QuanterLab · Research

Paid in fewer shares - net issuance against earnings yield in total returns, twenty sealed windows of the S&P 500

A point-in-time walk-forward investigation with hypotheses registered before scoring and the size of the search left unreconstructed rather than guessed.

By Serhat Girgin

Universe · S&P 500 (point-in-time constituents)

Method · Comparative: Low net issuance vs Earnings yield

Manipulated variable · The composite weighting, and nothing else. Both arms load the same point-in-time S&P 500 and compute the same two factor legs from the same SEC acceptedDate-gated filings: net share issuance (the most recent quarter-over-quarter growth in weighted shares outstanding, as the data vendor computes it, INVERTED so that shrinking share counts - buybacks - rank first and share printers rank last; Fama-French 2008 lists net issuance among the strongest anomalies in the cross-section) and earnings yield. Thirty highest composite-ranked names, equal weighted, long only, re-selected annually, twenty sea

Step size · 1 year per forward window

In-sample · 2 years before each anchor

Out-of-sample span · 2006-01-03 → 2025-12-31

Compiled · August 16, 2026

Search record · none (size unknown, see §2.3)

Abstract

Fama and French's 2008 'Dissecting Anomalies' ranked net share issuance among the most reliable predictors in the cross-section: firms that shrink their share count beat firms that print. This study asks that claim the way the rest of this series asks its questions - thirty S&P 500 names ranked on the lowest share-count growth against thirty ranked on earnings yield, equal weight, re-selected annually, twenty sealed one-year windows, both arms in total returns with ex-date dividends credited, ten basis points of cost per traded dollar, and an equal-weight benchmark holding its own dividends. The verdict is the closest race of the quartet: 10.8 against 11.0 percent a year, nine windows against eleven, a block bootstrap finishing with the buyback book ahead in 35 of 100 resampled paths - a statistical tie, again. What is not a tie is how the money comes back. The buyback book paid its holder 2.0 percent a year in dividends against the cheap book's 2.8 - and returned the rest by consuming its own float, compounding at a better Sharpe (0.583 against 0.565, index 0.545) on lower volatility (21.5 against 23.2 percent). The ledger also keeps the strategy honest about its famous vice: in the 2007 window the buyback book - companies repurchasing at the top, into the crash - trailed by 14.2 points, its worst year on the record. And for the second study running, cheapness swept every window from 2022 through 2025. Whatever began after 2021, it pays the cigar butts.

1 Methodology

Two sealed circuits, identical except the composite family weighting: BOTH arms compute the same two factor legs from the same SEC acceptance-dated filings - net share issuance (the most recent quarter-over-quarter growth in weighted average shares outstanding, as the data vendor computes it, INVERTED so shrinking share counts rank first; verified split-safe against the vendor's records through the 2020 Apple 4-for-1) and earnings yield - and Arm A weights issuance 100 with value 0 while Arm B weights value 100 with issuance 0. Thirty highest composite-ranked names, equal weight, long only, annual re-selection, twenty one-year windows anchored each January from 2006. Repurchase-minus-issuance is deliberately not constructed: no shorting, no printer leg - the claim is tested long-only on the repurchase side.

The realism layer is identical in both arms: TOTAL returns with ex-date dividends credited and held as cash to the next rebalance; ten basis points of transaction cost per one-way traded dollar; the RSP benchmark rebuilt as a total-return index by the same ex-date rule. Sharpe ratios are raw daily-return Sharpes, no cash hurdle. Machine gates verified per window that the total-return basis, the cost charge and the dividend accounting were live in both arms.

Lineage, in plain words: this circuit was registered once, before running. Three unregistered rehearsal runs of this exact circuit (at the 2006, 2021 and 2024 anchors) were executed immediately before registration as verification of the new issuance metric - including the split-safety check - and no design change followed them; they are disclosed here and counted. The circuit shape is the series' frozen design with the growth-family weighting as the single difference; the design history behind the inherited shape is disclosed in the earlier papers. (The trial accounting rendered elsewhere on this page counts DESIGNS, and its unknown refers to alternative designs that might have preceded this shape; the rehearsal RUNS of this design are exactly the three disclosed and counted here.)

2 Results

2.1 Headline

Low net issuance, pooled Sharpe

0.58

5012 OOS bars

Earnings yield, pooled Sharpe

0.56

5012 OOS bars

P(Low net issuance beats Earnings yield)

35.2%

5011 paired bars · CAGR gap (Low net issuance − Earnings yield) -0.2 pp

Figure 1. Both arms stitched through the identical windows, Low net issuance (+647.2%), Earnings yield (+672.9%), benchmark grey (+515.1%, total return, its own dividends reinvested, pooled Sharpe 0.545). Dotted verticals mark the step boundaries; the dashed horizontal is break-even. These figures compound each arm's own stitched daily series; the pooled statistics in the text inner-join both arms' trading days, one session apart, both are printed from the frozen record.

Figure 2. The measurement ladder: Low net issuance's whole walk, chained five ways. price only (+427.4%), with dividends (+661.1%), net of costs (+647.2%), against the benchmark measured both ways: price only (+325.6%), total return (+515.1%). The distance between the two green pairs is the dividends collected; the sliver between the last two greens is the cost bill; the distance between the two greys is what a price-only chart hides about the index. Every other figure on this page uses the deepest rung on each side, net of costs against the total-return benchmark.

Figure 3. The same walk, re-based to 1.00x at the first window starting in 2021, 5 of the 20 windows above. Low net issuance (+67.2%), Earnings yield (+135.9%), benchmark grey (+65.9%, total return). This is a subset of Figure 1, not a correction to it. The era boundary here is pinned by the author at 2021, a break this study's own record shows, not a chart-scaling choice, and the era rows below put a number on the two periods it separates. The full record is what the study claims.

