{ "schema_version": 1, "updated_at": "2026-10-23", "studies": [ { "id": "pb-roe", "title": "PB 与 ROE：估值和盈利能力的配对检验", "family": "估值与盈利质量", "status": "historical-reviewed", "status_label": "历史结果已核对", "summary": "同一候选池的五种历史排序中，加入静态 ROE 后收益和信息比率低于仅用 PB 的对照；这不等于 ROE 普遍无效。", "period": "2010-01-29 至 2026-08-31", "source_note": "数值取自已公开并逐项核对的市场研究专题；原始财报版本和完整交易回放尚未独立复核。", "source_url": "https://runchengxie.github.io/quant-market-research/docs/research/factors/pb-roe/", "columns": [ "排序", "年化收益", "年化超额", "最大回撤", "信息比率" ], "rows": [ [ "仅用 PB", "12.05%", "7.25%", "46.74%", "0.66" ], [ "PB + 静态 ROE", "9.06%", "4.27%", "45.40%", "0.42" ], [ "PB + ROE 变化", "11.59%", "6.80%", "46.98%", "0.65" ], [ "质量调整后的 PB", "12.01%", "7.21%", "47.26%", "0.67" ], [ "质量调整 PB + ROE 变化", "11.66%", "6.87%", "47.02%", "0.65" ] ], "findings": [ "仅用 PB 的对照仍要求 ROE 可计算，不能当作完全不依赖 ROE 数据的纯 PB 组合。", "放宽 ROE 非空要求后，合格股票月记录增加 46,803 条，约占扩大样本的 7.11%。", "质量条件对结果有影响，但多项条件同时变化，不能归因于单个过滤器。" ], "limits": [ "历史财报修订和公告可见时间尚未逐份独立核验。", "整个历史区间参与过探索，不能重新标作严格样本外。", "执行采用日线近似，缺少完整市场冲击和真实成交回放。" ], "translations": { "en-US": { "title": "PB and ROE: A Paired Test of Valuation and Profitability", "family": "Valuation and earnings quality", "status_label": "Historical result reviewed", "summary": "Across five historical rankings on the same candidate pool, adding static ROE produced lower returns and information ratios than the PB-only comparison. This does not establish that ROE is generally ineffective.", "period": "2010-01-29 to 2026-08-31", "source_note": "Values come from a public market research study reviewed item by item; original filing versions and the complete trade replay have not been independently rechecked.", "columns": [ "Ranking", "Annualized return", "Annualized excess return", "Maximum drawdown", "Information ratio" ], "rows": [ [ "PB only", "12.05%", "7.25%", "46.74%", "0.66" ], [ "PB + static ROE", "9.06%", "4.27%", "45.40%", "0.42" ], [ "PB + change in ROE", "11.59%", "6.80%", "46.98%", "0.65" ], [ "Quality adjusted PB", "12.01%", "7.21%", "47.26%", "0.67" ], [ "Quality adjusted PB + change in ROE", "11.66%", "6.87%", "47.02%", "0.65" ] ], "findings": [ "The PB-only comparison still requires ROE to be computable, so it should not be treated as a pure PB portfolio that is independent of ROE data.", "Relaxing the non-null ROE requirement added 46,803 eligible stock-month records, about 7.11% of the expanded sample.", "Quality conditions affect the result, but several conditions changed at the same time, so the effect cannot be attributed to a single filter." ], "limits": [ "Historical filing revisions and announcement availability have not been independently checked record by record.", "The full historical interval participated in exploration and cannot be relabeled as a strict out-of-sample period.", "Execution uses a daily approximation and lacks a complete market impact and trade execution replay." ] } }, "series": "fundamental", "market": "a_share", "method": [ "direct_factor_test", "cross_sectional_ranking", "portfolio_replay", "attribution", "robustness" ], "frequency": [ "monthly" ], "evidence_stage": "retrospective_diagnostic", "publication_id": "pb-roe", "source_ref": "doc:quant-research.strategy.pb-roe-value-quality", "exploration_asset": "data/study-exploration/pb-roe.json", "exploration_counts": { "steps": 3, "charts": 2 }, "evidence_summary": { "decision": "retain_baseline", "scope": { "en-US": "Same eligible pool; five PB/ROE rankings", "zh-CN": "共同候选池；五种 PB/ROE 排序" }, "baseline": { "en-US": "PB ranking in the same quality-constrained pool", "zh-CN": "同一质量约束候选池中的 PB 排序" }, "input_basis": { "en-US": "Historical filing-time reconstruction; original versions not independently rechecked", "zh-CN": "历史财报时点重建，原始版本未独立复核" }, "sample": { "en-US": "2010–2026 published historical comparison", "zh-CN": "2010–2026 已公开历史对照" } }, "related_studies": [ { "study_id": "rd-investment", "kind": "shared_question", "rationale": { "en-US": "Both examine whether a fundamental input adds beyond a valuation denominator.", "zh-CN": "都检验基本面信息是否在估值分母之外增加信号。" } }, { "study_id": "fundamental-state-forecasting", "kind": "method_extension", "rationale": { "en-US": "Current profitability versus predicted profitability provides two ways to test the valuation bridge.", "zh-CN": "当期盈利与预测盈利提供两种估值桥接检验。" } }, { "study_id": "absolute-level-forecast", "kind": "shared_question", "rationale": { "en-US": "Both require separating firm scale, current valuation and the proposed financial increment.", "zh-CN": "都须分开公司规模、当期估值与拟检验财务增量。" } } ], "source_review_status": { "status": "matched", "checked_at": "2026-10-14T10:05:57+00:00" }, "navigation_asset": "data/study-navigation/pb-roe.json", "navigation_summary": { "run_id": "external-pb-roe-d887fc2", "reproduction_status": "external_partial", "decision": "retain_baseline", "negative_result": true, "resume_when": { "en-US": "Recover versioned external inputs and rerun the same candidate-pool comparison before changing the PB baseline.", "zh-CN": "恢复有版本的外部输入并复跑相同候选池对照，再考虑改变 PB 基线。" }, "tasks": [ { "id": "pb-roe-qualification", "priority": "P1", "status": "blocked", "action": { "en-US": "Recover versioned external inputs and rerun the same candidate-pool comparison before changing the PB baseline.", "zh-CN": "恢复有版本的外部输入并复跑相同候选池对照，再考虑改变 PB 基线。" }, "acceptance": { "en-US": "Retain an immutable audit with the named evidence gap resolved; preserve the previous decision if the gate fails.", "zh-CN": "保留不可变审计并解决上述证据缺口；门槛未通过则保留原判断。" } } ] } }, { "id": "rd-investment", "title": "研发投入相对估值：信号还是规模暴露？", "family": "研发与无形资产", "status": "preliminary", "status_label": "初步筛选", "summary": "Historical execution diagnostics still have unresolved prices and formation gaps; R&D remains a research candidate. The corrected sealed announcement-event PIT run reports 4.85% / 12.81% Rank IC for 20 / 220 trading-day labels across 77 / 66 horizon-specific monthly cross-sections. The result is exploratory and does not establish executable returns; the full revision chain remains incomplete.", "period": "Corrected PIT replay: 2020-01 through 2026-06; 77 valid 20-day and 66 valid 220-day cross-sections", "source_note": "来源：修正后的公告事件 PIT 回放，vintage=20260926。当前来源报告分期限 Rank IC 和独立的 Top-200 成本探针；历史财报修订链和冻结最终 OOS 就绪门槛仍未解决。