then we use IBQ + DPQ - WCAPTQ. If WCAPTQ is unavailable, we set it to",
+          "source_fields": [
+            "OANCFQ",
+            "IBQ",
+            "DPQ",
+            "WCAPTQ"
+          ]
+        },
+        {
+          "symbol": "SALE_QTR",
+          "meaning": "Net Sales",
+          "construction_latex": "We use SALEQ",
+          "source_fields": [
+            "SALEQ"
+          ]
+        }
+      ]
+    }
+  ],
+  "train": {
+    "rows": [],
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+      "path": "artifacts/train.parquet",
+      "format": "parquet",
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+        "f036",
+        "f037",
+        "f038",
+        "label"
+      ]
+    }
+  },
+  "predict": {
+    "schema": [
+      "id",
+      "time_key",
+      "f001",
+      "f002",
+      "f003",
+      "f004",
+      "f005",
+      "f006",
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+    ],
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+    "rows_visible_to_llm": false
+  },
+  "metadata": {
+    "id_column": "id",
+    "time_column": "time_key",
+    "target_is_excess_return": true,
+    "future_labels_included": false,
+    "seed": 1,
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+    "rolling_test_months": 12,
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+    "public_artifacts_only": true,
+    "time_key_encoding": "relative_months_from_formation"
+  },
+  "artifact_root": "."
+}

data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_50b10d0c23d00cdf/rolling_truth.jsonl

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+    "tax_gr1a": "f020",
+    "dolvol_126d": "f021",
+    "ni_ivol": "f022",
+    "seas_2_5an": "f023",
+    "noa_at": "f024",
+    "dsale_drec": "f025",
+    "cowc_gr1a": "f026",
+    "ocfq_saleq_std": "f027",
+    "f_score": "f028",
+    "seas_1_1an": "f029",
+    "eqnetis_at": "f030",
+    "op_at": "f031",
+    "capx_gr3": "f032",
+    "rskew_21d": "f033",
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+    "ret_12_1": "f035",
+    "debt_gr3": "f036",
+    "ival_me": "f037",
+    "niq_be": "f038",
+    "rmax5_21d": "f039",
+    "eq_dur": "f040",
+    "aliq_mat": "f041",
+    "iskew_ff3_21d": "f042",
+    "emp_gr1": "f043",
+    "ret_9_1": "f044",
+    "at_gr1": "f045",
+    "rd_sale": "f046",
+    "niq_at": "f047",
+    "coa_gr1a": "f048",
+    "z_score": "f049",
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+    "be_me": "f053",
+    "ni_ar1": "f054",
+    "ebit_sale": "f055",
+    "eqnpo_me": "f056",
+    "ebit_bev": "f057",
+    "ivol_capm_252d": "f058",
+    "dolvol_var_126d": "f059",
+    "age": "f060",
+    "turnover_var_126d": "f061",
+    "o_score": "f062",
+    "opex_at": "f063",
+    "saleq_su": "f064",
+    "taccruals_at": "f065",
+    "capx_gr1": "f066",
+    "niq_su": "f067",
+    "ncol_gr1a": "f068",
+    "ami_126d": "f069",
+    "seas_6_10an": "f070",
+    "at_be": "f071",
+    "dgp_dsale": "f072",
+    "bev_mev": "f073",
+    "inv_gr1": "f074",
+    "sti_gr1a": "f075",
+    "aliq_at": "f076"
+  },
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+    "f002": "gp_atl1",
+    "f003": "beta_dimson_21d",
+    "f004": "eqnpo_12m",
+    "f005": "oaccruals_at",
+    "f006": "sale_me",
+    "f007": "resff3_6_1",
+    "f008": "div12m_me",
+    "f009": "ret_1_0",
+    "f010": "ppeinv_gr1a",
+    "f011": "debt_me",
+    "f012": "ni_be",
+    "f013": "qmj_prof",
+    "f014": "betabab_1260d",
+    "f015": "mispricing_mgmt",
+    "f016": "iskew_hxz4_21d",
+    "f017": "niq_at_chg1",
+    "f018": "cash_at",
+    "f019": "beta_60m",
+    "f020": "tax_gr1a",
+    "f021": "dolvol_126d",
+    "f022": "ni_ivol",
+    "f023": "seas_2_5an",
+    "f024": "noa_at",
+    "f025": "dsale_drec",
+    "f026": "cowc_gr1a",
+    "f027": "ocfq_saleq_std",
+    "f028": "f_score",
+    "f029": "seas_1_1an",
+    "f030": "eqnetis_at",
+    "f031": "op_at",
+    "f032": "capx_gr3",
+    "f033": "rskew_21d",
+    "f034": "oaccruals_ni",
+    "f035": "ret_12_1",
+    "f036": "debt_gr3",
+    "f037": "ival_me",
+    "f038": "niq_be",
+    "f039": "rmax5_21d",
+    "f040": "eq_dur",
+    "f041": "aliq_mat",
+    "f042": "iskew_ff3_21d",
+    "f043": "emp_gr1",
+    "f044": "ret_9_1",
+    "f045": "at_gr1",
+    "f046": "rd_sale",
+    "f047": "niq_at",
+    "f048": "coa_gr1a",
+    "f049": "z_score",
+    "f050": "ocf_at_chg1",
+    "f051": "ni_me",
+    "f052": "rvol_21d",
+    "f053": "be_me",
+    "f054": "ni_ar1",
+    "f055": "ebit_sale",
+    "f056": "eqnpo_me",
+    "f057": "ebit_bev",
+    "f058": "ivol_capm_252d",
+    "f059": "dolvol_var_126d",
+    "f060": "age",
+    "f061": "turnover_var_126d",
+    "f062": "o_score",
+    "f063": "opex_at",
+    "f064": "saleq_su",
+    "f065": "taccruals_at",
+    "f066": "capx_gr1",
+    "f067": "niq_su",
+    "f068": "ncol_gr1a",
+    "f069": "ami_126d",
+    "f070": "seas_6_10an",
+    "f071": "at_be",
+    "f072": "dgp_dsale",
+    "f073": "bev_mev",
+    "f074": "inv_gr1",
+    "f075": "sti_gr1a",
+    "f076": "aliq_at"
+  },
+  "public_feature_columns": [
+    "f001",
+    "f002",
+    "f003",
+    "f004",
+    "f005",
+    "f006",
+    "f007",
+    "f008",
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+    "f010",
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+    "f015",
+    "f016",
+    "f017",
+    "f018",
+    "f019",
+    "f020",
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+    "f023",
+    "f024",
+    "f025",
+    "f026",
+    "f027",
+    "f028",
+    "f029",
+    "f030",
+    "f031",
+    "f032",
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+    "f034",
+    "f035",
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+    "f039",
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+    "f045",
+    "f046",
+    "f047",
+    "f048",
+    "f049",
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+    "f073",
+    "f074",
+    "f075",
+    "f076"
+  ],
+  "note": "evaluator-only; feature names are anonymized in the public payload"
+}

data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_55758b4af626c180/manifest.json

@@ -0,0 +1,355 @@
+{
+  "record_type": "case",
+  "manifest_schema_version": "task_c_frozen_raw_rolling_manifest.v1",
+  "generator_version": "build_task_c_frozen_raw_rolling.v4_anchor_subset_policy",
+  "track": "semantic",
+  "semantic_card_schema_version": "semantic_factor_card.v1",
+  "case_number": 163,
+  "case_id": "c_case_55758b4af626c180",
+  "sequence_id": "c_case_55758b4af626c180",
+  "dataset_scope": "stock_multifactor_code_frozen_rolling",
+  "dataset_id": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_55758b4af626c180",
+  "path": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_55758b4af626c180",
+  "case_manifest_path": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_55758b4af626c180/manifest.json",
+  "block_id": "block_03",
+  "block_index": 3,
+  "anchor_month": "2008-12",
+  "history_window": "5Y",
+  "start_anchor_month": "2008-12",
+  "end_anchor_month": "2009-11",
+  "history_start_month": "2003-12",
+  "history_end_month": "2008-11",
+  "target_start_month": "2009-01",
+  "target_end_month": "2009-12",
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+  "task": "stock_multifactor_model",
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+  "requested_sample_size": 76,
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+    "sale_me",
+    "resff3_6_1",
+    "div12m_me",
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+    "ppeinv_gr1a",
+    "debt_me",
+    "ni_be",
+    "qmj_prof",
+    "betabab_1260d",
+    "mispricing_mgmt",
+    "iskew_hxz4_21d",
+    "niq_at_chg1",
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+    "beta_60m",
+    "tax_gr1a",
+    "dolvol_126d",
+    "ni_ivol",
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+    "capx_gr3",
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+    "debt_gr3",
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+    "emp_gr1",
+    "ret_9_1",
+    "at_gr1",
+    "rd_sale",
+    "niq_at",
+    "coa_gr1a",
+    "z_score",
+    "ocf_at_chg1",
+    "ni_me",
+    "rvol_21d",
+    "be_me",
+    "ni_ar1",
+    "ebit_sale",
+    "eqnpo_me",
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+    "ivol_capm_252d",
+    "dolvol_var_126d",
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+    "turnover_var_126d",
+    "o_score",
+    "opex_at",
+    "saleq_su",
+    "taccruals_at",
+    "capx_gr1",
+    "niq_su",
+    "ncol_gr1a",
+    "ami_126d",
+    "seas_6_10an",
+    "at_be",
+    "dgp_dsale",
+    "bev_mev",
+    "inv_gr1",
+    "sti_gr1a",
+    "aliq_at"
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+    "aliq_mat",
+    "ami_126d",
+    "at_be",
+    "at_gr1",
+    "be_me",
+    "beta_60m",
+    "beta_dimson_21d",
+    "betabab_1260d",
+    "bev_mev",
+    "capx_gr1",
+    "capx_gr3",
+    "cash_at",
+    "coa_gr1a",
+    "cowc_gr1a",
+    "debt_gr3",
+    "debt_me",
+    "dgp_dsale",
+    "div12m_me",
+    "dolvol_126d",
+    "dolvol_var_126d",
+    "dsale_drec",
+    "ebit_bev",
+    "ebit_sale",
+    "emp_gr1",
+    "eq_dur",
+    "eqnetis_at",
+    "eqnpo_12m",
+    "eqnpo_me",
+    "f_score",
+    "gp_atl1",
+    "inv_gr1",
+    "iskew_ff3_21d",
+    "iskew_hxz4_21d",
+    "ival_me",
+    "ivol_capm_252d",
+    "mispricing_mgmt",
+    "ncol_gr1a",
+    "ni_ar1",
+    "ni_be",
+    "ni_ivol",
+    "ni_me",
+    "niq_at",
+    "niq_at_chg1",
+    "niq_be",
+    "niq_su",
+    "noa_at",
+    "o_score",
+    "oaccruals_at",
+    "oaccruals_ni",
+    "ocf_at_chg1",
+    "ocfq_saleq_std",
+    "op_at",
+    "opex_at",
+    "ppeinv_gr1a",
+    "qmj_prof",
+    "rd_sale",
+    "resff3_6_1",
+    "ret_12_1",
+    "ret_1_0",
+    "ret_3_1",
+    "ret_9_1",
+    "rmax5_21d",
+    "rskew_21d",
+    "rvol_21d",
+    "sale_me",
+    "saleq_su",
+    "seas_1_1an",
+    "seas_2_5an",
+    "seas_6_10an",
+    "sti_gr1a",
+    "taccruals_at",
+    "tax_gr1a",
+    "turnover_var_126d",
+    "z_score"
+  ],
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+    "f002",
+    "f003",
+    "f004",
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+    "f006",
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+    "f035",
+    "f036",
+    "f037",
+    "f038",
+    "f039",
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+    "f052",
+    "f053",
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+    "f060",
+    "f061",
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+    "f066",
+    "f067",
+    "f068",
+    "f069",
+    "f070",
+    "f071",
+    "f072",
+    "f073",
+    "f074",
+    "f075",
+    "f076"
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+  "subset_id": "5Y_200812_76_s04",
+  "subset_index": 4,
+  "selection_source_windows": [
+    "2Y",
+    "3Y",
+    "5Y"
+  ],
+  "selection_plan_sha256": "410c62e9eaec356129260d72c055cc06d4d41bb8c85dccabef890963b2185918",
+  "sampling": {
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+    "same_subset_across_selection_windows": true,
+    "future_values_used_for_selection": false
+  },
+  "window": {
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+    "history_months": 60,
+    "train_months": 48,
+    "validation_months": 12,
+    "rolling_test_months": 12,
+    "feature_warmup_months": 0
+  },
+  "train_validation": {
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+      "t-13"
+    ],
+    "validation_month_range": [
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+      "t-1"
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+    "relative_time_encoding": "relative_months_from_formation"
+  },
+  "rolling_protocol": {
+    "history_window": "5Y",
+    "history_window_months": 60,
+    "test_steps": 12,
+    "one_step_horizon_months": 1,
+    "train_months": 48,
+    "validation_months": 12,
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+    "validation_policy": "select_or_early_stop_then_refit_train_plus_validation",
+    "llm_calls_during_rolling": 0
+  },
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+  "source_daily_returns": "data/raw/wrds/ctff_daily_ret.parquet",
+  "source_nyse_cutoffs": "data/raw/jkp/2025-12/nyse_cutoffs.csv",
+  "public_future_labels_included": false,
+  "source_history_feature_ids_are_truth_only": true,
+  "evaluator_only_files": [
+    "rolling_truth.jsonl",
+    "evaluator_id_map.json",
+    "evaluator_feature_map.json"
+  ],
+  "artifacts": {
+    "payload": {
+      "path": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_55758b4af626c180/payload.json",
+      "bytes": 81655,
+      "sha256": "aef913a819ef04470c496d7c6e245d35c542e34d12a7542a3d175d632f7258f6"
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+      "format": "parquet",
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+      "sha256": "77b9e1f77d5da80393a1232404e708c9ce43ea420cac6beea6638e2819c97ccd",
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+    "rolling_truth": {
+      "path": "data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_55758b4af626c180/rolling_truth.jsonl",
+      "bytes": 9183,
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+    "evaluator_id_map": {