2.2 Per-step results

**Table 1.** One row per step, raw out-of-sample results.
#	Out-of-sample window	Low net issuance SR	Earnings yield SR
1	2006-01-03 → 2006-12-29	1.90	0.97
2	2007-01-03 → 2007-12-31	0.07	0.77
3	2008-01-02 → 2008-12-31	-0.75	-0.84
4	2009-01-02 → 2009-12-31	1.10	1.00
5	2010-01-04 → 2010-12-31	1.10	0.82
6	2011-01-03 → 2011-12-30	0.49	-0.13
7	2012-01-03 → 2012-12-31	0.87	1.27
8	2013-01-02 → 2013-12-31	3.27	2.90
9	2014-01-02 → 2014-12-31	1.06	1.07
10	2015-01-02 → 2015-12-31	-0.05	-0.60
11	2016-01-04 → 2016-12-30	1.18	1.08
12	2017-01-03 → 2017-12-29	2.03	1.87
13	2018-01-02 → 2018-12-31	-0.92	-0.62
14	2019-01-02 → 2019-12-31	1.86	1.30
15	2020-01-02 → 2020-12-31	0.29	0.04
16	2021-01-04 → 2021-12-31	1.86	1.81
17	2022-01-03 → 2022-12-30	-0.50	-0.49
18	2023-01-03 → 2023-12-29	0.82	1.14
19	2024-01-02 → 2024-12-31	1.22	1.36
20	2025-01-02 → 2025-12-31	0.96	1.28

Figure 4. Low net issuance: every step's out-of-sample curve overlaid, each rebased to 1× at its own start. Read alongside Table 1: consistent shape across steps is the walk-forward's evidence; a single lucky leg is not.

Figure 5. Earnings yield: the same windows, the other arm. Compare shape-for-shape with the previous figure: the two arms trade the identical out-of-sample legs.

2.3 Search accounting

No search record exists for this design. It was not promoted from a recorded evolving search, so the number of alternatives tried before it, on paper, in another tool, or in the author's head, is unknown. Unknown is a different fact from one: a study with no lineage is not a strategy with one trial, it is a strategy with an unrecorded number of them. Accordingly no count of alternatives tried is claimed, and nothing in this paper is corrected for a search that was never recorded; the number that stands is the raw out-of-sample result plus this disclosure. The registered per-step record below (§4) still guarantees each window's hypothesis was hashed and registered before that window was scored.

2.4 The comparison

Both arms trade the same registered windows, so their returns can be PAIRED: inside each window the two return series are inner-joined date by date and the difference r_{Low net issuance} − r_{Earnings yield} is the object under test. Because this is ONE pre-declared contrast, frozen at registration before any window was scored, the paired statistic needs no multiple-testing deflation, and the per-arm pooled numbers above are likewise uncorrected, this design has no recorded search to correct against (§2.3). The paired contrast is the one statistic here that a missing search record does not weaken: it was declared in advance, and it is scored on the difference rather than on either arm's level.

In the table: Arm A = Low net issuance · Arm B = Earnings yield.

**Table 2.** Window-by-window paired comparison. Δ is the growth gap (Arm A − Arm B) over the window's paired dates.
#	Window	Paired bars	Arm A	Arm B	Δ	Leader
1	2006-01-04 → 2006-12-29	250	+22.1%	+11.5%	+10.6 pp	Arm A
2	2007-01-04 → 2007-12-31	250	-0.3%	+13.9%	-14.2 pp	Arm B
3	2008-01-03 → 2008-12-31	252	-32.7%	-34.6%	+1.9 pp	Arm A
4	2009-01-05 → 2009-12-31	251	+37.5%	+32.4%	+5.1 pp	Arm A
5	2010-01-05 → 2010-12-31	251	+18.6%	+16.2%	+2.4 pp	Arm A
6	2011-01-04 → 2011-12-30	251	+8.7%	-7.0%	+15.7 pp	Arm A
7	2012-01-04 → 2012-12-31	249	+12.7%	+22.5%	-9.7 pp	Arm B
8	2013-01-03 → 2013-12-31	251	+52.2%	+50.8%	+1.3 pp	Arm A
9	2014-01-03 → 2014-12-31	251	+12.3%	+14.2%	-1.9 pp	Arm B
10	2015-01-05 → 2015-12-31	251	-1.8%	-11.4%	+9.6 pp	Arm A
11	2016-01-05 → 2016-12-30	251	+18.4%	+21.8%	-3.4 pp	Arm B
12	2017-01-04 → 2017-12-29	250	+20.5%	+22.0%	-1.5 pp	Arm B
13	2018-01-03 → 2018-12-31	250	-15.8%	-9.8%	-6.0 pp	Arm B
14	2019-01-03 → 2019-12-31	251	+33.4%	+21.7%	+11.7 pp	Arm A
15	2020-01-03 → 2020-12-31	252	+3.1%	-8.1%	+11.2 pp	Arm A
16	2021-01-05 → 2021-12-31	251	+29.2%	+42.0%	-12.8 pp	Arm B
17	2022-01-04 → 2022-12-30	250	-14.0%	-13.8%	-0.2 pp	Arm B
18	2023-01-04 → 2023-12-29	249	+12.8%	+20.4%	-7.6 pp	Arm B
19	2024-01-03 → 2024-12-31	251	+14.3%	+23.8%	-9.5 pp	Arm B
20	2025-01-03 → 2025-12-31	249	+17.4%	+30.0%	-12.6 pp	Arm B

Paired Sharpe of the difference track: -0.06 · block bootstrap (2000 paths, block 10, seed 1234): P(Low net issuance beats Earnings yield) = 35.2%.

Window win-rate. Low net issuance led 9 of 20 windows (45.0%), Earnings yield led 11 , and the mean window gap of -0.49 pp points the same way. Widest single window: 2011 at +15.7 pp.

**Table 3.** The same comparison split at 2021. Pooling the whole walk into one row hides which side of the split the difference came from.
Period	Windows	Low net issuance	Earnings yield	Mean gap	Low net issuance led
All windows	20	+12.43%	+12.93%	-0.49 pp	9/20
Before 2021	15	+12.59%	+10.41%	+2.19 pp	9/15
2021 onward	5	+11.94%	+20.48%	-8.54 pp	0/5

Figure A1, mean window return per period. Low net issuance above, Earnings yield below, with the gap at right. The pooled bar and the post-2021 bar are the same comparison over different periods.

The two eras disagree by 10.73 pp. The pooled figure is therefore not a standing property of either method, it is dominated by the later period. Read the two rows, not the average.

3 The circuit

The strategy is a circuit of platform primitives, frozen when the study is registered. Below is the circuit as wired on the canvas, the objective it encodes and how the search runs through it, followed by the mathematics each primitive actually computes, the same formulas the execution engine runs. The complete parameterisation is preserved in the study ledger (Appendix A).