更早的 2019 年扩展年度快照作为独立遗留产物保留，不属于此处当前汇总。", "columns": [ "Factor variant", "20-day Rank IC", "220-day Rank IC" ], "rows": [ [ "R&D / market cap", "4.85%", "12.81%" ], [ "R&D / EV proxy", "4.71%", "12.62%" ], [ "Five-year decayed R&D stock / market cap", "5.00%", "13.08%" ], [ "Full style residual", "2.00%", "5.99%" ], [ "R&D / revenue", "0.24%", "0.56%" ], [ "R&D / assets", "0.55%", "1.89%" ], [ "R&D growth", "-0.07%", "-2.57%" ] ], "findings": [ "A separate historical follow-up identifies 10,825 unique endpoint failure events across 3,894 securities. None of 70 factor/decile sequences passes every endpoint; this is not formal portfolio validation.", "The corrected PIT sample contains 77 valid 20-day and 66 valid 220-day monthly cross-sections; median cross-sectional sizes are about 4,454 and 4,230 stocks.", "R&D / market cap and five-year decayed R&D stock show positive exploratory Rank IC. The 220-day labels overlap and are not independent observations.", "The full style residual is weaker than raw R&D / market cap. This does not establish an independent, causal, or tradable R&D premium.", "R&D / revenue, R&D / assets, and R&D growth do not show stable ranking evidence in the corrected sample.", "A separate fixed Top-200 platform probe at 25 bp one-way modeled cost reports 12.70% annualized return, 0.57 Sharpe, and -25.75% max drawdown over 89 holding periods. It is a research diagnostic, not a registered decile validation or production portfolio.", "The 2026-10 to 2027-09 prospective final-OOS protocol is frozen but blocked from performance reading; no frozen holdout metrics have been produced." ], "limits": [ "The historical financial statement revision chain is incomplete. The corrected historical reconstruction is not revision-safe, and historical index/industry effective times are not fully point-in-time verified.", "The 220-day labels overlap. Cross-sectional Rank IC and the Top-200 price-return probe do not establish executable fills, market impact, or a deployable portfolio.", "The Top-200 cost probe is separate from registered decile validation; the full frozen-holdout readiness audit still blocks performance reading.", "The older 2019 extended annual snapshot uses a separate retrospective reconstruction and is not included in the corrected current-run metrics above.", "2026-10-02 输入审计补齐了原始与调整后报表，并实现受实际采集时间约束的版本留存。这些后来采集的数据不能证明严格历史 PIT。R&D 冻结窗口持续至 2027 年 9 月，需等全部长期标签成熟后才能解封，约在 2028 年。本次未读取冻结表现。" ], "translations": { "en-US": { "title": "R&D Investment Relative to Valuation: Signal or Size Exposure?", "family": "R&D and intangible assets", "status_label": "Preliminary screen", "summary": "The study asks whether companies with more R&D spending relative to market capitalization tend to have better later stock returns. The corrected screen finds a positive average ranking relationship: Rank IC is 4.85% for the next 20 trading days and 12.81% for the next 220 (77 valid 20-day and 66 valid 220-day monthly cross-sections in the source record). These percentages describe how closely two rankings move together; they are not stock returns. The longer-window comparisons overlap, historical financial records are incomplete, and the study has not shown that the pattern can be traded.", "period": "Corrected announcement-date-aligned study: 2020-01 to 2026-06; 77 monthly comparisons for the 20-day outcome and 66 for the 220-day outcome", "source_note": "Source: corrected announcement-date-aligned replay, vintage=20260926. The source reports separate results for each outcome window and a separate Top-200 trading simulation. Historical statement revisions and readiness to read the sealed future holdout remain unresolved. The older annual reconstruction extending to 2019 is a separate archive and is not included in these current results.", "columns": [ "Factor variant", "20-day Rank IC", "220-day Rank IC" ], "rows": [ [ "R&D / market cap", "4.85%", "12.81%" ], [ "R&D / EV proxy", "4.71%", "12.62%" ], [ "Five-year decayed R&D stock / market cap", "5.00%", "13.08%" ], [ "Full style residual", "2.00%", "5.99%" ], [ "R&D / revenue", "0.24%", "0.56%" ], [ "R&D / assets", "0.55%", "1.89%" ], [ "R&D growth", "-0.07%", "-2.57%" ] ], "findings": [ "A separate history check flagged 10,825 planned holding-price checks across 3,894 securities. None of 70 factor-by-decile result series had complete prices at every checked point. These flags are not confirmed failed orders and do not count as a completed portfolio test.", "The corrected screen has 77 usable monthly comparisons for the 20-day outcome and 66 for the 220-day outcome. The median number of eligible stocks per month is about 4,454 and 4,230, respectively.", "R&D / market cap and the five-year decayed R&D measure have positive average Rank IC in this exploratory sample. The 220-day outcome windows overlap, so neighboring monthly comparisons share return days.", "After removing the measured links to size, valuation, leverage, momentum and industry, the remaining R&D / market-cap relationship is weaker. This does not show that R&D independently causes higher returns or can be traded profitably.", "R&D / revenue, R&D / assets and R&D growth do not show a stable positive ranking relationship in the corrected sample.", "A separate fixed Top-200 trading simulation reports 12.70% annualized return, Sharpe 0.57 and maximum drawdown −25.75% across 89 holding periods, with a modeled one-way cost of 25 basis points. It is not the registered ten-group validation or a production portfolio.", "The future test window, October 2026 through September 2027, is fixed but remains sealed. Its results have not been read or published." ], "limits": [ "The saved history does not contain every version of each financial report as investors originally saw it. Announcement dates are aligned, but the reconstruction is not yet verified as fully point-in-time accurate; historical index membership and industry dates also need review.", "The 220-day outcome windows overlap. Rank IC describes how two rankings move together; it is not a return. The separate Top-200 simulation does not prove that orders could be filled at the assumed prices or that real market impact was captured.", "The Top-200 simulation is separate from the registered ten-group validation. The readiness review for the sealed future test (the frozen-holdout) still does not permit reading its performance.", "The older annual archive extending back to 2019 was rebuilt separately. Its results are not part of the corrected current results above.", "The 2026-10-02 input review added original and adjusted reports and began keeping versions from their actual collection dates. Because this collection began later, it cannot recreate strict historical point-in-time records. The future R&D test window runs through September 2027; all long-window results need time to mature, so the earliest expected review is around 2028. No future-test performance has been read.", "The newer quality and matched-component checks use the older rebuilt history. Their sample counts and results are kept separate from the corrected current study." ] }, "zh-CN": { "title": "研发投入相对估值：信号还是规模暴露？", "family": "研发与无形资产", "status_label": "初步筛选", "summary": "这项研究想知道：研发费用相对于公司市值较高的公司，之后的股票收益是否也更好？