Add QuantModelBench datasets (Task B/C frozen raw-rolling) and experiment results

.gitattributes

@@ -58,3 +58,8 @@ saved_model/**/* filter=lfs diff=lfs merge=lfs -text
 # Video files - compressed
 *.mp4 filter=lfs diff=lfs merge=lfs -text
 *.webm filter=lfs diff=lfs merge=lfs -text
+task_b/runs/dev/baselines/20260915_usa_dev_84_cases/results.jsonl filter=lfs diff=lfs merge=lfs -text
+task_b/runs/test/baselines/20260927_usa_test_210_cases/results.jsonl filter=lfs diff=lfs merge=lfs -text
+data/processed/jkp/2025-12/factor_returns_daily_vw_cap.csv filter=lfs diff=lfs merge=lfs -text
+data/processed/jkp/2025-12/factor_returns_monthly_vw_cap.csv filter=lfs diff=lfs merge=lfs -text
+data/raw/jkp/2025-12/Documentation.pdf filter=lfs diff=lfs merge=lfs -text

data/processed/jkp/2025-12/data_dictionary.json

@@ -0,0 +1,56 @@
+{
+  "schema_version": "1.0",
+  "source_vintage": "2025-12",
+  "return_conventions": {
+    "unit": "decimal return; 0.01 means 1 percent",
+    "currency": "USD",
+    "type": "excess return for factor portfolios",
+    "transformation": "No rescaling and no direction multiplication; official ret is copied verbatim."
+  },
+  "factor_returns_monthly_vw_cap.csv": {
+    "primary_key": [
+      "date",
+      "region",
+      "factor_id"
+    ],
+    "columns": {
+      "date": "Calendar month end in YYYY-MM-DD format.",
+      "region": "JKP aggregate location, upper-cased during normalization.",
+      "factor_id": "Official JKP factor mnemonic.",
+      "factor_name": "Current descriptive name from Factor Details.",
+      "return": "Official ret value copied without scaling or sign changes.",
+      "source_vintage": "Maximum data month used as the local immutable vintage label.",
+      "direction": "Official direction field copied from the factor download.",
+      "n_countries": "Number of countries contributing to the aggregate at that date.",
+      "frequency": "Official frequency selector; monthly for this file.",
+      "weighting": "Official weighting selector; vw_cap (capped value weighted)."
+    }
+  },
+  "theme_returns_monthly_vw_cap.csv": {
+    "primary_key": [
+      "date",
+      "region",
+      "theme_id"
+    ],
+    "columns": {
+      "date": "Calendar month end in YYYY-MM-DD format.",
+      "region": "JKP aggregate location, upper-cased during normalization.",
+      "theme_id": "Official JKP theme/cluster mnemonic.",
+      "return": "Official theme ret value copied without scaling.",
+      "source_vintage": "Maximum data month used as the local immutable vintage label.",
+      "n_countries": "Number of countries contributing to the aggregate at that date.",
+      "frequency": "Official frequency selector.",
+      "weighting": "Official weighting selector."
+    }
+  },
+  "factor_cards.csv": {
+    "primary_key": [
+      "factor_id"
+    ],
+    "notes": [
+      "The selection-only JKP group is available to the local episode sampler.",
+      "It is deliberately excluded from LLM payloads by factoropt.task_a._card_payload.",
+      "Blank formula/input fields mean the Factor Details spreadsheet did not supply them."
+    ]
+  }
+}

data/processed/jkp/2025-12/factor_cards.csv

@@ -0,0 +1,154 @@
+factor_id,neutral_name,neutral_description,formula_or_definition,input_fields,source_paper,jkp_group_for_selection_only,official_direction,original_in_sample_period
+age,Firm age,Firm age,,[],Jiang Lee and Zhang (2005),INTANGIBLES,-1.0,1965 - 2001
+aliq_at,Liquidity of book assets,Liquidity of book assets,,[],Ortiz-Molina and Phillips (2014),INTANGIBLES,-1.0,1984 - 2006
+aliq_mat,Liquidity of market assets,Liquidity of market assets,,[],Ortiz-Molina and Phillips (2014),INTANGIBLES,-1.0,1984 - 2006
+ami_126d,Amihud Measure,Absolute return-to-volume,,[],Amihud (2002),TRADING FRICTIONS,1.0,1964 - 1997
+at_be,Book leverage,Book leverage,,[],Fama and French (1992),Profitability,-1.0,1963 - 1990
+at_gr1,Asset Growth,Investment-to-assets,,[],Cooper Gulen and Schill (2008),INVESTMENT,-1.0,1968 - 2003
+at_me,Assets-to-market,Assets-to-market,,[],Fama and French (1992),VALUE,1.0,1963 - 1990
+at_turnover,Capital turnover,Capital turnover,,[],Haugen and Baker (1996),Profitability,1.0,1979 - 1993
+be_gr1a,Change in common equity,Change in common equity,,[],Richardson et al. (2005),INVESTMENT,-1.0,1962 - 2001
+be_me,Book-to-market equity,Book-to-market equity,,[],Rosenberg Reid and Lanstein (1985),VALUE,1.0,1973 - 1984
+beta_60m,Market Beta,The market beta,,[],Fama and MacBeth (1973),TRADING FRICTIONS,-1.0,1935 - 1968
+beta_dimson_21d,Dimson beta,The Dimson beta,,[],Dimson (1979),TRADING FRICTIONS,-1.0,1955 - 1974
+betabab_1260d,Frazzini-Pedersen market beta,The Frazzini-Pedersen beta,,[],Frazzini and Pedersen (2014),TRADING FRICTIONS,-1.0,1926 - 2012
+betadown_252d,Downside beta,Downside beta,,[],Ang Chen and Xing (2006),TRADING FRICTIONS,-1.0,1963 - 2001
+bev_mev,Book-to-market enterprise value,Enterprise book-to-price,,[],Penman Richardson and Tuna (2007),VALUE,1.0,1962 - 2001
+bidaskhl_21d,The high-low bid-ask spread,The high-low bid-ask spread,,[],Corwin and Schultz (2012),TRADING FRICTIONS,1.0,1927 - 2006
+capex_abn,Abnormal corporate investment,Abnormal corporate investment,,[],Titman Wei and Xie (2004),INVESTMENT,-1.0,1973 - 1996
+capx_gr1,CAPEX growth (1 year),Investment growth,,[],Xie (2001),INVESTMENT,-1.0,1971-1992
+capx_gr2,CAPEX growth (2 years),2-year investment growth,,[],Anderson and Garcia-Feijoo (2006),INVESTMENT,-1.0,1976 - 1998
+capx_gr3,CAPEX growth (3 years),3-year investment growth,,[],Anderson and Garcia-Feijoo (2006),INVESTMENT,-1.0,1976 - 1998
+cash_at,Cash-to-assets,Cash-to-assets,,[],Palazzo (2012),INTANGIBLES,1.0,1972 - 2009
+chcsho_12m,Net stock issues,Net stock issues,,[],Pontiff and Woodgate (2008),INVESTMENT,-1.0,1970 - 2003
+coa_gr1a,Change in current operating assets,Change in current operating assets,,[],Richardson et al. (2005),INVESTMENT,-1.0,1962 - 2001
+col_gr1a,Change in current operating liabilities,Change in current operating liabilities,,[],Richardson et al. (2005),INVESTMENT,-1.0,1962 - 2001
+cop_at,Cash-based operating profits-to-book assets,Cash-based operating profits-to-book assets,,[],,Profitability,1.0,1967 - 2016
+cop_atl1,Cash-based operating profits-to-lagged book assets,Cash-based operating profits-to-lagged book assets,,[],Ball et al. (2016),Profitability,1.0,1963 - 2014
+corr_1260d,Market correlation,Market Correlation,,[],"Assness, Frazzini, Gormsen, Pedersen (2020)",NEW,-1.0,1925 - 2015
+coskew_21d,Coskewness,Coskewness,,[],Harvey and Siddique (2000),TRADING FRICTIONS,-1.0,1963 - 1993
+cowc_gr1a,Change in current operating working capital,Change in net noncash working capital,,[],Richardson et al. (2005),INVESTMENT,-1.0,1962 - 2001
+dbnetis_at,Net debt issuance,Net debt finance,,[],Bradshaw Richardson and Sloan (2006),INVESTMENT,-1.0,1971 - 2000
+debt_gr3,Growth in book debt (3 years),Composite debt issuance,,[],Lyandres Sun and Zhang (2008),INVESTMENT,-1.0,1970 - 2005
+debt_me,Debt-to-market,Debt-to-market,,[],Bhandari (1988),VALUE,1.0,1948 - 1979
+dgp_dsale,Change gross margin minus change sales,Percentage change in gross margin minus percentage change in sales,,[],Abarbanell and Bushee (1998),INTANGIBLES,1.0,1974 - 1988
+div12m_me,Dividend yield,Dividend yield,,[],Litzenberger and Ramaswamy (1979),VALUE,1.0,1940 -1980
+dolvol_126d,Dollar trading volume,Dollar trading volume,,[],Brennan Chordia and Subrahmanyam (1998),TRADING FRICTIONS,-1.0,1966 - 1995
+dolvol_var_126d,Coefficient of variation for dollar trading volume,Coefficient of variation for dollar trading volume,,[],Chordia Subrahmanyam and Anshuman (2001),TRADING FRICTIONS,-1.0,1966 - 1995
+dsale_dinv,Change sales minus change Inventory,Percentage change in sales minus percentage change in inventory,,[],Abarbanell and Bushee (1998),INTANGIBLES,1.0,1974 - 1988
+dsale_drec,Change sales minus change receivables,Percentage change in sales minus percentage change in accounts receivable,,[],Abarbanell and Bushee (1998),INTANGIBLES,-1.0,1974 - 1988
+dsale_dsga,Change sales minus change SG&A,Percentage change in sales minus percentage change in SG&A,,[],Abarbanell and Bushee (1998),INTANGIBLES,1.0,1974 - 1988
+earnings_variability,Earnings variability,Earnings smoothness,,[],Francis et al. (2004),INTANGIBLES,-1.0,1975 - 2001
+ebit_bev,Return on net operating assets,Return on net operating assets,,[],Soliman (2008),Profitability,1.0,1984 - 2002
+ebit_sale,Profit margin,Profit margin,,[],Soliman (2008),Profitability,1.0,1984 - 2002
+ebitda_mev,Ebitda-to-market enterprise value,Enterprise multiple,,[],Loughran and Wellman (2011),VALUE,1.0,1963 - 2009
+emp_gr1,Hiring rate,Hiring rate,,[],Belo Lin and Bazdresch (2014),INTANGIBLES,-1.0,1965 - 2010
+eq_dur,Equity duration,Equity duration,,[],Dechow Sloan and Soliman (2004),VALUE,-1.0,1962 - 1998
+eqnetis_at,Net equity issuance,Net equity finance,,[],Bradshaw Richardson and Sloan (2006),INVESTMENT,-1.0,1971 - 2000
+eqnpo_12m,Equity net payout,Composite equity issuance,,[],Daniel and Titman (2006),INVESTMENT,1.0,1968 - 2003
+eqnpo_me,Net payout yield,Net payout yield,,[],Boudoukh et al. (2007),VALUE,1.0,1984 - 2003
+eqpo_me,Payout yield,Payout yield,,[],Boudoukh et al. (2007),VALUE,1.0,1984 - 2003
+f_score,Pitroski F-score,Fundamental score,,[],Piotroski (2000),Profitability,1.0,1976 - 1996
+fcf_me,Free cash flow-to-price,Cash flow-to-price,,[],Lakonishok Shleifer and Vishny (1994),VALUE,1.0,1963 - 1990
+fnl_gr1a,Change in financial liabilities,Change in financial liabilities,,[],Richardson et al. (2005),INVESTMENT,-1.0,1962 - 2001
+gp_at,Gross profits-to-assets,Gross profits-to-assets,,[],Novy-Marx (2013),Profitability,1.0,1963 - 2010
+gp_atl1,Gross profits-to-lagged assets,Gross profits-to-lagged assets,,[],,Profitability,1.0,1967 - 2016
+inv_gr1,Inventory growth,Inventory growth,,[],Belo and Lin (2011),INVESTMENT,-1.0,1965 - 2009
+inv_gr1a,Inventory change,Inventory changes,,[],Thomas and Zhang (2002),INVESTMENT,-1.0,1970 - 1997
+iskew_capm_21d,Idiosyncratic skewness from the CAPM,Idiosyncratic skewness from the CAPM,,[],,TRADING FRICTIONS,-1.0,1967 - 2016
+iskew_ff3_21d,Idiosyncratic skewness from the Fama-French 3-factor model,Idiosyncratic skewness from the Fama-French 3-factor model,,[],Bali Engle and Murray (2016),TRADING FRICTIONS,-1.0,1925-2012
+iskew_hxz4_21d,Idiosyncratic skewness from the q-factor model,Idiosyncratic skewness from the q-factor model,,[],,TRADING FRICTIONS,-1.0,1967 - 2016
+ival_me,Intrinsic value-to-market,Intrinsic value-to-market,,[],Frankel and Lee (1998),VALUE,1.0,1975 - 1993
+ivol_capm_21d,Idiosyncratic volatility from the CAPM (21 days),Idiosyncratic volatility from the CAPM,,[],,TRADING FRICTIONS,-1.0,1967 - 2016
+ivol_capm_252d,Idiosyncratic volatility from the CAPM (252 days),Idiosyncratic volatility,,[],Ali Hwang and Trombley (2003),TRADING FRICTIONS,-1.0,1976 - 1997
+ivol_ff3_21d,Idiosyncratic volatility from the Fama-French 3-factor model,Idiosyncratic volatility from the Fama-French 3-factor model,,[],Ang et al. (2006),TRADING FRICTIONS,-1.0,1963 - 2000
+ivol_hxz4_21d,Idiosyncratic volatility from the q-factor model,Idiosyncratic volatility from the q-factor model,,[],,TRADING FRICTIONS,-1.0,1967 - 2016
+kz_index,Kaplan-Zingales index,The Kaplan-Zingales (1997) index of financing constraints,,[],Lamont Polk and Saa-Requejo (2001),INTANGIBLES,1.0,1968-1995
+lnoa_gr1a,Change in long-term net operating assets,Change in long-term net operating assets,,[],Fairfield Whisenant and Yohn (2003),INVESTMENT,-1.0,1964 - 1993
+lti_gr1a,Change in long-term investments,Change in long-term investments,,[],Richardson et al. (2005),INVESTMENT,-1.0,1962 - 2001
+market_equity,Market Equity,Size (the market equity),,[],Banz (1981),TRADING FRICTIONS,-1.0,1926 - 1975
+mispricing_mgmt,Mispricing factor: Management,Mispricing factor: Management,,[],Stambaugh and Yuan (2016),NEW,1.0,1967 - 2013
+mispricing_perf,Mispricing factor: Performance,Mispricing factor: Performance,,[],Stambaugh and Yuan (2016),NEW,1.0,1967 - 2013
+ncoa_gr1a,Change in noncurrent operating assets,Change in noncurrent operating assets,,[],Richardson et al. (2005),INVESTMENT,-1.0,1962 - 2001
+ncol_gr1a,Change in noncurrent operating liabilities,Change in noncurrent operating liabilities,,[],Richardson et al. (2005),INVESTMENT,-1.0,1962 - 2001
+netdebt_me,Net debt-to-price,Net debt-to-price,,[],Penman Richardson and Tuna (2007),VALUE,-1.0,1962 - 2001
+netis_at,Net total issuance,Net external finance,,[],Bradshaw Richardson and Sloan (2006),INVESTMENT,-1.0,1971 - 2000
+nfna_gr1a,Change in net financial assets,Change in net financial assets,,[],Richardson et al. (2005),INVESTMENT,1.0,1962 - 2001
+ni_ar1,Earnings persistence,Earnings persistence,,[],Francis et al. (2004),INTANGIBLES,1.0,1975 - 2001
+ni_be,Return on equity,Annual Return on equity,,[],Haugen and Baker (1996),NEW,1.0,1979 - 1993
+ni_inc8q,Number of consecutive quarters with earnings increases,Number of consecutive quarters with earnings increases,,[],Barth Elliott and Finn (1999),Momentum,1.0,1982 - 1992
+ni_ivol,Earnings volatility,Earnings predictability,,[],Francis et al. (2004),INTANGIBLES,1.0,1975 - 2001
+ni_me,Earnings-to-price,Earnings-to-price,,[],Basu (1983),VALUE,1.0,1963-1979
+niq_at,Quarterly return on assets,Return on assets,,[],Balakrishnan Bartov and Faurel (2010),Profitability,1.0,1976 - 2005
+niq_at_chg1,Change in quarterly return on assets,4-quarter change in return on assets,,[],,Profitability,1.0,1972 - 2016
+niq_be,Quarterly return on equity,Return on equity,,[],Hou Xue and Zhang (2015),Profitability,1.0,1972 - 2012
+niq_be_chg1,Change in quarterly return on equity,4-quarter change in return on equity,,[],,Profitability,1.0,1967 - 2016
+niq_su,Standardized earnings surprise,Earnings surprise,,[],Foster Olsen and Shevlin (1984),Momentum,1.0,1974 - 1981
+nncoa_gr1a,Change in net noncurrent operating assets,Change in net noncurrent operating assets,,[],Richardson et al. (2005),INVESTMENT,-1.0,1962 - 2001
+noa_at,Net operating assets,Net operating assets,,[],Hirshleifer et al. (2004),INVESTMENT,-1.0,1964-2002
+noa_gr1a,Change in net operating assets,Change in net operating assets,,[],Hirshleifer et al. (2004),INVESTMENT,-1.0,1964-2002
+o_score,Ohlson O-score,Ohlson’s (1980) O-score,,[],Dichev (1998),Profitability,-1.0,1981 - 1995
+oaccruals_at,Operating accruals,Operating accruals,,[],Sloan (1996),INVESTMENT,-1.0,1962 - 1991
+oaccruals_ni,Percent operating accruals,Percent operating accruals,,[],Hafzalla Lundholm and Van Winkle (2011),INVESTMENT,-1.0,1989 - 2008
+ocf_at,Operating cash flow to assets,Operating cash flow to assets,,[],"Bouchard, Krüger, Landier and Thesmar (2019)",NEW,1.0,1990 - 2015
+ocf_at_chg1,Change in operating cash flow to assets,1 year change in operating cash flow to assets,,[],"Bouchard, Krüger, Landier and Thesmar (2019)",NEW,1.0,1990 - 2015
+ocf_me,Operating cash flow-to-market,Operating cash flow-to-price,,[],Desai Rajgopal and Venkatachalam (2004),VALUE,1.0,1973 - 1997
+ocfq_saleq_std,Cash flow volatility,Cash flow volatility,,[],Huang (2009),INTANGIBLES,-1.0,1980 - 2004
+op_at,Operating profits-to-book assets,Operating profits-to-book assets,,[],,Profitability,1.0,1963 - 2013
+op_atl1,Operating profits-to-lagged book assets,Operating profits-to-lagged book assets,,[],Ball et al. (2016),Profitability,1.0,1963 - 2014
+ope_be,Operating profits-to-book equity,Operating profits-to-book equity,,[],Fama and French (2015),Profitability,1.0,1963 - 2013
+ope_bel1,Operating profits-to-lagged book equity,Operating profits-to-lagged book equity,,[],,Profitability,1.0,1967 - 2016
+opex_at,Operating leverage,Operating leverage,,[],Novy-Marx (2011),INTANGIBLES,1.0,1963 - 2008
+pi_nix,Taxable income-to-book income,Taxable income-to-book income,,[],Lev and Nissim (2004),Profitability,1.0,1973-2000
+ppeinv_gr1a,Change PPE and Inventory,"Change in property, pant and equiptment and equipment and inventory scaled by book assets",,[],Lyandres Sun and Zhang (2008),INVESTMENT,-1.0,1970 - 2005
+prc,Price per share,Price per share,,[],Miller and Scholes (1982),TRADING FRICTIONS,-1.0,1940 - 1978
+prc_highprc_252d,Current price to high price over last year,52-week high,,[],George and Hwang (2004),Momentum,1.0,1963 - 2001
+qmj,Quality minus Junk: Composite,Quality minus Junk: Composite,,[],"Assness, Frazzini and Pedersen (2018)",NEW,1.0,1957 - 2016
+qmj_growth,Quality minus Junk: Growth,Quality minus Junk: Growth,,[],"Assness, Frazzini and Pedersen (2018)",NEW,1.0,1957 - 2016
+qmj_prof,Quality minus Junk: Profitability,Quality minus Junk: Profitability,,[],"Assness, Frazzini and Pedersen (2018)",NEW,1.0,1957 - 2016
+qmj_safety,Quality minus Junk: Safety,Quality minus Junk: Safety,,[],"Assness, Frazzini and Pedersen (2018)",NEW,1.0,1957 - 2016
+rd5_at,R&D capital-to-book assets,R&D capital-to-book assets,,[],Li (2011),INTANGIBLES,1.0,1952 - 2004
+rd_me,R&D-to-market,R&D expense-to-market,,[],Chan Lakonishok and Sougiannis (2001),INTANGIBLES,1.0,1975 - 1995
+rd_sale,R&D-to-sales,R&D expense-to-sales,,[],Chan Lakonishok and Sougiannis (2001),INTANGIBLES,1.0,1975 - 1995
+resff3_12_1,Residual momentum t-12 to t-1,"Residual momentum, prior 11-month returns",,[],Blitz Huij and Martens (2011),Momentum,1.0,1930 - 2009
+resff3_6_1,Residual momentum t-6 to t-1,"Residual momentum,  prior 6-month returns",,[],Blitz Huij and Martens (2011),Momentum,1.0,1930 - 2009
+ret_12_1,Price momentum t-12 to t-1,"Price momentum, prior 11-month returns",,[],Jegadeesh and Titman (1993),Momentum,1.0,1965 - 1989
+ret_12_7,Price momentum t-12 to t-7,Past 12 to 7 month momentum,,[],Novy-Marx (2012),NEW,1.0,1925 - 2010
+ret_1_0,Short-term reversal,Short-term reversal,,[],Jegadeesh (1990),TRADING FRICTIONS,-1.0,1929 - 1982
+ret_3_1,Price momentum t-3 to t-1,Past 3 month return,,[],Jegedeesh and Titman (1993),NEW,1.0,1965 - 1989
+ret_60_12,Long-term reversal,Long-term reversal,,[],De Bondt and Thaler (1985),VALUE,-1.0,1926 - 1982
+ret_6_1,Price momentum t-6 to t-1,"Price momentum,  prior 6-month returns",,[],Jegadeesh and Titman (1993),Momentum,1.0,1965 - 1989
+ret_9_1,Price momentum t-9 to t-1,Past 9 month return,,[],Jegedeesh and Titman (1993),NEW,1.0,1965 - 1989
+rmax1_21d,Maximum daily return,Maximum daily return,,[],Bali Cakici and Whitelaw (2011),TRADING FRICTIONS,-1.0,1962 -2005
+rmax5_21d,Highest 5 days of return,Highest 5 days of return,,[],"Bali, Brown, Murray and Tang (2017)",NEW,-1.0,1993 - 2012
+rmax5_rvol_21d,Highest 5 days of return scaled by volatility,Highest 5 days of return scaled by volatility,,[],"Assness, Frazzini, Gormsen, Pedersen (2020)",NEW,-1.0,1925-2015
+rskew_21d,Total skewness,Total skewness,,[],Bali Engle and Murray (2016),TRADING FRICTIONS,-1.0,1925-2012
+rvol_21d,Return volatility,Total volatility,,[],Ang et al. (2006),TRADING FRICTIONS,-1.0,1963 - 2000
+sale_bev,Asset turnover,Asset turnover,,[],Soliman (2008),Profitability,1.0,1984 - 2002
+sale_emp_gr1,Labor force efficiency,Labor force efficiency,,[],Abarbanell and Bushee (1998),INTANGIBLES,1.0,1974 - 1988
+sale_gr1,Sales Growth (1 year),Annual sales growth,,[],Lakonishok Shleifer and Vishny (1994),VALUE,-1.0,1968 - 1989
+sale_gr3,Sales Growth (3 years),5-year sales growth rank,,[],Lakonishok Shleifer and Vishny (1994),VALUE,-1.0,1968 - 1989
+sale_me,Sales-to-market,Sales-to-price,,[],Barbee Mukherji and Raines (1996),VALUE,1.0,1979-1991
+saleq_gr1,Sales growth (1 quarter),Quarterly sales growth,,[],,Profitability,-1.0,1967 - 2016
+saleq_su,Standardized Revenue surprise,Revenue surprise,,[],Jegadeesh and Livnat (2006),Momentum,1.0,1987 - 2003
+seas_11_15an,"Years 11-15 lagged returns, annual","Years 11–15 lagged returns, annual",,[],Heston and Sadka (2008),INTANGIBLES,1.0,1965 - 2002
+seas_11_15na,"Years 11-15 lagged returns, nonannual","Years 11–15 lagged returns, nonannual",,[],Heston and Sadka (2008),INTANGIBLES,-1.0,1965 - 2002
+seas_16_20an,"Years 16-20 lagged returns, annual","Years 16–20 lagged returns, annual",,[],Heston and Sadka (2008),INTANGIBLES,1.0,1965 - 2002
+seas_16_20na,"Years 16-20 lagged returns, nonannual","Years 16–20 lagged returns, nonannual",,[],Heston and Sadka (2008),INTANGIBLES,-1.0,1965 - 2002
+seas_1_1an,"Year 1-lagged return, annual","Year 1-lagged return, annual",,[],Heston and Sadka (2008),INTANGIBLES,1.0,1965 - 2002
+seas_1_1na,"Year 1-lagged return, nonannual","Year 1-lagged return, nonannual",,[],Heston and Sadka (2008),INTANGIBLES,1.0,1965 - 2002
+seas_2_5an,"Years 2-5 lagged returns, annual","Years 2–5 lagged returns, annual",,[],Heston and Sadka (2008),INTANGIBLES,1.0,1965 - 2002
+seas_2_5na,"Years 2-5 lagged returns, nonannual","Years 2–5 lagged returns, nonannual",,[],Heston and Sadka (2008),INTANGIBLES,-1.0,1965 - 2002
+seas_6_10an,"Years 6-10 lagged returns, annual","Years 6–10 lagged returns, annual",,[],Heston and Sadka (2008),INTANGIBLES,1.0,1965 - 2002
+seas_6_10na,"Years 6-10 lagged returns, nonannual","Years 6–10 lagged returns, nonannual",,[],Heston and Sadka (2008),INTANGIBLES,-1.0,1965 - 2002
+sti_gr1a,Change in short-term investments,Change in short-term investments,,[],Richardson et al. (2005),INVESTMENT,1.0,1962 - 2001
+taccruals_at,Total accruals,Total accruals,,[],Richardson et al. (2005),INVESTMENT,-1.0,1962 - 2001
+taccruals_ni,Percent total accruals,Percent total accruals,,[],Hafzalla Lundholm and Van Winkle (2011),INVESTMENT,-1.0,1989 - 2008
+tangibility,Asset tangibility,Tangibility of assets,,[],Hahn and Lee (2009),INTANGIBLES,1.0,1973-2001
+tax_gr1a,Tax expense surprise,Tax expense surprise,,[],Thomas and Zhang (2011),Momentum,1.0,1977 - 2006
+turnover_126d,Share turnover,Share turnover,,[],Datar Naik and Radcliffe (1998),TRADING FRICTIONS,-1.0,1963 - 1991
+turnover_var_126d,Coefficient of variation for share turnover,Coefficient of variation for share turnover,,[],Chordia Subrahmanyam and Anshuman (2001),TRADING FRICTIONS,-1.0,1966 - 1995
+z_score,Altman Z-score,Altman’s (1968) Z-score,,[],Dichev (1998),Profitability,1.0,1981 - 1995
+zero_trades_126d,Number of zero trades with turnover as tiebreaker (6 months),Prior 6-month turnover-adjusted number of zero daily trading volume,,[],Liu (2006),TRADING FRICTIONS,1.0,1963 - 2003
+zero_trades_21d,Number of zero trades with turnover as tiebreaker (1 month),Prior 1-month turnover-adjusted number of zero daily trading volume,,[],Liu (2006),TRADING FRICTIONS,1.0,1963 - 2003
+zero_trades_252d,Number of zero trades with turnover as tiebreaker (12 months),Prior 12-month turnover-adjusted number of zero daily trading volume,,[],Liu (2006),TRADING FRICTIONS,1.0,1963 - 2003