The hypothesis under test

A COMPARATIVE study, Low net issuance vs Earnings yield, walked on the same registered out-of-sample windows. Low net issuance: S&P 500, rebalanced annual across the selected basket, and run out-of-sample from the anchor, whatever the design estimates from history is re-estimated at each anchor from pre-anchor data only, and the walk advances through registered out-of-sample windows; its disposition is the realized forward path versus the benchmark. Earnings yield: S&P 500, rebalanced annual across the selected basket, and run out-of-sample from the anchor, whatever the design estimates from history is re-estimated at each anchor from pre-anchor data only, and the walk advances through registered out-of-sample windows; its disposition is the realized forward path versus the benchmark. The arms differ in: Factor Composite, growth_weight: 100 → 0; Factor Composite, value_weight: 0 → 100. The contrast under test: whether Low net issuance generates better risk-adjusted returns than Earnings yield over the identical out-of-sample windows.

Figure 6. The frozen circuit, every node a primitive, every wire a typed data-flow; the two arms are colour-coded (Low net issuance green, Earnings yield blue, shared feeds neutral). Each box is one step of the strategy; data flows along the wires left to right, and no box can see data dated later than the box feeding it. The whole diagram was frozen when the hypothesis was registered. Click any node to open what that step ran with and what it produced.

Envelopes show counts, ratios, dates, and the parameters the author chose. Full price and per-name data series are not republished: the underlying market data is licensed to QuanterLab. Point figures quoted in the prose, a named holding's return over a stated span, are summary facts derived from public market prices, not redistributed series.

What each part does

Universe, The starting set of tickers, resolved point-in-time from the index change-log, so names delisted or removed later still compete on the dates they traded.

Price Loader, Bulk OHLCV fetch for the whole universe, point-in-time, no future bars.

Factor Loader, Point-in-time fundamentals, never let the user see a number before the SEC did.

Factor Value, Value, how cheap is the stock, cross-sectionally?

Factor Growth, Growth, is the business getting bigger, by the numbers it has filed?

Factor Composite, The weighting console, blend Value, Quality, Momentum, Growth into one 0–100 score.

Factor Top Tier, The cut out of the factor lane, keep the top-ranked names.

Transaction Cost, Charge for trading, slippage + commission on every turn.

Portfolio Backtest, Replay the portfolio forward, rebalanced, point-in-time, with costs.

Portfolio Forward Autopsy, The post-mortem, where the forward test’s return actually came from.

The objective and the search

Low net issuance

Universe	S&P 500 index constituents.
Validation & out-of-sample	portfolio forward test (buy-and-hold book) (1y horizon from the anchor, annual rebalance); overlays: Transaction Cost.
Other components	Factor models: Factor Composite, Factor Select, Fundamentals Loader (PIT), Growth Factor, Value Factor.

Earnings yield

Universe	S&P 500 index constituents.
Validation & out-of-sample	portfolio forward test (buy-and-hold book) (1y horizon from the anchor, annual rebalance); overlays: Transaction Cost.
Other components	Factor models: Factor Composite, Factor Select, Fundamentals Loader (PIT), Growth Factor, Value Factor.

What differs between the arms, one manipulated variable, expressed as 2 paired settings on one node:

paramFactor Composite, growth_weight: 100 → 0
paramFactor Composite, value_weight: 0 → 100

Everything else is held identical, so an out-of-sample gap between the arms is attributable to this one change.

Cost elements are wired into the circuit, the realised drag is reported per step in Appendix B.

Show the mathematics, 10 primitives, formulas and parity notes

3.1 Universe

The starting set of tickers, resolved point-in-time from the index change-log, so names delisted or removed later still compete on the dates they traded.

Before any math, you need a list of stocks. An index preset (S&P 500, Nasdaq-100, Dow 30) is reconstructed as it stood ON your anchor date by replaying the historical add/drop change-log backwards, so a 2018 backtest sees the 2018 membership, not today's winners.

Point-in-time membership

Start from today's constituents and un-apply every membership change after the anchor t:

\mathcal{U}(t) = \mathcal{U}_{\text{now}} \;\ominus\; \{\text{adds after } t\} \;\oplus\; \{\text{drops after } t\}

Constituents resolved from the index change-log; the same point-in-time set the factor + screening modules use.

3.2 Price Loader

Bulk OHLCV fetch for the whole universe, point-in-time, no future bars.

Momentum, volatility, trend, every price-based metric needs history. This loads open/high/low/close/volume for all names in parallel, clipped so nothing after the anchor can leak in. The lookback window is derived automatically from the deepest metric you wired.

The window is derived, not guessed

It loads exactly enough history for the hungriest downstream metric plus a warm-up buffer:

W = \max_k(\text{lookback}_k) + \text{buffer}, \qquad \text{bars} \le \text{anchor } t

3.3 Factor Loader

Point-in-time fundamentals, never let the user see a number before the SEC did.

Loads ~23 fundamental metrics (valuation, quality, growth) per name, but with one inviolable rule: a financial statement becomes visible only on or after its SEC acceptedDate. A 2020 backtest sees only what was actually filed by 2020, no look-ahead, ever.

The PIT gate

\text{visible}(f, t) \iff \text{acceptedDate}(f) \le t

Missing acceptance dates fall back to filingDate, else statement date + 45 days.

Byte-identical to FM101FBKT (shared_libs/factor_core). US indexes only (SEC reliability).

3.4 Factor Value

Value, how cheap is the stock, cross-sectionally?

Blends cheapness metrics, P/E, P/B, P/S, EV/EBITDA (lower is better) plus free-cash-flow and earnings yields (higher is better). Each metric is z-scored across the universe, winsorized against outliers, weighted by the importance you set (Off/Low/Med/High), and averaged.

Cross-sectional z-score per metric

z_{i,k} = \pm\,\frac{x_{i,k} - \bar x_k}{s_k}

Sign encodes direction (cheap = good). Winsorized at 1% / 99%.

Importance-weighted family score

\text{Value}_i = \frac{\sum_k \omega_k\,z_{i,k}}{\sum_k \omega_k}, \quad \omega \in \{0,\,0.5,\,1,\,2\}

Off / Low / Medium / High = 0 / 0.5 / 1 / 2. Binding rank happens in Factor Composite.

Byte-identical to FM101FBKT (shared_libs/factor_core).

3.5 Factor Growth

Growth, is the business getting bigger, by the numbers it has filed?

Revenue growth, EPS growth, free-cash-flow growth and book-value-per-share growth, taken from the latest SEC-accepted filings (so growth is honest as-of the anchor). Same family recipe.