修正后的筛查发现，研发指标排序与后续收益排序平均呈正相关：未来 20 个交易日的 Rank IC 为 4.85%，未来 220 日为 12.81%（原记录称为 77 个有效 20 日月度截面和 66 个有效 220 日月度截面）。这些百分数表示两种排序的相关程度，不是股票收益率。较长期窗口彼此重叠，历史财报版本也不完整，目前尚未证明这种关系能实际交易。", "period": "修正后的公告日期对齐研究：2020-01 至 2026-06；20 日结果有 77 个月度比较，220 日结果有 66 个", "source_note": "来源：修正后的公告日期对齐回放，vintage=20260926。来源分别报告了不同收益窗口的排序相关，并另做了一项 Top-200 交易模拟。历史财报修订版本和读取封存前瞻留出结果的资格仍未解决。延伸至 2019 年的早期年度重建是独立档案，不属于本页当前结果。", "columns": [ "因子变体", "20 日 Rank IC", "220 日 Rank IC" ], "rows": [ [ "研发 / 市值", "4.85%", "12.81%" ], [ "研发 / EV 代理", "4.71%", "12.62%" ], [ "五年衰减研发资本 / 市值", "5.00%", "13.08%" ], [ "完整风格中性残差", "2.00%", "5.99%" ], [ "研发 / 收入", "0.24%", "0.56%" ], [ "研发 / 资产", "0.55%", "1.89%" ], [ "研发增长", "-0.07%", "-2.57%" ] ], "findings": [ "另一次历史价格核查，在 3,894 只证券上标记了 10,825 个计划持仓价格检查点。70 条“因子 × 十分组”收益序列都至少有一个检查点缺少完整价格。这些标记不等于已确认的订单失败，也不算完成了组合验证。", "修正后的筛查中，未来 20 日结果有 77 个可用的月度比较，220 日结果有 66 个。每个月符合条件的股票数中位数分别约为 4,454 和 4,230 只。", "在这组探索性样本中，“研发 / 市值”和“五年衰减研发资本”对应的平均 Rank IC 为正。220 日观察窗口彼此重叠，相邻月份会共享部分未来收益日。", "从“研发 / 市值”排序中扣除与规模、估值、杠杆、动量和行业相关的部分后，剩下的关系较弱。这不能证明研发本身造成了更高收益，也不能证明它能赚钱交易。", "修正样本中的“研发 / 收入”“研发 / 资产”和“研发增长”没有显示稳定的正向排序关系。", "单独的固定 Top-200 平台探针（历史交易模拟）报告了 89 个持有区间：年化收益 12.70%、Sharpe 0.57、最大回撤 −25.75%，并假设单边模型成本为 25 个基点。这不是预先登记的十分组验证，也不是正式运行的组合。", "未来检验期定为 2026 年 10 月至 2027 年 9 月，目前仍封存；按登记原文，2026-10 至 2027-09 的前瞻最终 OOS 协议已封存，但性能读取仍被门槛阻止，结果尚未读取或发布。" ], "limits": [ "留存的历史资料没有包含投资者当时看到的每一版财报。研究已按公告日期对齐，但还不能确认所有历史数据都只使用当时已公开的版本；历史指数与行业生效时点也没有完全按点时核实。", "220 日观察窗口彼此重叠。Rank IC 只说明两种排序是否一起变化，不是收益。Top-200 模拟也不能证明订单能按假设价格成交，或已完整计入真实市场冲击。", "Top-200 模拟与预先登记的十分组验证是两项不同检查。封存的未来检验尚未通过读取绩效的准备门槛。", "延伸至 2019 年的早期年度档案来自单独的历史重建，不包含在上方修正后的当前结果中。", "2026-10-02 的输入核查补充了原始和调整后财报，并开始按实际采集日期留存版本。由于采集开始较晚，这无法还原严格的历史点时记录。研发未来检验期到 2027 年 9 月结束；长期结果还要等标签成熟，预计最早约在 2028 年复核。本次没有读取前瞻检验表现。", "较新的质量和相同样本对照使用的是早期重建数据。它们的样本数量和结果与修正后的当前研究分开呈现。" ] } }, "research_log": [ { "date": "2026-09-28", "stage": "初筛与问题定义", "stage_en": "Initial screen and question framing", "note": "从研发 / 市值线索出发，明确区分研发投入信息与市值分母带来的规模、估值暴露。", "note_en": "Started from the R&D/market-cap observation and separated the R&D signal question from size and valuation effects embedded in the denominator." }, { "date": "2026-09-29", "stage": "预先确定七种研发算法，并按财报公开日期检查", "stage_en": "Set seven R&D measures in advance and aligned them to report dates", "note": "先固定七种研发算法和 20／220 个后续交易日的收益观察期，再按财报公告日期确定每项信息从何时可用。每个月末比较一次，只展示汇总结果。", "note_en": "The seven R&D measures and 20/220-trading-day outcome windows were fixed first. Each input was then aligned to when its financial report became public. The study compares stocks at each month-end and displays aggregate results." }, { "date": "2026-09-29", "stage": "补记一段历史观察，不当作前瞻检验", "stage_en": "Recorded a past-period check, not a prospective test", "note": "补记 2026-04 至 2026-07 四个月中，按信号选出的最高十分之一股票的未扣成本收益；七种算法均为负。记录时间晚于同日预注册日志，现有材料不能证明这段数据事先封存，因此不称为前瞻或最终样本外检验。", "note_en": "A later note records the before-cost returns for the highest-ranked tenth of stocks from April through July 2026; all seven measures were negative. The note was written after the preregistration entry on the same day, and the available record cannot show that this period was sealed in advance. It is therefore not treated as a prospective or final out-of-sample test." }, { "date": "2026-09-30", "stage": "修正研发指标定义并重新计算", "stage_en": "Corrected the R&D measures and recalculated the results", "note": "修正按公告日期对齐的研发指标后，重新计算月度排序相关值和分组结果。旧版 Top-200 交易模拟、成本压力检查、CPCV 历史分割检验和未来留出没有随这次重算，因此结果仍属初步研究。", "note_en": "After correcting the announcement-date-aligned R&D measures, the monthly rank correlations and group results were recalculated. The older Top-200 simulation, cost checks, CPCV historical split checks, and future holdout were not rerun as part of this calculation, so the study remains preliminary." }, { "date": "2026-10-01", "stage": "将历史行情回补至 2015 并检查 PIT 覆盖", "stage_en": "Extended the historical replay to 2015 and audited PIT coverage", "note": "把历史行情延伸到 2015 年后，重新计算各月的排序相关值和分组结果。当时旧版 Top-200 模拟、成本检查、CPCV 历史分割检验和未来留出还未更新；后续检查记录在 2026-10-01。", "note_en": "After extending the historical prices back to 2015, the monthly rank correlations and group results were recalculated. The older Top-200 simulation, cost checks, CPCV split checks, and future holdout had not yet been updated; the later work is recorded on 2026-10-01." }, { "date": "2026-10-01", "stage": "检查交易成本、统计不确定性和市值分母影响", "stage_en": "Checked trading costs, statistical uncertainty, and the market-value denominator", "note": "同一份修正后样本另做了固定 Top-200 的成本对照，用 Newey–West／HAC 调整相邻月份可能相关带来的不确定性，并用 BH 方法校正同时比较多种结果的影响；也拆开检查研发费用和市值分母各自的关系。单独看时，较小市值的对应关系强于研发费用金额；结论仍属探索。另将 2026-10 至 2027-09 的未来检验期封存，等 220 日观察期结束后再评估。", "note_en": "The corrected sample was also used for a fixed Top-200 cost comparison. Newey–West/HAC adjusts uncertainty when neighboring months may be related; the BH method adjusts when many results are checked together. The analysis also separates the R&D amount from its market-value denominator. On its own, smaller company size has a stronger association than R&D expense. This remains exploratory. A future test period from October 2026 through September 2027 was also sealed until the 220-day outcomes mature." }, { "date": "2026-10-02", "stage": "执行与输入质量诊断", "stage_en": "Execution and input-quality diagnostics", "note": "补查年度持仓价格是否齐全、行业和其他比较字段是否存在，并在同一批公司上对照研发金额与市值影响；还人工核对了 10 份财报。找到的全天停牌记录帮助解释部分价格缺口，但仍没有完整的组合持有价格。