data/processed/jkp/2025-12/factor_cards.jsonl

@@ -0,0 +1,153 @@
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+{"factor_id": "aliq_mat", "neutral_name": "Liquidity of market assets", "neutral_description": "Liquidity of market assets", "formula_or_definition": "", "input_fields": [], "source_paper": "Ortiz-Molina and Phillips (2014)", "jkp_group_for_selection_only": "INTANGIBLES", "official_direction": -1, "original_in_sample_period": "1984 - 2006"}
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+{"factor_id": "at_be", "neutral_name": "Book leverage", "neutral_description": "Book leverage", "formula_or_definition": "", "input_fields": [], "source_paper": "Fama and French (1992)", "jkp_group_for_selection_only": "Profitability", "official_direction": -1, "original_in_sample_period": "1963 - 1990"}
+{"factor_id": "at_gr1", "neutral_name": "Asset Growth", "neutral_description": "Investment-to-assets", "formula_or_definition": "", "input_fields": [], "source_paper": "Cooper Gulen and Schill (2008)", "jkp_group_for_selection_only": "INVESTMENT", "official_direction": -1, "original_in_sample_period": "1968 - 2003"}
+{"factor_id": "at_me", "neutral_name": "Assets-to-market", "neutral_description": "Assets-to-market", "formula_or_definition": "", "input_fields": [], "source_paper": "Fama and French (1992)", "jkp_group_for_selection_only": "VALUE", "official_direction": 1, "original_in_sample_period": "1963 - 1990"}
+{"factor_id": "at_turnover", "neutral_name": "Capital turnover", "neutral_description": "Capital turnover", "formula_or_definition": "", "input_fields": [], "source_paper": "Haugen and Baker (1996)", "jkp_group_for_selection_only": "Profitability", "official_direction": 1, "original_in_sample_period": "1979 - 1993"}
+{"factor_id": "be_gr1a", "neutral_name": "Change in common equity", "neutral_description": "Change in common equity", "formula_or_definition": "", "input_fields": [], "source_paper": "Richardson et al. (2005)", "jkp_group_for_selection_only": "INVESTMENT", "official_direction": -1, "original_in_sample_period": "1962 - 2001"}
+{"factor_id": "be_me", "neutral_name": "Book-to-market equity", "neutral_description": "Book-to-market equity", "formula_or_definition": "", "input_fields": [], "source_paper": "Rosenberg Reid and Lanstein (1985)", "jkp_group_for_selection_only": "VALUE", "official_direction": 1, "original_in_sample_period": "1973 - 1984"}
+{"factor_id": "beta_60m", "neutral_name": "Market Beta", "neutral_description": "The market beta", "formula_or_definition": "", "input_fields": [], "source_paper": "Fama and MacBeth (1973)", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": -1, "original_in_sample_period": "1935 - 1968"}
+{"factor_id": "beta_dimson_21d", "neutral_name": "Dimson beta", "neutral_description": "The Dimson beta", "formula_or_definition": "", "input_fields": [], "source_paper": "Dimson (1979)", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": -1, "original_in_sample_period": "1955 - 1974"}
+{"factor_id": "betabab_1260d", "neutral_name": "Frazzini-Pedersen market beta", "neutral_description": "The Frazzini-Pedersen beta", "formula_or_definition": "", "input_fields": [], "source_paper": "Frazzini and Pedersen (2014)", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": -1, "original_in_sample_period": "1926 - 2012"}
+{"factor_id": "betadown_252d", "neutral_name": "Downside beta", "neutral_description": "Downside beta", "formula_or_definition": "", "input_fields": [], "source_paper": "Ang Chen and Xing (2006)", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": -1, "original_in_sample_period": "1963 - 2001"}
+{"factor_id": "bev_mev", "neutral_name": "Book-to-market enterprise value", "neutral_description": "Enterprise book-to-price", "formula_or_definition": "", "input_fields": [], "source_paper": "Penman Richardson and Tuna (2007)", "jkp_group_for_selection_only": "VALUE", "official_direction": 1, "original_in_sample_period": "1962 - 2001"}
+{"factor_id": "bidaskhl_21d", "neutral_name": "The high-low bid-ask spread", "neutral_description": "The high-low bid-ask spread", "formula_or_definition": "", "input_fields": [], "source_paper": "Corwin and Schultz (2012)", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": 1, "original_in_sample_period": "1927 - 2006"}
+{"factor_id": "capex_abn", "neutral_name": "Abnormal corporate investment", "neutral_description": "Abnormal corporate investment", "formula_or_definition": "", "input_fields": [], "source_paper": "Titman Wei and Xie (2004)", "jkp_group_for_selection_only": "INVESTMENT", "official_direction": -1, "original_in_sample_period": "1973 - 1996"}
+{"factor_id": "capx_gr1", "neutral_name": "CAPEX growth (1 year)", "neutral_description": "Investment growth", "formula_or_definition": "", "input_fields": [], "source_paper": "Xie (2001)", "jkp_group_for_selection_only": "INVESTMENT", "official_direction": -1, "original_in_sample_period": "1971-1992"}
+{"factor_id": "capx_gr2", "neutral_name": "CAPEX growth (2 years)", "neutral_description": "2-year investment growth", "formula_or_definition": "", "input_fields": [], "source_paper": "Anderson and Garcia-Feijoo (2006)", "jkp_group_for_selection_only": "INVESTMENT", "official_direction": -1, "original_in_sample_period": "1976 - 1998"}
+{"factor_id": "capx_gr3", "neutral_name": "CAPEX growth (3 years)", "neutral_description": "3-year investment growth", "formula_or_definition": "", "input_fields": [], "source_paper": "Anderson and Garcia-Feijoo (2006)", "jkp_group_for_selection_only": "INVESTMENT", "official_direction": -1, "original_in_sample_period": "1976 - 1998"}
+{"factor_id": "cash_at", "neutral_name": "Cash-to-assets", "neutral_description": "Cash-to-assets", "formula_or_definition": "", "input_fields": [], "source_paper": "Palazzo (2012)", "jkp_group_for_selection_only": "INTANGIBLES", "official_direction": 1, "original_in_sample_period": "1972 - 2009"}
+{"factor_id": "chcsho_12m", "neutral_name": "Net stock issues", "neutral_description": "Net stock issues", "formula_or_definition": "", "input_fields": [], "source_paper": "Pontiff and Woodgate (2008)", "jkp_group_for_selection_only": "INVESTMENT", "official_direction": -1, "original_in_sample_period": "1970 - 2003"}
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+{"factor_id": "cop_at", "neutral_name": "Cash-based operating profits-to-book assets", "neutral_description": "Cash-based operating profits-to-book assets", "formula_or_definition": "", "input_fields": [], "source_paper": "", "jkp_group_for_selection_only": "Profitability", "official_direction": 1, "original_in_sample_period": "1967 - 2016"}
+{"factor_id": "cop_atl1", "neutral_name": "Cash-based operating profits-to-lagged book assets", "neutral_description": "Cash-based operating profits-to-lagged book assets", "formula_or_definition": "", "input_fields": [], "source_paper": "Ball et al. (2016)", "jkp_group_for_selection_only": "Profitability", "official_direction": 1, "original_in_sample_period": "1963 - 2014"}
+{"factor_id": "corr_1260d", "neutral_name": "Market correlation", "neutral_description": "Market Correlation", "formula_or_definition": "", "input_fields": [], "source_paper": "Assness, Frazzini, Gormsen, Pedersen (2020)", "jkp_group_for_selection_only": "NEW", "official_direction": -1, "original_in_sample_period": "1925 - 2015"}
+{"factor_id": "coskew_21d", "neutral_name": "Coskewness", "neutral_description": "Coskewness", "formula_or_definition": "", "input_fields": [], "source_paper": "Harvey and Siddique (2000)", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": -1, "original_in_sample_period": "1963 - 1993"}
+{"factor_id": "cowc_gr1a", "neutral_name": "Change in current operating working capital", "neutral_description": "Change in net noncash working capital", "formula_or_definition": "", "input_fields": [], "source_paper": "Richardson et al. (2005)", "jkp_group_for_selection_only": "INVESTMENT", "official_direction": -1, "original_in_sample_period": "1962 - 2001"}
+{"factor_id": "dbnetis_at", "neutral_name": "Net debt issuance", "neutral_description": "Net debt finance", "formula_or_definition": "", "input_fields": [], "source_paper": "Bradshaw Richardson and Sloan (2006)", "jkp_group_for_selection_only": "INVESTMENT", "official_direction": -1, "original_in_sample_period": "1971 - 2000"}
+{"factor_id": "debt_gr3", "neutral_name": "Growth in book debt (3 years)", "neutral_description": "Composite debt issuance", "formula_or_definition": "", "input_fields": [], "source_paper": "Lyandres Sun and Zhang (2008)", "jkp_group_for_selection_only": "INVESTMENT", "official_direction": -1, "original_in_sample_period": "1970 - 2005"}
+{"factor_id": "debt_me", "neutral_name": "Debt-to-market", "neutral_description": "Debt-to-market", "formula_or_definition": "", "input_fields": [], "source_paper": "Bhandari (1988)", "jkp_group_for_selection_only": "VALUE", "official_direction": 1, "original_in_sample_period": "1948 - 1979"}
+{"factor_id": "dgp_dsale", "neutral_name": "Change gross margin minus change sales", "neutral_description": "Percentage change in gross margin minus percentage change in sales", "formula_or_definition": "", "input_fields": [], "source_paper": "Abarbanell and Bushee (1998)", "jkp_group_for_selection_only": "INTANGIBLES", "official_direction": 1, "original_in_sample_period": "1974 - 1988"}
+{"factor_id": "div12m_me", "neutral_name": "Dividend yield", "neutral_description": "Dividend yield", "formula_or_definition": "", "input_fields": [], "source_paper": "Litzenberger and Ramaswamy (1979)", "jkp_group_for_selection_only": "VALUE", "official_direction": 1, "original_in_sample_period": "1940 -1980"}
+{"factor_id": "dolvol_126d", "neutral_name": "Dollar trading volume", "neutral_description": "Dollar trading volume", "formula_or_definition": "", "input_fields": [], "source_paper": "Brennan Chordia and Subrahmanyam (1998)", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": -1, "original_in_sample_period": "1966 - 1995"}
+{"factor_id": "dolvol_var_126d", "neutral_name": "Coefficient of variation for dollar trading volume", "neutral_description": "Coefficient of variation for dollar trading volume", "formula_or_definition": "", "input_fields": [], "source_paper": "Chordia Subrahmanyam and Anshuman (2001)", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": -1, "original_in_sample_period": "1966 - 1995"}
+{"factor_id": "dsale_dinv", "neutral_name": "Change sales minus change Inventory", "neutral_description": "Percentage change in sales minus percentage change in inventory", "formula_or_definition": "", "input_fields": [], "source_paper": "Abarbanell and Bushee (1998)", "jkp_group_for_selection_only": "INTANGIBLES", "official_direction": 1, "original_in_sample_period": "1974 - 1988"}
+{"factor_id": "dsale_drec", "neutral_name": "Change sales minus change receivables", "neutral_description": "Percentage change in sales minus percentage change in accounts receivable", "formula_or_definition": "", "input_fields": [], "source_paper": "Abarbanell and Bushee (1998)", "jkp_group_for_selection_only": "INTANGIBLES", "official_direction": -1, "original_in_sample_period": "1974 - 1988"}
+{"factor_id": "dsale_dsga", "neutral_name": "Change sales minus change SG&A", "neutral_description": "Percentage change in sales minus percentage change in SG&A", "formula_or_definition": "", "input_fields": [], "source_paper": "Abarbanell and Bushee (1998)", "jkp_group_for_selection_only": "INTANGIBLES", "official_direction": 1, "original_in_sample_period": "1974 - 1988"}
+{"factor_id": "earnings_variability", "neutral_name": "Earnings variability", "neutral_description": "Earnings smoothness", "formula_or_definition": "", "input_fields": [], "source_paper": "Francis et al. (2004)", "jkp_group_for_selection_only": "INTANGIBLES", "official_direction": -1, "original_in_sample_period": "1975 - 2001"}
+{"factor_id": "ebit_bev", "neutral_name": "Return on net operating assets", "neutral_description": "Return on net operating assets", "formula_or_definition": "", "input_fields": [], "source_paper": "Soliman (2008)", "jkp_group_for_selection_only": "Profitability", "official_direction": 1, "original_in_sample_period": "1984 - 2002"}
+{"factor_id": "ebit_sale", "neutral_name": "Profit margin", "neutral_description": "Profit margin", "formula_or_definition": "", "input_fields": [], "source_paper": "Soliman (2008)", "jkp_group_for_selection_only": "Profitability", "official_direction": 1, "original_in_sample_period": "1984 - 2002"}
+{"factor_id": "ebitda_mev", "neutral_name": "Ebitda-to-market enterprise value", "neutral_description": "Enterprise multiple", "formula_or_definition": "", "input_fields": [], "source_paper": "Loughran and Wellman (2011)", "jkp_group_for_selection_only": "VALUE", "official_direction": 1, "original_in_sample_period": "1963 - 2009"}
+{"factor_id": "emp_gr1", "neutral_name": "Hiring rate", "neutral_description": "Hiring rate", "formula_or_definition": "", "input_fields": [], "source_paper": "Belo Lin and Bazdresch (2014)", "jkp_group_for_selection_only": "INTANGIBLES", "official_direction": -1, "original_in_sample_period": "1965 - 2010"}
+{"factor_id": "eq_dur", "neutral_name": "Equity duration", "neutral_description": "Equity duration", "formula_or_definition": "", "input_fields": [], "source_paper": "Dechow Sloan and Soliman (2004)", "jkp_group_for_selection_only": "VALUE", "official_direction": -1, "original_in_sample_period": "1962 - 1998"}
+{"factor_id": "eqnetis_at", "neutral_name": "Net equity issuance", "neutral_description": "Net equity finance", "formula_or_definition": "", "input_fields": [], "source_paper": "Bradshaw Richardson and Sloan (2006)", "jkp_group_for_selection_only": "INVESTMENT", "official_direction": -1, "original_in_sample_period": "1971 - 2000"}
+{"factor_id": "eqnpo_12m", "neutral_name": "Equity net payout", "neutral_description": "Composite equity issuance", "formula_or_definition": "", "input_fields": [], "source_paper": "Daniel and Titman (2006)", "jkp_group_for_selection_only": "INVESTMENT", "official_direction": 1, "original_in_sample_period": "1968 - 2003"}
+{"factor_id": "eqnpo_me", "neutral_name": "Net payout yield", "neutral_description": "Net payout yield", "formula_or_definition": "", "input_fields": [], "source_paper": "Boudoukh et al. (2007)", "jkp_group_for_selection_only": "VALUE", "official_direction": 1, "original_in_sample_period": "1984 - 2003"}
+{"factor_id": "eqpo_me", "neutral_name": "Payout yield", "neutral_description": "Payout yield", "formula_or_definition": "", "input_fields": [], "source_paper": "Boudoukh et al. (2007)", "jkp_group_for_selection_only": "VALUE", "official_direction": 1, "original_in_sample_period": "1984 - 2003"}
+{"factor_id": "f_score", "neutral_name": "Pitroski F-score", "neutral_description": "Fundamental score", "formula_or_definition": "", "input_fields": [], "source_paper": "Piotroski (2000)", "jkp_group_for_selection_only": "Profitability", "official_direction": 1, "original_in_sample_period": "1976 - 1996"}
+{"factor_id": "fcf_me", "neutral_name": "Free cash flow-to-price", "neutral_description": "Cash flow-to-price", "formula_or_definition": "", "input_fields": [], "source_paper": "Lakonishok Shleifer and Vishny (1994)", "jkp_group_for_selection_only": "VALUE", "official_direction": 1, "original_in_sample_period": "1963 - 1990"}
+{"factor_id": "fnl_gr1a", "neutral_name": "Change in financial liabilities", "neutral_description": "Change in financial liabilities", "formula_or_definition": "", "input_fields": [], "source_paper": "Richardson et al. (2005)", "jkp_group_for_selection_only": "INVESTMENT", "official_direction": -1, "original_in_sample_period": "1962 - 2001"}
+{"factor_id": "gp_at", "neutral_name": "Gross profits-to-assets", "neutral_description": "Gross profits-to-assets", "formula_or_definition": "", "input_fields": [], "source_paper": "Novy-Marx (2013)", "jkp_group_for_selection_only": "Profitability", "official_direction": 1, "original_in_sample_period": "1963 - 2010"}
+{"factor_id": "gp_atl1", "neutral_name": "Gross profits-to-lagged assets", "neutral_description": "Gross profits-to-lagged assets", "formula_or_definition": "", "input_fields": [], "source_paper": "", "jkp_group_for_selection_only": "Profitability", "official_direction": 1, "original_in_sample_period": "1967 - 2016"}
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+{"factor_id": "inv_gr1a", "neutral_name": "Inventory change", "neutral_description": "Inventory changes", "formula_or_definition": "", "input_fields": [], "source_paper": "Thomas and Zhang (2002)", "jkp_group_for_selection_only": "INVESTMENT", "official_direction": -1, "original_in_sample_period": "1970 - 1997"}
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+{"factor_id": "iskew_ff3_21d", "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": "", "input_fields": [], "source_paper": "Bali Engle and Murray (2016)", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": -1, "original_in_sample_period": "1925-2012"}
+{"factor_id": "iskew_hxz4_21d", "neutral_name": "Idiosyncratic skewness from the q-factor model", "neutral_description": "Idiosyncratic skewness from the q-factor model", "formula_or_definition": "", "input_fields": [], "source_paper": "", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": -1, "original_in_sample_period": "1967 - 2016"}
+{"factor_id": "ival_me", "neutral_name": "Intrinsic value-to-market", "neutral_description": "Intrinsic value-to-market", "formula_or_definition": "", "input_fields": [], "source_paper": "Frankel and Lee (1998)", "jkp_group_for_selection_only": "VALUE", "official_direction": 1, "original_in_sample_period": "1975 - 1993"}
+{"factor_id": "ivol_capm_21d", "neutral_name": "Idiosyncratic volatility from the CAPM (21 days)", "neutral_description": "Idiosyncratic volatility from the CAPM", "formula_or_definition": "", "input_fields": [], "source_paper": "", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": -1, "original_in_sample_period": "1967 - 2016"}
+{"factor_id": "ivol_capm_252d", "neutral_name": "Idiosyncratic volatility from the CAPM (252 days)", "neutral_description": "Idiosyncratic volatility", "formula_or_definition": "", "input_fields": [], "source_paper": "Ali Hwang and Trombley (2003)", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": -1, "original_in_sample_period": "1976 - 1997"}
+{"factor_id": "ivol_ff3_21d", "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": "", "input_fields": [], "source_paper": "Ang et al. (2006)", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": -1, "original_in_sample_period": "1963 - 2000"}
+{"factor_id": "ivol_hxz4_21d", "neutral_name": "Idiosyncratic volatility from the q-factor model", "neutral_description": "Idiosyncratic volatility from the q-factor model", "formula_or_definition": "", "input_fields": [], "source_paper": "", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": -1, "original_in_sample_period": "1967 - 2016"}
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+{"factor_id": "lnoa_gr1a", "neutral_name": "Change in long-term net operating assets", "neutral_description": "Change in long-term net operating assets", "formula_or_definition": "", "input_fields": [], "source_paper": "Fairfield Whisenant and Yohn (2003)", "jkp_group_for_selection_only": "INVESTMENT", "official_direction": -1, "original_in_sample_period": "1964 - 1993"}
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+{"factor_id": "market_equity", "neutral_name": "Market Equity", "neutral_description": "Size (the market equity)", "formula_or_definition": "", "input_fields": [], "source_paper": "Banz (1981)", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": -1, "original_in_sample_period": "1926 - 1975"}
+{"factor_id": "mispricing_mgmt", "neutral_name": "Mispricing factor: Management", "neutral_description": "Mispricing factor: Management", "formula_or_definition": "", "input_fields": [], "source_paper": "Stambaugh and Yuan (2016)", "jkp_group_for_selection_only": "NEW", "official_direction": 1, "original_in_sample_period": "1967 - 2013"}
+{"factor_id": "mispricing_perf", "neutral_name": "Mispricing factor: Performance", "neutral_description": "Mispricing factor: Performance", "formula_or_definition": "", "input_fields": [], "source_paper": "Stambaugh and Yuan (2016)", "jkp_group_for_selection_only": "NEW", "official_direction": 1, "original_in_sample_period": "1967 - 2013"}
+{"factor_id": "ncoa_gr1a", "neutral_name": "Change in noncurrent operating assets", "neutral_description": "Change in noncurrent operating assets", "formula_or_definition": "", "input_fields": [], "source_paper": "Richardson et al. (2005)", "jkp_group_for_selection_only": "INVESTMENT", "official_direction": -1, "original_in_sample_period": "1962 - 2001"}
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+{"factor_id": "taccruals_at", "neutral_name": "Total accruals", "neutral_description": "Total accruals", "formula_or_definition": "", "input_fields": [], "source_paper": "Richardson et al. (2005)", "jkp_group_for_selection_only": "INVESTMENT", "official_direction": -1, "original_in_sample_period": "1962 - 2001"}
+{"factor_id": "taccruals_ni", "neutral_name": "Percent total accruals", "neutral_description": "Percent total accruals", "formula_or_definition": "", "input_fields": [], "source_paper": "Hafzalla Lundholm and Van Winkle (2011)", "jkp_group_for_selection_only": "INVESTMENT", "official_direction": -1, "original_in_sample_period": "1989 - 2008"}
+{"factor_id": "tangibility", "neutral_name": "Asset tangibility", "neutral_description": "Tangibility of assets", "formula_or_definition": "", "input_fields": [], "source_paper": "Hahn and Lee (2009)", "jkp_group_for_selection_only": "INTANGIBLES", "official_direction": 1, "original_in_sample_period": "1973-2001"}
+{"factor_id": "tax_gr1a", "neutral_name": "Tax expense surprise", "neutral_description": "Tax expense surprise", "formula_or_definition": "", "input_fields": [], "source_paper": "Thomas and Zhang (2011)", "jkp_group_for_selection_only": "Momentum", "official_direction": 1, "original_in_sample_period": "1977 - 2006"}
+{"factor_id": "turnover_126d", "neutral_name": "Share turnover", "neutral_description": "Share turnover", "formula_or_definition": "", "input_fields": [], "source_paper": "Datar Naik and Radcliffe (1998)", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": -1, "original_in_sample_period": "1963 - 1991"}
+{"factor_id": "turnover_var_126d", "neutral_name": "Coefficient of variation for share turnover", "neutral_description": "Coefficient of variation for share turnover", "formula_or_definition": "", "input_fields": [], "source_paper": "Chordia Subrahmanyam and Anshuman (2001)", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": -1, "original_in_sample_period": "1966 - 1995"}
+{"factor_id": "z_score", "neutral_name": "Altman Z-score", "neutral_description": "Altman’s (1968) Z-score", "formula_or_definition": "", "input_fields": [], "source_paper": "Dichev (1998)", "jkp_group_for_selection_only": "Profitability", "official_direction": 1, "original_in_sample_period": "1981 - 1995"}
+{"factor_id": "zero_trades_126d", "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": "", "input_fields": [], "source_paper": "Liu (2006)", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": 1, "original_in_sample_period": "1963 - 2003"}
+{"factor_id": "zero_trades_21d", "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": "", "input_fields": [], "source_paper": "Liu (2006)", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": 1, "original_in_sample_period": "1963 - 2003"}
+{"factor_id": "zero_trades_252d", "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": "", "input_fields": [], "source_paper": "Liu (2006)", "jkp_group_for_selection_only": "TRADING FRICTIONS", "official_direction": 1, "original_in_sample_period": "1963 - 2003"}