Family score

\text{Growth}_i = \frac{\sum_k \omega_k\,z_{i,k}}{\sum_k \omega_k}

Growth rates from PIT-visible filings only.

Byte-identical to FM101FBKT (shared_libs/factor_core).

3.6 Factor Composite

The weighting console, blend Value, Quality, Momentum, Growth into one 0–100 score.

Where the four factor families become a single ranking. Each family score is standardized across the universe, blended with your slider weights (or the radar's suggested tilt), and min-max scaled to 0–100. Winsorizing tames outliers; z-score or percentile normalization is your choice.

Cross-sectional standardize + winsorize

z_{i,f} = \frac{x_{i,f} - \bar x_f}{s_f}\quad(\text{clipped at the 1st / 99th percentile})

Weighted blend, scaled to 0–100

C_i = \sum_f W_f\,z_{i,f}, \qquad \text{score}_i = 100\cdot\frac{C_i - \min_j C_j}{\max_j C_j - \min_j C_j}

W = your four slider weights (total 100) OR the Regime Tilt radar's suggestion. Needs ≥ 10 names, ≥ 3 valid metrics each.

Byte-identical to FM101FBKT ranking (shared_libs/factor_core.rank_stocks_at_date).

3.7 Factor Top Tier

The cut out of the factor lane, keep the top-ranked names.

Takes the composite-ranked factor set and keeps the best N, carrying the composite score, the four family scores and the point-in-time market cap for each survivor. Feed 10–20 to a direct portfolio, or 30–100 as an optimizer pool.

Rank cut

\{\, i : \operatorname{rank}(C_i) \le N\,\}, \quad C_i = \text{composite score}

Byte-identical to FM101FBKT ranking (shared_libs/factor_core).

3.8 Portfolio Backtest

Replay the portfolio forward, rebalanced, point-in-time, with costs.

Holds the basket and rebalances on schedule, re-selecting and re-optimizing point-in-time at each rebalance (so it only ever uses information available then), and reports the equity curve, Sharpe, drawdown and trade stats, optionally net of cost and risk overlays.

Compounded equity

E_t = E_{t-1}\big(1 + \mathbf w_{t}^{\top}\mathbf r_t - \text{costs}_t\big)

Drawdown

\text{DD}_t = \frac{E_t}{\max_{\tau\le t}E_\tau} - 1, \qquad \text{MaxDD} = \min_t \text{DD}_t

Financing a levered book

\text{charge}_t \;=\; \text{loan}_t \cdot \frac{\text{spread}}{252}, \qquad \text{loan}_t = \begin{cases}\max(0,\,-\text{cash}_t) & \text{institutional (netted)}\\ \max(0,\,\text{long MV}_t - E_t) & \text{retail (no netting)}\end{cases}

A levered long/short book (the β-neutral Long/Short Select) borrows its excess notional. WHO you are decides the loan: a prime broker nets short-sale proceeds against the margin loan, a fully-netted BAB book carries almost none, while a retail margin account cannot net, so the same book borrows the long leg’s excess over equity. Profiles: institutional = 50 bps spread + 25 bps GC short borrow; retail = 350 bps + 150 bps (the BEST retail tier, so any verdict is conservative); custom = your own knobs, spread on negative cash. Charged daily, reported as financing_drag_pct, never silent.

3.9 Portfolio Forward Autopsy

The post-mortem, where the forward test’s return actually came from.

Runs after the Portfolio Forward Test and dissects its realized path: per-rebalance contributions, winners and losers, exposure and cash periods, and how the realized route compares to what the risk cones projected. It computes nothing new about the future, it explains the past the book just lived.

Reading it

Depth I–IV: headline attribution, per-segment breakdown, per-name contributions, and the calibration ledger (projected cone vs realized, segment by segment). In a study, this is the node that fills the appendices.

3.10 Transaction Cost

Charge for trading, slippage + commission on every turn.

Real trading isn't free. This deducts a cost proportional to how much you trade (turnover), in basis points, so the backtest reflects net, not gross, performance.

Cost per rebalance

\text{cost}_t = \frac{\text{bps}}{10{,}000}\;\times\;\text{turnover}_t, \qquad \text{turnover}_t = \tfrac12\sum_i \lvert w_{i,t}-w_{i,t^-}\rvert

4 Projection calibration, pooled across the walk

Every rebalance carried a Monte Carlo cone and a 95% VaR estimated before the segment it is scored against. Two questions, pooled over the whole study: did realized outcomes land inside the band as often as the band claims, and were VaR breaches as frequent as 5%?

This section is produced by the forward tester itself: every portfolio backtest fits the cone and the VaR estimate at each rebalance and scores them against the segment that followed. It does not require, and this circuit does not contain, a Monte Carlo primitive; that primitive is a separate, standalone analysis.

Figure A2, projected range versus what occurred, at each of 40 scored rebalance segments, pooled across both arms. The final rebalance of each step has no following segment to score, the ledger marks those rows “no segment follows this rebalance”, which is why this count sits below the raw rebalance totals in the table beneath. Each vertical bar is that rebalance's P5–P95 Monte Carlo cone with the median ticked; the dot is the realized return of the segment that followed. Filled green = the outcome landed inside its own cone; red = it did not. The strip beneath repeats that as one mark per rebalance, so a run of misses in one period is visible as a run. Every cone was fitted only on data prior to the segment it is scored against.

Arm	Steps	Rebalances	In band	Coverage	Expected	VaR days	Breach rate	Expected
Low net issuance	20	35	16 / 20	80.0% ±8.94	90.0%	5011	6.29% ±0.343	5.0%
Earnings yield	20	35	18 / 20	90.0% ±6.71	90.0%	5011	5.81% ±0.33	5.0%

± values are binomial standard errors on the estimate. A coverage figure below the expected band means the projection was over-confident; a breach rate above 5% means the same of the risk model. Both forecasts used only data prior to the segment scored.

5 Discussion

5.1 Findings

Pooled over 5,011 paired out-of-sample days, the low-issuance book earned a Sharpe of 0.583 against 0.565 for earnings yield, compounding at 10.8 against 11.0 percent a year - two tenths of a point apart after twenty years, the tightest finish in this series. The honest index compounded at 9.5 percent with a Sharpe of 0.545, so both books cleared it; the buyback book did so on 21.5 percent volatility against the cheap book's 23.2 and the index's 20.7, with the shallower worst drawdown (47.3 against 49.0 percent). Window returns quoted here are the paired-day ledger; the appendix cards print full-window returns against the index.