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+      "sha256": "81c30e22a698125ec2303dadf277925b684a7d06dd088dd7b65a6819c1263194"
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+      "bytes": 4879,
+      "sha256": "8026074b977793ab3d999366478bd5ecc300a63af03ca18cd7d0db8ed3f4b3fd"
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+  "payload_hash": "aef913a819ef04470c496d7c6e245d35c542e34d12a7542a3d175d632f7258f6"
+}

data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_55758b4af626c180/payload.json

@@ -0,0 +1,2742 @@
+{
+  "case_id": "c_case_55758b4af626c180",
+  "task": "stock_multifactor_model",
+  "horizon_months": 1,
+  "track": "semantic",
+  "feature_columns": [
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+    "f067",
+    "f068",
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+    "f071",
+    "f072",
+    "f073",
+    "f074",
+    "f075",
+    "f076"
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+  "factor_cards": [
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+      "neutral_name": "Price momentum t-3 to t-1",
+      "neutral_description": "Past 3 month return",
+      "formula_or_definition": "\\frac{RI*_{t-1}}{RI*_{t-3}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-1}}{RI*_{t-3}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f002",
+      "neutral_name": "Gross profits-to-lagged assets",
+      "neutral_description": "Gross profits-to-lagged assets",
+      "formula_or_definition": "\\frac{GP*_t}{AT*_{t-12}}",
+      "input_fields": [
+        "GP",
+        "AT"
+      ],
+      "formula_latex": "\\frac{GP*_t}{AT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "GP",
+          "meaning": "Gross Profit",
+          "construction_latex": "We prefer to use GP. If this is unavailable we use sale*-COGS",
+          "source_fields": [
+            "GP",
+            "COGS"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f003",
+      "neutral_name": "Dimson beta",
+      "neutral_description": "The Dimson beta",
+      "formula_or_definition": "\\beta^{Dimson}_{21D} = \\beta_{-1} + \\beta_0 + \\beta_{+1}",
+      "input_fields": [
+        "RET",
+        "MKTRF_"
+      ],
+      "formula_latex": "\\beta^{Dimson}_{zD} = \\beta_{-1} + \\beta_0 + \\beta_{+1}",
+      "formula_latex_instantiated": "\\beta^{Dimson}_{21D} = \\beta_{-1} + \\beta_0 + \\beta_{+1}",
+      "formula_inputs": [
+        {
+          "symbol": "RET",
+          "meaning": "Return",
+          "construction_latex": "We use RET. In case of delisting, we calculate as (1+RET)*(1+DLRET)-1",
+          "source_fields": [
+            "RET",
+            "DLRET"
+          ]
+        },
+        {
+          "symbol": "MKTRF_",
+          "meaning": "Excess Market Return",
+          "construction_latex": "Country specific market return"
+        }
+      ]
+    },
+    {
+      "factor_id": "f004",
+      "neutral_name": "Equity net payout",
+      "neutral_description": "Composite equity issuance",
+      "formula_or_definition": "log(\\frac{RI*_t}{RI*_{t-12}}) - log(\\frac{ME*_t}{ME*_{t-12}})",
+      "input_fields": [
+        "RI",
+        "ME"
+      ],
+      "formula_latex": "log(\\frac{RI*_t}{RI*_{t-12}}) - log(\\frac{ME*_t}{ME*_{t-12}})",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        },
+        {
+          "symbol": "ME",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f005",
+      "neutral_name": "Operating accruals",
+      "neutral_description": "Operating accruals",
+      "formula_or_definition": "\\frac{OACC*_t}{AT*_t}",
+      "input_fields": [
+        "OACC",
+        "AT"
+      ],
+      "formula_latex": "\\frac{OACC*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "OACC",
+          "meaning": "Operating Accruals",
+          "construction_latex": "We prefer NI*-OANCF. If that is unavailable, we use the yearly change in COWC*+the yearly change in NNCOA*",
+          "source_fields": [
+            "NI",
+            "OANCF",
+            "COWC",
+            "NNCOA"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f006",
+      "neutral_name": "Sales-to-market",
+      "neutral_description": "Sales-to-price",
+      "formula_or_definition": "\\frac{SALE*_t}{ME_t}",
+      "input_fields": [
+        "SALE",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{SALE*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f007",
+      "neutral_name": "Residual momentum t-6 to t-1",
+      "neutral_description": "Residual momentum,  prior 6-month returns",
+      "formula_or_definition": "-1 + \\prod_{n = 1}^6 1 + e_{t-n}",
+      "input_fields": [
+        "e_"
+      ],
+      "formula_latex": "-1 + \\prod_{n = 1}^6 1 + e_{t-n}",
+      "formula_inputs": [
+        {
+          "symbol": "e_",
+          "meaning": "Residual from the Fama-French three-factor regression",
+          "construction_latex": "RET\\_EXC^*_t = \\beta_0 + \\beta_1 MKTRF^*_t + \\beta_2 HML^*_t + \\beta_3 SMB\\_FF^*_t + e_t"
+        }
+      ]
+    },
+    {
+      "factor_id": "f008",
+      "neutral_name": "Dividend yield",
+      "neutral_description": "Dividend yield",
+      "formula_or_definition": "\\frac{\\sum_{n = 0}^{11} DIV_TOT*_{t - n}\\times SHARES*_{t - n}}{ME*_t}",
+      "input_fields": [
+        "DIV_TOT",
+        "SHARES",
+        "ME"
+      ],
+      "formula_latex": "\\frac{\\sum_{n = 0}^{11} DIV_TOT*_{t - n}\\times SHARES*_{t - n}}{ME*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "DIV_TOT",
+          "meaning": "Monthly Dividend",
+          "construction_latex": "We use\\newline (RET -RETX)$\\times$lag(<input>*)$\\times$(CFACSHR/lag(CFACSHR))",
+          "source_fields": [
+            "RET",
+            "RETX",
+            "<input>",
+            "CFACSHR"
+          ]
+        },
+        {
+          "symbol": "SHARES",
+          "meaning": "Shares",
+          "construction_latex": "We use SHROUT/1000 so shares outstanding are in millions.",
+          "source_fields": [
+            "SHROUT"
+          ]
+        },
+        {
+          "symbol": "ME",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f009",
+      "neutral_name": "Short-term reversal",
+      "neutral_description": "Short-term reversal",
+      "formula_or_definition": "\\frac{RI*_{t}}{RI*_{t-1}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t}}{RI*_{t-1}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f010",
+      "neutral_name": "Change PPE and Inventory",
+      "neutral_description": "Change in property, pant and equiptment and equipment and inventory scaled by book assets",
+      "formula_or_definition": "\\frac{PPEINV*_t - PPEINV*_{t-12}}{AT*_{t-12}}",
+      "input_fields": [
+        "PPEINV",
+        "AT"
+      ],
+      "formula_latex": "\\frac{PPEINV*_t - PPEINV*_{t-12}}{AT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "PPEINV",
+          "meaning": "Property Plant and Equipment Less Inventories",
+          "construction_latex": "PPEGT + INVT",
+          "source_fields": [
+            "PPEGT",
+            "INVT"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f011",
+      "neutral_name": "Debt-to-market",
+      "neutral_description": "Debt-to-market",
+      "formula_or_definition": "\\frac{DEBT*_t}{ME_t}",
+      "input_fields": [
+        "DEBT",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{DEBT*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "DEBT",
+          "meaning": "Total Debt",
+          "construction_latex": "We use DLTT+ DLC. Either DLTT or DLC are allowed to me missing",
+          "source_fields": [
+            "DLTT",
+            "DLC"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f012",
+      "neutral_name": "Return on equity",
+      "neutral_description": "Annual Return on equity",
+      "formula_or_definition": "\\frac{NI*_t}{BE*_t}",
+      "input_fields": [
+        "NI",
+        "BE"
+      ],
+      "formula_latex": "\\frac{NI*_t}{BE*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f013",
+      "neutral_name": "Quality minus Junk: Profitability",
+      "neutral_description": "Quality minus Junk: Profitability",
+      "formula_or_definition": "\\begin{aligned} ZV\\Big( & ZV(<input>_t) + ZV(f012_t) + \\\\ & ZV(NI_AT_t) + ZV(<input>_t) + ZV(GP_SALE*_t) + \\\\ & ZV(f005_t)\\Big) \\\\ & \\end{aligned}",
+      "input_fields": [
+        "<input>",
+        "f012",
+        "ni_at",
+        "<input>",
+        "gp_sale",
+        "f005"
+      ],
+      "formula_latex": "\\begin{aligned} ZV\\Big( & ZV(<input>_t) + ZV(f012_t) + \\\\ & ZV(NI_AT_t) + ZV(<input>_t) + ZV(GP_SALE*_t) + \\\\ & ZV(f005_t)\\Big) \\\\ & \\end{aligned}",
+      "formula_inputs": [
+        {
+          "symbol": "<input>_t",
+          "meaning": "Gross Profit scaled by Assets",
+          "construction_latex": "\\frac{GP*_t}{AT*_t}"
+        },
+        {
+          "symbol": "f012_t",
+          "meaning": "Net Income scaled by BE",
+          "construction_latex": "\\frac{NI*_t}{BE*_t}"
+        },
+        {
+          "symbol": "NI_AT_t",
+          "meaning": "Net Income scaled by Assets",
+          "construction_latex": "\\frac{NI*_t}{AT*_t}"
+        },
+        {
+          "symbol": "<input>_t",
+          "meaning": "Operating Cash Flow scaled by Assets",
+          "construction_latex": "\\frac{OCF*_t}{AT*_t}"
+        },
+        {
+          "symbol": "GP_SALE",
+          "meaning": "Gross Profit Margin",
+          "construction_latex": "\\frac{GP*_t}{SALE*_t}"
+        },
+        {
+          "symbol": "f005_t",
+          "meaning": "Operating Accruals",
+          "construction_latex": "\\frac{OACC*_t}{AT*_t}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f014",
+      "neutral_name": "Frazzini-Pedersen market beta",
+      "neutral_description": "The Frazzini-Pedersen beta",
+      "formula_or_definition": "\\frac{<input>_t \\times RVOL_252d_t}{_MKTVOL_252d*_t}",
+      "input_fields": [
+        "<input>",
+        "rvol_252d"
+      ],
+      "formula_latex": "\\frac{<input>_t \\times RVOL_252d_t}{_MKTVOL_252d*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "<input>_t",
+          "meaning": "Correlation to Market",
+          "construction_latex": "The correlation between $RET_EXC*_3l = RET_EXC*_t + RET_EXC*_{t-1} + RET_EXC*_{t-2}$ and $MKT_EXC_3l = MKTRF*_t + MKTRF*_{t-1} + MKTRF*_{t-2}$"
+        },
+        {
+          "symbol": "RVOL_252d_t",
+          "meaning": "Return Volatility",
+          "construction_latex": "\\sigma_{zD}(RET_EXC*_t)"
+        }
+      ]
+    },
+    {
+      "factor_id": "f015",
+      "neutral_name": "Mispricing factor: Management",
+      "neutral_description": "Mispricing factor: Management",
+      "formula_or_definition": "$ \\begin{aligned} \\frac{1}{6}\\big( & <input>^{r01}_t + f004^{r01}_t +",
+      "input_fields": [
+        "<input>",
+        "f004"
+      ],
+      "formula_latex": "$ \\begin{aligned} \\frac{1}{6}\\big( & <input>^{r01}_t + f004^{r01}_t +",
+      "formula_inputs": [
+        {
+          "symbol": "<input>",
+          "meaning": "Change in Shares - 12 Month",
+          "construction_latex": "\\frac{SHARES*_t\\times ADJFCT*_t}{SHARES*_{t-12}\\times ADJFCT*_{t-12}} - 1"
+        },
+        {
+          "symbol": "f004",
+          "meaning": "Net Equity Payout - 12 Month",
+          "construction_latex": "log(\\frac{RI*_t}{RI*_{t-12}}) - log(\\frac{ME*_t}{ME*_{t-12}})"
+        }
+      ]
+    },
+    {
+      "factor_id": "f016",
+      "neutral_name": "Idiosyncratic skewness from the q-factor model",
+      "neutral_description": "Idiosyncratic skewness from the q-factor model",
+      "formula_or_definition": "SKEW_21D(\\sigma_t)",
+      "input_fields": [],
+      "formula_latex": "SKEW_zD(\\sigma_t)",
+      "formula_latex_instantiated": "SKEW_21D(\\sigma_t)"
+    },
+    {
+      "factor_id": "f017",
+      "neutral_name": "Change in quarterly return on assets",
+      "neutral_description": "4-quarter change in return on assets",
+      "formula_or_definition": "f047_t - f047_{t-12}",
+      "input_fields": [
+        "f047"
+      ],
+      "formula_latex": "f047_t - f047_{t-12}",
+      "formula_inputs": [
+        {
+          "symbol": "f047_t",
+          "meaning": "Quarterly Income scaled by AT",
+          "construction_latex": "\\frac{NI_QTR*_t}{AT*_{t-3}}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f018",
+      "neutral_name": "Cash-to-assets",
+      "neutral_description": "Cash-to-assets",
+      "formula_or_definition": "\\frac{CASH_t}{AT*_t}",
+      "input_fields": [
+        "CASH_t",
+        "AT"
+      ],
+      "formula_latex": "\\frac{CASH_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "CASH_t",
+          "meaning": "Cash and Short-Term Investment",
+          "construction_latex": "Compustat item CHE",
+          "source_fields": [
+            "CHE"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f019",
+      "neutral_name": "Market Beta",
+      "neutral_description": "The market beta",
+      "formula_or_definition": "\\frac{COVAR_60M(RET*_t, MKTRF*_t)}{VARC_60M(MKTRF*_t)}",
+      "input_fields": [
+        "RET",
+        "MKTRF"
+      ],
+      "formula_latex": "\\frac{COVAR_60M(RET*_t, MKTRF*_t)}{VARC_60M(MKTRF*_t)}",
+      "formula_inputs": [