data/processed/jkp/2025-12/factor_details.csv

@@ -0,0 +1,256 @@
+source_row_id,hxz_abbreviation,factor_name_original,factor_name_current,factor_id,time_to_create,lagged_denominator,source_paper,variations,jkp_legacy_group,original_in_sample_period,original_t_stat,original_p_value,direction,significance,controls
+1,Sue,Earnings surprise,Standardized earnings surprise,niq_su,,,Foster Olsen and Shevlin (1984),3.0,Momentum,1974 - 1981,9.11,,1.0,1.0,2.0
+2,Abr,Cumulative abnormal stock returns around earnings announcements,Cumulative abnormal stock returns around earnings announcements,,3,,Chan Jegadeesh and Lakonishok (1996) 1972/1,3.0,Momentum,1977 - 1993,4.25,,1.0,,2.0
+3,Re,Revisions in analysts’ earnings forecasts,Revisions in analysts’ earnings forecasts,,A,,Chan Jegadeesh and Lakonishok (1996) 1976/7,3.0,Momentum,1977 - 1993,3.1,,1.0,,2.0
+4,R6,"Price momentum,  prior 6-month returns",Price momentum t-6 to t-1,ret_6_1,,,Jegadeesh and Titman (1993),3.0,Momentum,1965 - 1989,2.29,,1.0,1.0,0.0
+5,R11,"Price momentum, prior 11-month returns",Price momentum t-12 to t-1,ret_12_1,,,Jegadeesh and Titman (1993),3.0,Momentum,1965 - 1989,,,1.0,1.0,0.0
+6,Im,Industry momentum,Industry momentum,,I,,Moskowitz and Grinblatt (1999),3.0,Momentum,1973 - 1995,2.08,,1.0,,1.0
+7,Rs,Revenue surprise,Standardized Revenue surprise,saleq_su,,,Jegadeesh and Livnat (2006),3.0,Momentum,1987 - 2003,,<1%,1.0,1.0,2.0
+8,Tes,Tax expense surprise,Tax expense surprise,tax_gr1a,,,Thomas and Zhang (2011),3.0,Momentum,1977 - 2006,6.42,,1.0,1.0,2.0
+9,dEf,Change in analysts’ earnings forecasts,Change in analysts’ earnings forecasts,,A,,Hawkins Chamberlin and Daniel (1984) 1976/3,3.0,Momentum,1975 - 1980,,,,,0.0
+10,Nei,Number of consecutive quarters with earnings increases,Number of consecutive quarters with earnings increases,ni_inc8q,,,Barth Elliott and Finn (1999),3.0,Momentum,1982 - 1992,,,1.0,0.0,0.0
+11,52w,52-week high,Current price to high price over last year,prc_highprc_252d,,,George and Hwang (2004),3.0,Momentum,1963 - 2001,"min: 2.83, max: 8.39",,1.0,1.0,2.0
+12,e6,"Residual momentum,  prior 6-month returns",Residual momentum t-6 to t-1,resff3_6_1,,,Blitz Huij and Martens (2011),3.0,Momentum,1930 - 2009,,0.65,1.0,1.0,0.0
+13,e11,"Residual momentum, prior 11-month returns",Residual momentum t-12 to t-1,resff3_12_1,,,Blitz Huij and Martens (2011),3.0,Momentum,1930 - 2009,,0.59,1.0,1.0,0.0
+14,Sm,Segment momentum,Segment momentum,,G,,Cohen and Lou (2012) 1977/7,3.0,Momentum,1977 - 2009,"min: 2.56, max: 7.41",<5%,1.0,,2.0
+15,Ilr,Industry lead-lag effect in prior returns,Industry lead-lag effect in prior returns,,I,,Hou (2007),3.0,Momentum,1972 - 2001,11,,1.0,,2.0
+16,Ile,Industry lead-lag effect in earnings surprises,Industry lead-lag effect in earnings surprises,,I,,Hou (2007),3.0,Momentum,1972 - 2001,5.61,,1.0,,2.0
+17,Cm,Customer momentum,Customer momentum,,G,,Cohen and Frazzini (2008),3.0,Momentum,1980 - 2004,2.26,<5%,1.0,,2.0
+18,Sim,Supplier industries momentum,Supplier industries momentum,,GI,,Menzly and Ozbas (2010),3.0,Momentum,1963 - 2005,5.03,<1%,1.0,,2.0
+19,Cim,Customer industries momentum,Customer industries momentum,,GI,,Menzly and Ozbas (2010),3.0,Momentum,1963 - 2005,4.11,<1%,1.0,,2.0
+20,Bm,Book-to-market equity,Book-to-market equity,be_me,,,Rosenberg Reid and Lanstein (1985),1.0,VALUE,1973 - 1984,,,1.0,1.0,0.0
+21,Bmj,Book-to-June-end market equity,Book-to-June-end market equity,,Q,,Asness and Frazzini (2013),1.0,VALUE,,,,1.0,,0.0
+22,Bmq,Quarterly book-to-market equity,Quarterly book-to-market equity,,Q,,,3.0,VALUE,,,,1.0,,
+23,Dm,Debt-to-market,Debt-to-market,debt_me,,,Bhandari (1988),1.0,VALUE,1948 - 1979,3.93,,1.0,1.0,1.0
+24,Dmq,Quarterly debt-to-market,Quarterly debt-to-market,,Q,,1972/1,3.0,VALUE,,,,1.0,,
+25,Am,Assets-to-market,Assets-to-market,at_me,,,Fama and French (1992),1.0,VALUE,1963 - 1990,4.28,,1.0,0.0,2.0
+26,Amq,Quarterly assets-to-market,Quarterly assets-to-market,,Q,,1972/1,3.0,VALUE,,,,1.0,,
+27,Rev,Long-term reversal,Long-term reversal,ret_60_12,,,De Bondt and Thaler (1985),3.0,VALUE,1926 - 1982,,,-1.0,1.0,0.0
+28,Ep,Earnings-to-price,Earnings-to-price,ni_me,,,Basu (1983),1.0,VALUE,1963-1979,,,1.0,1.0,0.0
+29,Epq,Quarterly earnings-to-price,Quarterly earnings-to-price,,Q,,,3.0,VALUE,,,,1.0,,
+30,Efp,Analysts’ earnings forecasts-to-price,Analysts’ earnings forecasts-to-price,,A,,Elgers Lo and Pfeiffer (2001) 1976/2,3.0,VALUE,1982 - 1998,3.4,<1%,1.0,,1.0
+31,Cp,Cash flow-to-price,Free cash flow-to-price,fcf_me,,,Lakonishok Shleifer and Vishny (1994),1.0,VALUE,1963 - 1990,,,1.0,1.0,
+32,Cpq,Quarterly cash flow-to-price,Quarterly cash flow-to-price,,Q,,,3.0,VALUE,,,,1.0,,
+33,Dp,Dividend yield,Dividend yield,div12m_me,,,Litzenberger and Ramaswamy (1979),1.0,VALUE,1940 -1980,8.79,,1.0,1.0,1.0
+34,Dpq,Quarterly dividend yield,Quarterly dividend yield,,Q,,,3.0,VALUE,,,,1.0,,
+35,Op,Payout yield,Payout yield,eqpo_me,,,Boudoukh et al. (2007),1.0,VALUE,1984 - 2003,2.24,,1.0,1.0,1.0
+36,Opq,Quarterly payout yield,Quarterly payout yield,,Q,,1985/1,3.0,VALUE,,,,1.0,,
+37,Nop,Net payout yield,Net payout yield,eqnpo_me,,,Boudoukh et al. (2007),1.0,VALUE,1984 - 2003,4.14,,1.0,1.0,1.0
+38,Nopq,Quarterly net payout yield,Quarterly net payout yield,,Q,,1985/1,3.0,VALUE,,,,1.0,,
+39,Sr,5-year sales growth rank,Sales Growth (3 years),sale_gr3,,,Lakonishok Shleifer and Vishny (1994),1.0,VALUE,1968 - 1989,-2.125,,-1.0,1.0,2.0
+40,Sg,Annual sales growth,Sales Growth (1 year),sale_gr1,,,Lakonishok Shleifer and Vishny (1994),1.0,VALUE,1968 - 1989,,,-1.0,1.0,0.0
+41,Em,Enterprise multiple,Ebitda-to-market enterprise value,ebitda_mev,,,Loughran and Wellman (2011),1.0,VALUE,1963 - 2009,3.08,,1.0,1.0,2.0
+42,Emq,Quarterly enterprise multiple,Quarterly enterprise multiple,,Q,,1976/1,3.0,VALUE,,,,1.0,,
+43,Sp,Sales-to-price,Sales-to-market,sale_me,,,Barbee Mukherji and Raines (1996),1.0,VALUE,1979-1991,2.21,<5%,1.0,1.0,2.0
+44,Spq,Quarterly sales-to-price,Quarterly sales-to-price,,Q,,,3.0,VALUE,,,,1.0,,
+45,Ocp,Operating cash flow-to-price,Operating cash flow-to-market,ocf_me,,,Desai Rajgopal and Venkatachalam (2004),1.0,VALUE,1973 - 1997,8.36,<1%,1.0,1.0,2.0
+46,Ocpq,Quarterly operating cash flow-to-price,Quarterly operating cash flow-to-price,,Q,,1985/1,3.0,VALUE,,,,1.0,,
+47,Ir,Intangible return,Intangible return,,3,,Daniel and Titman (2006),1.0,VALUE,1968 - 2003,-4.56,,-1.0,,2.0
+48,Vhp,Intrinsic value-to-market,Intrinsic value-to-market,ival_me,,,Frankel and Lee (1998),1.0,VALUE,1975 - 1993,,,1.0,0.0,
+49,Vfp,Analysts’ forecasts-based intrinsic value-to-market,Analysts’ forecasts-based intrinsic value-to-market,,A,,Frankel and Lee (1998) 1976/7,1.0,VALUE,1976 - 1992,,<5%,1.0,,2.0
+50,Ebp,Enterprise book-to-price,Book-to-market enterprise value,bev_mev,,,Penman Richardson and Tuna (2007),1.0,VALUE,1962 - 2001,4.2,,1.0,1.0,1.0
+51,Ebpq,Quarterly enterprise book-to-price,Quarterly enterprise book-to-price,,Q,,1976/1,3.0,VALUE,,,,1.0,,
+52,Ndp,Net debt-to-price,Net debt-to-price,netdebt_me,,,Penman Richardson and Tuna (2007),1.0,VALUE,1962 - 2001,-3.12,,-1.0,1.0,1.0
+53,Ndpq,Quarterly net debt-to-price,Quarterly net debt-to-price,,Q,,1976/1,3.0,VALUE,,,,1.0,,
+54,Dur,Equity duration,Equity duration,eq_dur,,,Dechow Sloan and Soliman (2004),1.0,VALUE,1962 - 1998,4.63,,-1.0,1.0,2.0
+55,Ltg,Long-term growth forecasts of analysts,Long-term growth forecasts of analysts,,A,,La Porta (1996) 1982/1,1.0,VALUE,1982 - 1991,-4.1902,,-1.0,,
+56,Ltgm,Long-term growth forecasts of analysts,Long-term growth forecasts of analysts,,A,,,1.0,VALUE,,,,-1.0,,
+57,Aci,Abnormal corporate investment,Abnormal corporate investment,capex_abn,,,Titman Wei and Xie (2004),1.0,INVESTMENT,1973 - 1996,-2.76,<5%,-1.0,1.0,2.0
+58,I/A,Investment-to-assets,Asset Growth,at_gr1,,,Cooper Gulen and Schill (2008),1.0,INVESTMENT,1968 - 2003,-5.04,,-1.0,1.0,0.0
+59,Iaq,Quarterly investment-to-assets,Quarterly investment-to-assets,,Q,,1973/1,3.0,INVESTMENT,,,,-1.0,,
+60,dPia,"Change in property, pant and equiptment and equipment and inventory scaled by book assets",Change PPE and Inventory,ppeinv_gr1a,,,Lyandres Sun and Zhang (2008),1.0,INVESTMENT,1970 - 2005,,,-1.0,1.0,0.0
+61,Noa,Net operating assets,Net operating assets,noa_at,,,Hirshleifer et al. (2004),1.0,INVESTMENT,1964-2002,-4.04,<5%,-1.0,1.0,2.0
+62,dNoa,Change in net operating assets,Change in net operating assets,noa_gr1a,,,Hirshleifer et al. (2004),1.0,INVESTMENT,1964-2002,0.17,>5%,-1.0,1.0,2.0
+63,dLno,Change in long-term net operating assets,Change in long-term net operating assets,lnoa_gr1a,,,Fairfield Whisenant and Yohn (2003),1.0,INVESTMENT,1964 - 1993,,,-1.0,1.0,1.0
+64,Ig,Investment growth,CAPEX growth (1 year),capx_gr1,,,Xie (2001),1.0,INVESTMENT,1971-1992,,,-1.0,0.0,0.0
+65,2Ig,2-year investment growth,CAPEX growth (2 years),capx_gr2,,,Anderson and Garcia-Feijoo (2006),1.0,INVESTMENT,1976 - 1998,-5.51,,-1.0,1.0,1.0
+66,3Ig,3-year investment growth,CAPEX growth (3 years),capx_gr3,,,Anderson and Garcia-Feijoo (2006),1.0,INVESTMENT,1976 - 1998,-5.34,,-1.0,1.0,1.0
+67,Nsi,Net stock issues,Net stock issues,chcsho_12m,,,Pontiff and Woodgate (2008),1.0,INVESTMENT,1970 - 2003,-6.72,,-1.0,1.0,2.0
+68,dIi,Percentage change in investment relative to industry,Percentage change in investment relative to industry,,I,,Abarbanell and Bushee (1998),1.0,INVESTMENT,,,,,,0.0
+69,Cei,Composite equity issuance,Equity net payout,eqnpo_12m,,,Daniel and Titman (2006),1.0,INVESTMENT,1968 - 2003,-4.16,,1.0,1.0,2.0
+70,Cdi,Composite debt issuance,Growth in book debt (3 years),debt_gr3,,,Lyandres Sun and Zhang (2008),1.0,INVESTMENT,1970 - 2005,-5.91,,-1.0,1.0,1.0
+71,Ivg,Inventory growth,Inventory growth,inv_gr1,,,Belo and Lin (2011),1.0,INVESTMENT,1965 - 2009,6.64,,-1.0,1.0,0.0
+72,Ivc,Inventory changes,Inventory change,inv_gr1a,,,Thomas and Zhang (2002),1.0,INVESTMENT,1970 - 1997,,<1%,-1.0,1.0,2.0
+73,Oa,Operating accruals,Operating accruals,oaccruals_at,,,Sloan (1996),1.0,INVESTMENT,1962 - 1991,-6.15,<1%,-1.0,1.0,1.0
+74,Ta,Total accruals,Total accruals,taccruals_at,,,Richardson et al. (2005),1.0,INVESTMENT,1962 - 2001,-6.38,,-1.0,1.0,2.0
+75,dWc,Change in net noncash working capital,Change in current operating working capital,cowc_gr1a,,,Richardson et al. (2005),1.0,INVESTMENT,1962 - 2001,-8.72,,-1.0,1.0,2.0
+76,dCoa,Change in current operating assets,Change in current operating assets,coa_gr1a,,,Richardson et al. (2005),1.0,INVESTMENT,1962 - 2001,-8.71,,-1.0,1.0,2.0
+77,dCol,Change in current operating liabilities,Change in current operating liabilities,col_gr1a,,,Richardson et al. (2005),1.0,INVESTMENT,1962 - 2001,-4.49,,-1.0,1.0,2.0
+78,dNco,Change in net noncurrent operating assets,Change in net noncurrent operating assets,nncoa_gr1a,,,Richardson et al. (2005),1.0,INVESTMENT,1962 - 2001,-8.76,,-1.0,1.0,2.0
+79,dNca,Change in noncurrent operating assets,Change in noncurrent operating assets,ncoa_gr1a,,,Richardson et al. (2005),1.0,INVESTMENT,1962 - 2001,-8.44,,-1.0,1.0,2.0
+80,dNcl,Change in noncurrent operating liabilities,Change in noncurrent operating liabilities,ncol_gr1a,,,Richardson et al. (2005),1.0,INVESTMENT,1962 - 2001,-0.65,,-1.0,0.0,2.0
+81,dFin,Change in net financial assets,Change in net financial assets,nfna_gr1a,,,Richardson et al. (2005),1.0,INVESTMENT,1962 - 2001,5.85,,1.0,1.0,2.0
+82,dSti,Change in short-term investments,Change in short-term investments,sti_gr1a,,,Richardson et al. (2005),1.0,INVESTMENT,1962 - 2001,0.43,,1.0,0.0,2.0
+83,dLti,Change in long-term investments,Change in long-term investments,lti_gr1a,,,Richardson et al. (2005),1.0,INVESTMENT,1962 - 2001,-3.38,,-1.0,1.0,2.0
+84,dFnl,Change in financial liabilities,Change in financial liabilities,fnl_gr1a,,,Richardson et al. (2005),1.0,INVESTMENT,1962 - 2001,-8.01,,-1.0,1.0,2.0
+85,dBe,Change in common equity,Change in common equity,be_gr1a,,,Richardson et al. (2005),1.0,INVESTMENT,1962 - 2001,-6.25,,-1.0,1.0,2.0
+86,Dac,Discretionary accruals,Discretionary accruals,,I3,,Xie (2001),1.0,INVESTMENT,1971 - 1992,8.43,<1%,-1.0,,0.0
+87,Poa,Percent operating accruals,Percent operating accruals,oaccruals_ni,,,Hafzalla Lundholm and Van Winkle (2011),1.0,INVESTMENT,1989 - 2008,,<1%,-1.0,1.0,2.0
