A long-only, sector-neutral, beta-neutral tilt toward value, momentum and quality in US large caps, built end to end from free data with point-in-time discipline, transaction costs and turnover control. Backtest Feb 2011 – Sep 2026, net of costs. Both the first version, which underperformed, and the revised version are reported. A third run on 35 years of survivorship-free CRSP/Compustat data (1990–2024) finds the same 0.38 IR, earned before 2010 and flat since.
Hypothetical backtest for research and discussion, not investment advice. Universe is today's S&P 500, so survivorship bias inflates both the strategy and its benchmark equally; the 90% bootstrap interval on the information ratio includes zero.