The statistical verdict is the quartet's recurring one: nine windows to eleven, a bootstrap at 35.2 percent of paths, a difference track with a Sharpe of -0.06. Twenty years cannot rank the buyback signal against the cheapness signal.

The capital arrives by different doors. The buyback book paid 2.02 percent a year in cash dividends - almost exactly the index's own 2.03 - while the cheap book paid 2.80; the buyback book's remaining return came through the shrinking denominator itself, price appreciation concentrated by a disappearing float. Costs are identical and small: ten basis points on roughly one turn of one-way flow, a dime per hundred dollars a year in each arm.

The regime ledger has three chapters. The buyback book cushioned the stress years - ahead in 2008 (down 32.7 against 34.6, index 39.1), 2011 by 15.7 points, 2015 by 9.6, 2019 by 11.7, 2020 by 11.2. Its one famous failure is printed where it belongs: the 2007 window, corporate America repurchasing record volumes at peak prices into the coming crash, trailing cheapness by 14.2 points - the strategy's worst window on this record and the exact vice its critics name. And from 2022 through 2025 cheapness won every window (0.2, 7.6, 9.5, 12.6 points), after taking 2021 by 12.8 - the second study in this series to find the same post-2021 hinge.

The projection calibration deserves its own line, because this series has reported it before and silence here would be selective: the buyback book's realized windows landed inside their pre-drawn 90 percent cones 16 times of 20 - 80 percent coverage, the loosest calibration in the quartet (the cheap book: 18 of 20) - and its daily VaR breached on 6.3 percent of days against the 5 expected. The issuance book escapes its own risk projections more often than any book in this series.

The two books share a median of five names in thirty - the minimum was zero, in the 2009 window; the maximum eight - on identical ranked pools (348 names in 2006, 504 by 2024). Buyback firms are often also cheap firms; the overlap sits well above the profitability study's one-in-thirty and well below identity.

5.2 Interpretation

Fama-French 2008 measured issuance where it is strongest - the full CRSP cross-section, printers and micro-caps included, long and short. This series' question is narrower and harder: does the LONG side of the signal, the repurchasers, carry information a large-cap holder can use after dividends and costs? The answer rhymes with every paper in this quartet: the signal is real enough to match the field's best-known alternative and clear the index, and twenty years cannot certify it above either. The distinctive economics survive the tie. A repurchaser returns capital without declaring income: this book's holder collected an index-like dividend and received the rest as a quietly concentrating claim - the mechanical opposite of the dividend study's book, which collected 4.6 percent in cash and surrendered it in price. Between them sits the whole capital-return spectrum, and neither end of it out-ran plain earnings cheapness.

Two honest asterisks from the record. First, 2007: net issuance is a pro-cyclical signal - firms buy back most when cash is abundant and prices are high - and its worst window is exactly the one where that critique predicts it. Second, the hinge: for the second study running, every window since 2022 went to cheapness, five straight including the rate shock. Stated after seeing it, not predicted: whatever regime arrived with higher rates has so far paid the earnings-yield book against quality and against buybacks alike.

This closes the quartet. An opening paper put the cheapness yardstick itself on trial - book-to-market against earnings yield - and three more sent the cross-section's celebrated signals against that yardstick: dividend yield, gross profitability, net issuance, all in total returns with real costs. Not one gap against the yardstick was certifiable in twenty sealed years - the four leans span 0.2 to 1.4 points a year, every one inside the noise. Against the honest index, the three total-return books ranged from matching it to 2.3 points above it (the profitability book, on its single path). And the differences that ARE measurable - who they hold, how they pay, when they shelter, how well their risk can be drawn in advance - turned out larger and more useful than the ranks that are not. The cross-section's famous arguments, measured honestly, are arguments about personality.

No search record exists for this study: the design was not promoted from a recorded evolving search, so the number of alternatives tried before it is UNKNOWN, which is a different fact from one. No count of alternatives tried is claimed, and nothing is corrected for a search that was never recorded; the number that stands is the raw out-of-sample result plus this disclosure. The out-of-sample windows are historical.

5.3 Limitations

The arm-versus-arm conclusion is a null - the 0.2-point gap is far inside the noise, and every directional phrase should be read under that ceiling; the vs-index and regime observations describe one path and were not pre-registered. The three rehearsal runs disclosed in the methodology sat at 2006, 2021 and 2024 - the first is this record's opening window, and the latter two fall inside the post-2021 era this paper highlights: two of the five windows behind the 'cheapness swept' observation had been run, unregistered, before the walk was sealed. No design change followed them, and the 2022, 2023 and 2025 windows were first executed inside the sealed walk - but that claim should be weighed knowing where the rehearsals sat. The issuance variable is the vendor's most recent quarter-over-quarter share-count growth, not Fama-French's annual composite issuance measure, and the test is long-only large-cap: FF 2008 locate much of the anomaly's strength in the short leg and in small caps, neither of which is examined here. Dividends are credited gross with no withholding or interim reinvestment; costs are a flat ten basis points; capital-gains tax is not modelled. Buybacks and dividends interact mechanically (a repurchaser's yield is understated by yield metrics alone) - total shareholder yield is a natural sequel, not this paper. The ranked pool is thinner early (348 of roughly 500 in 2006, 504 listings by 2024), identically in both arms. The engine held twenty-eight to thirty of the thirty selected names per window, counts disclosed per window.

References

QuanterLab reference architecture

Gelman, A., & Loken, E. (2013). The garden of forking paths: Why multiple comparisons can be a problem, even when there is no “fishing expedition.” Working paper, Columbia University.
Harvey, C. R., Liu, Y., & Zhu, H. (2016). … and the Cross-Section of Expected Returns. Review of Financial Studies, 29(1), 5–68. doi:10.1093/rfs/hhv059
Lo, A. W. (2002). The Statistics of Sharpe Ratios. Financial Analysts Journal, 58(4), 36–52. doi:10.2469/faj.v58.n4.2453

Author’s references?

Fama, E. F. and French, K. R. (2008). Dissecting Anomalies. Journal of Finance 63(4).
Ikenberry, D., Lakonishok, J. and Vermaelen, T. (1995). Market Underreaction to Open Market Share Repurchases. Journal of Financial Economics 39(2).
Pontiff, J. and Woodgate, A. (2008). Share Issuance and Cross-Sectional Returns. Journal of Finance 63(2).