+88,Pta,Percent total accruals,Percent total accruals,taccruals_ni,,,Hafzalla Lundholm and Van Winkle (2011),1.0,INVESTMENT,1989 - 2008,,<1%,-1.0,1.0,0.0
+89,Pda,Percent discretionary accruals,Percent discretionary accruals,,I3,,,1.0,INVESTMENT,,,,,,
+90,Nxf,Net external finance,Net total issuance,netis_at,,,Bradshaw Richardson and Sloan (2006),1.0,INVESTMENT,1971 - 2000,-5.7,,-1.0,1.0,0.0
+91,Nef,Net equity finance,Net equity issuance,eqnetis_at,,,Bradshaw Richardson and Sloan (2006),1.0,INVESTMENT,1971 - 2000,-3.2,,-1.0,1.0,2.0
+92,Ndf,Net debt finance,Net debt issuance,dbnetis_at,,,Bradshaw Richardson and Sloan (2006),1.0,INVESTMENT,1971 - 2000,-8.4,,-1.0,1.0,2.0
+93,Roe,Return on equity,Quarterly return on equity,niq_be,,,Hou Xue and Zhang (2015),3.0,Profitability,1972 - 2012,3.11,,1.0,1.0,0.0
+94,dRoe,4-quarter change in return on equity,Change in quarterly return on equity,niq_be_chg1,,,,3.0,Profitability,1967 - 2016,,,1.0,0.0,
+95,Roa,Return on assets,Quarterly return on assets,niq_at,,,Balakrishnan Bartov and Faurel (2010),3.0,Profitability,1976 - 2005,,,1.0,1.0,0.0
+96,dRoa,4-quarter change in return on assets,Change in quarterly return on assets,niq_at_chg1,,,,3.0,Profitability,1972 - 2016,,,1.0,0.0,
+97,Rna,Return on net operating assets,Return on net operating assets,ebit_bev,,1.0,Soliman (2008),1.0,Profitability,1984 - 2002,1.41,,1.0,1.0,2.0
+98,Rnaq,Quarterly return on net operating assets,Quarterly return on net operating assets,,Q,,1976/1,3.0,Profitability,,,,1.0,,
+99,Pm,Profit margin,Profit margin,ebit_sale,,,Soliman (2008),1.0,Profitability,1984 - 2002,1.04,,1.0,1.0,2.0
+100,Pmq,Quarterly profit margin,Quarterly profit margin,,Q,,,3.0,Profitability,,,,1.0,,
+101,Ato,Asset turnover,Asset turnover,sale_bev,,1.0,Soliman (2008),1.0,Profitability,1984 - 2002,0.29,,1.0,1.0,2.0
+102,Atoq,Quarterly asset turnover,Quarterly asset turnover,,Q,,1972/1,3.0,Profitability,,,,1.0,,
+103,Cto,Capital turnover,Capital turnover,at_turnover,,1.0,Haugen and Baker (1996),1.0,Profitability,1979 - 1993,,,1.0,0.0,0.0
+104,Ctoq,Quarterly capital turnover,Quarterly capital turnover,,Q,,1972/1,3.0,Profitability,,,,1.0,,
+105,Gpa,Gross profits-to-assets,Gross profits-to-assets,gp_at,,,Novy-Marx (2013),1.0,Profitability,1963 - 2010,4.59,,1.0,1.0,2.0
+106,Gla,Gross profits-to-lagged assets,Gross profits-to-lagged assets,gp_atl1,,1.0,,1.0,Profitability,1967 - 2016,,,1.0,0.0,
+107,Glaq,Quarterly gross profits-to-assets,Quarterly gross profits-to-assets,,Q,,1976/1,3.0,Profitability,,,,1.0,,
+108,Ope,Operating profits-to-book equity,Operating profits-to-book equity,ope_be,,,Fama and French (2015),1.0,Profitability,1963 - 2013,2.92,,1.0,1.0,2.0
+109,Ole,Operating profits-to-lagged book equity,Operating profits-to-lagged book equity,ope_bel1,,1.0,,1.0,Profitability,1967 - 2016,,,1.0,0.0,
+110,Oleq,Quarterly operating profits-to-lagged book equity,Quarterly operating profits-to-lagged book equity,,Q,,1972/1,3.0,Profitability,,,,1.0,,
+111,Opa,Operating profits-to-book assets,Operating profits-to-book assets,op_at,,,,1.0,Profitability,1963 - 2013,,,1.0,1.0,
+112,Ola,Operating profits-to-lagged book assets,Operating profits-to-lagged book assets,op_atl1,,1.0,Ball et al. (2016),1.0,Profitability,1963 - 2014,8.86,,1.0,1.0,2.0
+113,Olaq,Quarterly operating profits-to-lagged book assets,Quarterly operating profits-to-lagged book assets,,Q,,1976/1,3.0,Profitability,,,,1.0,,
+114,Cop,Cash-based operating profits-to-book assets,Cash-based operating profits-to-book assets,cop_at,,,,1.0,Profitability,1967 - 2016,,,1.0,0.0,
+115,Cla,Cash-based operating profits-to-lagged book assets,Cash-based operating profits-to-lagged book assets,cop_atl1,,1.0,Ball et al. (2016),1.0,Profitability,1963 - 2014,5.27,,1.0,1.0,2.0
+116,Claq,Quarterly cash-based operating profits-to-lagged book assets,Quarterly cash-based operating profits-to-lagged book assets,,Q,,1976/1,3.0,Profitability,,,,1.0,,
+117,F,Fundamental score,Pitroski F-score,f_score,,,Piotroski (2000),1.0,Profitability,1976 - 1996,5.889,,1.0,1.0,2.0
+118,Fq,Quarterly fundamental score,Quarterly fundamental score,,Q,,1985/1,3.0,Profitability,,,,1.0,,
+119,Fp,Failure probability,Failure probability,,3,,Campbell Hilscher and Szilagyi (2008) 1976/7,1.0,Profitability,,,,-1.0,,
+120,Fpm,Failure probability,Failure probability,,Q,,Campbell Hilscher and Szilagyi (2008) 1976/1,3.0,Profitability,,,,-1.0,,
+121,O,Ohlson’s (1980) O-score,Ohlson O-score,o_score,,,Dichev (1998),1.0,Profitability,1981 - 1995,-3.38,,-1.0,1.0,2.0
+122,Oq,Quarterly O-score,Quarterly O-score,,Q,,1976/1,3.0,Profitability,,,,-1.0,,
+123,Z,Altman’s (1968) Z-score,Altman Z-score,z_score,,,Dichev (1998),1.0,Profitability,1981 - 1995,3.37,,1.0,1.0,2.0
+124,Zq,Quarterly Z-score,Quarterly Z-score,,Q,,1976/1,3.0,Profitability,,,,1.0,,
+125,Cr,Credit rating,Credit rating,,O,,Avramov et al. (2009) 1986/1,3.0,Profitability,1985 - 2007,-2.8,<5%,-1.0,,2.0
+126,Tbi,Taxable income-to-book income,Taxable income-to-book income,pi_nix,,,Lev and Nissim (2004),1.0,Profitability,1973-2000,"3.851, 0.486",,1.0,1.0,1.0
+127,Tbiq,Quarterly taxable income-to-book income,Quarterly taxable income-to-book income,,Q,,,3.0,Profitability,,,,1.0,,
+128,G,Growth score,Growth score,,I,,Mohanram (2005) 1976/7,1.0,Profitability,1979 - 2001,5.53,<1%,1.0,,2.0
+129,Bl,Book leverage,Book leverage,at_be,,,Fama and French (1992),1.0,Profitability,1963 - 1990,-4.45,,-1.0,0.0,2.0
+130,Blq,Quarterly book leverage,Quarterly book leverage,,Q,,1972/1,3.0,Profitability,,,,-1.0,,
+131,Sgq,Quarterly sales growth,Sales growth (1 quarter),saleq_gr1,,,,3.0,Profitability,1967 - 2016,,,-1.0,0.0,
+132,Oca,Organizational capital-to-book assets,Organizational capital-to-book assets,,O,,Eisfeldt and Papanikolaou (2013),1.0,INTANGIBLES,1970 - 2008,2.85,,1.0,,0.0
+133,Ioca,Industry-adjusted organizational capital-to-book assets,Industry-adjusted organizational capital-to-book assets,,I,,Eisfeldt and Papanikolaou (2013),1.0,INTANGIBLES,,,,,,
+134,Adm,Advertising expense-to-market,Advertising expense-to-market,,G,,Chan Lakonishok and Sougiannis (2001) 1973/7,1.0,INTANGIBLES,1975 - 1995,,,1.0,,0.0
+135,gAd,Growth in advertising expense,Growth in advertising expense,,G,,Lou (2014) 1974/7,1.0,INTANGIBLES,1974 - 2010,,>95%,-1.0,,2.0
+136,Rdm,R&D expense-to-market,R&D-to-market,rd_me,,,Chan Lakonishok and Sougiannis (2001),1.0,INTANGIBLES,1975 - 1995,,,1.0,1.0,0.0
+137,Rdmq,Quarterly R&D expense-to-market,Quarterly R&D expense-to-market,,Q,,1990/1,3.0,INTANGIBLES,,,,1.0,,
+138,Rds,R&D expense-to-sales,R&D-to-sales,rd_sale,,,Chan Lakonishok and Sougiannis (2001),1.0,INTANGIBLES,1975 - 1995,,,1.0,0.0,0.0
+139,Rdsq,Quarterly R&D expense-to-sales,Quarterly R&D expense-to-sales,,Q,,1990/1,3.0,INTANGIBLES,,,,1.0,,
+140,Ol,Operating leverage,Operating leverage,opex_at,,,Novy-Marx (2011),1.0,INTANGIBLES,1963 - 2008,2.52,,1.0,1.0,2.0
+141,Olq,Quarterly operating leverage,Quarterly operating leverage,,Q,,1973/1,3.0,INTANGIBLES,,,,1.0,,
+142,Hn,Hiring rate,Hiring rate,emp_gr1,,,Belo Lin and Bazdresch (2014),1.0,INTANGIBLES,1965 - 2010,-3.09,,-1.0,1.0,2.0
+143,Rca,R&D capital-to-book assets,R&D capital-to-book assets,rd5_at,,,Li (2011),1.0,INTANGIBLES,1952 - 2004,,,1.0,0.0,0.0
+144,Bca,Brand capital-to-book assets,Brand capital-to-book assets,,G,,Belo Lin and Vitorino (2014) 1973/7,1.0,INTANGIBLES,,,,,,0.0
+145,Aop,Analysts optimism,Analysts optimism,,A,,Frankel and Lee (1998) 1976/7,1.0,INTANGIBLES,1977 - 1991,,<1%,-1.0,,0.0
+146,Pafe,Predicted analysts forecast error,Predicted analysts forecast error,,A,,Frankel and Lee (1998) 1985/7,1.0,INTANGIBLES,1976 - 1992,,<5%,-1.0,,2.0
+147,Parc,Patent-to-R&D capital,Patent-to-R&D capital,,G,,Hirshleifer Hsu and Li (2013) 1982/7–2008/6,1.0,INTANGIBLES,1982 - 2008,1.81,,1.0,,2.0
+148,Crd,Citations-to-R&D expense,Citations-to-R&D expense,,G,,Hirshleifer Hsu and Li (2013) 1983/7–2008/6,1.0,INTANGIBLES,1982 - 2008,2.92,,1.0,,2.0
+149,Hs,Industry concentration in sales,Industry concentration in sales,,I,,Hou and Robinson (2006),1.0,INTANGIBLES,1963 - 2001,-2.85,,-1.0,,1.0
+150,Ha,Industry concentration in total assets,Industry concentration in total assets,,I,,Hou and Robinson (2006),1.0,INTANGIBLES,1963 - 2001,-2.12,,-1.0,,0.0
+151,He,Industry concentration in book equity,Industry concentration in book equity,,I,,Hou and Robinson (2006),1.0,INTANGIBLES,1963 - 2001,-2.28,,-1.0,,0.0
+152,Age,Firm age,Firm age,age,,,Jiang Lee and Zhang (2005),3.0,INTANGIBLES,1965 - 2001,-3.46,,-1.0,1.0,0.0
+153,D1,Price delay based on R2,Price delay based on R2,,3,,Hou and Moskowitz (2005),1.0,INTANGIBLES,1966 - 2001,4.37,,1.0,,2.0
+154,D2,Price delay based on slopes,Price delay based on slopes,,3,,Hou and Moskowitz (2005),1.0,INTANGIBLES,1964 - 2001,7.7,,1.0,,0.0
+155,D3,Price delay based on adjusted slopes,Price delay based on adjusted slopes,,3,,Hou and Moskowitz (2005),1.0,INTANGIBLES,1964 - 2001,7.39,,1.0,,0.0
+156,dSi,Percentage change in sales minus percentage change in inventory,Change sales minus change Inventory,dsale_dinv,,,Abarbanell and Bushee (1998),1.0,INTANGIBLES,1974 - 1988,2.063,<5%,1.0,1.0,2.0
+157,dSa,Percentage change in sales minus percentage change in accounts receivable,Change sales minus change receivables,dsale_drec,,,Abarbanell and Bushee (1998),1.0,INTANGIBLES,1974 - 1988,-0.015,,-1.0,0.0,2.0
+158,dGs,Percentage change in gross margin minus percentage change in sales,Change gross margin minus change sales,dgp_dsale,,,Abarbanell and Bushee (1998),1.0,INTANGIBLES,1974 - 1988,1.304,,1.0,0.0,2.0
+159,dSs,Percentage change in sales minus percentage change in SG&A,Change sales minus change SG&A,dsale_dsga,,,Abarbanell and Bushee (1998),1.0,INTANGIBLES,1974 - 1988,1.363,,1.0,0.0,2.0
+160,Etr,Effective tax rate,Effective tax rate,,G,,Abarbanell and Bushee (1998),1.0,INTANGIBLES,1974 - 1988,0.116,,1.0,,2.0
+161,Lfe,Labor force efficiency,Labor force efficiency,sale_emp_gr1,,,Abarbanell and Bushee (1998),1.0,INTANGIBLES,1974 - 1988,1.113,,1.0,0.0,2.0
+162,Ana,Analysts coverage,Analysts coverage,,A,,Elgers Lo and Pfeiffer (2001) 1976/2,3.0,INTANGIBLES,1982 - 1998,,,1.0,,0.0
+163,Tan,Tangibility of assets,Asset tangibility,tangibility,,,Hahn and Lee (2009),1.0,INTANGIBLES,1973-2001,5.04,,1.0,0.0,2.0
+164,Tanq,Quarterly tangibility of assets,Quarterly tangibility of assets,,Q,,1972/1,3.0,INTANGIBLES,,,,1.0,,
+165,Rer,Real estate ratio,Real estate ratio,,I,,Tuzel (2010) 1970/7,1.0,INTANGIBLES,1971 - 2005,1.8,,1.0,,0.0
+166,Kz,The Kaplan-Zingales (1997) index of financing constraints,Kaplan-Zingales index,kz_index,,,Lamont Polk and Saa-Requejo (2001),1.0,INTANGIBLES,1968-1995,3.06,,1.0,1.0,0.0
+167,Kzq,Quarterly Kaplan-Zingales index,Quarterly Kaplan-Zingales index,,Q,,1977/1,3.0,INTANGIBLES,,,,1.0,,
+168,Ww,The Whited-Wu index of financing constraints,The Whited-Wu index of financing constraints,,I,,Whited and Wu (2006),1.0,INTANGIBLES,1975 - 2001,3.17,,1.0,,2.0
+169,Wwq,Quarterly Whited-Wu index of financing constraints,Quarterly Whited-Wu index of financing constraints,,Q,,1972/1,3.0,INTANGIBLES,,,,1.0,,
+170,Sdd,Secured debt-to-total debt,Secured debt-to-total debt,,G,,Valta (2016) 1982/7,1.0,INTANGIBLES,1985 - 2012,,<5%,1.0,,2.0
+171,Cdd,Convertible debt-to-total debt,Convertible debt-to-total debt,,G,,Valta (2016) 1970/7,1.0,INTANGIBLES,1985 - 2012,,<1%,1.0,,2.0
+172,Vcf,Cash flow volatility,Cash flow volatility,ocfq_saleq_std,,,Huang (2009),3.0,INTANGIBLES,1980 - 2004,-1.98,<5%,-1.0,1.0,1.0
+173,Cta,Cash-to-assets,Cash-to-assets,cash_at,,,Palazzo (2012),3.0,INTANGIBLES,1972 - 2009,"min: 1.66, max: 2.87",,1.0,0.0,0.0
+174,Gind,Corporate governance,Corporate governance,,G,,Gompers Ishii and Metrick (2003) 1990/9–2006/12,1.0,INTANGIBLES,1990 - 1999,0.04,,1.0,,2.0
+175,Acq,Accrual quality,Accrual quality,,I,,Francis et al. (2005),1.0,INTANGIBLES,1975 - 2001,47.85,,1.0,,2.0
+176,Acqm,Accrual quality,Accrual quality,,Q,,,3.0,INTANGIBLES,,,,1.0,,
+177,Ob,Order backlog,Order backlog,,G,,Rajgopal Shevlin and Venkatachalam (2003) 1971/7,1.0,INTANGIBLES,1981 - 1999,-2.12,<5%,-1.0,,1.0
+178,Eper,Earnings persistence,Earnings persistence,ni_ar1,,,Francis et al. (2004),1.0,INTANGIBLES,1975 - 2001,,,1.0,0.0,2.0