+        {
+          "symbol": "RET",
+          "meaning": "Return",
+          "construction_latex": "We use RET. In case of delisting, we calculate as (1+RET)*(1+DLRET)-1",
+          "source_fields": [
+            "RET",
+            "DLRET"
+          ]
+        },
+        {
+          "symbol": "MKTRF",
+          "meaning": "Excess Market Return",
+          "construction_latex": "Country specific market return"
+        }
+      ]
+    },
+    {
+      "factor_id": "f020",
+      "neutral_name": "Tax expense surprise",
+      "neutral_description": "Tax expense surprise",
+      "formula_or_definition": "\\frac{TAX_t - TAX_{t-12}}{AT*_t}",
+      "input_fields": [
+        "TAX_t",
+        "AT"
+      ],
+      "formula_latex": "\\frac{TAX_t - TAX_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "TAX_t",
+          "meaning": "Income Tax",
+          "construction_latex": "Compustat item TXT",
+          "source_fields": [
+            "TXT"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f021",
+      "neutral_name": "Dollar trading volume",
+      "neutral_description": "Dollar trading volume",
+      "formula_or_definition": "\\overline{DOLVOL*_t}_{126D}",
+      "input_fields": [
+        "DOLVOL"
+      ],
+      "formula_latex": "\\overline{DOLVOL*_t}_{zD}",
+      "formula_latex_instantiated": "\\overline{DOLVOL*_t}_{126D}",
+      "formula_inputs": [
+        {
+          "symbol": "DOLVOL",
+          "meaning": "Dollar Volume",
+          "construction_latex": "We use TVOL*$\\times$<input>*",
+          "source_fields": [
+            "TVOL",
+            "<input>"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f022",
+      "neutral_name": "Earnings volatility",
+      "neutral_description": "Earnings predictability",
+      "formula_or_definition": "f022_t = \\sqrt{\\frac{rmse_t^2 \\times edf_t}{edf_t + 1}}",
+      "input_fields": [
+        "rmse_t",
+        "edf_t",
+        "NI",
+        "AT"
+      ],
+      "formula_latex": "f022_t = \\sqrt{\\frac{rmse_t^2 \\times edf_t}{edf_t + 1}}",
+      "formula_inputs": [
+        {
+          "symbol": "rmse_t",
+          "meaning": "Root mean square error of the rolling regression",
+          "construction_latex": "rmse_t = \\operatorname{RMSE}_t"
+        },
+        {
+          "symbol": "edf_t",
+          "meaning": "Error degrees of freedom of the rolling regression",
+          "construction_latex": "edf_t = \\operatorname{df}_{error,t}"
+        },
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f023",
+      "neutral_name": "Years 2-5 lagged returns, annual",
+      "neutral_description": "Years 2–5 lagged returns, annual",
+      "formula_or_definition": "Average return over annual lags from year t-2 to t-5",
+      "input_fields": [],
+      "formula_latex": "Average return over annual lags from year t-2 to t-5"
+    },
+    {
+      "factor_id": "f024",
+      "neutral_name": "Net operating assets",
+      "neutral_description": "Net operating assets",
+      "formula_or_definition": "\\frac{NOA*_t}{AT*_t}",
+      "input_fields": [
+        "NOA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NOA*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NOA",
+          "meaning": "Net Operating Assets",
+          "construction_latex": "We use OA*-OL*",
+          "source_fields": [
+            "OA",
+            "OL"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f025",
+      "neutral_name": "Change sales minus change receivables",
+      "neutral_description": "Percentage change in sales minus percentage change in accounts receivable",
+      "formula_or_definition": "CHG_TO_EXP(SALE*_t) - CHG_TO_EXP(REC_t)",
+      "input_fields": [
+        "SALE",
+        "REC_t"
+      ],
+      "formula_latex": "CHG_TO_EXP(SALE*_t) - CHG_TO_EXP(REC_t)",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "REC_t",
+          "meaning": "Account Receivables",
+          "construction_latex": "Compustat item RECT",
+          "source_fields": [
+            "RECT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f026",
+      "neutral_name": "Change in current operating working capital",
+      "neutral_description": "Change in net noncash working capital",
+      "formula_or_definition": "\\frac{COWC*_t-COWC*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "COWC",
+        "AT"
+      ],
+      "formula_latex": "\\frac{COWC*_t-COWC*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "COWC",
+          "meaning": "Current Operating Working Capital",
+          "construction_latex": "We use COA*-COL*",
+          "source_fields": [
+            "COA",
+            "COL"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f027",
+      "neutral_name": "Cash flow volatility",
+      "neutral_description": "Cash flow volatility",
+      "formula_or_definition": "\\sigma_{16Q}(\\frac{OCF_QTR*_t}{SALE_QTR*_t}))",
+      "input_fields": [
+        "OCF_QTR",
+        "SALE_QTR"
+      ],
+      "formula_latex": "\\sigma_{16Q}(\\frac{OCF_QTR*_t}{SALE_QTR*_t}))",
+      "formula_inputs": [
+        {
+          "symbol": "OCF_QTR",
+          "meaning": "Quarterly Operating Cash Flow",
+          "construction_latex": "We use OANCFQ. If this is unavailable, then we use IBQ + DPQ - WCAPTQ. If WCAPTQ is unavailable, we set it to",
+          "source_fields": [
+            "OANCFQ",
+            "IBQ",
+            "DPQ",
+            "WCAPTQ"
+          ]
+        },
+        {
+          "symbol": "SALE_QTR",
+          "meaning": "Net Sales",
+          "construction_latex": "We use SALEQ",
+          "source_fields": [
+            "SALEQ"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f028",
+      "neutral_name": "Pitroski F-score",
+      "neutral_description": "Fundamental score",
+      "formula_or_definition": "f028_t =& _f_roa_{>0, t} + _f_croa_{>0, t} + _f_droa_{>0, t} + _f_acc_{>0, t} + \\\\ &_f_lev_{<0, t} + _f_liq_{>0, t} + _f_eqis_{=0, t} + _f_gm_{>0, t} + _f_aturn_{>0, t}",
+      "input_fields": [
+        "NI",
+        "AT",
+        "OCF",
+        "DLTT_t",
+        "CA",
+        "CL",
+        "EQIS",
+        "GP",
+        "SALE"
+      ],
+      "formula_latex": "f028_t =& _f_roa_{>0, t} + _f_croa_{>0, t} + _f_droa_{>0, t} + _f_acc_{>0, t} + \\\\ &_f_lev_{<0, t} + _f_liq_{>0, t} + _f_eqis_{=0, t} + _f_gm_{>0, t} + _f_aturn_{>0, t}",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        },
+        {
+          "symbol": "OCF",
+          "meaning": "Operating Cash Flow",
+          "construction_latex": "We prefer to use OANCF. If this is unavailable, we use NI*-OACC*. If this is unavailable, we use NI* + DP - WCAPT. If WCAPT is missing, we use 0.",
+          "source_fields": [
+            "OANCF",
+            "NI",
+            "OACC",
+            "DP",
+            "WCAPT"
+          ]
+        },
+        {
+          "symbol": "DLTT_t",
+          "meaning": "Long-Term Debt",
+          "construction_latex": "Compustat item DLTT",
+          "source_fields": [
+            "DLTT"
+          ]
+        },
+        {
+          "symbol": "CA",
+          "meaning": "Current Assets",
+          "construction_latex": "We prefer ACT. If this is unavailable, we use RECT+INVT+CHE+ACO",
+          "source_fields": [
+            "ACT",
+            "RECT",
+            "INVT",
+            "CHE",
+            "ACO"
+          ]
+        },
+        {
+          "symbol": "CL",
+          "meaning": "Current Liabilities",
+          "construction_latex": "We prefer LCT. If this is unavailable, we use AP+ DLC+ TXP+ LCO",
+          "source_fields": [
+            "LCT",
+            "AP",
+            "DLC",
+            "TXP",
+            "LCO"
+          ]
+        },
+        {
+          "symbol": "EQIS",
+          "meaning": "Equity Issuance",
+          "construction_latex": "Compustat item SSTK",
+          "source_fields": [
+            "SSTK"
+          ]
+        },
+        {
+          "symbol": "GP",
+          "meaning": "Gross Profit",
+          "construction_latex": "We prefer to use GP. If this is unavailable we use sale*-COGS",
+          "source_fields": [
+            "GP",
+            "COGS"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f029",
+      "neutral_name": "Year 1-lagged return, annual",
+      "neutral_description": "Year 1-lagged return, annual",
+      "formula_or_definition": "Return in month t-12",
+      "input_fields": [],
+      "formula_latex": "Return in month t-12"
+    },
+    {
+      "factor_id": "f030",
+      "neutral_name": "Net equity issuance",
+      "neutral_description": "Net equity finance",
+      "formula_or_definition": "\\frac{EQNETIS*_t}{AT*_t}",
+      "input_fields": [
+        "EQNETIS",
+        "AT"
+      ],
+      "formula_latex": "\\frac{EQNETIS*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EQNETIS",
+          "meaning": "Equity Net Issuance",
+          "construction_latex": "We use EQIS*-EQBB*. Either EQIS* or EQBB* are allowed to be missing",
+          "source_fields": [
+            "EQIS",
+            "EQBB"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f031",
+      "neutral_name": "Operating profits-to-book assets",
+      "neutral_description": "Operating profits-to-book assets",
+      "formula_or_definition": "\\frac{OP*_t}{AT*_t}",
+      "input_fields": [
+        "OP",
+        "AT"
+      ],
+      "formula_latex": "\\frac{OP*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "OP",
+          "meaning": "Operating Profit ala Ball et al (2015)",
+          "construction_latex": "We use EBITDA* + XRD. If XRD is unavailable, we set it to zero",
+          "source_fields": [
+            "EBITDA",
+            "XRD"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f032",
+      "neutral_name": "CAPEX growth (3 years)",
+      "neutral_description": "3-year investment growth",
+      "formula_or_definition": "\\frac{CAPX_t}{CAPX_{t-36}} - 1",
+      "input_fields": [
+        "CAPX_t"
+      ],
+      "formula_latex": "\\frac{CAPX_t}{CAPX_{t-36}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "CAPX_t",
+          "meaning": "Capital Expenditures",
+          "construction_latex": "Compustat item CAPX",
+          "source_fields": [
+            "CAPX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f033",
+      "neutral_name": "Total skewness",
+      "neutral_description": "Total skewness",
+      "formula_or_definition": "SKEW_21D(RET_EXC*_t)",
+      "input_fields": [
+        "RET_EXC"
+      ],
+      "formula_latex": "SKEW_zD(RET_EXC*_t)",
+      "formula_latex_instantiated": "SKEW_21D(RET_EXC*_t)",
+      "formula_inputs": [
+        {
+          "symbol": "RET_EXC",
+          "meaning": "Excess Return",
+          "construction_latex": "We use RET*-T30RET/21. If T30RET is unavailable, we use RF. If the return is a monthly return rather than a daily return, the T30RET is divided by 1 rather than 21.",
+          "source_fields": [
+            "RET",
+            "T30RET",
+            "RF"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f034",
+      "neutral_name": "Percent operating accruals",
+      "neutral_description": "Percent operating accruals",
+      "formula_or_definition": "\\frac{OACC*_t}{|NIX*_t|}",
+      "input_fields": [
+        "OACC",
+        "NIX"
+      ],
+      "formula_latex": "\\frac{OACC*_t}{|NIX*_t|}",
+      "formula_inputs": [
+        {
+          "symbol": "OACC",
+          "meaning": "Operating Accruals",
+          "construction_latex": "We prefer NI*-OANCF. If that is unavailable, we use the yearly change in COWC*+the yearly change in NNCOA*",
+          "source_fields": [
+            "NI",
+            "OANCF",
+            "COWC",
+            "NNCOA"
+          ]
+        },
+        {
+          "symbol": "NIX",
+          "meaning": "Net Income Including Extraordinary Items",
+          "construction_latex": "We prefer NI. If this is not available, we prefer NI*+XIDO*. If XIDO* is unavailable, we set it to zero. If that is unavailable, we prefer NI*+XI+DO",
+          "source_fields": [
+            "NI",
+            "XIDO",
+            "XI",
+            "DO"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f035",
+      "neutral_name": "Price momentum t-12 to t-1",
+      "neutral_description": "Price momentum, prior 11-month returns",
+      "formula_or_definition": "\\frac{RI*_{t-1}}{RI*_{t-12}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-1}}{RI*_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f036",
+      "neutral_name": "Growth in book debt (3 years)",
+      "neutral_description": "Composite debt issuance",
+      "formula_or_definition": "\\frac{DEBT*_t}{DEBT*_{t-36}} - 1",
+      "input_fields": [
+        "DEBT"
+      ],
+      "formula_latex": "\\frac{DEBT*_t}{DEBT*_{t-36}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "DEBT",
+          "meaning": "Total Debt",
+          "construction_latex": "We use DLTT+ DLC. Either DLTT or DLC are allowed to me missing",
+          "source_fields": [
+            "DLTT",
+            "DLC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f037",
+      "neutral_name": "Intrinsic value-to-market",