Appendix A Reproducibility in QuanterLab

Each step is backed by a frozen run report. The study is re-derivable from the ledger below.

#	Commit	Report	Anchor	OOS window
1	b8a2e9fbd427	1242	2006-01-01	2006-01-03 → 2006-12-29
2	9ec60eff1fb1	1243	2007-01-01	2007-01-03 → 2007-12-31
3	ae211e1393f4	1244	2008-01-01	2008-01-02 → 2008-12-31
4	8a434004354c	1245	2009-01-01	2009-01-02 → 2009-12-31
5	c4198fcac747	1246	2010-01-01	2010-01-04 → 2010-12-31
6	a4ec2446deb8	1247	2011-01-01	2011-01-03 → 2011-12-30
7	17b19a3e6854	1248	2012-01-01	2012-01-03 → 2012-12-31
8	1efa980bdacf	1249	2013-01-01	2013-01-02 → 2013-12-31
9	2e46ee4000af	1250	2014-01-01	2014-01-02 → 2014-12-31
10	8017a1763a3b	1251	2015-01-01	2015-01-02 → 2015-12-31
11	ceb97b99e623	1252	2016-01-01	2016-01-04 → 2016-12-30
12	78ca66b3ca18	1253	2017-01-01	2017-01-03 → 2017-12-29
13	f9d9030e4696	1254	2018-01-01	2018-01-02 → 2018-12-31
14	2e73de943887	1255	2019-01-01	2019-01-02 → 2019-12-31
15	eddfad96c22f	1256	2020-01-01	2020-01-02 → 2020-12-31
16	f4d23a187174	1257	2021-01-01	2021-01-04 → 2021-12-31
17	1248a33125ce	1258	2022-01-01	2022-01-03 → 2022-12-30
18	b806d59a896f	1259	2023-01-01	2023-01-03 → 2023-12-29
19	9bec339edf45	1260	2024-01-01	2024-01-02 → 2024-12-31
20	fb522a4e7e28	1261	2025-01-01	2025-01-02 → 2025-12-31

Appendix A2 Registration record

What this record does and does not establish. Every window in this study is historical: the data existed before the study began, so this is sequential sealing on past windows, not pre-registration in the clinical-trial sense, and no procedure could make it so. What the platform does enforce is order, each step's specification was frozen and hashed before that step was scored, and the walk cannot advance past a step that was never run or close one with a result registered for a different window. The two timestamp columns below are the evidence: read them together and each seal precedes its own run, and each run precedes the next seal. A study whose seals all post-date its runs would show it here. Wall-clock spacing between seals varies with the author's schedule and queue latency; the ordering, not the tempo, is the claim.

“A COMPARATIVE study, Low net issuance vs Earnings yield, walked on the same registered out-of-sample windows. Low net issuance: S&P 500, rebalanced annual across the selected basket, and run out-of-sample from the anchor, whatever the design estimates from history is re-estimated at each anchor from pre-anchor data only, and the walk advances through registered out-of-sample windows; its disposition is the realized forward path versus the benchmark. Earnings yield: S&P 500, rebalanced annual across the selected basket, and run out-of-sample from the anchor, whatever the design estimates from history is re-estimated at each anchor from pre-anchor data only, and the walk advances through registered out-of-sample windows; its disposition is the realized forward path versus the benchmark. The arms differ in: Factor Composite, growth_weight: 100 → 0; Factor Composite, value_weight: 0 → 100. The contrast under test: whether Low net issuance generates better risk-adjusted returns than Earnings yield over the identical out-of-sample windows.”

The same hypothesis was registered independently at every step, hashed before each step's out-of-sample window was scored:

**Table 4.** Registration audit, one row per registered step, with the time each specification was frozen and the time its window was scored. The hypothesis is identical on every row by design: it was registered once and re-registered unchanged at each anchor. Rows that differ would mean the specification moved mid-walk, which is the thing this record exists to rule out. The timestamps are the separate claim: each seal precedes its own run, and each run precedes the next seal.
#	Anchor	Registered at (UTC)	Run completed (UTC)
1	2006-01-01	2026-08-16 12:54:47	2026-08-16 12:58:36
2	2007-01-01	2026-08-16 12:58:41	2026-08-16 13:03:01
3	2008-01-01	2026-08-16 13:03:07	2026-08-16 13:05:47
4	2009-01-01	2026-08-16 13:05:52	2026-08-16 13:10:53
5	2010-01-01	2026-08-16 13:10:58	2026-08-16 13:15:38
6	2011-01-01	2026-08-16 13:15:43	2026-08-16 13:20:25
7	2012-01-01	2026-08-16 13:20:30	2026-08-16 13:23:30
8	2013-01-01	2026-08-16 13:23:35	2026-08-16 13:28:56
9	2014-01-01	2026-08-16 13:29:01	2026-08-16 13:34:02
10	2015-01-01	2026-08-16 13:34:07	2026-08-16 13:39:07
11	2016-01-01	2026-08-16 13:39:13	2026-08-16 13:42:33
12	2017-01-01	2026-08-16 13:42:38	2026-08-16 13:47:59
13	2018-01-01	2026-08-16 13:48:04	2026-08-16 13:53:25
14	2019-01-01	2026-08-16 13:53:30	2026-08-16 13:58:52
15	2020-01-01	2026-08-16 13:58:57	2026-08-16 14:02:38
16	2021-01-01	2026-08-16 14:02:43	2026-08-16 14:07:43
17	2022-01-01	2026-08-16 14:07:49	2026-08-16 14:13:09
18	2023-01-01	2026-08-16 14:13:14	2026-08-16 14:18:15
19	2024-01-01	2026-08-16 14:18:20	2026-08-16 14:21:41
20	2025-01-01	2026-08-16 14:21:46	2026-08-16 14:27:28

Appendix B Per-step diagnostics

What each step's run actually did beyond its return: capital allocation across lanes and regimes, the portfolio book's rebalancing and cost drag, and how positions were sized. Harvested from the frozen run reports, present where the circuit produced them.