+179,Eprd,Earnings predictability,Earnings volatility,ni_ivol,,,Francis et al. (2004),1.0,INTANGIBLES,1975 - 2001,,,1.0,0.0,2.0
+180,Esm,Earnings smoothness,Earnings variability,earnings_variability,,1.0,Francis et al. (2004),1.0,INTANGIBLES,1975 - 2001,,,-1.0,0.0,2.0
+181,Evr,Value relevance of earnings,Value relevance of earnings,,3,,Francis et al. (2004),1.0,INTANGIBLES,1975 - 2001,,,1.0,,2.0
+182,Etl,Earnings timeliness,Earnings timeliness,,3,,Francis et al. (2004),1.0,INTANGIBLES,1975 - 2001,,,1.0,,2.0
+183,Ecs,Earnings conservatism,Earnings conservatism,,3,,Francis et al. (2004),1.0,INTANGIBLES,1975 - 2001,,,1.0,,2.0
+184,Frm,Pension funding rate scaled by market equity,Pension funding rate scaled by market equity,,G,,Franzoni and Marin (2006) 1981/7,1.0,INTANGIBLES,1981 - 2003,2.1,,1.0,,1.0
+185,Fra,Pension funding rate scaled by book assets,Pension funding rate scaled by book assets,,G,,Franzoni and Marin (2006) 1981/7,1.0,INTANGIBLES,,,,,,
+186,Ala,Liquidity of book assets,Liquidity of book assets,aliq_at,,,Ortiz-Molina and Phillips (2014),1.0,INTANGIBLES,1984 - 2006,,,-1.0,0.0,
+187,Alaq,Quarterly liquidity of book assets,Quarterly liquidity of book assets,,Q,,1976/1,3.0,INTANGIBLES,,,,-1.0,,
+188,Alm,Liquidity of market assets,Liquidity of market assets,aliq_mat,,,Ortiz-Molina and Phillips (2014),1.0,INTANGIBLES,1984 - 2006,,,-1.0,0.0,
+189,Almq,Quarterly liquidity of market assets,Quarterly liquidity of market assets,,Q,,1976/1,3.0,INTANGIBLES,,,,-1.0,,
+190,Dls,Disparity between long- and short-term earnings growth forecasts,Disparity between long- and short-term earnings growth forecasts,,A,,Da and Warachka (2011) 1982/1,3.0,INTANGIBLES,1983 - 2006,-2.72,,1.0,,2.0
+191,Dis,Dispersion of analysts’ earnings forecasts,Dispersion of analysts’ earnings forecasts,,A,,Diether Malloy and Scherbina (2002) 1976/2,3.0,INTANGIBLES,1980 - 2000,-2.31,,-1.0,,1.0
+192,dlg,Dispersion in analysts’ long-term growth forecasts,Dispersion in analysts’ long-term growth forecasts,,A,,Anderson Ghysels and Juergens (2005) 1982/1,3.0,INTANGIBLES,1991 - 1997,2.79,,1.0,,2.0
+193,R1a,"Year 1-lagged return, annual","Year 1-lagged return, annual",seas_1_1an,,,Heston and Sadka (2008),1.0,INTANGIBLES,1965 - 2002,7.6,,1.0,1.0,0.0
+194,R1n,"Year 1-lagged return, nonannual","Year 1-lagged return, nonannual",seas_1_1na,,,Heston and Sadka (2008),1.0,INTANGIBLES,1965 - 2002,4.2,,1.0,1.0,0.0
+195,"R[2, 5] a","Years 2–5 lagged returns, annual","Years 2-5 lagged returns, annual",seas_2_5an,,,Heston and Sadka (2008),1.0,INTANGIBLES,1965 - 2002,5.35,,1.0,1.0,0.0
+196,"R[2, 5] n","Years 2–5 lagged returns, nonannual","Years 2-5 lagged returns, nonannual",seas_2_5na,,,Heston and Sadka (2008),1.0,INTANGIBLES,1965 - 2002,-5.6,,-1.0,1.0,0.0
+197,"R[6, 10] a","Years 6–10 lagged returns, annual","Years 6-10 lagged returns, annual",seas_6_10an,,,Heston and Sadka (2008),1.0,INTANGIBLES,1965 - 2002,6.15,,1.0,1.0,0.0
+198,"R[6, 10] n","Years 6–10 lagged returns, nonannual","Years 6-10 lagged returns, nonannual",seas_6_10na,,,Heston and Sadka (2008),1.0,INTANGIBLES,1965 - 2002,-4.62,,-1.0,1.0,0.0
+199,"R[11, 15] a","Years 11–15 lagged returns, annual","Years 11-15 lagged returns, annual",seas_11_15an,,,Heston and Sadka (2008),1.0,INTANGIBLES,1965 - 2002,6.43,,1.0,1.0,0.0
+200,"R[11, 15] n","Years 11–15 lagged returns, nonannual","Years 11-15 lagged returns, nonannual",seas_11_15na,,,Heston and Sadka (2008),1.0,INTANGIBLES,1965 - 2002,-1.77,,-1.0,0.0,0.0
+201,"R[16, 20] a","Years 16–20 lagged returns, annual","Years 16-20 lagged returns, annual",seas_16_20an,,,Heston and Sadka (2008),1.0,INTANGIBLES,1965 - 2002,4.58,,1.0,1.0,0.0
+202,"R[16, 20] n","Years 16–20 lagged returns, nonannual","Years 16-20 lagged returns, nonannual",seas_16_20na,,,Heston and Sadka (2008),1.0,INTANGIBLES,1965 - 2002,-3.35,,-1.0,1.0,0.0
+203,Me,Size (the market equity),Market Equity,market_equity,,,Banz (1981),1.0,TRADING FRICTIONS,1926 - 1975,-2.42,,-1.0,1.0,0.0
+204,Ivff,Idiosyncratic volatility from the Fama-French 3-factor model,Idiosyncratic volatility from the Fama-French 3-factor model,ivol_ff3_21d,,,Ang et al. (2006),3.0,TRADING FRICTIONS,1963 - 2000,-2.86,,-1.0,1.0,0.0
+205,Iv,Idiosyncratic volatility,Idiosyncratic volatility from the CAPM (252 days),ivol_capm_252d,,,Ali Hwang and Trombley (2003),1.0,TRADING FRICTIONS,1976 - 1997,-2.69,,-1.0,1.0,1.0
+206,Ivc,Idiosyncratic volatility from the CAPM,Idiosyncratic volatility from the CAPM (21 days),ivol_capm_21d,,,,3.0,TRADING FRICTIONS,1967 - 2016,,,-1.0,0.0,
+207,Ivq,Idiosyncratic volatility from the q-factor model,Idiosyncratic volatility from the q-factor model,ivol_hxz4_21d,,,,3.0,TRADING FRICTIONS,1967 - 2016,,,-1.0,0.0,
+208,Tv,Total volatility,Return volatility,rvol_21d,,,Ang et al. (2006),3.0,TRADING FRICTIONS,1963 - 2000,-2.86,,-1.0,1.0,0.0
+209,Sv,Systematic volatility,Systematic volatility,,O,,Ang et al. (2006) 1986/2,3.0,TRADING FRICTIONS,,,,-1.0,,0.0
+210,β,The market beta,Market Beta,beta_60m,,,Fama and MacBeth (1973),3.0,TRADING FRICTIONS,1935 - 1968,1.85,,-1.0,1.0,0.0
+211,βFP,The Frazzini-Pedersen beta,Frazzini-Pedersen market beta,betabab_1260d,,,Frazzini and Pedersen (2014),3.0,TRADING FRICTIONS,1926 - 2012,7.12,,-1.0,1.0,0.0
+212,βD,The Dimson beta,Dimson beta,beta_dimson_21d,,,Dimson (1979),3.0,TRADING FRICTIONS,1955 - 1974,,,-1.0,0.0,0.0
+213,Tur,Share turnover,Share turnover,turnover_126d,,,Datar Naik and Radcliffe (1998),3.0,TRADING FRICTIONS,1963 - 1991,-8.58,,-1.0,1.0,1.0
+214,Cvt,Coefficient of variation for share turnover,Coefficient of variation for share turnover,turnover_var_126d,,,Chordia Subrahmanyam and Anshuman (2001),3.0,TRADING FRICTIONS,1966 - 1995,-6.03,,-1.0,1.0,2.0
+215,Dtv,Dollar trading volume,Dollar trading volume,dolvol_126d,,,Brennan Chordia and Subrahmanyam (1998),3.0,TRADING FRICTIONS,1966 - 1995,2.86,,-1.0,1.0,2.0
+216,Cvd,Coefficient of variation for dollar trading volume,Coefficient of variation for dollar trading volume,dolvol_var_126d,,,Chordia Subrahmanyam and Anshuman (2001),3.0,TRADING FRICTIONS,1966 - 1995,-5.1,,-1.0,1.0,2.0
+217,Pps,Price per share,Price per share,prc,,,Miller and Scholes (1982),3.0,TRADING FRICTIONS,1940 - 1978,3,,-1.0,1.0,0.0
+218,Ami,Absolute return-to-volume,Amihud Measure,ami_126d,,,Amihud (2002),3.0,TRADING FRICTIONS,1964 - 1997,5.39,,1.0,1.0,1.0
+219,Lm1,Prior 1-month turnover-adjusted number of zero daily trading volume,Number of zero trades with turnover as tiebreaker (1 month),zero_trades_21d,,,Liu (2006),3.0,TRADING FRICTIONS,1963 - 2003,0.93,,1.0,0.0,0.0
+220,Lm6,Prior 6-month turnover-adjusted number of zero daily trading volume,Number of zero trades with turnover as tiebreaker (6 months),zero_trades_126d,,,Liu (2006),3.0,TRADING FRICTIONS,1963 - 2003,4.06,,1.0,1.0,0.0
+221,Lm12,Prior 12-month turnover-adjusted number of zero daily trading volume,Number of zero trades with turnover as tiebreaker (12 months),zero_trades_252d,,,Liu (2006),3.0,TRADING FRICTIONS,1963 - 2003,4.4,,1.0,1.0,0.0
+222,Mdr,Maximum daily return,Maximum daily return,rmax1_21d,,,Bali Cakici and Whitelaw (2011),3.0,TRADING FRICTIONS,1962 -2005,-6.16,,-1.0,1.0,1.0
+223,Ts,Total skewness,Total skewness,rskew_21d,,,Bali Engle and Murray (2016),3.0,TRADING FRICTIONS,1925-2012,-4.01,,-1.0,1.0,0.0
+224,Isc,Idiosyncratic skewness from the CAPM,Idiosyncratic skewness from the CAPM,iskew_capm_21d,,,,3.0,TRADING FRICTIONS,1967 - 2016,,,-1.0,0.0,
+225,Isff1,Idiosyncratic skewness from the Fama-French 3-factor model,Idiosyncratic skewness from the Fama-French 3-factor model,iskew_ff3_21d,,,Bali Engle and Murray (2016),3.0,TRADING FRICTIONS,1925-2012,-2.44,,-1.0,1.0,0.0
+226,lsq,Idiosyncratic skewness from the q-factor model,Idiosyncratic skewness from the q-factor model,iskew_hxz4_21d,,,,3.0,TRADING FRICTIONS,1967 - 2016,,,-1.0,0.0,
+227,Cs,Coskewness,Coskewness,coskew_21d,,,Harvey and Siddique (2000),3.0,TRADING FRICTIONS,1963 - 1993,,<5%,-1.0,1.0,1.0
+228,Tail,Tail risk,Tail risk,,3,,Kelly and Jiang (2014),3.0,TRADING FRICTIONS,1963 - 2010,2.12,,1.0,,0.0
+229,βret,The Acharya-Pedersen liquidity beta (return-return),The Acharya-Pedersen liquidity beta (return-return),,3,,Acharya and Pedersen (2005),3.0,TRADING FRICTIONS,1964 - 1999,0.468,,1.0,,2.0
+230,βlcc,The Acharya-Pedersen liquidity beta (illiquidity-illiquidity),The Acharya-Pedersen liquidity beta (illiquidity-illiquidity),,3,,Acharya and Pedersen (2005),3.0,TRADING FRICTIONS,1964 - 1999,-0.28,,-1.0,,2.0
+231,βlrc,The Acharya-Pedersen liquidity beta (return-illiquidity),The Acharya-Pedersen liquidity beta (return-illiquidity),,3,,Acharya and Pedersen (2005),3.0,TRADING FRICTIONS,1964 - 1999,0.086,,1.0,,2.0
+232,βlcr,The Acharya-Pedersen liquidity beta (illiquidity-return),The Acharya-Pedersen liquidity beta (illiquidity-return),,3,,Acharya and Pedersen (2005),3.0,TRADING FRICTIONS,1964 - 1999,-1.13,,-1.0,,2.0
+233,βnet,The Acharya-Pedersen net liquidity beta,The Acharya-Pedersen net liquidity beta,,3,,Acharya and Pedersen (2005),3.0,TRADING FRICTIONS,1964 - 1999,2.532,,1.0,,2.0
+234,Srev,Short-term reversal,Short-term reversal,ret_1_0,,,Jegadeesh (1990),1.0,TRADING FRICTIONS,1929 - 1982,-18.58,,-1.0,1.0,2.0
+235,β−,Downside beta,Downside beta,betadown_252d,,,Ang Chen and Xing (2006),3.0,TRADING FRICTIONS,1963 - 2001,5.25,,-1.0,1.0,2.0
+236,Shl,The high-low bid-ask spread,The high-low bid-ask spread,bidaskhl_21d,,,Corwin and Schultz (2012),3.0,TRADING FRICTIONS,1927 - 2006,12.78,,1.0,1.0,0.0
+237,Sba,The bid-ask spread,The bid-ask spread,,G,,Hou and Loh (2016) 1984/2–2015/1 missing 1986/2–1987/1,3.0,TRADING FRICTIONS,1963 - 2012,1.26,,1.0,,2.0
+238,βlev,The financial intermediary leverage beta,The financial intermediary leverage beta,,G,,Adrian Etula and Muir (2014) 1973/1,3.0,TRADING FRICTIONS,1973 - 2009,,,1.0,,0.0
+239,βPS,The Pastor-Stambaugh liquidity beta,The Pastor-Stambaugh liquidity beta,,3,,,3.0,TRADING FRICTIONS,,2.37,,1.0,,
+240,Pin,Probability of information-based trading,Probability of information-based trading,,G,,Easley Hvidkjaer and O’Hara (2002) 1984/1–2002/12,1.0,TRADING FRICTIONS,1984 - 1998,2.496,,1.0,,1.0
+241,,Past 3 month return,Price momentum t-3 to t-1,ret_3_1,,,Jegedeesh and Titman (1993),,NEW,1965 - 1989,,,1.0,1.0,
+242,,Past 9 month return,Price momentum t-9 to t-1,ret_9_1,,,Jegedeesh and Titman (1993),,NEW,1965 - 1989,,,1.0,1.0,
+243,,Past 12 to 7 month momentum,Price momentum t-12 to t-7,ret_12_7,,,Novy-Marx (2012),,NEW,1925 - 2010,,,1.0,1.0,
+244,,Market Correlation,Market correlation,corr_1260d,,,"Assness, Frazzini, Gormsen, Pedersen (2020)",,NEW,1925 - 2015,,,-1.0,1.0,
+245,,Highest 5 days of return,Highest 5 days of return,rmax5_21d,,,"Bali, Brown, Murray and Tang (2017)",,NEW,1993 - 2012,,,-1.0,1.0,
+246,,Highest 5 days of return scaled by volatility,Highest 5 days of return scaled by volatility,rmax5_rvol_21d,,,"Assness, Frazzini, Gormsen, Pedersen (2020)",,NEW,1925-2015,,,-1.0,1.0,
+247,,Annual Return on equity,Return on equity,ni_be,,,Haugen and Baker (1996),,NEW,1979 - 1993,,,1.0,1.0,
+248,,Operating cash flow to assets,Operating cash flow to assets,ocf_at,,,"Bouchard, Krüger, Landier and Thesmar (2019)",,NEW,1990 - 2015,,,1.0,1.0,
+249,,1 year change in operating cash flow to assets,Change in operating cash flow to assets,ocf_at_chg1,,,"Bouchard, Krüger, Landier and Thesmar (2019)",,NEW,1990 - 2015,,,1.0,1.0,
+250,,Mispricing factor: Performance,Mispricing factor: Performance,mispricing_perf,,,Stambaugh and Yuan (2016),,NEW,1967 - 2013,,,1.0,1.0,
+251,,Mispricing factor: Management,Mispricing factor: Management,mispricing_mgmt,,,Stambaugh and Yuan (2016),,NEW,1967 - 2013,,,1.0,1.0,
+252,,Quality minus Junk: Composite,Quality minus Junk: Composite,qmj,,,"Assness, Frazzini and Pedersen (2018)",,NEW,1957 - 2016,,,1.0,1.0,
+253,,Quality minus Junk: Profitability,Quality minus Junk: Profitability,qmj_prof,,,"Assness, Frazzini and Pedersen (2018)",,NEW,1957 - 2016,,,1.0,1.0,
+254,,Quality minus Junk: Growth,Quality minus Junk: Growth,qmj_growth,,,"Assness, Frazzini and Pedersen (2018)",,NEW,1957 - 2016,,,1.0,1.0,
+255,,Quality minus Junk: Safety,Quality minus Junk: Safety,qmj_safety,,,"Assness, Frazzini and Pedersen (2018)",,NEW,1957 - 2016,,,1.0,1.0,