+      "neutral_description": "Intrinsic value-to-market",
+      "formula_or_definition": "\\frac{INTRINSIC_VALUE*_t}{ME_t}",
+      "input_fields": [
+        "intrinsic_value",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{INTRINSIC_VALUE*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "INTRINSIC_VALUE",
+          "meaning": "\\hypertarget{intval2}{Intrinsic Value}",
+          "construction_latex": "Outlined in detail \\hyperlink{intval}{here}"
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f038",
+      "neutral_name": "Quarterly return on equity",
+      "neutral_description": "Return on equity",
+      "formula_or_definition": "\\frac{NI_QTR*_t}{BE*_{t-3}}",
+      "input_fields": [
+        "NI_QTR",
+        "BE"
+      ],
+      "formula_latex": "\\frac{NI_QTR*_t}{BE*_{t-3}}",
+      "formula_inputs": [
+        {
+          "symbol": "NI_QTR",
+          "meaning": "Income Before Extraordinary Items",
+          "construction_latex": "We use IBQ",
+          "source_fields": [
+            "IBQ"
+          ]
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f039",
+      "neutral_name": "Highest 5 days of return",
+      "neutral_description": "Highest 5 days of return",
+      "formula_or_definition": "\\frac{1}{5}\\sum_{n = 1}^5 X_n, X_n \\in MAX5_21D(RET*)",
+      "input_fields": [
+        "RET"
+      ],
+      "formula_latex": "\\frac{1}{5}\\sum_{n = 1}^5 X_n, X_n \\in MAX5_zD(RET*)",
+      "formula_latex_instantiated": "\\frac{1}{5}\\sum_{n = 1}^5 X_n, X_n \\in MAX5_21D(RET*)",
+      "formula_inputs": [
+        {
+          "symbol": "RET",
+          "meaning": "Return",
+          "construction_latex": "We use RET. In case of delisting, we calculate as (1+RET)*(1+DLRET)-1",
+          "source_fields": [
+            "RET",
+            "DLRET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f040",
+      "neutral_name": "Equity duration",
+      "neutral_description": "Equity duration",
+      "formula_or_definition": "f040_t = \\frac{ed_ed_w_t \\times FX_t}{ME_COMPANY_t} + ed_constant \\times \\frac{ME_COMPANY_t - ed_cd_t \\times FX_t}{ME_COMPANY_t}",
+      "input_fields": [
+        "FX_t",
+        "ME_COMPANY_t",
+        "NI",
+        "SALE",
+        "roe_mean",
+        "roe_ar1",
+        "g_mean",
+        "g_ar1"
+      ],
+      "formula_latex": "f040_t = \\frac{ed_ed_w_t \\times FX_t}{ME_COMPANY_t} + ed_constant \\times \\frac{ME_COMPANY_t - ed_cd_t \\times FX_t}{ME_COMPANY_t}",
+      "formula_inputs": [
+        {
+          "symbol": "FX_t",
+          "meaning": "Currency-to-USD conversion rate",
+          "construction_latex": "fx_t = \\frac{USD_{GBP,t}}{X_{GBP,t}}",
+          "source_fields": [
+            "FX"
+          ]
+        },
+        {
+          "symbol": "ME_COMPANY_t",
+          "meaning": "Company Market Equity",
+          "construction_latex": "We sum ME* grouped by PERMCO and date",
+          "source_fields": [
+            "ME",
+            "PERMCO"
+          ]
+        },
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "roe_mean",
+          "meaning": "Constant average ROE assumption",
+          "construction_latex": "roe\\_mean \\in \\mathbb{R}"
+        },
+        {
+          "symbol": "roe_ar1",
+          "meaning": "Constant expected growth rate of ROE",
+          "construction_latex": "roe\\_ar1 \\in \\mathbb{R}"
+        },
+        {
+          "symbol": "g_mean",
+          "meaning": "Constant average sales growth rate",
+          "construction_latex": "g\\_mean \\in \\mathbb{R}"
+        },
+        {
+          "symbol": "g_ar1",
+          "meaning": "Constant expected growth rate of sales",
+          "construction_latex": "g\\_ar1 \\in \\mathbb{R}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f041",
+      "neutral_name": "Liquidity of market assets",
+      "neutral_description": "Liquidity of market assets",
+      "formula_or_definition": "\\frac{ALIQ*_t}{MAT*_{t-12}}",
+      "input_fields": [
+        "ALIQ",
+        "MAT"
+      ],
+      "formula_latex": "\\frac{ALIQ*_t}{MAT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "ALIQ",
+          "meaning": "Ortiz-Molina and Phillips Liquidity",
+          "construction_latex": "CHE + 0.75$\\times$ COA* + 0.5(AT* - CA* - INTAN). If INTAN is missing, we set it to zero",
+          "source_fields": [
+            "CHE",
+            "COA",
+            "AT",
+            "CA",
+            "INTAN"
+          ]
+        },
+        {
+          "symbol": "MAT",
+          "meaning": "Market Assets",
+          "construction_latex": "We use AT* $\\times$ FX - BE* $\\times$ FX + ME_COMPANY",
+          "source_fields": [
+            "AT",
+            "FX",
+            "BE",
+            "ME_COMPANY"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f042",
+      "neutral_name": "Idiosyncratic skewness from the Fama-French 3-factor model",
+      "neutral_description": "Idiosyncratic skewness from the Fama-French 3-factor model",
+      "formula_or_definition": "SKEW_21D(e_t)",
+      "input_fields": [],
+      "formula_latex": "SKEW_zD(e_t)",
+      "formula_latex_instantiated": "SKEW_21D(e_t)"
+    },
+    {
+      "factor_id": "f043",
+      "neutral_name": "Hiring rate",
+      "neutral_description": "Hiring rate",
+      "formula_or_definition": "\\frac{EMP_t - EMP_{t-12}}{0.5\\times EMP_t + 0.5\\times EMP_{t-12}}",
+      "input_fields": [
+        "EMP_t"
+      ],
+      "formula_latex": "\\frac{EMP_t - EMP_{t-12}}{0.5\\times EMP_t + 0.5\\times EMP_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "EMP_t",
+          "meaning": "Employees in Thousands",
+          "construction_latex": "Compustat item EMP",
+          "source_fields": [
+            "EMP"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f044",
+      "neutral_name": "Price momentum t-9 to t-1",
+      "neutral_description": "Past 9 month return",
+      "formula_or_definition": "\\frac{RI*_{t-1}}{RI*_{t-9}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-1}}{RI*_{t-9}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f045",
+      "neutral_name": "Asset Growth",
+      "neutral_description": "Investment-to-assets",
+      "formula_or_definition": "\\frac{AT*_t}{AT*_{t-12}} - 1",
+      "input_fields": [
+        "AT"
+      ],
+      "formula_latex": "\\frac{AT*_t}{AT*_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f046",
+      "neutral_name": "R&D-to-sales",
+      "neutral_description": "R&D expense-to-sales",
+      "formula_or_definition": "\\frac{XRD_t}{SALE*_t}",
+      "input_fields": [
+        "XRD_t",
+        "SALE"
+      ],
+      "formula_latex": "\\frac{XRD_t}{SALE*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "XRD_t",
+          "meaning": "Research and Development Expenses",
+          "construction_latex": "Compustat item XRD. Note that this is not available in Compustat Global",
+          "source_fields": [
+            "XRD"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f047",
+      "neutral_name": "Quarterly return on assets",
+      "neutral_description": "Return on assets",
+      "formula_or_definition": "\\frac{NI_QTR*_t}{AT*_{t-3}}",
+      "input_fields": [
+        "NI_QTR",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NI_QTR*_t}{AT*_{t-3}}",
+      "formula_inputs": [
+        {
+          "symbol": "NI_QTR",
+          "meaning": "Income Before Extraordinary Items",
+          "construction_latex": "We use IBQ",
+          "source_fields": [
+            "IBQ"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f048",
+      "neutral_name": "Change in current operating assets",
+      "neutral_description": "Change in current operating assets",
+      "formula_or_definition": "\\frac{COA*_t-COA*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "COA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{COA*_t-COA*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "COA",
+          "meaning": "Current Operating Assets",
+          "construction_latex": "We use CA*- CHE",
+          "source_fields": [
+            "CA",
+            "CHE"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f049",
+      "neutral_name": "Altman Z-score",
+      "neutral_description": "Altman’s (1968) Z-score",
+      "formula_or_definition": "f049_t = 1.2 \\times _z_wc_t + 1.4 \\times _z_re_t + 3.3 \\times _z_eb_t + 0.6 \\times _z_me_t + 1.0 \\times _z_sa_t",
+      "input_fields": [
+        "CA",
+        "CL",
+        "AT",
+        "RE_t",
+        "EBITDA",
+        "SALE",
+        "ME_FISCAL_t",
+        "LT_t"
+      ],
+      "formula_latex": "f049_t = 1.2 \\times _z_wc_t + 1.4 \\times _z_re_t + 3.3 \\times _z_eb_t + 0.6 \\times _z_me_t + 1.0 \\times _z_sa_t",
+      "formula_inputs": [
+        {
+          "symbol": "CA",
+          "meaning": "Current Assets",
+          "construction_latex": "We prefer ACT. If this is unavailable, we use RECT+INVT+CHE+ACO",
+          "source_fields": [
+            "ACT",
+            "RECT",
+            "INVT",
+            "CHE",
+            "ACO"
+          ]
+        },
+        {
+          "symbol": "CL",
+          "meaning": "Current Liabilities",
+          "construction_latex": "We prefer LCT. If this is unavailable, we use AP+ DLC+ TXP+ LCO",
+          "source_fields": [
+            "LCT",
+            "AP",
+            "DLC",
+            "TXP",
+            "LCO"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        },
+        {
+          "symbol": "RE_t",
+          "meaning": "Retained earnings",
+          "construction_latex": "RE_t",
+          "source_fields": [
+            "RE"
+          ]
+        },
+        {
+          "symbol": "EBITDA",
+          "meaning": "Operating Income Before Depreciation",
+          "construction_latex": "We prefer to use EBITDA. If this is unavailable, we use OIBDP. If this is unavailable, we use SALE*-OPEX*. If this is unavailable, we use GP*-XSGA",
+          "source_fields": [
+            "EBITDA",
+            "OIBDP",
+            "SALE",
+            "OPEX",
+            "GP",
+            "XSGA"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "ME_FISCAL_t",
+          "meaning": "Market equity aligned to the fiscal-period construction",
+          "construction_latex": "ME\\_FISCAL_t"
+        },
+        {
+          "symbol": "LT_t",
+          "meaning": "Total Liabilities",
+          "construction_latex": "Compustat item LT",
+          "source_fields": [
+            "LT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f050",
+      "neutral_name": "Change in operating cash flow to assets",
+      "neutral_description": "1 year change in operating cash flow to assets",
+      "formula_or_definition": "<input>_t - <input>_{t-12}",
+      "input_fields": [
+        "<input>"
+      ],
+      "formula_latex": "<input>_t - <input>_{t-12}",
+      "formula_inputs": [
+        {
+          "symbol": "<input>_t",
+          "meaning": "Operating Cash Flow scaled by Assets",
+          "construction_latex": "\\frac{OCF*_t}{AT*_t}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f051",
+      "neutral_name": "Earnings-to-price",
+      "neutral_description": "Earnings-to-price",
+      "formula_or_definition": "\\frac{NI*_t}{ME_t}",
+      "input_fields": [
+        "NI",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{NI*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f052",
+      "neutral_name": "Return volatility",
+      "neutral_description": "Total volatility",
+      "formula_or_definition": "\\sigma_{21D}(RET_EXC*_t)",
+      "input_fields": [
+        "RET_EXC"
+      ],
+      "formula_latex": "\\sigma_{zD}(RET_EXC*_t)",
+      "formula_latex_instantiated": "\\sigma_{21D}(RET_EXC*_t)",
+      "formula_inputs": [
+        {
+          "symbol": "RET_EXC",
+          "meaning": "Excess Return",
+          "construction_latex": "We use RET*-T30RET/21. If T30RET is unavailable, we use RF. If the return is a monthly return rather than a daily return, the T30RET is divided by 1 rather than 21.",
+          "source_fields": [
+            "RET",
+            "T30RET",
+            "RF"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f053",
+      "neutral_name": "Book-to-market equity",
+      "neutral_description": "Book-to-market equity",
+      "formula_or_definition": "\\frac{BE*_t}{ME_t}",
+      "input_fields": [
+        "BE",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{BE*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f054",
+      "neutral_name": "Earnings persistence",
+      "neutral_description": "Earnings persistence",
+      "formula_or_definition": "{ \\frac{cov((NI*/AT*)_t, (NI*/AT*)_{t-12})}{var((NI*/AT*)_{t-12})} }",
+      "input_fields": [
+        "NI",
+        "AT"
+      ],
+      "formula_latex": "{ \\frac{cov((NI*/AT*)_t, (NI*/AT*)_{t-12})}{var((NI*/AT*)_{t-12})} }",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f055",
+      "neutral_name": "Profit margin",
+      "neutral_description": "Profit margin",
+      "formula_or_definition": "\\frac{EBIT*_t}{SALE*_t}",
+      "input_fields": [
+        "EBIT",
+        "SALE"
+      ],
+      "formula_latex": "\\frac{EBIT*_t}{SALE*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EBIT",