较早历史扩展与当前修正结果分开，未来留出继续封存。", "note_en": "The review checked whether annual holding prices were present, whether industry and other comparison fields were available, and how R&D amount compared with company size on the same stocks. It also manually checked ten financial reports. Explicit full-day suspension records explain some missing prices, but the study still lacks complete prices throughout a portfolio holding period. The older historical extension remains separate, and the future holdout stays sealed." } ], "source_url": "research/rd-investment-method.html", "series": "fundamental", "market": "a_share", "method": [ "direct_factor_test", "cross_sectional_ranking", "portfolio_replay", "attribution", "robustness" ], "frequency": [ "monthly" ], "evidence_stage": "exploratory", "publication_id": "rd-investment", "source_ref": "doc:quant-research.research.rd-investment-relative-valuation", "exploration_asset": "data/study-exploration/rd-investment.json", "exploration_counts": { "steps": 8, "charts": 5 }, "evidence_summary": { "decision": "exploratory", "scope": { "en-US": "R&D numerator versus valuation and style exposure", "zh-CN": "研发分子与估值、风格暴露" }, "baseline": { "en-US": "R&D/market cap; scale and alternative denominators", "zh-CN": "研发/市值；规模与替代分母对照" }, "input_basis": { "en-US": "Announcement-event reconstruction; complete correction chain absent", "zh-CN": "公告事件重建，完整更正链缺失" }, "sample": { "en-US": "77 / 66 monthly sections at 20 / 220 sessions", "zh-CN": "20 / 220 日分别为 77 / 66 个月度截面" } }, "related_studies": [ { "study_id": "pb-roe", "kind": "shared_question", "rationale": { "en-US": "Both examine whether a fundamental input adds beyond a valuation denominator.", "zh-CN": "都检验基本面信息是否在估值分母之外增加信号。" } }, { "study_id": "employee-compensation", "kind": "shared_question", "rationale": { "en-US": "Labor and R&D inputs both require stock/flow and capitalization distinctions.", "zh-CN": "劳动与研发投入都须区分存量、流量及资本化。" } } ], "source_review_status": { "status": "matched", "checked_at": "2026-10-14T10:05:57+00:00" }, "navigation_asset": "data/study-navigation/rd-investment.json", "navigation_summary": { "run_id": "rd-diagnostics-20261002-v3", "reproduction_status": "partial", "decision": "exploratory", "negative_result": true, "resume_when": { "en-US": "Before using this as a portfolio, fill missing stock prices and exit values and verify which stocks qualified on each past date. Keep the future test sealed until its checks are ready.", "zh-CN": "用于组合之前，先补齐缺失股价和退出结算，并核实每个历史日期符合条件的股票。未来检验期在检查条件满足前继续封存。" }, "tasks": [ { "id": "rd-investment-qualification", "priority": "P0", "status": "blocked", "action": { "en-US": "Before treating this as a tradable portfolio, recover the missing prices and exit values and verify which stocks were eligible on each historical date. Keep the future test period sealed until its registered checks are ready.", "zh-CN": "要把结果用于真实组合之前，需要补齐缺失价格和退出结算，并核实每个历史日期哪些股票符合条件。未来检验期继续封存，等预先登记的检查条件满足后再看结果。" }, "acceptance": { "en-US": "Keep a dated, uneditable audit showing the missing prices, exit values and stock eligibility were resolved. If any gap remains, keep the study exploratory.", "zh-CN": "保留带日期且不可覆盖的审计记录，逐项证明缺失价格、退出结算和股票资格问题已解决；只要仍有缺口，研究结论就维持探索阶段。" } }, { "id": "rd-investment-paired-diagnostic", "priority": "P1", "status": "completed", "action": { "en-US": "Compare matched stocks and years, estimate how uncertain the differences are, and check results by year and company size. These are retrospective diagnostics.", "zh-CN": "在相同股票和年份上比较结果、估计差异的不确定性，并按年份和公司规模分组检查；这些都是回看历史数据的诊断。" }, "acceptance": { "en-US": "The recorded calculations and sample counts match the source files. Passing these checks does not show that the strategy can earn executable returns.", "zh-CN": "计算结果和样本数量与来源文件一致。通过这些检查仍不代表策略能产生实际可成交的收益。" } }, { "id": "rd-event-code-join", "priority": "P0", "status": "completed", "action": { "en-US": "Align explicit BSE suspension identities and preserve the original replay comparison.", "zh-CN": "对齐北交所明确停牌的代码，保留与原回放的对照。" }, "acceptance": { "en-US": "Same-date events only; one diagnostic completes and nine advance. No quote imputation or assumed settlement.", "zh-CN": "仅连接同日事件，1 条诊断完成，9 条推进。缺价与未知结算均保留。" } }, { "id": "rd-common-growth-calendar", "priority": "P1", "status": "completed", "action": { "en-US": "Run a separate common-start diagnostic from the first sufficiently covered growth month.", "zh-CN": "按研发增长首次覆盖充分的月份运行独立共同起点诊断。" }, "acceptance": { "en-US": "77 formations for all seven arms; growth has no missing formations but all ten growth sequences retain price gaps. Original twelve missing months remain missing.", "zh-CN": "七个变体均使用 77 个建仓月份。增长建仓完整，十条增长序列仍有价格缺口。原始缺失的十二个月继续保留。" } }, { "id": "rd-prospective-labels", "priority": "P1", "status": "waiting_labels", "action": { "en-US": "Keep the prospective October 2026–September 2027 holdout sealed.", "zh-CN": "继续封存 2026 年 10 月至 2027 年 9 月的前瞻留出。" }, "acceptance": { "en-US": "All registered labels must mature and independent evidence gates must pass before performance is read.", "zh-CN": "全部登记标签成熟、独立证据门槛通过后，才具备读取表现的资格。" } } ] } }, { "id": "fundamental-state-forecasting", "series": "fundamental", "market": "a_share", "method": [ "fundamental_state_forecast", "cross_sectional_ranking", "composite_score", "portfolio_replay", "robustness" ], "frequency": [ "quarterly", "annual" ], "evidence_stage": "retrospective_diagnostic", "publication_id": "fundamental-state-forecasting", "source_ref": "doc:quant-research.research.long-term-fundamental-v2", "status": "preliminary", "translations": { "zh-CN": { "title": "预测未来财务表现，能帮助选股吗", "family": "基本面预测与经营质量", "status_label": "回溯诊断", "summary": "我们想知道，提前预测公司的盈利能力、营收增长和现金流，能否帮助选股。已有实验中，沿用最新财报数值是很强的对照，复杂模型没有稳定超过它。10 月 14 日补跑的变化预测也没有显示一致优势，历史组合仍未证明预测信息能持续改善收益。", "period": "历史预测测试的财报所属期覆盖 2012 至 2025 年，各目标与期限范围不同。原实验运行于 2026 年 9 月 2 至 4 日，复核与变化实验运行于 10 月 14 日。", "source_note": "来源包括原始预测实验、10 月 14 日重新核算的历史输出和另行登记的变化预测实验。财务预测能力和股票收益分别检验。", "columns": [], "rows": [], "findings": [ "ROA 和毛利率的高低顺序较有持续性，沿用最新财报数值很难被超过。", "现金流的一季度两两排序有局部改善，41 个测试期赢了 22 个，其他期限没有保持。", "直接预测变化没有显示一致优势。历史净收益已经核对，期末回撤补入初始资金后更深。", "补齐财季后，现金流排序在第一、第二财季落后，第三、第四财季更好。单季盈利下降提醒中约 60.85% 猜对，实际下降只提醒到约 24.09%。" ], "limits": [ "公告日期重建仍缺少供应商完整历史版本，长周期标签存在重叠。新实验还保留会计极值与数值警告。", "营收、净利润绝对值预测已有独立专题，使用另一套目标与样本，需分别阅读。", "历史组合缺少同条件的当前基本面对照，资格、退市处理与实际成交仍待核实。结果属于历史诊断。", "旧的一季度预测漏掉第三财季，两季度预测只包含第一和第四财季，原因是月末日期匹配错误。