data/processed/jkp/2025-12/factor_returns_daily_vw_cap.csv

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+size 157979772

data/processed/jkp/2025-12/factor_returns_monthly_vw_cap.csv

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+size 38149652

data/processed/jkp/2025-12/formula_extraction_report.json

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+    "unresolved_formula_symbols": 1
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+  "quality_issue_records": [
+    {
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+      "formula_source_line": 2449,
+      "issues": [
+        {
+          "issue_type": "source_symbol_inconsistency",
+          "severity": "review_required",
+          "message": "The official detailed construction uses inconsistent helper spellings (including ed_cw_w/ed_ed_w and _cd/__cd); source TeX is preserved without invention."
+        },
+        {
+          "issue_type": "unresolved_formula_symbols",
+          "severity": "review_required",
+          "message": "One or more formula symbols could not be linked to documented inputs.",
+          "symbols": [
+            "ed_ed_w_t",
+            "ed_cd_w_"
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+    },
+    {
+      "factor_id": "iskew_hxz4_21d",
+      "formula_source_line": 2618,
+      "issues": [
+        {
+          "issue_type": "source_residual_symbol_inconsistency",
+          "severity": "review_required",
+          "message": "The HXZ4 regression defines residual mu_t, while the documented HXZ4 skewness characteristic references sigma_t; source TeX is preserved as written."
+        }
+      ]
+    },
+    {
+      "factor_id": "kz_index",
+      "formula_source_line": 2540,
+      "issues": [
+        {
+          "issue_type": "source_symbol_without_variable_definition",
+          "severity": "review_required",
+          "message": "ME_FISCAL is used in the official detailed formula but is not separately defined in the parsed accounting/market variable tables."
+        }
+      ]
+    },
+    {
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+      "formula_source_line": 2499,
+      "issues": [
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+          "severity": "review_required",
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+          "comparison_source_url": "https://github.com/bkelly-lab/ReplicationCrisis/blob/master/GlobalFactors/char_macros.sas",
+          "upstream_review_url": "https://github.com/bkelly-lab/jkp-data/pull/267"
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+    }
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+    "factor_cards_enriched_csv": "data/processed/jkp/2025-12/factor_cards_enriched.csv",
+    "report": "data/processed/jkp/2025-12/formula_extraction_report.json",
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+}

data/processed/task_b_usa_frozen_raw_rolling_294/README.md

@@ -0,0 +1,68 @@
+# Task B raw-factor frozen rolling benchmark
+
+This directory is the Task B raw-factor, no-monthly-LLM-call experiment for
+the `numeric_only` track.  Build a second directory with
+`--track semantic` to obtain the matched semantic view.
+
+This is the stable local data path. The frozen manifest keeps its original `.tmp/...`
+build paths so that its canonical SHA-256 remains identical to the server experiment;
+the repository-level `.tmp/task_b_usa_frozen_raw_rolling_294` symlink resolves those
+legacy paths. Payload and truth bytes were not changed during relocation.
+
+## Design
+
+- Source: `.tmp/usa_factor_returns_monthly_vw_cap.csv` (`factor_id` monthly returns,
+  not the 13-theme table), region `USA`.
+- Windows: 2Y/3Y/5Y = 24/36/60 months.
+- Each case contains one frozen-code payload and a 12-step one-month rolling
+  evaluator stream. The same source code is executed locally at every origin;
+  `llm_calls_during_rolling` is zero.
+- Each time block has 8 distinct 38-factor subsets, 5 distinct 76-factor
+  subsets and one 153-factor census. The subset is identical across 2Y/3Y/5Y
+  inside that block.
+- History + the 12 hidden target months are followed by at least 12 untouched
+  months before the next block. The longest 5Y interval therefore requires
+  84-month anchor spacing. The scheduler found 7
+  blocks: 1976-12, 1983-12, 1990-12, 1997-12, 2004-12, 2011-12, 2024-12.
+- Exact 2Y histories have only 12 labelled transitions after the 12-month
+  feature warm-up, so their inner split is 6 train cutoffs + 6 validation
+  cutoffs. 3Y/5Y use 12 + 12.
+
+## Files
+
+- `manifest.jsonl`: unsplit index followed by 294 case records.
+- `selection_plan.jsonl`: private, reproducible factor-subset plan (98 rows for
+  the full design).
+- `cases/<block>/<case_id>/payload.json`: public input for one LLM code
+  generation call.
+- On the `semantic` track, `payload.json.factor_cards` is keyed by the masked
+  `Sxx` ids and contains only neutral name, definition and formula fields.
+  Explicit direction, theme/group, significance and citation/provenance fields
+  are intentionally absent.  Card names/formulas may still describe an
+  economic category or construction framework; they are not sign/strength
+  priors.  The `numeric_only` payload has no cards.
+- `cases/<block>/<case_id>/rolling_truth.jsonl`: evaluator-only histories and
+  hidden one-month targets; never send it to the model server.
+- `splits/dev/manifest.jsonl` and `splits/test/manifest.jsonl`: chronological
+  block manifests. Case directories are reused by reference; large payloads
+  are not copied. Dev has 84 cases and test has
+  210 cases.
+
+The canonical manifest SHA-256 is `e448ab3f10df930912029575265af6d4730e73400f543e7fb1c17ec518aa16f2`.
+
+## One case: generate once, roll for twelve months
+
+```bash
+python3 task_b/code/scripts/run_task_b_frozen_agentic.py \
+  --payload data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/<case_id>/payload.json \
+  --output data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/<case_id>/revision_audit.json \
+  --max-revisions 0
+
+python3 task_b/code/scripts/run_task_b_frozen_rolling.py \
+  --frozen-response data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/<case_id>/revision_audit.json \
+  --rolling-truth data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/<case_id>/rolling_truth.jsonl \
+  --output-dir data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/<case_id>/rolling_result
+```
+
+Use the split manifests to schedule only dev or test cases. The hidden truth is
+required only on the trusted evaluator host.

data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_0100922498302aa8/manifest.json

@@ -0,0 +1,264 @@
+{
+  "record_type": "case",
+  "manifest_schema_version": "task_b_frozen_raw_rolling_manifest.v1",
+  "generator_version": "build_task_b_frozen_raw_rolling.v1_294",
+  "track": "numeric_only",
+  "case_number": 12,
+  "case_id": "case_0100922498302aa8",
+  "sequence_id": "case_0100922498302aa8",
+  "dataset_id": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_0100922498302aa8",
+  "path": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_0100922498302aa8",
+  "block_id": "block_01",
+  "block_index": 1,
+  "region": "USA",
+  "window": "2Y",
+  "lookback_months": 24,
+  "forecast_horizon_months": 1,
+  "sequence_steps": 12,
+  "anchor_month": "1976-12",
+  "start_anchor_month": "1976-12",
+  "end_anchor_month": "1977-11",
+  "history_start_month": "1975-01",
+  "history_end_month": "1976-12",
+  "target_start_month": "1977-01",
+  "target_end_month": "1977-12",
+  "anchor_date_is_public": false,
+  "factor_source_type": "raw_factor",
+  "sample_size": 76,
+  "requested_sample_size": 76,
+  "subset_id": "block_01_197612_76_s04",
+  "subset_index": 4,
+  "selected_factor_ids": [
+    "netdebt_me",
+    "be_gr1a",
+    "seas_16_20an",
+    "sale_gr1",
+    "ret_3_1",
+    "cop_atl1",
+    "ret_12_7",
+    "ncol_gr1a",
+    "beta_60m",
+    "capx_gr3",
+    "seas_2_5an",
+    "seas_6_10na",
+    "aliq_mat",
+    "turnover_var_126d",
+    "zero_trades_126d",
+    "ni_inc8q",
+    "ebit_sale",
+    "sale_bev",
+    "eqnpo_me",
+    "div12m_me",
+    "zero_trades_252d",
+    "emp_gr1",
+    "mispricing_mgmt",
+    "gp_at",
+    "eqnetis_at",
+    "ni_be",
+    "inv_gr1a",
+    "betadown_252d",
+    "prc_highprc_252d",
+    "dolvol_126d",
+    "ni_ar1",
+    "op_atl1",
+    "mispricing_perf",
+    "sale_me",
+    "ivol_capm_21d",
+    "tax_gr1a",
+    "nncoa_gr1a",
+    "taccruals_ni",
+    "seas_2_5na",
+    "lnoa_gr1a",
+    "ebit_bev",
+    "saleq_su",
+    "iskew_hxz4_21d",
+    "ival_me",
+    "fcf_me",
+    "ret_12_1",
+    "chcsho_12m",
+    "noa_gr1a",
+    "oaccruals_at",
+    "op_at",
+    "ivol_capm_252d",
+    "dgp_dsale",
+    "dsale_dsga",
+    "bev_mev",
+    "aliq_at",
+    "netis_at",
+    "qmj_prof",
+    "debt_me",
+    "rvol_21d",
+    "sti_gr1a",
+    "col_gr1a",
+    "rd5_at",
+    "capx_gr1",
+    "ncoa_gr1a",
+    "niq_at_chg1",
+    "rd_sale",
+    "market_equity",
+    "zero_trades_21d",
+    "o_score",
+    "ivol_hxz4_21d",
+    "niq_at",
+    "seas_1_1an",
+    "ni_ivol",
+    "seas_6_10an",
+    "f_score",
+    "rmax5_21d"
+  ],
+  "selected_factor_ids_sorted": [
+    "aliq_at",
+    "aliq_mat",
+    "be_gr1a",
+    "beta_60m",
+    "betadown_252d",
+    "bev_mev",
+    "capx_gr1",
+    "capx_gr3",
+    "chcsho_12m",
+    "col_gr1a",
+    "cop_atl1",
+    "debt_me",
+    "dgp_dsale",
+    "div12m_me",
+    "dolvol_126d",
+    "dsale_dsga",
+    "ebit_bev",
+    "ebit_sale",
+    "emp_gr1",
+    "eqnetis_at",
+    "eqnpo_me",
+    "f_score",
+    "fcf_me",
+    "gp_at",
+    "inv_gr1a",
+    "iskew_hxz4_21d",
+    "ival_me",
+    "ivol_capm_21d",
+    "ivol_capm_252d",
+    "ivol_hxz4_21d",
+    "lnoa_gr1a",
+    "market_equity",
+    "mispricing_mgmt",
+    "mispricing_perf",
+    "ncoa_gr1a",
+    "ncol_gr1a",
+    "netdebt_me",
+    "netis_at",
+    "ni_ar1",
+    "ni_be",
+    "ni_inc8q",
+    "ni_ivol",
+    "niq_at",
+    "niq_at_chg1",
+    "nncoa_gr1a",
+    "noa_gr1a",
+    "o_score",
+    "oaccruals_at",
+    "op_at",
+    "op_atl1",
+    "prc_highprc_252d",
+    "qmj_prof",
+    "rd5_at",
+    "rd_sale",
+    "ret_12_1",
+    "ret_12_7",
+    "ret_3_1",
+    "rmax5_21d",
+    "rvol_21d",
+    "sale_bev",
+    "sale_gr1",
+    "sale_me",
+    "saleq_su",
+    "seas_16_20an",
+    "seas_1_1an",
+    "seas_2_5an",
+    "seas_2_5na",
+    "seas_6_10an",
+    "seas_6_10na",
+    "sti_gr1a",
+    "taccruals_ni",
+    "tax_gr1a",
+    "turnover_var_126d",
+    "zero_trades_126d",
+    "zero_trades_21d",
+    "zero_trades_252d"
+  ],
+  "selected_theme_counts": {
+    "INTANGIBLES": 15,
+    "INVESTMENT": 16,
+    "Momentum": 5,
+    "NEW": 7,
+    "Profitability": 11,
+    "TRADING FRICTIONS": 13,
+    "VALUE": 9
+  },
+  "selection_plan_sha256": "92a0207d9a34ff85c9db4455969b49554b80d3462e7f51e08c8e220f7d4a2fd9",
+  "sampling": {
+    "method": "proportional_theme_stratified_random",
+    "within_subset": "without_replacement",
+    "across_subsets": "with_replacement",
+    "scope": "time_block_reused_across_history_windows",
+    "same_factor_subset_across_history_windows": true,
+    "seed": 13997600037475814993,
+    "sampling_attempt": 0
+  },
+  "rolling_protocol": {
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+    "one_step_horizon_months": 1,
+    "train_cutoffs_per_origin": 6,
+    "validation_cutoffs_per_origin": 6,
+    "feature_warmup_months": 12,
+    "refit_policy": "from_scratch_each_origin",
+    "llm_calls_during_rolling": 0
+  },
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+    "validation_cutoffs_requested": 6,
+    "train_cutoffs_used": 6,
+    "validation_cutoffs_used": 6,
+    "train_time_range": [
+      "t-12",
+      "t-7"
+    ],
+    "validation_time_range": [
+      "t-6",
+      "t-1"
+    ],
+    "train_label_time_range": [
+      "t-11",
+      "t-6"
+    ],
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+      "t-5",
+      "t-0"
+    ],
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+    "validation_rows": 456
+  },
+  "public_future_labels_included": false,
+  "source_history_factor_ids_are_truth_only": true,
+  "evaluator_only_files": [
+    "rolling_truth.jsonl"
+  ],
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+      "sha256": "1763c262696766a05c3d09db72e0ebcd7c76608959f7fb081e0a266afbbb9571"
+    },
+    "rolling_truth": {
+      "path": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_0100922498302aa8/rolling_truth.jsonl",
+      "bytes": 559435,
+      "sha256": "0d5ab5f6321290f627fcec6c6b4a451e920aedf407a507a1ed98cfc5d5fffff8",
+      "rows": 12
+    },
+    "selection": {
+      "path": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_0100922498302aa8/selection.json",
+      "bytes": 3150,
+      "sha256": "4f1c3554cc9865f615c77e3a4a5e96fbd5ddce1129c6ba0663f84b497fee0250"
+    }
+  },
+  "payload_hash": "5769c49d636b3b788303653a458ed7dd949619c8f067df3ccb0819dd9c922900",
+  "case_manifest_path": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_0100922498302aa8/manifest.json"
+}

data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_0100922498302aa8/selection.json