+          "meaning": "Operating Income After Depreciation",
+          "construction_latex": "We prefer to use EBIT. If this is unavailable, we use OIADP. If this is unavailable, we use EBITDA*-DP",
+          "source_fields": [
+            "EBIT",
+            "OIADP",
+            "EBITDA",
+            "DP"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f056",
+      "neutral_name": "Net payout yield",
+      "neutral_description": "Net payout yield",
+      "formula_or_definition": "\\frac{EQNPO*_t}{ME_t}",
+      "input_fields": [
+        "EQNPO",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{EQNPO*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EQNPO",
+          "meaning": "Equity Net Payout",
+          "construction_latex": "We use DIV*-EQNETIS*",
+          "source_fields": [
+            "DIV",
+            "EQNETIS"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f057",
+      "neutral_name": "Return on net operating assets",
+      "neutral_description": "Return on net operating assets",
+      "formula_or_definition": "\\frac{EBIT*_t}{BEV*_t}",
+      "input_fields": [
+        "EBIT",
+        "BEV"
+      ],
+      "formula_latex": "\\frac{EBIT*_t}{BEV*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EBIT",
+          "meaning": "Operating Income After Depreciation",
+          "construction_latex": "We prefer to use EBIT. If this is unavailable, we use OIADP. If this is unavailable, we use EBITDA*-DP",
+          "source_fields": [
+            "EBIT",
+            "OIADP",
+            "EBITDA",
+            "DP"
+          ]
+        },
+        {
+          "symbol": "BEV",
+          "meaning": "Book Enterprise Value",
+          "construction_latex": "We prefer to use ICAPT+DLC-CHE where DLC and CHE are set to zero if missing. If this is unavailable, we use SEQ*+NETDEBT*+ MIB where we set MIB to zero if missing. In the global data ICAPT is reduced by Treasury stock",
+          "source_fields": [
+            "ICAPT",
+            "DLC",
+            "CHE",
+            "SEQ",
+            "NETDEBT",
+            "MIB"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f058",
+      "neutral_name": "Idiosyncratic volatility from the CAPM (252 days)",
+      "neutral_description": "Idiosyncratic volatility",
+      "formula_or_definition": "\\sigma_{252D}(\\epsilon_t)",
+      "input_fields": [],
+      "formula_latex": "\\sigma_{zD}(\\epsilon_t)",
+      "formula_latex_instantiated": "\\sigma_{252D}(\\epsilon_t)"
+    },
+    {
+      "factor_id": "f059",
+      "neutral_name": "Coefficient of variation for dollar trading volume",
+      "neutral_description": "Coefficient of variation for dollar trading volume",
+      "formula_or_definition": "\\frac{\\sigma_{126D}(DOLVOL*_t)}{f021_t}",
+      "input_fields": [
+        "DOLVOL",
+        "dolvol_zd"
+      ],
+      "formula_latex": "\\frac{\\sigma_{zD}(DOLVOL*_t)}{DOLVOL_zD_t}",
+      "formula_latex_instantiated": "\\frac{\\sigma_{126D}(DOLVOL*_t)}{f021_t}",
+      "formula_inputs": [
+        {
+          "symbol": "DOLVOL",
+          "meaning": "Dollar Volume",
+          "construction_latex": "We use TVOL*$\\times$<input>*",
+          "source_fields": [
+            "TVOL",
+            "<input>"
+          ]
+        },
+        {
+          "symbol": "DOLVOL_zD_t",
+          "meaning": "Dollar Volume",
+          "construction_latex": "\\overline{DOLVOL*_t}_{zD}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f060",
+      "neutral_name": "Firm age",
+      "neutral_description": "Firm age",
+      "formula_or_definition": "f060 of the firms in months",
+      "input_fields": [],
+      "formula_latex": "f060 of the firms in months"
+    },
+    {
+      "factor_id": "f061",
+      "neutral_name": "Coefficient of variation for share turnover",
+      "neutral_description": "Coefficient of variation for share turnover",
+      "formula_or_definition": "\\frac{\\sigma_{126D}((TVOL*_t/SHARES*_t)*1000000)}{<input>_t}",
+      "input_fields": [
+        "TVOL",
+        "SHARES",
+        "turnover_zd"
+      ],
+      "formula_latex": "\\frac{\\sigma_{zD}((TVOL*_t/SHARES*_t)*1000000)}{TURNOVER_zD_t}",
+      "formula_latex_instantiated": "\\frac{\\sigma_{126D}((TVOL*_t/SHARES*_t)*1000000)}{<input>_t}",
+      "formula_inputs": [
+        {
+          "symbol": "TVOL",
+          "meaning": "Trading Volume",
+          "construction_latex": "We use VOL. For NASDAQ regular-way issues (\\texttt{primaryexch}=Q and \\texttt{conditionaltype}=RW), we apply the Gao--Ritter (2010) dealer-volume adjustment: divide by 2 before <date>, by 1.8 through <date>, and by 1.6 through <date> (inclusive); thereafter leave volume unchanged.",
+          "source_fields": [
+            "VOL",
+            "NASDAQ",
+            "RW"
+          ]
+        },
+        {
+          "symbol": "SHARES",
+          "meaning": "Shares",
+          "construction_latex": "We use SHROUT/1000 so shares outstanding are in millions.",
+          "source_fields": [
+            "SHROUT"
+          ]
+        },
+        {
+          "symbol": "TURNOVER_zD_t",
+          "meaning": "Turnover",
+          "construction_latex": "\\overline{(\\frac{TVOL*_t}{SHARES*_t*1000000})}_{zD}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f062",
+      "neutral_name": "Ohlson O-score",
+      "neutral_description": "Ohlson’s (1980) O-score",
+      "formula_or_definition": "f062_t =& -1.37 - 0.407 \\times _o_lat_t + 6.03 \\times _o_lev_t + 1.43 \\times _o_wc_t + \\\\ &0.076 \\times _o_cacl_t - 1.72 \\times _o_neg_eq_t - 2.37 \\times _o_roe_t - \\\\ &1.83 \\times _o_ffo_t + 0.285 \\times _o_neg_earn_t - 0.52 \\times _o_nich_t",
+      "input_fields": [
+        "AT",
+        "DEBT",
+        "CA",
+        "CL",
+        "NIX",
+        "PI",
+        "DP_t",
+        "LT_t"
+      ],
+      "formula_latex": "f062_t =& -1.37 - 0.407 \\times _o_lat_t + 6.03 \\times _o_lev_t + 1.43 \\times _o_wc_t + \\\\ &0.076 \\times _o_cacl_t - 1.72 \\times _o_neg_eq_t - 2.37 \\times _o_roe_t - \\\\ &1.83 \\times _o_ffo_t + 0.285 \\times _o_neg_earn_t - 0.52 \\times _o_nich_t",
+      "formula_inputs": [
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        },
+        {
+          "symbol": "DEBT",
+          "meaning": "Total Debt",
+          "construction_latex": "We use DLTT+ DLC. Either DLTT or DLC are allowed to me missing",
+          "source_fields": [
+            "DLTT",
+            "DLC"
+          ]
+        },
+        {
+          "symbol": "CA",
+          "meaning": "Current Assets",
+          "construction_latex": "We prefer ACT. If this is unavailable, we use RECT+INVT+CHE+ACO",
+          "source_fields": [
+            "ACT",
+            "RECT",
+            "INVT",
+            "CHE",
+            "ACO"
+          ]
+        },
+        {
+          "symbol": "CL",
+          "meaning": "Current Liabilities",
+          "construction_latex": "We prefer LCT. If this is unavailable, we use AP+ DLC+ TXP+ LCO",
+          "source_fields": [
+            "LCT",
+            "AP",
+            "DLC",
+            "TXP",
+            "LCO"
+          ]
+        },
+        {
+          "symbol": "NIX",
+          "meaning": "Net Income Including Extraordinary Items",
+          "construction_latex": "We prefer NI. If this is not available, we prefer NI*+XIDO*. If XIDO* is unavailable, we set it to zero. If that is unavailable, we prefer NI*+XI+DO",
+          "source_fields": [
+            "NI",
+            "XIDO",
+            "XI",
+            "DO"
+          ]
+        },
+        {
+          "symbol": "PI",
+          "meaning": "Earnings before Tax and Extraordinary Items",
+          "construction_latex": "We prefer to use PI. If this is unavailable we use EBIT*-XINT+SPI+NOPI where we set SPI and NOPI to zero if missing",
+          "source_fields": [
+            "PI",
+            "EBIT",
+            "XINT",
+            "SPI",
+            "NOPI"
+          ]
+        },
+        {
+          "symbol": "DP_t",
+          "meaning": "Depreciation and Amortization",
+          "construction_latex": "Compustat Item DP",
+          "source_fields": [
+            "DP"
+          ]
+        },
+        {
+          "symbol": "LT_t",
+          "meaning": "Total Liabilities",
+          "construction_latex": "Compustat item LT",
+          "source_fields": [
+            "LT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f063",
+      "neutral_name": "Operating leverage",
+      "neutral_description": "Operating leverage",
+      "formula_or_definition": "\\frac{OPEX*_t}{AT*_t}",
+      "input_fields": [
+        "OPEX",
+        "AT"
+      ],
+      "formula_latex": "\\frac{OPEX*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "OPEX",
+          "meaning": "Operating Expenses",
+          "construction_latex": "We prefer to use XOPR. If this is unavailable, we use COGS+XSGA",
+          "source_fields": [
+            "XOPR",
+            "COGS",
+            "XSGA"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f064",
+      "neutral_name": "Standardized Revenue surprise",
+      "neutral_description": "Revenue surprise",
+      "formula_or_definition": "SUR(SALE_QTR*)",
+      "input_fields": [
+        "SALE_QTR"
+      ],
+      "formula_latex": "SUR(SALE_QTR*)",
+      "formula_inputs": [
+        {
+          "symbol": "SALE_QTR",
+          "meaning": "Net Sales",
+          "construction_latex": "We use SALEQ",
+          "source_fields": [
+            "SALEQ"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f065",
+      "neutral_name": "Total accruals",
+      "neutral_description": "Total accruals",
+      "formula_or_definition": "\\frac{TACC*_t}{AT*_t}",
+      "input_fields": [
+        "TACC",
+        "AT"
+      ],
+      "formula_latex": "\\frac{TACC*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "TACC",
+          "meaning": "Total Accruals",
+          "construction_latex": "We use OACC* + the yearly change in NFNA*",
+          "source_fields": [
+            "OACC",
+            "NFNA"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f066",
+      "neutral_name": "CAPEX growth (1 year)",
+      "neutral_description": "Investment growth",
+      "formula_or_definition": "\\frac{CAPX_t}{CAPX_{t-12}} - 1",
+      "input_fields": [
+        "CAPX_t"
+      ],
+      "formula_latex": "\\frac{CAPX_t}{CAPX_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "CAPX_t",
+          "meaning": "Capital Expenditures",
+          "construction_latex": "Compustat item CAPX",
+          "source_fields": [
+            "CAPX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f067",
+      "neutral_name": "Standardized earnings surprise",
+      "neutral_description": "Earnings surprise",
+      "formula_or_definition": "SUR(NI_QTR*)",
+      "input_fields": [
+        "NI_QTR"
+      ],
+      "formula_latex": "SUR(NI_QTR*)",
+      "formula_inputs": [
+        {
+          "symbol": "NI_QTR",
+          "meaning": "Income Before Extraordinary Items",
+          "construction_latex": "We use IBQ",
+          "source_fields": [
+            "IBQ"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f068",
+      "neutral_name": "Change in noncurrent operating liabilities",
+      "neutral_description": "Change in noncurrent operating liabilities",
+      "formula_or_definition": "\\frac{NCOL*_t-NCOL*_{t-12}}{AT*_t}",
+      "input_fields": [
+        "NCOL",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NCOL*_t-NCOL*_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NCOL",
+          "meaning": "Non-Current Operating Liabilities",
+          "construction_latex": "We use LT-CL*- DLTT",
+          "source_fields": [
+            "LT",
+            "CL",
+            "DLTT"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f069",
+      "neutral_name": "Amihud Measure",
+      "neutral_description": "Absolute return-to-volume",
+      "formula_or_definition": "\\overline{(\\frac{|RET*_t|}{DOLVOL*_t})}_{126D}*1000000",
+      "input_fields": [
+        "RET",
+        "DOLVOL"
+      ],
+      "formula_latex": "\\overline{(\\frac{|RET*_t|}{DOLVOL*_t})}_{zD}*1000000",
+      "formula_latex_instantiated": "\\overline{(\\frac{|RET*_t|}{DOLVOL*_t})}_{126D}*1000000",
+      "formula_inputs": [
+        {
+          "symbol": "RET",
+          "meaning": "Return",
+          "construction_latex": "We use RET. In case of delisting, we calculate as (1+RET)*(1+DLRET)-1",
+          "source_fields": [
+            "RET",
+            "DLRET"
+          ]
+        },
+        {
+          "symbol": "DOLVOL",
+          "meaning": "Dollar Volume",
+          "construction_latex": "We use TVOL*$\\times$<input>*",
+          "source_fields": [
+            "TVOL",
+            "<input>"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f070",
+      "neutral_name": "Years 6-10 lagged returns, annual",
+      "neutral_description": "Years 6–10 lagged returns, annual",
+      "formula_or_definition": "Average return over annual lags from year t-6 to t-10",
+      "input_fields": [],
+      "formula_latex": "Average return over annual lags from year t-6 to t-10"