旧数字保留，同时注明季度遗漏。" ] }, "en-US": { "title": "Fundamental-state forecasting: from financial predictions to cross-sectional selection", "family": "Fundamental forecasting and operating quality", "status_label": "Retrospective diagnostic", "summary": "We test whether forecasts of operating quality, growth and cash flow help stock selection. Carrying the latest reported value forward remains a strong control. Complex models show no stable advantage; the October 14 change-target pilot also shows no uniform improvement. Archived portfolio outputs do not establish a qualified return increment.", "period": "Tested source report periods span 2012 through 2025, with different coverage by target and horizon. Original runs were September 2–4, 2026; retained-output review and the change pilot ran October 14.", "source_note": "Original experiments plus the October 14 retained-output review and separately registered change-target pilot. Financial forecast skill and stock returns are evaluated separately.", "columns": [], "rows": [], "findings": [ "ROA and gross-margin ordering is persistent; carrying the latest reported value forward is hard to beat.", "Pairwise cash-flow ranking improves at 1Q, winning in 22 of 41 test formations; the other horizons do not retain the advantage.", "Direct change forecasts show no uniform advantage. Saved cumulative returns reconcile; boundary drawdown is deeper after including initial capital.", "A quarter-aware follow-up preserves all four fiscal quarters. The cash-flow lead is negative in Q1/Q2 and positive in Q3/Q4; one-point quarterly-profit decline flags have 60.85% precision but 24.09% recall." ], "limits": [ "Announcement-date reconstruction lacks a full provider vintage history; long-horizon labels overlap. The new pilot retains accounting extremes and numerical warnings.", "Absolute revenue and net-income forecasts have a separate study with different targets and samples; read its evidence independently.", "Archived portfolios lack a matched current-fundamental control; eligibility, terminal treatment and executable fills remain unqualified. This is retrospective evidence.", "The retained old 1Q panels omit Q3 and the old 2Q panels contain only Q1/Q4 because month-end matching failed. All original numbers remain as restricted-coverage diagnostics." ] } }, "exploration_asset": "data/study-exploration/fundamental-state-forecasting.json", "exploration_counts": { "steps": 4, "charts": 4 }, "evidence_summary": { "decision": "no_stable_increment", "scope": { "en-US": "Retained multi-target comparison; new target-specific improvements remain separate exploratory evidence", "zh-CN": "原有多指标历史对照，新指标的局部改善另列" }, "baseline": { "en-US": "Latest released state on matched test periods", "zh-CN": "相同测试期内沿用最新已公布数值" }, "input_basis": { "en-US": "Sealed current vintage; reconstructed announcement-time history", "zh-CN": "封存当期快照，按公告时点重建历史" }, "sample": { "en-US": "Separate retained annual/quarterly runs and eighteen new quarter-aware diagnostics", "zh-CN": "原有年频与季频实验，以及另行登记的 18 组完整财季检查" } }, "related_studies": [ { "study_id": "pb-roe", "kind": "method_extension", "rationale": { "en-US": "Current profitability versus predicted profitability provides two ways to test the valuation bridge.", "zh-CN": "当期盈利与预测盈利提供两种估值桥接检验。" } }, { "study_id": "absolute-level-forecast", "kind": "method_extension", "rationale": { "en-US": "The level-target pilot extends target selection while retaining persistence as the comparator.", "zh-CN": "绝对值目标试验扩展目标选择，继续保留持续性对照。" } }, { "study_id": "hk-fundamental-archive", "kind": "market_boundary", "rationale": { "en-US": "Both use financial forecasts and ranking; Hong Kong evidence cannot establish A-share transferability.", "zh-CN": "都使用财务预测与排序；港股证据不能证明 A 股迁移有效。" } }, { "study_id": "fundamental-family-shadow", "kind": "component_test", "rationale": { "en-US": "Forecasting operating states and adding quality/growth families test different parts of selection.", "zh-CN": "经营状态预测与加入质量、成长家族检验选股的不同环节。" } }, { "study_id": "employee-compensation", "kind": "shared_question", "rationale": { "en-US": "Accounting definitions and observation-time coverage must be settled before forecasting.", "zh-CN": "预测之前都需要核清会计定义与观察时间覆盖。" } } ], "source_review_status": { "status": "matched", "checked_at": "2026-10-14T10:05:57+00:00" }, "navigation_asset": "data/study-navigation/fundamental-state-forecasting.json", "navigation_summary": { "run_id": "common-fold-objectives-20260904", "reproduction_status": "partial", "decision": "no_stable_increment", "negative_result": true, "resume_when": { "en-US": "Demonstrate stable same-fold improvement over persistence and current fundamentals on separately qualified stock-return labels.", "zh-CN": "在同折、独立核实的股票收益标签上证明超过 persistence 与当前基本面的稳定增量。" }, "tasks": [ { "id": "fundamental-state-forecasting-retained-review", "priority": "P1", "status": "completed", "action": { "en-US": "Recompute corrected forecasts and audit archived return paths.", "zh-CN": "重新核算修正后的预测，检查历史收益路径。" }, "acceptance": { "en-US": "All 12 full-precision summaries reconcile; paired formation intervals and corrected initial-capital boundary drawdown are retained.", "zh-CN": "12 组完整精度汇总核对一致，保留按测试期配对的区间和补入初始资金的期末回撤。" } }, { "id": "fundamental-state-forecasting-change-pilot", "priority": "P1", "status": "completed", "action": { "en-US": "Compare numeric levels and changes with no-change and seasonal controls.", "zh-CN": "把水平预测和变化预测与零变化、去年同期对照比较。" }, "acceptance": { "en-US": "Four matched historical groups complete; accounting extremes, numerical warnings, undefined ranks and negative-change prevalence stay visible.", "zh-CN": "四组同样本历史实验完成，会计极值、数值警告和无法计算的排序相关保留，实际下降比例可查。" } }, { "id": "fundamental-state-forecasting-robustness", "priority": "P1", "status": "completed", "action": { "en-US": "Complete quarter-aware accounting and fixed decline-threshold diagnostics.", "zh-CN": "补齐财季，检查财报口径和事先固定的下降幅度。" }, "acceptance": { "en-US": "Eighteen registered groups retain raw and bounded errors, decline counts and prevalence. Cash ranking gains depend on fiscal quarter; no prospective or return promotion.", "zh-CN": "18 组检查保留原始误差、统一边界下的误差和下降记录。现金流优势随财季变化，仍待未来财报和收益对照检验。" } }, { "id": "fundamental-state-forecasting-qualification", "priority": "P1", "status": "blocked", "action": { "en-US": "Qualify historical eligibility, vintages, terminal events and execution before matched current-state, valuation and forecast return arms.", "zh-CN": "先核实历史资格、财报版本和退市处理，明确成交规则，再比较当前基本面、估值和预测的收益。" }, "acceptance": { "en-US": "A dated one-month audit checks 5,514 candidates, with six missing entry rows, six missing exit rows and twelve missing industry memberships. Suspension, eligibility, execution and terminal gates remain unresolved; retain the forward observed-vintage protocol.", "zh-CN": "一段有日期的检查覆盖 5,514 只股票，买入日和卖出日各缺 6 条行情，12 只缺行业记录。