@@ -0,0 +1,175 @@
+{
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+  "anchor_month": "1976-12",
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+    "seas_16_20an",
+    "sale_gr1",
+    "ret_3_1",
+    "cop_atl1",
+    "ret_12_7",
+    "ncol_gr1a",
+    "beta_60m",
+    "capx_gr3",
+    "seas_2_5an",
+    "seas_6_10na",
+    "aliq_mat",
+    "turnover_var_126d",
+    "zero_trades_126d",
+    "ni_inc8q",
+    "ebit_sale",
+    "sale_bev",
+    "eqnpo_me",
+    "div12m_me",
+    "zero_trades_252d",
+    "emp_gr1",
+    "mispricing_mgmt",
+    "gp_at",
+    "eqnetis_at",
+    "ni_be",
+    "inv_gr1a",
+    "betadown_252d",
+    "prc_highprc_252d",
+    "dolvol_126d",
+    "ni_ar1",
+    "op_atl1",
+    "mispricing_perf",
+    "sale_me",
+    "ivol_capm_21d",
+    "tax_gr1a",
+    "nncoa_gr1a",
+    "taccruals_ni",
+    "seas_2_5na",
+    "lnoa_gr1a",
+    "ebit_bev",
+    "saleq_su",
+    "iskew_hxz4_21d",
+    "ival_me",
+    "fcf_me",
+    "ret_12_1",
+    "chcsho_12m",
+    "noa_gr1a",
+    "oaccruals_at",
+    "op_at",
+    "ivol_capm_252d",
+    "dgp_dsale",
+    "dsale_dsga",
+    "bev_mev",
+    "aliq_at",
+    "netis_at",
+    "qmj_prof",
+    "debt_me",
+    "rvol_21d",
+    "sti_gr1a",
+    "col_gr1a",
+    "rd5_at",
+    "capx_gr1",
+    "ncoa_gr1a",
+    "niq_at_chg1",
+    "rd_sale",
+    "market_equity",
+    "zero_trades_21d",
+    "o_score",
+    "ivol_hxz4_21d",
+    "niq_at",
+    "seas_1_1an",
+    "ni_ivol",
+    "seas_6_10an",
+    "f_score",
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+    "capx_gr1",
+    "capx_gr3",
+    "chcsho_12m",
+    "col_gr1a",
+    "cop_atl1",
+    "debt_me",
+    "dgp_dsale",
+    "div12m_me",
+    "dolvol_126d",
+    "dsale_dsga",
+    "ebit_bev",
+    "ebit_sale",
+    "emp_gr1",
+    "eqnetis_at",
+    "eqnpo_me",
+    "f_score",
+    "fcf_me",
+    "gp_at",
+    "inv_gr1a",
+    "iskew_hxz4_21d",
+    "ival_me",
+    "ivol_capm_21d",
+    "ivol_capm_252d",
+    "ivol_hxz4_21d",
+    "lnoa_gr1a",
+    "market_equity",
+    "mispricing_mgmt",
+    "mispricing_perf",
+    "ncoa_gr1a",
+    "ncol_gr1a",
+    "netdebt_me",
+    "netis_at",
+    "ni_ar1",
+    "ni_be",
+    "ni_inc8q",
+    "ni_ivol",
+    "niq_at",
+    "niq_at_chg1",
+    "nncoa_gr1a",
+    "noa_gr1a",
+    "o_score",
+    "oaccruals_at",
+    "op_at",
+    "op_atl1",
+    "prc_highprc_252d",
+    "qmj_prof",
+    "rd5_at",
+    "rd_sale",
+    "ret_12_1",
+    "ret_12_7",
+    "ret_3_1",
+    "rmax5_21d",
+    "rvol_21d",
+    "sale_bev",
+    "sale_gr1",
+    "sale_me",
+    "saleq_su",
+    "seas_16_20an",
+    "seas_1_1an",
+    "seas_2_5an",
+    "seas_2_5na",
+    "seas_6_10an",
+    "seas_6_10na",
+    "sti_gr1a",
+    "taccruals_ni",
+    "tax_gr1a",
+    "turnover_var_126d",
+    "zero_trades_126d",
+    "zero_trades_21d",
+    "zero_trades_252d"
+  ],
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+    "INVESTMENT": 16,
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+    "NEW": 7,
+    "Profitability": 11,
+    "TRADING FRICTIONS": 13,
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+  },
+  "source_ids_are_private": true
+}

data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_04995d098f277d88/manifest.json

@@ -0,0 +1,188 @@
+{
+  "record_type": "case",
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+  "generator_version": "build_task_b_frozen_raw_rolling.v1_294",
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+  "case_id": "case_04995d098f277d88",
+  "sequence_id": "case_04995d098f277d88",
+  "dataset_id": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_04995d098f277d88",
+  "path": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_04995d098f277d88",
+  "block_id": "block_01",
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+  "target_start_month": "1977-01",
+  "target_end_month": "1977-12",
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+  "subset_id": "block_01_197612_38_s05",
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+    "netdebt_me",
+    "ebit_bev",
+    "emp_gr1",
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+    "o_score",
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+    "qmj",
+    "col_gr1a",
+    "eq_dur",
+    "ret_12_7",
+    "debt_me",
+    "prc_highprc_252d",
+    "aliq_mat",
+    "ival_me",
+    "at_gr1",
+    "mispricing_mgmt",
+    "earnings_variability",
+    "seas_1_1an",
+    "resff3_6_1",
+    "rd5_at",
+    "saleq_gr1",
+    "capx_gr1",
+    "rskew_21d",
+    "corr_1260d",
+    "bidaskhl_21d",
+    "eqnpo_12m",
+    "seas_16_20na",
+    "dbnetis_at",
+    "turnover_126d",
+    "dolvol_var_126d",
+    "gp_atl1",
+    "zero_trades_21d",
+    "beta_dimson_21d",
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+    "earnings_variability",
+    "ebit_bev",
+    "emp_gr1",
+    "eq_dur",
+    "eqnpo_12m",
+    "gp_atl1",
+    "ival_me",
+    "mispricing_mgmt",
+    "netdebt_me",
+    "nfna_gr1a",
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+    "o_score",
+    "prc_highprc_252d",
+    "qmj",
+    "rd5_at",
+    "resff3_6_1",
+    "ret_12_7",
+    "rskew_21d",
+    "sale_bev",
+    "saleq_gr1",
+    "seas_16_20an",
+    "seas_16_20na",
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+    "taccruals_at",
+    "turnover_126d",
+    "zero_trades_126d",
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+      "sha256": "8e4ceb5edc076c085faa296b2a72fa12552d64485f53ee8dc67a05fa113f69bc"
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+  "case_manifest_path": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_04995d098f277d88/manifest.json"
+}

data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_04995d098f277d88/selection.json

@@ -0,0 +1,99 @@
+{
+  "selection_plan_sha256": "92a0207d9a34ff85c9db4455969b49554b80d3462e7f51e08c8e220f7d4a2fd9",
+  "block_id": "block_01",
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+    "ebit_bev",
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+    "col_gr1a",
+    "eq_dur",
+    "ret_12_7",
+    "debt_me",
+    "prc_highprc_252d",
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+    "ival_me",
+    "at_gr1",
+    "mispricing_mgmt",
+    "earnings_variability",
+    "seas_1_1an",
+    "resff3_6_1",
+    "rd5_at",
+    "saleq_gr1",
+    "capx_gr1",
+    "rskew_21d",
+    "corr_1260d",
+    "bidaskhl_21d",
+    "eqnpo_12m",
+    "seas_16_20na",
+    "dbnetis_at",
+    "turnover_126d",
+    "dolvol_var_126d",
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+    "col_gr1a",
+    "corr_1260d",
+    "dbnetis_at",
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+    "dolvol_var_126d",
+    "earnings_variability",
+    "ebit_bev",
+    "emp_gr1",
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+    "eqnpo_12m",
+    "gp_atl1",
+    "ival_me",
+    "mispricing_mgmt",
+    "netdebt_me",
+    "nfna_gr1a",
+    "ni_me",
+    "o_score",
+    "prc_highprc_252d",
+    "qmj",
+    "rd5_at",
+    "resff3_6_1",
+    "ret_12_7",
+    "rskew_21d",
+    "sale_bev",
+    "saleq_gr1",
+    "seas_16_20an",
+    "seas_16_20na",
+    "seas_1_1an",
+    "taccruals_at",
+    "turnover_126d",
+    "zero_trades_126d",
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+}

data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_08be0a8939231aed/manifest.json

@@ -0,0 +1,188 @@
+{
+  "record_type": "case",
+  "manifest_schema_version": "task_b_frozen_raw_rolling_manifest.v1",
+  "generator_version": "build_task_b_frozen_raw_rolling.v1_294",
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+  "path": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_08be0a8939231aed",
+  "block_id": "block_01",
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+  "requested_sample_size": 38,
+  "subset_id": "block_01_197612_38_s07",
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+    "ami_126d",
+    "taccruals_ni",
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+    "z_score",
+    "div12m_me",
+    "age",
+    "eqpo_me",
+    "prc",
+    "zero_trades_126d",
+    "qmj_prof",
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+    "ni_inc8q",
+    "niq_at",
+    "niq_be",
+    "sale_emp_gr1",
+    "rd_sale",
+    "be_gr1a",
+    "turnover_126d",
+    "coa_gr1a",
+    "lti_gr1a",
+    "oaccruals_at",
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+    "ival_me",
+    "rd5_at",
+    "at_be",
+    "rvol_21d",
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+    "beta_60m",
+    "cop_at",
+    "seas_6_10na",
+    "qmj_growth",
+    "taccruals_at",
+    "ret_60_12",
+    "sti_gr1a",
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+}

data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_08be0a8939231aed/selection.json

@@ -0,0 +1,99 @@
+{
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+    "ni_inc8q",
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+    "niq_be",
+    "oaccruals_at",
+    "prc",
+    "qmj_growth",
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+    "rd5_at",
+    "rd_sale",
+    "resff3_12_1",
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+    "ret_60_12",
+    "rvol_21d",
+    "sale_emp_gr1",
+    "seas_6_10na",
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+}

data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_0beeef33e157b26b/manifest.json

@@ -0,0 +1,188 @@
+{
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+}

data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_0beeef33e157b26b/selection.json

@@ -0,0 +1,99 @@
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+}

data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_1397d15b4a293cac/manifest.json

@@ -0,0 +1,264 @@
+{
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+    "train_label_time_range": [
+      "t-11",
+      "t-6"
+    ],
+    "validation_label_time_range": [
+      "t-5",
+      "t-0"
+    ],
+    "train_rows": 456,
+    "validation_rows": 456
+  },
+  "public_future_labels_included": false,
+  "source_history_factor_ids_are_truth_only": true,
+  "evaluator_only_files": [
+    "rolling_truth.jsonl"
+  ],
+  "artifacts": {
+    "payload": {
+      "path": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_1397d15b4a293cac/payload.json",
+      "bytes": 1263947,
+      "sha256": "5cae1f9e496609cded11fcaed302240ebb840f1daaf087e7f21cb5830702b79e"
+    },
+    "rolling_truth": {
+      "path": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_1397d15b4a293cac/rolling_truth.jsonl",
+      "bytes": 558535,
+      "sha256": "e85d6cafd47c1530063e38e7bdbcc9af2599cfacb9945325bfdaa1299daa9dfc",
+      "rows": 12
+    },
+    "selection": {
+      "path": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_1397d15b4a293cac/selection.json",
+      "bytes": 3124,
+      "sha256": "42009b1e4458cf625c8581463417b19519e2926121473ae50f250063d0830b95"
+    }
+  },
+  "payload_hash": "fb5f0e135c2945d68ed4cf69e3cc5130ef70a5299c01c436d05a3a7d7300a4ba",
+  "case_manifest_path": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_1397d15b4a293cac/manifest.json"
+}

data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_1397d15b4a293cac/selection.json

@@ -0,0 +1,175 @@
+{
+  "selection_plan_sha256": "92a0207d9a34ff85c9db4455969b49554b80d3462e7f51e08c8e220f7d4a2fd9",
+  "block_id": "block_01",
+  "anchor_month": "1976-12",
+  "window": "2Y",
+  "subset_id": "block_01_197612_76_s05",
+  "subset_index": 5,
+  "factor_count": 76,
+  "factor_ids": [
+    "taccruals_at",
+    "prc",
+    "eqnpo_me",
+    "ret_12_7",
+    "market_equity",
+    "capx_gr2",
+    "ret_3_1",
+    "emp_gr1",
+    "aliq_mat",
+    "seas_1_1an",
+    "noa_at",
+    "nncoa_gr1a",
+    "resff3_12_1",
+    "at_be",
+    "mispricing_mgmt",
+    "capx_gr3",
+    "sale_bev",
+    "z_score",
+    "oaccruals_ni",
+    "at_turnover",
+    "be_gr1a",
+    "oaccruals_at",
+    "turnover_126d",
+    "ni_inc8q",
+    "ivol_capm_21d",
+    "opex_at",
+    "taccruals_ni",
+    "aliq_at",
+    "op_atl1",
+    "sale_me",
+    "f_score",
+    "ebit_bev",
+    "ret_9_1",
+    "niq_be",
+    "be_me",
+    "betabab_1260d",
+    "ebitda_mev",
+    "dolvol_var_126d",
+    "ocfq_saleq_std",
+    "tangibility",
+    "rd5_at",
+    "sti_gr1a",
+    "ival_me",
+    "ni_me",
+    "dsale_drec",
+    "zero_trades_252d",
+    "earnings_variability",
+    "beta_60m",
+    "lti_gr1a",
+    "seas_11_15an",
+    "op_at",
+    "ret_6_1",
+    "netdebt_me",
+    "beta_dimson_21d",
+    "eqpo_me",
+    "ni_ivol",
+    "ocf_at_chg1",
+    "niq_be_chg1",
+    "tax_gr1a",
+    "coa_gr1a",
+    "qmj_prof",
+    "seas_16_20an",
+    "ret_12_1",
+    "ncoa_gr1a",
+    "qmj",
+    "dgp_dsale",
+    "at_me",
+    "eqnpo_12m",
+    "iskew_hxz4_21d",
+    "gp_at",
+    "coskew_21d",
+    "col_gr1a",
+    "ret_1_0",
+    "zero_trades_126d",
+    "fnl_gr1a",
+    "seas_11_15na"
+  ],
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+    "aliq_mat",
+    "at_be",
+    "at_me",
+    "at_turnover",
+    "be_gr1a",
+    "be_me",
+    "beta_60m",
+    "beta_dimson_21d",
+    "betabab_1260d",
+    "capx_gr2",
+    "capx_gr3",
+    "coa_gr1a",
+    "col_gr1a",
+    "coskew_21d",
+    "dgp_dsale",
+    "dolvol_var_126d",
+    "dsale_drec",
+    "earnings_variability",
+    "ebit_bev",
+    "ebitda_mev",
+    "emp_gr1",
+    "eqnpo_12m",
+    "eqnpo_me",
+    "eqpo_me",
+    "f_score",
+    "fnl_gr1a",
+    "gp_at",
+    "iskew_hxz4_21d",
+    "ival_me",
+    "ivol_capm_21d",
+    "lti_gr1a",
+    "market_equity",
+    "mispricing_mgmt",
+    "ncoa_gr1a",
+    "netdebt_me",
+    "ni_inc8q",
+    "ni_ivol",
+    "ni_me",
+    "niq_be",
+    "niq_be_chg1",
+    "nncoa_gr1a",
+    "noa_at",
+    "oaccruals_at",
+    "oaccruals_ni",
+    "ocf_at_chg1",
+    "ocfq_saleq_std",
+    "op_at",
+    "op_atl1",
+    "opex_at",
+    "prc",
+    "qmj",
+    "qmj_prof",
+    "rd5_at",
+    "resff3_12_1",
+    "ret_12_1",
+    "ret_12_7",
+    "ret_1_0",
+    "ret_3_1",
+    "ret_6_1",
+    "ret_9_1",
+    "sale_bev",
+    "sale_me",
+    "seas_11_15an",
+    "seas_11_15na",
+    "seas_16_20an",
+    "seas_1_1an",
+    "sti_gr1a",
+    "taccruals_at",
+    "taccruals_ni",
+    "tangibility",
+    "tax_gr1a",
+    "turnover_126d",
+    "z_score",
+    "zero_trades_126d",
+    "zero_trades_252d"
+  ],
+  "theme_counts": {
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+    "INVESTMENT": 16,
+    "Momentum": 5,
+    "NEW": 7,
+    "Profitability": 11,
+    "TRADING FRICTIONS": 13,
+    "VALUE": 9
+  },
+  "source_ids_are_private": true
+}

data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_17ea3fd0d6c77951/manifest.json

@@ -0,0 +1,264 @@
+{
+  "record_type": "case",
+  "manifest_schema_version": "task_b_frozen_raw_rolling_manifest.v1",
+  "generator_version": "build_task_b_frozen_raw_rolling.v1_294",
+  "track": "numeric_only",
+  "case_number": 11,
+  "case_id": "case_17ea3fd0d6c77951",
+  "sequence_id": "case_17ea3fd0d6c77951",
+  "dataset_id": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_17ea3fd0d6c77951",
+  "path": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_17ea3fd0d6c77951",
+  "block_id": "block_01",
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+  "region": "USA",
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+  "end_anchor_month": "1977-11",
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+  "history_end_month": "1976-12",
+  "target_start_month": "1977-01",
+  "target_end_month": "1977-12",
+  "anchor_date_is_public": false,
+  "factor_source_type": "raw_factor",
+  "sample_size": 76,
+  "requested_sample_size": 76,
+  "subset_id": "block_01_197612_76_s03",
+  "subset_index": 3,
+  "selected_factor_ids": [
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+    "beta_dimson_21d",
+    "seas_11_15na",
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+    "capx_gr2",
+    "opex_at",
+    "ivol_ff3_21d",
+    "netis_at",
+    "tax_gr1a",
+    "mispricing_mgmt",
+    "lti_gr1a",
+    "resff3_12_1",
+    "dolvol_126d",
+    "rd5_at",
+    "dsale_dsga",
+    "ope_be",
+    "ocf_at",
+    "at_be",
+    "sale_gr3",
+    "taccruals_ni",
+    "iskew_capm_21d",
+    "qmj_prof",
+    "seas_1_1na",
+    "mispricing_perf",
+    "niq_at_chg1",
+    "pi_nix",
+    "gp_atl1",
+    "oaccruals_at",
+    "ni_inc8q",
+    "eqpo_me",
+    "be_gr1a",
+    "qmj_safety",
+    "eqnpo_12m",
+    "fnl_gr1a",
+    "capx_gr3",
+    "qmj",
+    "lnoa_gr1a",
+    "fcf_me",
+    "ret_60_12",
+    "op_atl1",
+    "ret_1_0",
+    "prc",
+    "sale_gr1",
+    "seas_2_5na",
+    "prc_highprc_252d",
+    "betadown_252d",
+    "at_gr1",
+    "be_me",
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+    "ami_126d",
+    "bev_mev",
+    "seas_6_10na",
+    "ncol_gr1a",
+    "saleq_gr1",
+    "ret_12_1",
+    "rskew_21d",
+    "rd_me",
+    "z_score",
+    "ni_ar1",
+    "noa_gr1a",
+    "niq_be_chg1",
+    "rmax1_21d",
+    "cowc_gr1a",
+    "coskew_21d",
+    "ivol_hxz4_21d",
+    "ocfq_saleq_std",
+    "sale_emp_gr1",
+    "netdebt_me",
+    "seas_16_20an",
+    "rd_sale",
+    "at_me",
+    "taccruals_at",
+    "tangibility",
+    "rmax5_21d",
+    "cop_at"
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+    "betadown_252d",
+    "bev_mev",
+    "capx_gr2",
+    "capx_gr3",
+    "cop_at",
+    "cop_atl1",
+    "coskew_21d",
+    "cowc_gr1a",
+    "dolvol_126d",
+    "dsale_dsga",
+    "eqnpo_12m",
+    "eqpo_me",
+    "fcf_me",
+    "fnl_gr1a",
+    "gp_atl1",
+    "iskew_capm_21d",
+    "iskew_hxz4_21d",
+    "ivol_ff3_21d",
+    "ivol_hxz4_21d",
+    "lnoa_gr1a",
+    "lti_gr1a",
+    "mispricing_mgmt",
+    "mispricing_perf",
+    "ncoa_gr1a",
+    "ncol_gr1a",
+    "netdebt_me",
+    "netis_at",
+    "ni_ar1",
+    "ni_inc8q",
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+    "niq_at_chg1",
+    "niq_be_chg1",
+    "noa_gr1a",
+    "oaccruals_at",
+    "ocf_at",
+    "ocfq_saleq_std",
+    "op_atl1",
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+    "opex_at",
+    "pi_nix",
+    "prc",
+    "prc_highprc_252d",
+    "qmj",
+    "qmj_prof",
+    "qmj_safety",
+    "rd5_at",
+    "rd_me",
+    "rd_sale",
+    "resff3_12_1",
+    "ret_12_1",
+    "ret_1_0",
+    "ret_60_12",
+    "rmax1_21d",
+    "rmax5_21d",
+    "rskew_21d",
+    "sale_emp_gr1",
+    "sale_gr1",
+    "sale_gr3",
+    "saleq_gr1",
+    "seas_11_15na",
+    "seas_16_20an",
+    "seas_1_1na",
+    "seas_2_5na",
+    "seas_6_10na",
+    "taccruals_at",
+    "taccruals_ni",
+    "tangibility",
+    "tax_gr1a",
+    "z_score"
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+    "validation_cutoffs_per_origin": 6,
+    "feature_warmup_months": 12,
+    "refit_policy": "from_scratch_each_origin",
+    "llm_calls_during_rolling": 0
+  },
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+    "validation_cutoffs_used": 6,
+    "train_time_range": [
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+      "t-7"
+    ],
+    "validation_time_range": [
+      "t-6",
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+    ],
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+    ],
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+    "validation_rows": 456
+  },
+  "public_future_labels_included": false,
+  "source_history_factor_ids_are_truth_only": true,
+  "evaluator_only_files": [
+    "rolling_truth.jsonl"
+  ],
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+      "sha256": "af7f15dd601d9b5560256ad0e5c05aac383ea042738b99219f9744e5185db192"
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+      "bytes": 3098,
+      "sha256": "121dd8af095d1263ea996d49805fc9d59c096fea5a311ff8e3226fb22bfcf2a0"
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+  "case_manifest_path": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_17ea3fd0d6c77951/manifest.json"
+}

data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_17ea3fd0d6c77951/selection.json