+    },
+    {
+      "factor_id": "f071",
+      "neutral_name": "Book leverage",
+      "neutral_description": "Book leverage",
+      "formula_or_definition": "\\frac{AT*_t}{BE*_t}",
+      "input_fields": [
+        "AT",
+        "BE"
+      ],
+      "formula_latex": "\\frac{AT*_t}{BE*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f072",
+      "neutral_name": "Change gross margin minus change sales",
+      "neutral_description": "Percentage change in gross margin minus percentage change in sales",
+      "formula_or_definition": "CHG_TO_EXP(GP*_t) - CHG_TO_EXP(SALE*_t)",
+      "input_fields": [
+        "GP",
+        "SALE"
+      ],
+      "formula_latex": "CHG_TO_EXP(GP*_t) - CHG_TO_EXP(SALE*_t)",
+      "formula_inputs": [
+        {
+          "symbol": "GP",
+          "meaning": "Gross Profit",
+          "construction_latex": "We prefer to use GP. If this is unavailable we use sale*-COGS",
+          "source_fields": [
+            "GP",
+            "COGS"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f073",
+      "neutral_name": "Book-to-market enterprise value",
+      "neutral_description": "Enterprise book-to-price",
+      "formula_or_definition": "\\frac{BEV*_t}{MEV*_t}",
+      "input_fields": [
+        "BEV",
+        "MEV"
+      ],
+      "formula_latex": "\\frac{BEV*_t}{MEV*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "BEV",
+          "meaning": "Book Enterprise Value",
+          "construction_latex": "We prefer to use ICAPT+DLC-CHE where DLC and CHE are set to zero if missing. If this is unavailable, we use SEQ*+NETDEBT*+ MIB where we set MIB to zero if missing. In the global data ICAPT is reduced by Treasury stock",
+          "source_fields": [
+            "ICAPT",
+            "DLC",
+            "CHE",
+            "SEQ",
+            "NETDEBT",
+            "MIB"
+          ]
+        },
+        {
+          "symbol": "MEV",
+          "meaning": "Market Enterprise Value",
+          "construction_latex": "We use ME_COMPANY + NETDEBT* $\\times$ FX*",
+          "source_fields": [
+            "ME_COMPANY",
+            "NETDEBT",
+            "FX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f074",
+      "neutral_name": "Inventory growth",
+      "neutral_description": "Inventory growth",
+      "formula_or_definition": "\\frac{INV_t}{INV_{t-12}} - 1",
+      "input_fields": [
+        "INV_t"
+      ],
+      "formula_latex": "\\frac{INV_t}{INV_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "INV_t",
+          "meaning": "Inventory",
+          "construction_latex": "Compustat item INVT",
+          "source_fields": [
+            "INVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f075",
+      "neutral_name": "Change in short-term investments",
+      "neutral_description": "Change in short-term investments",
+      "formula_or_definition": "\\frac{IVST_t - IVST_{t-12}}{AT*_t}",
+      "input_fields": [
+        "IVST_t",
+        "AT"
+      ],
+      "formula_latex": "\\frac{IVST_t - IVST_{t-12}}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "IVST_t",
+          "meaning": "Compustat cash and short-term investments item IVST",
+          "construction_latex": "\\mathrm{Compustat}\\ IVST",
+          "source_fields": [
+            "IVST"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f076",
+      "neutral_name": "Liquidity of book assets",
+      "neutral_description": "Liquidity of book assets",
+      "formula_or_definition": "\\frac{ALIQ*_t}{AT*_{t-12}}",
+      "input_fields": [
+        "ALIQ",
+        "AT"
+      ],
+      "formula_latex": "\\frac{ALIQ*_t}{AT*_{t-12}}",
+      "formula_inputs": [
+        {
+          "symbol": "ALIQ",
+          "meaning": "Ortiz-Molina and Phillips Liquidity",
+          "construction_latex": "CHE + 0.75$\\times$ COA* + 0.5(AT* - CA* - INTAN). If INTAN is missing, we set it to zero",
+          "source_fields": [
+            "CHE",
+            "COA",
+            "AT",
+            "CA",
+            "INTAN"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    }
+  ],
+  "train": {
+    "rows": [],
+    "artifact": {
+      "path": "artifacts/train.parquet",
+      "format": "parquet",
+      "rows": 255386,
+      "bytes": 106601335,
+      "sha256": "fe426fc3ce7010533c5f4d8599cb2fd1745e8b24f31ed85d41442a7d8d5f5b28",
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+        "f070",
+        "f071",
+        "f072",
+        "f073",
+        "f074",
+        "f075",
+        "f076",
+        "label"
+      ]
+    }
+  },
+  "validation": {
+    "rows": [],
+    "artifact": {
+      "path": "artifacts/validation.parquet",
+      "format": "parquet",
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+        "f070",
+        "f071",
+        "f072",
+        "f073",
+        "f074",
+        "f075",
+        "f076",
+        "label"
+      ]
+    }
+  },
+  "predict": {
+    "schema": [
+      "id",
+      "time_key",
+      "f001",
+      "f002",
+      "f003",
+      "f004",
+      "f005",
+      "f006",
+      "f007",
+      "f008",
+      "f009",
+      "f010",
+      "f011",
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+      "f025",
+      "f026",
+      "f027",
+      "f028",
+      "f029",
+      "f030",
+      "f031",
+      "f032",
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+      "f034",
+      "f035",
+      "f036",
+      "f037",
+      "f038",
+      "f039",
+      "f040",
+      "f041",
+      "f042",
+      "f043",
+      "f044",
+      "f045",
+      "f046",
+      "f047",
+      "f048",
+      "f049",
+      "f050",
+      "f051",
+      "f052",
+      "f053",
+      "f054",
+      "f055",
+      "f056",
+      "f057",
+      "f058",
+      "f059",
+      "f060",
+      "f061",
+      "f062",
+      "f063",
+      "f064",
+      "f065",
+      "f066",
+      "f067",
+      "f068",
+      "f069",
+      "f070",
+      "f071",
+      "f072",
+      "f073",
+      "f074",
+      "f075",
+      "f076"
+    ],
+    "label_included": false,
+    "rows_visible_to_llm": false
+  },
+  "metadata": {
+    "id_column": "id",
+    "time_column": "time_key",
+    "target_is_excess_return": true,
+    "future_labels_included": false,
+    "seed": 1,
+    "history_window": "5Y",
+    "history_window_months": 60,
+    "train_months": 48,
+    "validation_months": 12,
+    "rolling_test_months": 12,
+    "feature_count": 76,
+    "feature_representation": "case_masked_numeric",
+    "refit_policy": "from_scratch_each_month",
+    "public_artifacts_only": true,
+    "time_key_encoding": "relative_months_from_formation"
+  },
+  "artifact_root": "."
+}

data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_55758b4af626c180/rolling_truth.jsonl

@@ -0,0 +1,12 @@
+{"record_type": "rolling_truth", "truth_schema_version": "task_c_frozen_raw_rolling_truth.v1", "sequence_id": "c_case_55758b4af626c180", "sequence_step": 1, "history_window": "5Y", "history_window_months": 60, "formation_eom": "2008-12-31", "holding_month": "2009-01", "train_month_range": ["t-60", "t-13"], "validation_month_range": ["t-12", "t-1"], "predict_month": "t-0", "train_rows": 255386, "validation_rows": 60890, "predict_rows": 5066, "realized_label_rows": 4897, "realized_label_column": "ret_exc_lead1m", "source_panel": "data/raw/wrds/wgpvj1vbztoqbloo (1).parquet", "source_daily_returns": "data/raw/wrds/ctff_daily_ret.parquet", "source_nyse_cutoffs": "data/raw/jkp/2025-12/nyse_cutoffs.csv", "labels_released_after_prediction": true, "llm_calls": 0}
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+}

data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_56ee63155139e34e/payload.json

@@ -0,0 +1,1166 @@
+{
+  "case_id": "c_case_56ee63155139e34e",
+  "task": "stock_multifactor_model",
+  "horizon_months": 1,
+  "track": "semantic",
+  "feature_columns": [
+    "f001",
+    "f002",
+    "f003",
+    "f004",
+    "f005",
+    "f006",
+    "f007",
+    "f008",
+    "f009",
+    "f010",
+    "f011",
+    "f012",
+    "f013",
+    "f014",
+    "f015",
+    "f016",
+    "f017",
+    "f018",
+    "f019",
+    "f020",
+    "f021",
+    "f022",
+    "f023",
+    "f024",
+    "f025",
+    "f026",
+    "f027",
+    "f028",
+    "f029",
+    "f030",
+    "f031",
+    "f032",
+    "f033",
+    "f034",
+    "f035",
+    "f036",
+    "f037",
+    "f038"
+  ],
+  "factor_cards": [
+    {
+      "factor_id": "f001",
+      "neutral_name": "Residual momentum t-6 to t-1",
+      "neutral_description": "Residual momentum,  prior 6-month returns",
+      "formula_or_definition": "-1 + \\prod_{n = 1}^6 1 + e_{t-n}",
+      "input_fields": [
+        "e_"
+      ],
+      "formula_latex": "-1 + \\prod_{n = 1}^6 1 + e_{t-n}",
+      "formula_inputs": [
+        {
+          "symbol": "e_",
+          "meaning": "Residual from the Fama-French three-factor regression",
+          "construction_latex": "RET\\_EXC^*_t = \\beta_0 + \\beta_1 MKTRF^*_t + \\beta_2 HML^*_t + \\beta_3 SMB\\_FF^*_t + e_t"
+        }
+      ]
+    },
+    {
+      "factor_id": "f002",
+      "neutral_name": "Net equity issuance",
+      "neutral_description": "Net equity finance",
+      "formula_or_definition": "\\frac{EQNETIS*_t}{AT*_t}",
+      "input_fields": [
+        "EQNETIS",
+        "AT"
+      ],
+      "formula_latex": "\\frac{EQNETIS*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EQNETIS",
+          "meaning": "Equity Net Issuance",
+          "construction_latex": "We use EQIS*-EQBB*. Either EQIS* or EQBB* are allowed to be missing",
+          "source_fields": [
+            "EQIS",
+            "EQBB"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f003",
+      "neutral_name": "Year 1-lagged return, annual",
+      "neutral_description": "Year 1-lagged return, annual",
+      "formula_or_definition": "Return in month t-12",
+      "input_fields": [],
+      "formula_latex": "Return in month t-12"
+    },
+    {
+      "factor_id": "f004",
+      "neutral_name": "Quality minus Junk: Composite",
+      "neutral_description": "Quality minus Junk: Composite",
+      "formula_or_definition": "\\frac{<input>_t + <input>_t + <input>_t}{3}",
+      "input_fields": [
+        "<input>",
+        "<input>",
+        "<input>"
+      ],
+      "formula_latex": "\\frac{<input>_t + <input>_t + <input>_t}{3}",
+      "formula_inputs": [
+        {
+          "symbol": "<input>_t",
+          "meaning": "Quality Minus Junk - Profit",
+          "construction_latex": "\\begin{aligned} ZV\\Big( & ZV(<input>_t) + ZV(f018_t) + \\\\ & ZV(NI_AT_t) + ZV(<input>_t) + ZV(GP_SALE*_t) + \\\\ & ZV(f026_t)\\Big) \\\\ & \\end{aligned}"
+        },
+        {
+          "symbol": "<input>_t",
+          "meaning": "Quality Minus Junk - Growth",
+          "construction_latex": "\\begin{aligned} ZV\\Big( & ZV(GPOA_CH5_t) + ZV(ROE_CH5_t) \\\\ + & ZV(ROA_CH5_t) + ZV(CFOA_CH5_t) + \\\\ & ZV(GMAR_CH5_t) \\Big) \\\\ & \\end{aligned}"
+        },
+        {
+          "symbol": "<input>_t",
+          "meaning": "Quality Minus Junk - Safety",
+          "construction_latex": "\\begin{aligned} ZV\\Big( & ZV(<input>_t) + ZV(DEBT_AT_t) \\\\ + & ZV(<input>_t) + ZV(<input>_t) + ZV(_EVOL_t)\\Big) \\end{aligned}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f005",
+      "neutral_name": "Years 11-15 lagged returns, nonannual",
+      "neutral_description": "Years 11–15 lagged returns, nonannual",
+      "formula_or_definition": "Average return over non-annual lags from year t-11 to t-15",
+      "input_fields": [],
+      "formula_latex": "Average return over non-annual lags from year t-11 to t-15"
+    },
+    {
+      "factor_id": "f006",
+      "neutral_name": "Price momentum t-3 to t-1",
+      "neutral_description": "Past 3 month return",
+      "formula_or_definition": "\\frac{RI*_{t-1}}{RI*_{t-3}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-1}}{RI*_{t-3}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f007",
+      "neutral_name": "Number of zero trades with turnover as tiebreaker (6 months)",
+      "neutral_description": "Prior 6-month turnover-adjusted number of zero daily trading volume",
+      "formula_or_definition": "Number of days with zero trades over period. In case of equal number of zero trading days, turnover_zd will decide on the rank following Liu (2006)",
+      "input_fields": [
+        "turnover_zd"
+      ],
+      "formula_latex": "Number of days with zero trades over period. In case of equal number of zero trading days, turnover_zd will decide on the rank following Liu (2006)",
+      "formula_latex_instantiated": "Number of days with zero trades over period. In case of equal number of zero trading days, turnover_zd will decide on the rank following Liu (2006)",
+      "formula_inputs": [
+        {
+          "symbol": "turnover_zd",
+          "meaning": "Turnover",
+          "construction_latex": "\\overline{(\\frac{TVOL*_t}{SHARES*_t*1000000})}_{zD}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f008",
+      "neutral_name": "Downside beta",
+      "neutral_description": "Downside beta",
+      "formula_or_definition": "\\beta_1\\text{ from } RET\\_EXC^*_t = \\beta_0 + \\beta_1 MKTRF^*_t + \\epsilon_t\\text{ restricted to }MKTRF^*_t<0",