Step 1 · 2006-01-03 → 2006-12-29

Low net issuance

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Projection accuracy, realized outcome fell inside the P5–P95 cone in 100.0% of 1 scored rebalances (a well-calibrated 90% band contains ~90.0%) · 95% VaR breached on 4.4% of 250 days (expected ~5.0%)

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2006-01-01	-2.0161%	18.4109%	43.5818%	22.7415%	yes	1.1683%	11 / 250
2007-01-01	no segment follows this rebalance, not scored

Earnings yield

Portfolio book, rebalanced annual · 2 constructions · 28 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1% · 2 names dropped at load (29 names actually held across the window), weights renormalised onto the rest

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2006-01-01	-8.8454%	14.5185%	44.459%	8.7529%	yes	1.4596%	10 / 250
2007-01-01	no segment follows this rebalance, not scored

Step 2 · 2007-01-03 → 2007-12-31

Low net issuance

Portfolio book, rebalanced annual · 2 constructions · 29 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1% · 1 name dropped at load (30 names actually held across the window), weights renormalised onto the rest

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2007-01-01	-4.1291%	17.7486%	45.1515%	-4.0311%	yes	1.1956%	33 / 250
2008-01-01	no segment follows this rebalance, not scored

Earnings yield

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1% · 1 name dropped at load (29 names actually held across the window), weights renormalised onto the rest

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2007-01-01	-2.3104%	22.4512%	54.1106%	4.089%	yes	1.4942%	25 / 250
2008-01-01	no segment follows this rebalance, not scored

Step 3 · 2008-01-02 → 2008-12-31

Low net issuance

Portfolio book, rebalanced annual · 1 constructions · 29 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1% · 1 name dropped at load (29 names actually held across the window), weights renormalised onto the rest

Projection accuracy, realized outcome fell inside the P5–P95 cone in 0.0% of 1 scored rebalances (a well-calibrated 90% band contains ~90.0%) · 95% VaR breached on 27.38% of 252 days (expected ~5.0%)

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2008-01-01	-15.0135%	8.5353%	36.7863%	-31.404%	no	1.4817%	69 / 252

Earnings yield

Projection accuracy, realized outcome fell inside the P5–P95 cone in 0.0% of 1 scored rebalances (a well-calibrated 90% band contains ~90.0%) · 95% VaR breached on 26.59% of 252 days (expected ~5.0%)

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2008-01-01	-10.8888%	13.7295%	43.245%	-39.5316%	no	1.4405%	67 / 252

Step 4 · 2009-01-02 → 2009-12-31

Low net issuance

Projection accuracy, realized outcome fell inside the P5–P95 cone in 0.0% of 1 scored rebalances (a well-calibrated 90% band contains ~90.0%) · 95% VaR breached on 6.77% of 251 days (expected ~5.0%)

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2009-01-01	-49.183%	-15.8442%	40.4387%	42.919%	no	3.0058%	17 / 251
2010-01-01	no segment follows this rebalance, not scored

Earnings yield

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2009-01-01	-51.8194%	-13.36%	57.194%	33.3459%	yes	3.1893%	18 / 251
2010-01-01	no segment follows this rebalance, not scored

Step 5 · 2010-01-04 → 2010-12-31

Low net issuance

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2010-01-01	-40.3259%	2.1094%	76.1527%	17.342%	yes	3.4627%	2 / 251
2011-01-01	no segment follows this rebalance, not scored

Earnings yield

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2010-01-01	-51.8662%	-2.8784%	98.0672%	15.3183%	yes	4.2986%	0 / 251
2011-01-01	no segment follows this rebalance, not scored

Step 6 · 2011-01-03 → 2011-12-30

Low net issuance

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2011-01-01	-20.1059%	22.257%	88.295%	7.0923%	yes	2.5362%	10 / 251
2012-01-01	no segment follows this rebalance, not scored

Earnings yield

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2011-01-01	-32.6382%	21.8297%	122.3317%	-9.2223%	yes	3.6088%	7 / 251
2012-01-01	no segment follows this rebalance, not scored

Step 7 · 2012-01-03 → 2012-12-31

Low net issuance

Portfolio book, rebalanced annual · 1 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2012-01-01	-26.135%	8.1186%	55.4724%	9.1149%	yes	2.5348%	1 / 249

Earnings yield

Portfolio book, rebalanced annual · 1 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2012-01-01	-33.6603%	3.1212%	57.035%	18.307%	yes	2.8267%	2 / 249

Step 8 · 2013-01-02 → 2013-12-31

Low net issuance

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2013-01-01	-21.4015%	11.1884%	58.1221%	51.4543%	yes	2.2214%	3 / 251
2014-01-01	no segment follows this rebalance, not scored

Earnings yield

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2013-01-01	-28.4054%	4.5478%	53.549%	50.415%	yes	2.2436%	4 / 251
2014-01-01	no segment follows this rebalance, not scored

Step 9 · 2014-01-02 → 2014-12-31

Low net issuance

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2014-01-01	-1.8784%	23.8169%	56.7942%	11.5283%	yes	1.4638%	10 / 251
2015-01-01	no segment follows this rebalance, not scored

Earnings yield

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2014-01-01	-4.6169%	25.6151%	66.1226%	8.7087%	yes	1.6803%	10 / 251
2015-01-01	no segment follows this rebalance, not scored

Step 10 · 2015-01-02 → 2015-12-31

Low net issuance

Projection accuracy, realized outcome fell inside the P5–P95 cone in 0.0% of 1 scored rebalances (a well-calibrated 90% band contains ~90.0%) · 95% VaR breached on 9.56% of 251 days (expected ~5.0%)

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2015-01-01	-0.1691%	21.5499%	48.4374%	-5.5554%	no	1.2186%	24 / 251
2016-01-01	no segment follows this rebalance, not scored

Earnings yield

Projection accuracy, realized outcome fell inside the P5–P95 cone in 0.0% of 1 scored rebalances (a well-calibrated 90% band contains ~90.0%) · 95% VaR breached on 8.37% of 251 days (expected ~5.0%)

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2015-01-01	-2.5236%	22.9939%	55.7405%	-15.9974%	no	1.4804%	21 / 251
2016-01-01	no segment follows this rebalance, not scored

Step 11 · 2016-01-04 → 2016-12-30

Low net issuance

Portfolio book, rebalanced annual · 1 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2016-01-01	-16.9026%	4.4616%	31.7758%	16.3681%	yes	1.4934%	15 / 251

Earnings yield

Portfolio book, rebalanced annual · 1 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2016-01-01	-21.5092%	4.4309%	39.5478%	19.3938%	yes	1.7767%	17 / 251