停牌、资格、成交和退市缺口仍待解决，未来观察方案已保留。" } } ] } }, { "id": "fundamental-family-shadow", "series": "fundamental", "market": "a_share", "method": [ "direct_factor_test", "cross_sectional_ranking", "composite_score", "portfolio_replay", "robustness" ], "frequency": [ "monthly", "quarterly", "annual" ], "evidence_stage": "retrospective_diagnostic", "publication_id": "fundamental-family-shadow", "source_ref": "doc:quant-research.research.fundamental-family-shadow", "status": "preliminary", "translations": { "zh-CN": { "title": "V/Q/G 基本面因子族：共同基线消融", "family": "价值、质量与成长", "status_label": "研究协议已定；家族结论待复核", "summary": "该实验把价值、质量和成长拆成可比较的因子族，并固定候选、日期、期限与组合臂，研究各家族及组合的增量。当前入口记录了设计和研究生命周期，但没有给出经过复核的家族级绩效结论。", "period": "回溯运行截至 2026-08-30", "source_note": "来源：A 股基本面特征族 Shadow 研究入口。公开摘要不复制未审定的逐次运行数字。", "columns": [], "rows": [], "findings": [ "共同基线设计有助于区分单个家族与组合信号的作用。", "本专题目前适合作为实验地图和消融协议，不作为 V/Q/G 组合有效性的证明。" ], "limits": [ "历史回放已参与研究选择，不是前瞻 OOS。", "来源 README 尚未形成经过复核的家族级结论，仍需补全证据复核。" ] }, "en-US": { "title": "V/Q/G fundamental families: common-baseline ablation", "family": "Value, quality, and growth", "status_label": "Protocol established; family verdict pending review", "summary": "This study separates value, quality, and growth into comparable factor families and fixes candidates, dates, horizons, and portfolio arms to evaluate incremental contributions. The current entry documents the design and lifecycle, but has no reviewed family-level performance verdict.", "period": "Retrospective runs through August 30, 2026", "source_note": "Source: the A-share fundamental-family Shadow study. This public summary omits unreviewed run-level performance figures.", "columns": [], "rows": [], "findings": [ "The common-baseline design helps separate individual family contributions from the combined score.", "This page is a research map and ablation protocol, not evidence that a V/Q/G portfolio is effective." ], "limits": [ "Historical runs participated in research selection and are not prospective OOS.", "The source README has no reviewed family-level verdict yet; evidence review remains open." ] } }, "exploration_asset": "data/study-exploration/fundamental-family-shadow.json", "exploration_counts": { "steps": 3, "charts": 0 }, "evidence_summary": { "decision": "protocol_only", "scope": { "en-US": "Value, quality and growth family ablation", "zh-CN": "价值、质量、成长家族消融" }, "baseline": { "en-US": "Shared baseline with overlapping valuation inputs removed", "zh-CN": "去掉重复估值输入的共同基线" }, "input_basis": { "en-US": "Availability and common-sample gates are part of the protocol", "zh-CN": "可见时间与共同样本门禁属于协议约束" }, "sample": { "en-US": "Protocol only; no reviewed family-performance table", "zh-CN": "仅协议；无已复核家族绩效表" } }, "related_studies": [ { "study_id": "fundamental-state-forecasting", "kind": "component_test", "rationale": { "en-US": "Forecasting operating states and adding quality/growth families test different parts of selection.", "zh-CN": "经营状态预测与加入质量、成长家族检验选股的不同环节。" } } ], "source_review_status": { "status": "matched", "checked_at": "2026-10-14T10:05:57+00:00" }, "navigation_asset": "data/study-navigation/fundamental-family-shadow.json", "navigation_summary": { "run_id": "fundamental_family_shadow_v1", "reproduction_status": "protocol_only", "decision": "protocol_only", "negative_result": false, "resume_when": { "en-US": "Recover and review family-level common-key receipts before publishing a performance verdict.", "zh-CN": "恢复并复核家族级共同样本回执，再发布绩效判断。" }, "tasks": [ { "id": "fundamental-family-shadow-qualification", "priority": "P1", "status": "ready", "action": { "en-US": "Recover and review family-level common-key receipts before publishing a performance verdict.", "zh-CN": "恢复并复核家族级共同样本回执，再发布绩效判断。" }, "acceptance": { "en-US": "Retain an immutable audit with the named evidence gap resolved; preserve the previous decision if the gate fails.", "zh-CN": "保留不可变审计并解决上述证据缺口；门槛未通过则保留原判断。" } } ] } }, { "id": "hk-fundamental-archive", "series": "fundamental", "market": "hong_kong", "method": [ "fundamental_state_forecast", "cross_sectional_ranking", "portfolio_replay", "attribution", "robustness" ], "frequency": [ "monthly", "quarterly" ], "evidence_stage": "historical_archive", "publication_id": "hk-fundamental-archive", "source_ref": "doc:quant-research.archive.hk-experiment-recovery-20260928", "status": "historical-reviewed", "translations": { "zh-CN": { "title": "港股基本面 PIT 研究：月频与季频历史归档", "family": "港股基本面预测、截面排序与组合诊断", "status_label": "历史归档", "summary": "归档覆盖纯基本面基线、目标变换、去除收益特征的变体、估值与现金流叠加、基准归因、股票池和市场阶段诊断。季频纯基本面三条模型线的完整测试段均为负，六个滚动前推窗口没有正收益；最近 Final OOS 的亮点不足以覆盖这些记录。", "period": "版本化笔记：2026-03-24 至 2026-04-20；月频与季频", "source_note": "来源：港股历史实验恢复索引和 26 篇分类笔记；冻结运行资产保存在仓库外。", "columns": [], "rows": [], "findings": [ "月频与季频记录了多种基本面目标、PIT 特征、市场阶段和组合构造问题。", "季频纯基本面完整测试段与滚动前推验证均较弱；近期窗口只能作为历史阶段观察。", "月频 no-return 变体在部分 IC 窗口改善，仍是归档候选。" ], "limits": [ "冻结资产可以校验完整性，但当前仓库不足以端到端复现全部数据与运行。", "港股结论只描述港股历史研究，不证明能够迁移到 A 股。" ] }, "en-US": { "title": "Hong Kong PIT fundamentals: archived monthly and quarterly studies", "family": "Hong Kong fundamental forecasts, ranking, and portfolio diagnostics", "status_label": "Historical archive", "summary": "The archive covers pure-fundamental baselines, target transforms, variants without return features, valuation and cash-flow overlays, benchmark attribution, universe checks, and regime diagnostics. All three quarterly pure-fundamental model arms had negative full-test returns, with no positive return across six walk-forward windows. A brighter recent final-OOS segment does not override that record.", "period": "Versioned notes: March 24–April 20, 2026; monthly and quarterly", "source_note": "Source: the Hong Kong experiment recovery index and its 26 classified notes. Frozen run assets remain outside this repository.", "columns": [], "rows": [], "findings": [ "Monthly and quarterly notes examine fundamental targets, PIT features, market regimes, and portfolio construction.", "The quarterly pure-fundamental full-test and walk-forward results were weak; recent-window results are historical regime observations.", "Monthly no-return variants improved selected IC windows but remain archived candidates." ], "limits": [ "The frozen assets can be integrity-checked, but the repository alone does not