+      "input_fields": [
+        "RET",
+        "MKTRF"
+      ],
+      "formula_latex": "\\beta_1\\text{ from } RET\\_EXC^*_t = \\beta_0 + \\beta_1 MKTRF^*_t + \\epsilon_t\\text{ restricted to }MKTRF^*_t<0",
+      "formula_latex_instantiated": "\\beta_1\\text{ from } RET\\_EXC^*_t = \\beta_0 + \\beta_1 MKTRF^*_t + \\epsilon_t\\text{ restricted to }MKTRF^*_t<0",
+      "formula_inputs": [
+        {
+          "symbol": "RET",
+          "meaning": "Return",
+          "construction_latex": "We use RET. In case of delisting, we calculate as (1+RET)*(1+DLRET)-1",
+          "source_fields": [
+            "RET",
+            "DLRET"
+          ]
+        },
+        {
+          "symbol": "MKTRF",
+          "meaning": "Excess Market Return",
+          "construction_latex": "Country specific market return"
+        }
+      ]
+    },
+    {
+      "factor_id": "f009",
+      "neutral_name": "Quarterly return on equity",
+      "neutral_description": "Return on equity",
+      "formula_or_definition": "\\frac{NI_QTR*_t}{BE*_{t-3}}",
+      "input_fields": [
+        "NI_QTR",
+        "BE"
+      ],
+      "formula_latex": "\\frac{NI_QTR*_t}{BE*_{t-3}}",
+      "formula_inputs": [
+        {
+          "symbol": "NI_QTR",
+          "meaning": "Income Before Extraordinary Items",
+          "construction_latex": "We use IBQ",
+          "source_fields": [
+            "IBQ"
+          ]
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f010",
+      "neutral_name": "Book-to-market enterprise value",
+      "neutral_description": "Enterprise book-to-price",
+      "formula_or_definition": "\\frac{BEV*_t}{MEV*_t}",
+      "input_fields": [
+        "BEV",
+        "MEV"
+      ],
+      "formula_latex": "\\frac{BEV*_t}{MEV*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "BEV",
+          "meaning": "Book Enterprise Value",
+          "construction_latex": "We prefer to use ICAPT+DLC-CHE where DLC and CHE are set to zero if missing. If this is unavailable, we use SEQ*+NETDEBT*+ MIB where we set MIB to zero if missing. In the global data ICAPT is reduced by Treasury stock",
+          "source_fields": [
+            "ICAPT",
+            "DLC",
+            "CHE",
+            "SEQ",
+            "NETDEBT",
+            "MIB"
+          ]
+        },
+        {
+          "symbol": "MEV",
+          "meaning": "Market Enterprise Value",
+          "construction_latex": "We use ME_COMPANY + NETDEBT* $\\times$ FX*",
+          "source_fields": [
+            "ME_COMPANY",
+            "NETDEBT",
+            "FX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f011",
+      "neutral_name": "Net total issuance",
+      "neutral_description": "Net external finance",
+      "formula_or_definition": "\\frac{NETIS*_t}{AT*_t}",
+      "input_fields": [
+        "NETIS",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NETIS*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NETIS",
+          "meaning": "Net Issuance",
+          "construction_latex": "We use EQNETIS*+DBNETIS* and require that both EQNETIS* and DBNETIS* are non-missing",
+          "source_fields": [
+            "EQNETIS",
+            "DBNETIS"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f012",
+      "neutral_name": "Year 1-lagged return, nonannual",
+      "neutral_description": "Year 1-lagged return, nonannual",
+      "formula_or_definition": "Average return from month t-1 to t-11",
+      "input_fields": [],
+      "formula_latex": "Average return from month t-1 to t-11"
+    },
+    {
+      "factor_id": "f013",
+      "neutral_name": "Return on net operating assets",
+      "neutral_description": "Return on net operating assets",
+      "formula_or_definition": "\\frac{EBIT*_t}{BEV*_t}",
+      "input_fields": [
+        "EBIT",
+        "BEV"
+      ],
+      "formula_latex": "\\frac{EBIT*_t}{BEV*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EBIT",
+          "meaning": "Operating Income After Depreciation",
+          "construction_latex": "We prefer to use EBIT. If this is unavailable, we use OIADP. If this is unavailable, we use EBITDA*-DP",
+          "source_fields": [
+            "EBIT",
+            "OIADP",
+            "EBITDA",
+            "DP"
+          ]
+        },
+        {
+          "symbol": "BEV",
+          "meaning": "Book Enterprise Value",
+          "construction_latex": "We prefer to use ICAPT+DLC-CHE where DLC and CHE are set to zero if missing. If this is unavailable, we use SEQ*+NETDEBT*+ MIB where we set MIB to zero if missing. In the global data ICAPT is reduced by Treasury stock",
+          "source_fields": [
+            "ICAPT",
+            "DLC",
+            "CHE",
+            "SEQ",
+            "NETDEBT",
+            "MIB"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f014",
+      "neutral_name": "Equity net payout",
+      "neutral_description": "Composite equity issuance",
+      "formula_or_definition": "log(\\frac{RI*_t}{RI*_{t-12}}) - log(\\frac{ME*_t}{ME*_{t-12}})",
+      "input_fields": [
+        "RI",
+        "ME"
+      ],
+      "formula_latex": "log(\\frac{RI*_t}{RI*_{t-12}}) - log(\\frac{ME*_t}{ME*_{t-12}})",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        },
+        {
+          "symbol": "ME",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f015",
+      "neutral_name": "Share turnover",
+      "neutral_description": "Share turnover",
+      "formula_or_definition": "\\overline{(\\frac{TVOL*_t}{SHARES*_t*1000000})}_{126D}",
+      "input_fields": [
+        "TVOL",
+        "SHARES"
+      ],
+      "formula_latex": "\\overline{(\\frac{TVOL*_t}{SHARES*_t*1000000})}_{zD}",
+      "formula_latex_instantiated": "\\overline{(\\frac{TVOL*_t}{SHARES*_t*1000000})}_{126D}",
+      "formula_inputs": [
+        {
+          "symbol": "TVOL",
+          "meaning": "Trading Volume",
+          "construction_latex": "We use VOL. For NASDAQ regular-way issues (\\texttt{primaryexch}=Q and \\texttt{conditionaltype}=RW), we apply the Gao--Ritter (2010) dealer-volume adjustment: divide by 2 before <date>, by 1.8 through <date>, and by 1.6 through <date> (inclusive); thereafter leave volume unchanged.",
+          "source_fields": [
+            "VOL",
+            "NASDAQ",
+            "RW"
+          ]
+        },
+        {
+          "symbol": "SHARES",
+          "meaning": "Shares",
+          "construction_latex": "We use SHROUT/1000 so shares outstanding are in millions.",
+          "source_fields": [
+            "SHROUT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f016",
+      "neutral_name": "Total accruals",
+      "neutral_description": "Total accruals",
+      "formula_or_definition": "\\frac{TACC*_t}{AT*_t}",
+      "input_fields": [
+        "TACC",
+        "AT"
+      ],
+      "formula_latex": "\\frac{TACC*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "TACC",
+          "meaning": "Total Accruals",
+          "construction_latex": "We use OACC* + the yearly change in NFNA*",
+          "source_fields": [
+            "OACC",
+            "NFNA"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f017",
+      "neutral_name": "Price momentum t-9 to t-1",
+      "neutral_description": "Past 9 month return",
+      "formula_or_definition": "\\frac{RI*_{t-1}}{RI*_{t-9}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-1}}{RI*_{t-9}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f018",
+      "neutral_name": "Return on equity",
+      "neutral_description": "Annual Return on equity",
+      "formula_or_definition": "\\frac{NI*_t}{BE*_t}",
+      "input_fields": [
+        "NI",
+        "BE"
+      ],
+      "formula_latex": "\\frac{NI*_t}{BE*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f019",
+      "neutral_name": "Sales Growth (1 year)",
+      "neutral_description": "Annual sales growth",
+      "formula_or_definition": "\\frac{SALE*_t}{SALE*_{t-12}} - 1",
+      "input_fields": [
+        "SALE"
+      ],
+      "formula_latex": "\\frac{SALE*_t}{SALE*_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f020",
+      "neutral_name": "Sales growth (1 quarter)",
+      "neutral_description": "Quarterly sales growth",
+      "formula_or_definition": "\\frac{SALE_QTR*_t}{SALE_QTR*_{t-12}} - 1",
+      "input_fields": [
+        "SALE_QTR"
+      ],
+      "formula_latex": "\\frac{SALE_QTR*_t}{SALE_QTR*_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "SALE_QTR",
+          "meaning": "Net Sales",
+          "construction_latex": "We use SALEQ",
+          "source_fields": [
+            "SALEQ"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f021",
+      "neutral_name": "Years 11-15 lagged returns, annual",
+      "neutral_description": "Years 11–15 lagged returns, annual",
+      "formula_or_definition": "Average return over annual lags from year t-11 to t-15",
+      "input_fields": [],
+      "formula_latex": "Average return over annual lags from year t-11 to t-15"
+    },
+    {
+      "factor_id": "f022",
+      "neutral_name": "Cash-to-assets",
+      "neutral_description": "Cash-to-assets",
+      "formula_or_definition": "\\frac{CASH_t}{AT*_t}",
+      "input_fields": [
+        "CASH_t",
+        "AT"
+      ],
+      "formula_latex": "\\frac{CASH_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "CASH_t",
+          "meaning": "Cash and Short-Term Investment",
+          "construction_latex": "Compustat item CHE",
+          "source_fields": [
+            "CHE"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f023",
+      "neutral_name": "Profit margin",
+      "neutral_description": "Profit margin",
+      "formula_or_definition": "\\frac{EBIT*_t}{SALE*_t}",
+      "input_fields": [
+        "EBIT",
+        "SALE"
+      ],
+      "formula_latex": "\\frac{EBIT*_t}{SALE*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "EBIT",
+          "meaning": "Operating Income After Depreciation",
+          "construction_latex": "We prefer to use EBIT. If this is unavailable, we use OIADP. If this is unavailable, we use EBITDA*-DP",
+          "source_fields": [
+            "EBIT",
+            "OIADP",
+            "EBITDA",
+            "DP"
+          ]
+        },
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f024",
+      "neutral_name": "Long-term reversal",
+      "neutral_description": "Long-term reversal",
+      "formula_or_definition": "\\frac{RI*_{t-12}}{RI*_{t-60}} - 1",
+      "input_fields": [
+        "RI"
+      ],
+      "formula_latex": "\\frac{RI*_{t-12}}{RI*_{t-60}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "RI",
+          "meaning": "Cumulative Return",
+          "construction_latex": "This is the cumulative return estimated from RET*",
+          "source_fields": [
+            "RET"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f025",
+      "neutral_name": "Sales-to-market",
+      "neutral_description": "Sales-to-price",
+      "formula_or_definition": "\\frac{SALE*_t}{ME_t}",
+      "input_fields": [
+        "SALE",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{SALE*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f026",
+      "neutral_name": "Operating accruals",
+      "neutral_description": "Operating accruals",
+      "formula_or_definition": "\\frac{OACC*_t}{AT*_t}",
+      "input_fields": [
+        "OACC",
+        "AT"
+      ],
+      "formula_latex": "\\frac{OACC*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "OACC",
+          "meaning": "Operating Accruals",
+          "construction_latex": "We prefer NI*-OANCF. If that is unavailable, we use the yearly change in COWC*+the yearly change in NNCOA*",
+          "source_fields": [
+            "NI",
+            "OANCF",
+            "COWC",
+            "NNCOA"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f027",
+      "neutral_name": "Operating profits-to-book equity",
+      "neutral_description": "Operating profits-to-book equity",
+      "formula_or_definition": "\\frac{OPE*_t}{BE*_t}",
+      "input_fields": [
+        "OPE",
+        "BE"
+      ],
+      "formula_latex": "\\frac{OPE*_t}{BE*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "OPE",
+          "meaning": "Operating Profit to Equity",
+          "construction_latex": "We use EBITDA*-XINT. Note that we target the same variable as the numerator of the profitability characteristic used to create the Robust-minus weak factor in the fama-French 5 factor model (Fama and French, 2015)",
+          "source_fields": [
+            "EBITDA",
+            "XINT"
+          ]
+        },
+        {
+          "symbol": "BE",
+          "meaning": "Book Equity",
+          "construction_latex": "We use SEQ*+TXDITC*-PSTK* where we set TXDITC* and PSTK* to zero if missing",
+          "source_fields": [
+            "SEQ",
+            "TXDITC",
+            "PSTK"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f028",
+      "neutral_name": "Idiosyncratic volatility from the q-factor model",
+      "neutral_description": "Idiosyncratic volatility from the q-factor model",
+      "formula_or_definition": "\\sigma_{21D}(\\mu_t)",
+      "input_fields": [],
+      "formula_latex": "\\sigma_{zD}(\\mu_t)",
+      "formula_latex_instantiated": "\\sigma_{21D}(\\mu_t)"
+    },