@@ -0,0 +1,175 @@
+{
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+    "beta_dimson_21d",
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+    "capx_gr2",
+    "opex_at",
+    "ivol_ff3_21d",
+    "netis_at",
+    "tax_gr1a",
+    "mispricing_mgmt",
+    "lti_gr1a",
+    "resff3_12_1",
+    "dolvol_126d",
+    "rd5_at",
+    "dsale_dsga",
+    "ope_be",
+    "ocf_at",
+    "at_be",
+    "sale_gr3",
+    "taccruals_ni",
+    "iskew_capm_21d",
+    "qmj_prof",
+    "seas_1_1na",
+    "mispricing_perf",
+    "niq_at_chg1",
+    "pi_nix",
+    "gp_atl1",
+    "oaccruals_at",
+    "ni_inc8q",
+    "eqpo_me",
+    "be_gr1a",
+    "qmj_safety",
+    "eqnpo_12m",
+    "fnl_gr1a",
+    "capx_gr3",
+    "qmj",
+    "lnoa_gr1a",
+    "fcf_me",
+    "ret_60_12",
+    "op_atl1",
+    "ret_1_0",
+    "prc",
+    "sale_gr1",
+    "seas_2_5na",
+    "prc_highprc_252d",
+    "betadown_252d",
+    "at_gr1",
+    "be_me",
+    "ni_ivol",
+    "ami_126d",
+    "bev_mev",
+    "seas_6_10na",
+    "ncol_gr1a",
+    "saleq_gr1",
+    "ret_12_1",
+    "rskew_21d",
+    "rd_me",
+    "z_score",
+    "ni_ar1",
+    "noa_gr1a",
+    "niq_be_chg1",
+    "rmax1_21d",
+    "cowc_gr1a",
+    "coskew_21d",
+    "ivol_hxz4_21d",
+    "ocfq_saleq_std",
+    "sale_emp_gr1",
+    "netdebt_me",
+    "seas_16_20an",
+    "rd_sale",
+    "at_me",
+    "taccruals_at",
+    "tangibility",
+    "rmax5_21d",
+    "cop_at"
+  ],
+  "factor_ids_sorted": [
+    "ami_126d",
+    "at_be",
+    "at_gr1",
+    "at_me",
+    "be_gr1a",
+    "be_me",
+    "beta_dimson_21d",
+    "betadown_252d",
+    "bev_mev",
+    "capx_gr2",
+    "capx_gr3",
+    "cop_at",
+    "cop_atl1",
+    "coskew_21d",
+    "cowc_gr1a",
+    "dolvol_126d",
+    "dsale_dsga",
+    "eqnpo_12m",
+    "eqpo_me",
+    "fcf_me",
+    "fnl_gr1a",
+    "gp_atl1",
+    "iskew_capm_21d",
+    "iskew_hxz4_21d",
+    "ivol_ff3_21d",
+    "ivol_hxz4_21d",
+    "lnoa_gr1a",
+    "lti_gr1a",
+    "mispricing_mgmt",
+    "mispricing_perf",
+    "ncoa_gr1a",
+    "ncol_gr1a",
+    "netdebt_me",
+    "netis_at",
+    "ni_ar1",
+    "ni_inc8q",
+    "ni_ivol",
+    "niq_at_chg1",
+    "niq_be_chg1",
+    "noa_gr1a",
+    "oaccruals_at",
+    "ocf_at",
+    "ocfq_saleq_std",
+    "op_atl1",
+    "ope_be",
+    "opex_at",
+    "pi_nix",
+    "prc",
+    "prc_highprc_252d",
+    "qmj",
+    "qmj_prof",
+    "qmj_safety",
+    "rd5_at",
+    "rd_me",
+    "rd_sale",
+    "resff3_12_1",
+    "ret_12_1",
+    "ret_1_0",
+    "ret_60_12",
+    "rmax1_21d",
+    "rmax5_21d",
+    "rskew_21d",
+    "sale_emp_gr1",
+    "sale_gr1",
+    "sale_gr3",
+    "saleq_gr1",
+    "seas_11_15na",
+    "seas_16_20an",
+    "seas_1_1na",
+    "seas_2_5na",
+    "seas_6_10na",
+    "taccruals_at",
+    "taccruals_ni",
+    "tangibility",
+    "tax_gr1a",
+    "z_score"
+  ],
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+}

data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_1df9ec8a0c54f16e/manifest.json

@@ -0,0 +1,188 @@
+{
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+}

data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_1df9ec8a0c54f16e/selection.json

@@ -0,0 +1,99 @@
+{
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+    "niq_at_chg1",
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+    "qmj_safety",
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+}

data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_230cf512b0232e04/manifest.json

@@ -0,0 +1,188 @@
+{
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+    "ival_me",
+    "at_gr1",
+    "mispricing_mgmt",
+    "earnings_variability",
+    "seas_1_1an",
+    "resff3_6_1",
+    "rd5_at",
+    "saleq_gr1",
+    "capx_gr1",
+    "rskew_21d",
+    "corr_1260d",
+    "bidaskhl_21d",
+    "eqnpo_12m",
+    "seas_16_20na",
+    "dbnetis_at",
+    "turnover_126d",
+    "dolvol_var_126d",
+    "gp_atl1",
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+}

data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_230cf512b0232e04/selection.json

@@ -0,0 +1,99 @@
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+    "ret_12_7",
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+    "saleq_gr1",
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+    "bidaskhl_21d",
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+    "seas_16_20na",
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+    "turnover_126d",
+    "dolvol_var_126d",
+    "gp_atl1",
+    "zero_trades_21d",
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+    "earnings_variability",
+    "ebit_bev",
+    "emp_gr1",
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+    "ival_me",
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+    "nfna_gr1a",
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+    "o_score",
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+    "qmj",
+    "rd5_at",
+    "resff3_6_1",
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+    "rskew_21d",
+    "sale_bev",
+    "saleq_gr1",
+    "seas_16_20an",
+    "seas_16_20na",
+    "seas_1_1an",
+    "taccruals_at",
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+}

data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_26acbf412ce39fe2/manifest.json

@@ -0,0 +1,264 @@
+{
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+  "generator_version": "build_task_b_frozen_raw_rolling.v1_294",
+  "track": "numeric_only",
+  "case_number": 40,
+  "case_id": "case_26acbf412ce39fe2",
+  "sequence_id": "case_26acbf412ce39fe2",
+  "dataset_id": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_26acbf412ce39fe2",
+  "path": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_26acbf412ce39fe2",
+  "block_id": "block_01",
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+    "ncol_gr1a",
+    "beta_60m",
+    "capx_gr3",
+    "seas_2_5an",
+    "seas_6_10na",
+    "aliq_mat",
+    "turnover_var_126d",
+    "zero_trades_126d",
+    "ni_inc8q",
+    "ebit_sale",
+    "sale_bev",
+    "eqnpo_me",
+    "div12m_me",
+    "zero_trades_252d",
+    "emp_gr1",
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+    "gp_at",
+    "eqnetis_at",
+    "ni_be",
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+    "betadown_252d",
+    "prc_highprc_252d",
+    "dolvol_126d",
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+    "op_atl1",
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+    "ivol_capm_21d",
+    "tax_gr1a",
+    "nncoa_gr1a",
+    "taccruals_ni",
+    "seas_2_5na",
+    "lnoa_gr1a",
+    "ebit_bev",
+    "saleq_su",
+    "iskew_hxz4_21d",
+    "ival_me",
+    "fcf_me",
+    "ret_12_1",
+    "chcsho_12m",
+    "noa_gr1a",
+    "oaccruals_at",
+    "op_at",
+    "ivol_capm_252d",
+    "dgp_dsale",
+    "dsale_dsga",
+    "bev_mev",
+    "aliq_at",
+    "netis_at",
+    "qmj_prof",
+    "debt_me",
+    "rvol_21d",
+    "sti_gr1a",
+    "col_gr1a",
+    "rd5_at",
+    "capx_gr1",
+    "ncoa_gr1a",
+    "niq_at_chg1",
+    "rd_sale",
+    "market_equity",
+    "zero_trades_21d",
+    "o_score",
+    "ivol_hxz4_21d",
+    "niq_at",
+    "seas_1_1an",
+    "ni_ivol",
+    "seas_6_10an",
+    "f_score",
+    "rmax5_21d"
+  ],
+  "selected_factor_ids_sorted": [
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+    "beta_60m",
+    "betadown_252d",
+    "bev_mev",
+    "capx_gr1",
+    "capx_gr3",
+    "chcsho_12m",
+    "col_gr1a",
+    "cop_atl1",
+    "debt_me",
+    "dgp_dsale",
+    "div12m_me",
+    "dolvol_126d",
+    "dsale_dsga",
+    "ebit_bev",
+    "ebit_sale",
+    "emp_gr1",
+    "eqnetis_at",
+    "eqnpo_me",
+    "f_score",
+    "fcf_me",
+    "gp_at",
+    "inv_gr1a",
+    "iskew_hxz4_21d",
+    "ival_me",
+    "ivol_capm_21d",
+    "ivol_capm_252d",
+    "ivol_hxz4_21d",
+    "lnoa_gr1a",
+    "market_equity",
+    "mispricing_mgmt",
+    "mispricing_perf",
+    "ncoa_gr1a",
+    "ncol_gr1a",
+    "netdebt_me",
+    "netis_at",
+    "ni_ar1",
+    "ni_be",
+    "ni_inc8q",
+    "ni_ivol",
+    "niq_at",
+    "niq_at_chg1",
+    "nncoa_gr1a",
+    "noa_gr1a",
+    "o_score",
+    "oaccruals_at",
+    "op_at",
+    "op_atl1",
+    "prc_highprc_252d",
+    "qmj_prof",
+    "rd5_at",
+    "rd_sale",
+    "ret_12_1",
+    "ret_12_7",
+    "ret_3_1",
+    "rmax5_21d",
+    "rvol_21d",
+    "sale_bev",
+    "sale_gr1",
+    "sale_me",
+    "saleq_su",
+    "seas_16_20an",
+    "seas_1_1an",
+    "seas_2_5an",
+    "seas_2_5na",
+    "seas_6_10an",
+    "seas_6_10na",
+    "sti_gr1a",
+    "taccruals_ni",
+    "tax_gr1a",
+    "turnover_var_126d",
+    "zero_trades_126d",
+    "zero_trades_21d",
+    "zero_trades_252d"
+  ],
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+    "within_subset": "without_replacement",
+    "across_subsets": "with_replacement",
+    "scope": "time_block_reused_across_history_windows",
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+    "seed": 13997600037475814993,
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+    "one_step_horizon_months": 1,
+    "train_cutoffs_per_origin": 12,
+    "validation_cutoffs_per_origin": 12,
+    "feature_warmup_months": 12,
+    "refit_policy": "from_scratch_each_origin",
+    "llm_calls_during_rolling": 0
+  },
+  "train_validation": {
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+    "validation_cutoffs_requested": 12,
+    "train_cutoffs_used": 12,
+    "validation_cutoffs_used": 12,
+    "train_time_range": [
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+      "t-13"
+    ],
+    "validation_time_range": [
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+      "t-1"
+    ],
+    "train_label_time_range": [
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+      "t-12"
+    ],
+    "validation_label_time_range": [
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+    ],
+    "train_rows": 912,
+    "validation_rows": 912
+  },
+  "public_future_labels_included": false,
+  "source_history_factor_ids_are_truth_only": true,
+  "evaluator_only_files": [
+    "rolling_truth.jsonl"
+  ],
+  "artifacts": {
+    "payload": {
+      "path": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_26acbf412ce39fe2/payload.json",
+      "bytes": 2510497,
+      "sha256": "d69f278b7ac8ef9fc90df282f2eceb01f929dbb5b59369c62ff41965ae38b089"
+    },
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+      "path": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_26acbf412ce39fe2/rolling_truth.jsonl",
+      "bytes": 1232884,
+      "sha256": "60928f4d8e1fae5771320c313ed47bea8b422f0edf63173b3fc0f0938c0d165c",
+      "rows": 12
+    },
+    "selection": {
+      "path": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_26acbf412ce39fe2/selection.json",
+      "bytes": 3150,
+      "sha256": "8c223d5fbb14be3dedce0af296b1cd10ccd55d6b2d059d400432364654203442"
+    }
+  },
+  "payload_hash": "5eba91547f94ff4c4373640c014ce58b01a29255ad3a9799fdd4415b65060bc5",
+  "case_manifest_path": ".tmp/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_26acbf412ce39fe2/manifest.json"
+}

data/processed/task_b_usa_frozen_raw_rolling_294/cases/block_01/case_26acbf412ce39fe2/selection.json

@@ -0,0 +1,175 @@
+{
+  "selection_plan_sha256": "92a0207d9a34ff85c9db4455969b49554b80d3462e7f51e08c8e220f7d4a2fd9",
+  "block_id": "block_01",
+  "anchor_month": "1976-12",
+  "window": "5Y",
+  "subset_id": "block_01_197612_76_s04",
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+  "factor_count": 76,
+  "factor_ids": [
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+    "be_gr1a",
+    "seas_16_20an",
+    "sale_gr1",
+    "ret_3_1",
+    "cop_atl1",
+    "ret_12_7",
+    "ncol_gr1a",
+    "beta_60m",
+    "capx_gr3",
+    "seas_2_5an",
+    "seas_6_10na",
+    "aliq_mat",
+    "turnover_var_126d",
+    "zero_trades_126d",
+    "ni_inc8q",
+    "ebit_sale",
+    "sale_bev",
+    "eqnpo_me",
+    "div12m_me",
+    "zero_trades_252d",
+    "emp_gr1",
+    "mispricing_mgmt",
+    "gp_at",
+    "eqnetis_at",
+    "ni_be",
+    "inv_gr1a",
+    "betadown_252d",
+    "prc_highprc_252d",
+    "dolvol_126d",
+    "ni_ar1",
+    "op_atl1",
+    "mispricing_perf",
+    "sale_me",
+    "ivol_capm_21d",
+    "tax_gr1a",
+    "nncoa_gr1a",
+    "taccruals_ni",
+    "seas_2_5na",
+    "lnoa_gr1a",
+    "ebit_bev",
+    "saleq_su",
+    "iskew_hxz4_21d",
+    "ival_me",
+    "fcf_me",
+    "ret_12_1",
+    "chcsho_12m",
+    "noa_gr1a",
+    "oaccruals_at",
+    "op_at",
+    "ivol_capm_252d",
+    "dgp_dsale",
+    "dsale_dsga",
+    "bev_mev",
+    "aliq_at",
+    "netis_at",
+    "qmj_prof",
+    "debt_me",
+    "rvol_21d",
+    "sti_gr1a",
+    "col_gr1a",
+    "rd5_at",
+    "capx_gr1",
+    "ncoa_gr1a",
+    "niq_at_chg1",
+    "rd_sale",
+    "market_equity",
+    "zero_trades_21d",
+    "o_score",
+    "ivol_hxz4_21d",
+    "niq_at",
+    "seas_1_1an",
+    "ni_ivol",
+    "seas_6_10an",
+    "f_score",
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+    "capx_gr1",
+    "capx_gr3",
+    "chcsho_12m",
+    "col_gr1a",
+    "cop_atl1",
+    "debt_me",
+    "dgp_dsale",
+    "div12m_me",
+    "dolvol_126d",
+    "dsale_dsga",
+    "ebit_bev",
+    "ebit_sale",
+    "emp_gr1",
+    "eqnetis_at",
+    "eqnpo_me",
+    "f_score",
+    "fcf_me",
+    "gp_at",
+    "inv_gr1a",
+    "iskew_hxz4_21d",
+    "ival_me",
+    "ivol_capm_21d",
+    "ivol_capm_252d",
+    "ivol_hxz4_21d",
+    "lnoa_gr1a",
+    "market_equity",
+    "mispricing_mgmt",
+    "mispricing_perf",
+    "ncoa_gr1a",
+    "ncol_gr1a",
+    "netdebt_me",
+    "netis_at",
+    "ni_ar1",
+    "ni_be",
+    "ni_inc8q",
+    "ni_ivol",
+    "niq_at",
+    "niq_at_chg1",
+    "nncoa_gr1a",
+    "noa_gr1a",
+    "o_score",
+    "oaccruals_at",
+    "op_at",
+    "op_atl1",
+    "prc_highprc_252d",
+    "qmj_prof",
+    "rd5_at",
+    "rd_sale",
+    "ret_12_1",
+    "ret_12_7",
+    "ret_3_1",
+    "rmax5_21d",
+    "rvol_21d",
+    "sale_bev",
+    "sale_gr1",
+    "sale_me",
+    "saleq_su",
+    "seas_16_20an",
+    "seas_1_1an",
+    "seas_2_5an",
+    "seas_2_5na",
+    "seas_6_10an",
+    "seas_6_10na",
+    "sti_gr1a",
+    "taccruals_ni",
+    "tax_gr1a",
+    "turnover_var_126d",
+    "zero_trades_126d",
+    "zero_trades_21d",
+    "zero_trades_252d"
+  ],
+  "theme_counts": {
+    "INTANGIBLES": 15,
+    "INVESTMENT": 16,
+    "Momentum": 5,
+    "NEW": 7,
+    "Profitability": 11,
+    "TRADING FRICTIONS": 13,
+    "VALUE": 9
+  },
+  "source_ids_are_private": true
+}