provide end-to-end reproduction of every data and run.", "Hong Kong findings describe historical Hong Kong research and do not establish transferability to A-shares." ] } }, "exploration_asset": "data/study-exploration/hk-fundamental-archive.json", "exploration_counts": { "steps": 3, "charts": 2 }, "evidence_summary": { "decision": "archived", "scope": { "en-US": "Monthly/quarterly targets, sector and regime attribution", "zh-CN": "月频、季频目标以及行业、阶段归因" }, "baseline": { "en-US": "Matched historical model and sector variants", "zh-CN": "匹配历史模型与行业变体" }, "input_basis": { "en-US": "Archived PIT notes; restored run integrity does not revalidate performance", "zh-CN": "归档 PIT 笔记；恢复完整性不等于绩效重新验证" }, "sample": { "en-US": "26 notes, March–April 2026; monthly and quarterly records separate", "zh-CN": "2026 年 3–4 月 26 篇笔记；月频与季频分别记录" } }, "related_studies": [ { "study_id": "fundamental-state-forecasting", "kind": "market_boundary", "rationale": { "en-US": "Both use financial forecasts and ranking; Hong Kong evidence cannot establish A-share transferability.", "zh-CN": "都使用财务预测与排序；港股证据不能证明 A 股迁移有效。" } } ], "source_review_status": { "status": "matched", "checked_at": "2026-10-14T10:05:57+00:00" }, "navigation_asset": "data/study-navigation/hk-fundamental-archive.json", "navigation_summary": { "run_id": "hk-archive-26-notes", "reproduction_status": "archive_partial", "decision": "archived", "negative_result": true, "resume_when": { "en-US": "Recover the exact frozen/latest snapshots and full test windows before revisiting recent-window highlights.", "zh-CN": "恢复精确冻结与最新快照及完整测试区间，再评估近期亮点。" }, "tasks": [ { "id": "hk-fundamental-archive-qualification", "priority": "P1", "status": "blocked", "action": { "en-US": "Recover the exact frozen/latest snapshots and full test windows before revisiting recent-window highlights.", "zh-CN": "恢复精确冻结与最新快照及完整测试区间，再评估近期亮点。" }, "acceptance": { "en-US": "Retain an immutable audit with the named evidence gap resolved; preserve the previous decision if the gate fails.", "zh-CN": "保留不可变审计并解决上述证据缺口；门槛未通过则保留原判断。" } } ] } }, { "id": "employee-compensation", "title": "员工现金支出：数据已核验，收益预测待检验", "family": "人力资本与劳动", "status": "hypothesis", "status_label": "研究假设", "summary": "2015—2025 年员工现金支出占营收中位数在全样本、行业匹配样本和固定队列中均上升。回溯筛查发现 43,589/59,167 条候选在重建信号日上市且非 ST，43,055 条另有行业匹配，但历史信号日没有已观测 PIT 版本。收益预测未检验。", "period": "输入报告期：2015 年一季度至 2026 年二季度；年度候选：2015—2025 年", "source_note": "新增四线年度对照为描述性会计比率；不代表工资或收益结论。尚未读取收益。", "columns": [], "rows": [], "findings": [ "59,167 条年度候选记录；行业匹配覆盖从 62.4% 增至 90.0%，构成会变化。", "全样本、行业匹配样本、L3 行业等权中位数及 3,749 家固定队列的现金支出/营收中位数均上升。", "6 个年度键的员工现金支出超过经营现金流出小计，需回查来源报表与映射。", "回溯资格筛查：43,589/59,167 条候选在重建信号日上市且非 ST；其中 43,055 条另有行业匹配。历史信号日没有已观测 PIT 版本。" ], "limits": [ "21 期已留存 PIT 快照均未映射员工现金支出或应付职工薪酬；早期历史属于重建 PIT。", "存储覆盖不代表历史股票池完整；固定队列也有幸存者和可得性偏差。", "现金支出不是工资或人均薪酬；尚无 Rank IC、分组收益或含成本回测。", "回溯上市、ST 和行业状态不等于当时真实可得的财报版本；没有历史信号日的映射 PIT 观测。" ], "translations": { "en-US": { "title": "Employee cash expenditure: inputs audited, return hypothesis untested", "family": "Human capital and labor", "status_label": "Research hypothesis", "summary": "From 2015–2025, median employee cash/revenue rose in all-company, dated-industry and fixed-cohort samples. A retrospective screen finds 43,589 of 59,167 candidates listed and non-ST on reconstructed signal dates; 43,055 also have industry matches, but none had an observed mapped PIT vintage at its signal date. Returns remain untested.", "period": "Input reports: 2015Q1–2026Q2; annual candidates: 2015–2025", "source_note": "The four-line annual comparison shows descriptive accounting ratios, not wage or return conclusions. No returns were read.", "columns": [], "rows": [], "findings": [ "59,167 annual candidates; dated-industry coverage rises from 62.4% to 90.0%, so composition changes.", "Cash/revenue medians rise in the all-company, dated-industry, equal-weight L3-industry and 3,749-company fixed-cohort samples.", "Six annual keys have employee cash exceeding operating cash outflows and need source-statement reconciliation.", "Retrospective eligibility screen: 43,589/59,167 candidates were listed and non-ST on reconstructed signal dates; 43,055 also had industry matches. No candidate had an observed mapped PIT vintage at its signal date." ], "limits": [ "All 21 retained PIT snapshots lack mapped employee cash and payroll-payable fields; earlier history is reconstructed PIT.", "Stored coverage does not establish historical universe completeness; even the fixed cohort has survivorship and availability bias.", "Cash expenditure is not wages or per-worker pay; no Rank IC, grouped returns or costed backtest is available.", "Reconstructed listing, ST and industry states do not establish contemporaneous financial availability; no mapped PIT vintage was observed at historical signal dates." ] } }, "series": "fundamental", "market": "a_share", "method": [ "direct_factor_test" ], "frequency": [ "annual" ], "evidence_stage": "hypothesis", "publication_id": "employee-compensation", "source_ref": "doc:quant-research.research.fundamental-research-series", "exploration_asset": "data/study-exploration/employee-compensation.json", "exploration_counts": { "steps": 8, "charts": 4 }, "evidence_summary": { "decision": "hypothesis", "scope": { "en-US": "Labor flow and workforce measurement", "zh-CN": "劳动流量与员工人数度量" }, "baseline": { "en-US": "Proposed industry/size controls; no predictive baseline run", "zh-CN": "拟用行业、规模控制；预测基线尚未运行" }, "input_basis": { "en-US": "Completed stored-disclosure and annual-construction audit; original versions and historical workforce remain unqualified.", "zh-CN": "已完成存储披露与年度指标构建审计；原始版本及历史人数序列仍未核实。" }, "sample": { "en-US": "59,167 annual snapshot records, 2015–2025; no predictive sample.", "zh-CN": "2015—2025 年共有 59,167 条年度快照记录，尚无预测检验样本。" } }, "related_studies": [ { "study_id": "fundamental-state-forecasting", "kind": "shared_question", "rationale": { "en-US": "Accounting definitions and observation-time coverage must be settled before forecasting.", "zh-CN": "预测之前都需要核清会计定义与观察时间覆盖。" } }, { "study_id": "rd-investment", "kind": "shared_question", "rationale": { "en-US": "Labor and R&D inputs both require stock/flow and capitalization