+    {
+      "factor_id": "f029",
+      "neutral_name": "CAPEX growth (1 year)",
+      "neutral_description": "Investment growth",
+      "formula_or_definition": "\\frac{CAPX_t}{CAPX_{t-12}} - 1",
+      "input_fields": [
+        "CAPX_t"
+      ],
+      "formula_latex": "\\frac{CAPX_t}{CAPX_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "CAPX_t",
+          "meaning": "Capital Expenditures",
+          "construction_latex": "Compustat item CAPX",
+          "source_fields": [
+            "CAPX"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f030",
+      "neutral_name": "Coskewness",
+      "neutral_description": "Coskewness",
+      "formula_or_definition": "\\frac{\\overline{(\\epsilon_t \\times MKTRF_DM_t^2)}_{21D}}{\\sqrt{\\overline{(\\epsilon_t^2)}_{21D} \\times \\overline{(MKTRF_DM_t^2)}_{21D}}}",
+      "input_fields": [
+        "MKTRF_DM_t"
+      ],
+      "formula_latex": "\\frac{\\overline{(\\epsilon_t \\times MKTRF_DM_t^2)}_{zD}}{\\sqrt{\\overline{(\\epsilon_t^2)}_{zD} \\times \\overline{(MKTRF_DM_t^2)}_{zD}}}",
+      "formula_latex_instantiated": "\\frac{\\overline{(\\epsilon_t \\times MKTRF_DM_t^2)}_{21D}}{\\sqrt{\\overline{(\\epsilon_t^2)}_{21D} \\times \\overline{(MKTRF_DM_t^2)}_{21D}}}",
+      "formula_inputs": [
+        {
+          "symbol": "MKTRF_DM_t",
+          "meaning": "Demeaned excess market return over the z-day window",
+          "construction_latex": "MKTRF\\_DM_t = MKTRF^*_t - \\overline{MKTRF^*_t}_{zD}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f031",
+      "neutral_name": "Number of consecutive quarters with earnings increases",
+      "neutral_description": "Number of consecutive quarters with earnings increases",
+      "formula_or_definition": "Count number of earnings increases over past 8 quarters",
+      "input_fields": [],
+      "formula_latex": "Count number of earnings increases over past 8 quarters"
+    },
+    {
+      "factor_id": "f032",
+      "neutral_name": "Number of zero trades with turnover as tiebreaker (12 months)",
+      "neutral_description": "Prior 12-month turnover-adjusted number of zero daily trading volume",
+      "formula_or_definition": "Number of days with zero trades over period. In case of equal number of zero trading days, turnover_zd will decide on the rank following Liu (2006)",
+      "input_fields": [
+        "turnover_zd"
+      ],
+      "formula_latex": "Number of days with zero trades over period. In case of equal number of zero trading days, turnover_zd will decide on the rank following Liu (2006)",
+      "formula_latex_instantiated": "Number of days with zero trades over period. In case of equal number of zero trading days, turnover_zd will decide on the rank following Liu (2006)",
+      "formula_inputs": [
+        {
+          "symbol": "turnover_zd",
+          "meaning": "Turnover",
+          "construction_latex": "\\overline{(\\frac{TVOL*_t}{SHARES*_t*1000000})}_{zD}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f033",
+      "neutral_name": "Free cash flow-to-price",
+      "neutral_description": "Cash flow-to-price",
+      "formula_or_definition": "\\frac{FCF*_t}{ME_t}",
+      "input_fields": [
+        "FCF",
+        "ME_t"
+      ],
+      "formula_latex": "\\frac{FCF*_t}{ME_t}",
+      "formula_inputs": [
+        {
+          "symbol": "FCF",
+          "meaning": "Free Cash Flow",
+          "construction_latex": "We use OCF*-CAPX. Note that the free cash flow is computed before financing activities and sale of assets is taken into account",
+          "source_fields": [
+            "OCF",
+            "CAPX"
+          ]
+        },
+        {
+          "symbol": "ME_t",
+          "meaning": "Market Equity",
+          "construction_latex": "We use the market equity for the stock we deem to the primary security of the firm. Importantly, we do not align the market value with the end of the fiscal period. Instead, we update the market value on a monthly basis and align it with the most recently available accounting characteristic"
+        }
+      ]
+    },
+    {
+      "factor_id": "f034",
+      "neutral_name": "Net operating assets",
+      "neutral_description": "Net operating assets",
+      "formula_or_definition": "\\frac{NOA*_t}{AT*_t}",
+      "input_fields": [
+        "NOA",
+        "AT"
+      ],
+      "formula_latex": "\\frac{NOA*_t}{AT*_t}",
+      "formula_inputs": [
+        {
+          "symbol": "NOA",
+          "meaning": "Net Operating Assets",
+          "construction_latex": "We use OA*-OL*",
+          "source_fields": [
+            "OA",
+            "OL"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f035",
+      "neutral_name": "Earnings persistence",
+      "neutral_description": "Earnings persistence",
+      "formula_or_definition": "{ \\frac{cov((NI*/AT*)_t, (NI*/AT*)_{t-12})}{var((NI*/AT*)_{t-12})} }",
+      "input_fields": [
+        "NI",
+        "AT"
+      ],
+      "formula_latex": "{ \\frac{cov((NI*/AT*)_t, (NI*/AT*)_{t-12})}{var((NI*/AT*)_{t-12})} }",
+      "formula_inputs": [
+        {
+          "symbol": "NI",
+          "meaning": "Net Income",
+          "construction_latex": "We prefer to use IB. If this is unavailable, we use NI-XIDO*. If this is unavailable, we prefer PI*-TXT-MII. If MII is unavailble, it is set to zero",
+          "source_fields": [
+            "IB",
+            "NI",
+            "XIDO",
+            "PI",
+            "TXT",
+            "MII"
+          ]
+        },
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f036",
+      "neutral_name": "Asset Growth",
+      "neutral_description": "Investment-to-assets",
+      "formula_or_definition": "\\frac{AT*_t}{AT*_{t-12}} - 1",
+      "input_fields": [
+        "AT"
+      ],
+      "formula_latex": "\\frac{AT*_t}{AT*_{t-12}} - 1",
+      "formula_inputs": [
+        {
+          "symbol": "AT",
+          "meaning": "Total Assets",
+          "construction_latex": "We prefer to use AT. If this is unavailable, then we use SEQ* + DLTT + LCT + LO + TXDITC. If LCT, LO, or TXDITC are missing, then they are set to zero",
+          "source_fields": [
+            "AT",
+            "SEQ",
+            "DLTT",
+            "LCT",
+            "LO",
+            "TXDITC"
+          ]
+        }
+      ]
+    },
+    {
+      "factor_id": "f037",
+      "neutral_name": "Coefficient of variation for dollar trading volume",
+      "neutral_description": "Coefficient of variation for dollar trading volume",
+      "formula_or_definition": "\\frac{\\sigma_{126D}(DOLVOL*_t)}{<input>_t}",
+      "input_fields": [
+        "DOLVOL",
+        "dolvol_zd"
+      ],
+      "formula_latex": "\\frac{\\sigma_{zD}(DOLVOL*_t)}{DOLVOL_zD_t}",
+      "formula_latex_instantiated": "\\frac{\\sigma_{126D}(DOLVOL*_t)}{<input>_t}",
+      "formula_inputs": [
+        {
+          "symbol": "DOLVOL",
+          "meaning": "Dollar Volume",
+          "construction_latex": "We use TVOL*$\\times$<input>*",
+          "source_fields": [
+            "TVOL",
+            "<input>"
+          ]
+        },
+        {
+          "symbol": "DOLVOL_zD_t",
+          "meaning": "Dollar Volume",
+          "construction_latex": "\\overline{DOLVOL*_t}_{zD}"
+        }
+      ]
+    },
+    {
+      "factor_id": "f038",
+      "neutral_name": "Change sales minus change SG&A",
+      "neutral_description": "Percentage change in sales minus percentage change in SG&A",
+      "formula_or_definition": "CHG_TO_EXP(SALE*_t) - CHG_TO_EXP(XSGA_t)",
+      "input_fields": [
+        "SALE",
+        "XSGA_t"
+      ],
+      "formula_latex": "CHG_TO_EXP(SALE*_t) - CHG_TO_EXP(XSGA_t)",
+      "formula_inputs": [
+        {
+          "symbol": "SALE",
+          "meaning": "Sales",
+          "construction_latex": "We prefer SALE. If this is unavailable, we use REVT",
+          "source_fields": [
+            "SALE",
+            "REVT"
+          ]
+        },
+        {
+          "symbol": "XSGA_t",
+          "meaning": "Selling, General and Administrative Expenses",
+          "construction_latex": "Compustat item XSGA",
+          "source_fields": [
+            "XSGA"
+          ]
+        }
+      ]
+    }
+  ],
+  "train": {
+    "rows": [],
+    "artifact": {
+      "path": "artifacts/train.parquet",
+      "format": "parquet",
+      "rows": 126069,
+      "bytes": 30864251,
+      "sha256": "554acb41940860c212ab34a73687476a4ec6cefe290c91397dbc8b879c5b148b",
+      "columns": [
+        "id",
+        "time_key",
+        "f001",
+        "f002",
+        "f003",
+        "f004",
+        "f005",
+        "f006",
+        "f007",
+        "f008",
+        "f009",
+        "f010",
+        "f011",
+        "f012",
+        "f013",
+        "f014",
+        "f015",
+        "f016",
+        "f017",
+        "f018",
+        "f019",
+        "f020",
+        "f021",
+        "f022",
+        "f023",
+        "f024",
+        "f025",
+        "f026",
+        "f027",
+        "f028",
+        "f029",
+        "f030",
+        "f031",
+        "f032",
+        "f033",
+        "f034",
+        "f035",
+        "f036",
+        "f037",
+        "f038",
+        "label"
+      ]
+    }
+  },
+  "validation": {
+    "rows": [],
+    "artifact": {
+      "path": "artifacts/validation.parquet",
+      "format": "parquet",
+      "rows": 60890,
+      "bytes": 15250004,
+      "sha256": "b5858acea1c1f8374a90484a25baf9ccd033b47918b1a0fb4f1833f032150409",
+      "columns": [
+        "id",
+        "time_key",
+        "f001",
+        "f002",
+        "f003",
+        "f004",
+        "f005",
+        "f006",
+        "f007",
+        "f008",
+        "f009",
+        "f010",
+        "f011",
+        "f012",
+        "f013",
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+        "f015",
+        "f016",
+        "f017",
+        "f018",
+        "f019",
+        "f020",
+        "f021",
+        "f022",
+        "f023",
+        "f024",
+        "f025",
+        "f026",
+        "f027",
+        "f028",
+        "f029",
+        "f030",
+        "f031",
+        "f032",
+        "f033",
+        "f034",
+        "f035",
+        "f036",
+        "f037",
+        "f038",
+        "label"
+      ]
+    }
+  },
+  "predict": {
+    "schema": [
+      "id",
+      "time_key",
+      "f001",
+      "f002",
+      "f003",
+      "f004",
+      "f005",
+      "f006",
+      "f007",
+      "f008",
+      "f009",
+      "f010",
+      "f011",
+      "f012",
+      "f013",
+      "f014",
+      "f015",
+      "f016",
+      "f017",
+      "f018",
+      "f019",
+      "f020",
+      "f021",
+      "f022",
+      "f023",
+      "f024",
+      "f025",
+      "f026",
+      "f027",
+      "f028",
+      "f029",
+      "f030",
+      "f031",
+      "f032",
+      "f033",
+      "f034",
+      "f035",
+      "f036",
+      "f037",
+      "f038"
+    ],
+    "label_included": false,
+    "rows_visible_to_llm": false
+  },
+  "metadata": {
+    "id_column": "id",
+    "time_column": "time_key",
+    "target_is_excess_return": true,
+    "future_labels_included": false,
+    "seed": 1,
+    "history_window": "3Y",
+    "history_window_months": 36,
+    "train_months": 24,
+    "validation_months": 12,
+    "rolling_test_months": 12,
+    "feature_count": 38,
+    "feature_representation": "case_masked_numeric",
+    "refit_policy": "from_scratch_each_month",
+    "public_artifacts_only": true,
+    "time_key_encoding": "relative_months_from_formation"
+  },
+  "artifact_root": "."
+}

data/processed/task_c_frozen_raw_rolling_207_semantic/cases/block_03/c_case_56ee63155139e34e/rolling_truth.jsonl

@@ -0,0 +1,12 @@
+{"record_type": "rolling_truth", "truth_schema_version": "task_c_frozen_raw_rolling_truth.v1", "sequence_id": "c_case_56ee63155139e34e", "sequence_step": 1, "history_window": "3Y", "history_window_months": 36, "formation_eom": "2008-12-31", "holding_month": "2009-01", "train_month_range": ["t-36", "t-13"], "validation_month_range": ["t-12", "t-1"], "predict_month": "t-0", "train_rows": 126069, "validation_rows": 60890, "predict_rows": 5066, "realized_label_rows": 4897, "realized_label_column": "ret_exc_lead1m", "source_panel": "data/raw/wrds/wgpvj1vbztoqbloo (1).parquet", "source_daily_returns": "data/raw/wrds/ctff_daily_ret.parquet", "source_nyse_cutoffs": "data/raw/jkp/2025-12/nyse_cutoffs.csv", "labels_released_after_prediction": true, "llm_calls": 0}
+{"record_type": "rolling_truth", "truth_schema_version": "task_c_frozen_raw_rolling_truth.v1", "sequence_id": "c_case_56ee63155139e34e", "sequence_step": 2, "history_window": "3Y", "history_window_months": 36, "formation_eom": "2009-01-31", "holding_month": "2009-02", "train_month_range": ["t-36", "t-13"], "validation_month_range": ["t-12", "t-1"], "predict_month": "t-0", "train_rows": 125915, "validation_rows": 60612, "predict_rows": 5026, "realized_label_rows": 4870, "realized_label_column": "ret_exc_lead1m", "source_panel": "data/raw/wrds/wgpvj1vbztoqbloo (1).parquet", "source_daily_returns": "data/raw/wrds/ctff_daily_ret.parquet", "source_nyse_cutoffs": "data/raw/jkp/2025-12/nyse_cutoffs.csv", "labels_released_after_prediction": true, "llm_calls": 0}
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