Step 12 · 2017-01-03 → 2017-12-29

Low net issuance

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2017-01-01	-19.5026%	5.1932%	38.1247%	19.1229%	yes	1.751%	3 / 250
2018-01-01	no segment follows this rebalance, not scored

Earnings yield

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2017-01-01	-24.4892%	2.6751%	40.381%	16.8258%	yes	2.0712%	1 / 250
2018-01-01	no segment follows this rebalance, not scored

Step 13 · 2018-01-02 → 2018-12-31

Low net issuance

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2018-01-01	-13.9222%	9.8309%	40.7506%	-17.8516%	no	1.5498%	23 / 250
2019-01-01	no segment follows this rebalance, not scored

Earnings yield

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2018-01-01	-13.6349%	10.5659%	42.1749%	-12.5919%	yes	1.5372%	18 / 250
2019-01-01	no segment follows this rebalance, not scored

Step 14 · 2019-01-02 → 2019-12-31

Low net issuance

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2019-01-01	-17.7347%	4.6487%	33.6099%	31.3021%	yes	1.5793%	12 / 251
2020-01-01	no segment follows this rebalance, not scored

Earnings yield

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2019-01-01	-18.6934%	4.1052%	33.7981%	20.3214%	yes	1.4974%	17 / 251
2020-01-01	no segment follows this rebalance, not scored

Step 15 · 2020-01-02 → 2020-12-31

Low net issuance

Portfolio book, rebalanced annual · 1 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2020-01-01	-20.0627%	5.9275%	38.2452%	5.9475%	yes	1.8523%	48 / 252

Earnings yield

Portfolio book, rebalanced annual · 1 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2020-01-01	-22.7896%	2.707%	34.5291%	-3.9169%	yes	1.9869%	46 / 252

Step 16 · 2021-01-04 → 2021-12-31

Low net issuance

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2021-01-01	-29.9519%	11.5636%	78.945%	27.6357%	yes	2.5034%	1 / 251
2022-01-01	no segment follows this rebalance, not scored

Earnings yield

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2021-01-01	-45.3846%	3.1463%	96.6917%	40.0012%	yes	3.5941%	0 / 251
2022-01-01	no segment follows this rebalance, not scored

Step 17 · 2022-01-03 → 2022-12-30

Low net issuance

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2022-01-01	-25.3934%	25.5189%	113.1481%	-16.1182%	yes	2.6424%	11 / 250
2023-01-01	no segment follows this rebalance, not scored

Earnings yield

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2022-01-01	-33.5091%	16.3395%	105.6068%	-16.086%	yes	2.9223%	8 / 250
2023-01-01	no segment follows this rebalance, not scored

Step 18 · 2023-01-03 → 2023-12-29

Low net issuance

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2023-01-01	-9.9431%	30.3013%	85.313%	12.2842%	yes	2.1296%	6 / 249
2024-01-01	no segment follows this rebalance, not scored

Earnings yield

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2023-01-01	-10.662%	36.7314%	105.158%	17.6869%	yes	2.5853%	1 / 249
2024-01-01	no segment follows this rebalance, not scored

Step 19 · 2024-01-02 → 2024-12-31

Low net issuance

Portfolio book, rebalanced annual · 1 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2024-01-01	-17.6797%	12.3945%	54.1834%	13.4404%	yes	1.7924%	4 / 251

Earnings yield

Portfolio book, rebalanced annual · 1 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2024-01-01	-32.2943%	3.1401%	58.127%	19.4736%	yes	2.5699%	3 / 251

Step 20 · 2025-01-02 → 2025-12-31

Low net issuance

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2025-01-01	-11.0082%	14.01%	44.3852%	16.9759%	yes	1.5774%	12 / 249
2026-01-01	no segment follows this rebalance, not scored

Earnings yield

Portfolio book, rebalanced annual · 2 constructions · 30 names held · selection: reselect · 0.0% in cash · turnover 1.0× · cost drag 0.1%

Rebalance	P5	Median	P95	Realized	In band	VaR 95 (1d)	Breaches
2025-01-01	-8.4885%	21.2555%	58.5741%	27.5348%	yes	1.6818%	16 / 249
2026-01-01	no segment follows this rebalance, not scored

QuanterLab · Study 4a27f12c3841 · compiled August 16, 2026. Point-in-time constituents and hypothesis-registration timestamps are enforced by the platform. This report is generated from the frozen study artifact and is reproducible from the ledger above. Educational research, not investment advice: every result on this page is simulated, and nothing here is a recommendation to buy or sell any security.

Paid in fewer shares - net issuance against earnings yield in total returns, twenty sealed windows of the S&P 500

1 Methodology

2 Results

2.1 Headline

2.2 Per-step results

2.3 Search accounting

2.4 The comparison

3 The circuit

The objective and the search

3.1 Universe

3.2 Price Loader

3.3 Factor Loader

3.4 Factor Value

3.5 Factor Growth

3.6 Factor Composite

3.7 Factor Top Tier

3.8 Portfolio Backtest

3.9 Portfolio Forward Autopsy

3.10 Transaction Cost

4 Projection calibration, pooled across the walk

5 Discussion

5.1 Findings

5.2 Interpretation

5.3 Limitations

References

Appendix A Reproducibility in QuanterLab

Appendix A2 Registration record

Appendix B Per-step diagnostics

Step 1 · 2006-01-03 → 2006-12-29

Step 2 · 2007-01-03 → 2007-12-31

Step 3 · 2008-01-02 → 2008-12-31

Step 4 · 2009-01-02 → 2009-12-31

Step 5 · 2010-01-04 → 2010-12-31

Step 6 · 2011-01-03 → 2011-12-30

Step 7 · 2012-01-03 → 2012-12-31

Step 8 · 2013-01-02 → 2013-12-31

Step 9 · 2014-01-02 → 2014-12-31

Step 10 · 2015-01-02 → 2015-12-31

Step 11 · 2016-01-04 → 2016-12-30

Step 12 · 2017-01-03 → 2017-12-29

Step 13 · 2018-01-02 → 2018-12-31

Step 14 · 2019-01-02 → 2019-12-31

Step 15 · 2020-01-02 → 2020-12-31

Step 16 · 2021-01-04 → 2021-12-31

Step 17 · 2022-01-03 → 2022-12-30

Step 18 · 2023-01-03 → 2023-12-29

Step 19 · 2024-01-02 → 2024-12-31

Step 20 · 2025-01-02 → 2025-12-31

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