distinctions.", "zh-CN": "劳动与研发投入都须区分存量、流量及资本化。" } } ], "source_review_status": { "status": "matched", "checked_at": "2026-10-14T13:08:13+00:00" }, "navigation_asset": "data/study-navigation/employee-compensation.json", "navigation_summary": { "run_id": "employee-cash-eligibility-20261015-v2", "reproduction_status": "artifact_verified", "decision": "hypothesis", "negative_result": false, "resume_when": { "en-US": "After reconciling the six subtotal exceptions and qualifying original versions and historical eligibility, do the candidates add predictive information beyond matched controls?", "zh-CN": "核对 6 个小计异常并核验原始版本和历史资格后，这些指标能否在匹配控制变量之外提供预测信息？" }, "tasks": [ { "id": "employee-compensation-qualification", "priority": "P0", "status": "completed", "action": { "en-US": "Audit stored flow and payable population; build annual candidates without current-headcount backfill.", "zh-CN": "审计已存现金流量和应付余额覆盖，构建年度候选指标，不回填当前员工人数。" }, "acceptance": { "en-US": "Retained hashed input audit, duplicate/conflict accounting, annual common samples and disclosure limitations; no returns read.", "zh-CN": "已保留输入哈希、重复及冲突统计、年度共同样本与披露限制，没有读取收益。" } }, { "id": "employee-original-availability", "priority": "P0", "status": "blocked", "action": { "en-US": "Qualify original financial versions, historical eligibility and dated industry/size/valuation/profitability controls.", "zh-CN": "核验原始财报版本、历史资格及带时点的行业、规模、估值和盈利能力控制变量。" }, "acceptance": { "en-US": "An immutable formation panel respects actual observed availability and historical eligibility; unresolved vintage history keeps the return gate closed.", "zh-CN": "不可变形成样本须满足真实观测可见时间和历史资格，版本链未解决则不开放收益检验。" } }, { "id": "employee-retrospective-eligibility-screen", "priority": "P0", "status": "completed", "action": { "en-US": "Aggregate reconstructed listing, ST, dated-industry and observed-PIT-at-signal coverage without reading returns.", "zh-CN": "在不读取收益的前提下，汇总重建上市、ST、带日期行业及信号日 PIT 观测覆盖。" }, "acceptance": { "en-US": "Immutable aggregate-only audit with verified input hashes and an explicit no-historical-PIT finding.", "zh-CN": "保留不可变汇总审计和输入哈希核验，并明确记录历史信号日无 PIT 观测。" } }, { "id": "employee-predictive-test", "priority": "P1", "status": "blocked", "action": { "en-US": "Run the registered four-candidate common-sample return diagnostic after input qualification.", "zh-CN": "输入核验通过后，运行已登记的四项候选指标共同样本收益诊断。" }, "acceptance": { "en-US": "Report every candidate against matched controls, annual stability and serial-dependence-aware uncertainty. Portfolio evidence needs separate cost and execution qualification.", "zh-CN": "每项指标均须对照共同控制变量，报告年度稳定性及考虑序列相关性的区间；组合证据另需成本与执行核验。" } }, { "id": "employee-source-review", "priority": "P1", "status": "completed", "action": { "en-US": "Review the series overview and new employee cash input audit while retaining the untested return hypothesis.", "zh-CN": "复核系列总览及新增员工现金支出输入审计，收益假设保持未检验。" }, "acceptance": { "en-US": "Reviewed input coverage, annual construction and aggregate distributions; original financial versions and historical workforce remain unqualified. No predictive results were added.", "zh-CN": "已复核输入覆盖、年度指标构建和汇总分布；原始财报版本与历史人数仍未核验，没有新增预测结果。" } } ] } }, { "id": "absolute-level-forecast", "series": "fundamental", "market": "a_share", "method": [ "fundamental_state_forecast", "cross_sectional_ranking", "portfolio_replay", "robustness" ], "frequency": [ "annual" ], "evidence_stage": "retrospective_diagnostic", "publication_id": "absolute-level-forecast", "source_ref": "doc:quant-research.research.fundamental-state-forecasting", "status": "exploratory", "translations": { "en-US": { "title": "Absolute revenue and net-income forecasts: a selection pilot", "family": "Fundamental forecasting and cross-sectional selection", "status_label": "Retrospective pilot", "summary": "An audited annual PIT sample of 32,339 common rows forecasts next-year revenue and consolidated net-income levels, then compares top-decile screens. Persistence has lower transformed MAE than Ridge and XGBoost in all six comparisons; XGBoost net-income RankIC gains are tiny and selection results vary across years.", "period": "Formation cohorts 2020–2025; forecast and one-year return folds 2023–2025", "source_note": "Annual event-PIT panel vintage 20260802, outcomes as of 20260831. Net income is consolidated n_income including minority interests, not parent-attributable income. Market-cap inputs use data on or before formation. Provider revisions, outcome coverage, and delisting eligibility are incomplete; this is retrospective, not strict final OOS.", "columns": [ "Diagnostic", "2023", "2024", "2025" ], "rows": [ [ "Revenue persistence transformed MAE", "0.097", "0.091", "0.087" ], [ "Revenue Ridge transformed MAE", "0.418", "0.407", "0.413" ], [ "Revenue XGBoost transformed MAE / RankIC", "0.124 / 0.973", "0.112 / 0.979", "0.107 / 0.979" ], [ "Net-income persistence transformed MAE", "0.573", "0.514", "0.451" ], [ "Net-income Ridge transformed MAE", "0.814", "0.817", "0.770" ], [ "Net-income XGBoost transformed MAE / RankIC", "0.594 / 0.755", "0.570 / 0.791", "0.529 / 0.834" ], [ "Market-cap top-decile excess", "8.0%", "-37.9%", "5.0%" ], [ "Current absolute composite top-decile excess", "10.1%", "-46.5%", "2.1%" ], [ "Persistence forecast rank top-decile excess", "10.1%", "-46.4%", "2.1%" ], [ "Ridge forecast rank top-decile excess", "8.7%", "-45.2%", "2.8%" ], [ "XGBoost forecast rank top-decile excess", "10.0%", "-46.1%", "2.7%" ], [ "Current financial yield top-decile excess", "8.9%", "-34.7%", "0.3%" ], [ "Ridge forecast yield top-decile excess", "16.4%", "41.8%", "-7.4%" ], [ "XGBoost forecast yield top-decile excess", "13.3%", "-25.0%", "0.1%" ] ], "findings": [ "Persistence has lower transformed MAE than both learned models in all six target-year comparisons.", "XGBoost net-income RankIC is only 0.002–0.005 above persistence; this small ranking increment does not establish stock-return alpha.", "The three annual selection windows disagree; Ridge forecast-yield excess reverses in 2025 and XGBoost forecast-yield excess is positive only in 2023." ], "limits": [ "Only three annual forecast/return folds are available; provider revision history, outcome-panel coverage, and all-market delisting eligibility are incomplete.", "Price returns use adjusted-close proxies, a price-complete survivor subset, no dividends or delisting recovery, and fixed 25 bp one-way modeled costs.", "Selection screens are not industry-, size-, liquidity-, or benchmark-risk controlled and are not a mature portfolio replay.", "The 2026-10-02 input audit supplemented original and adjusted statements and implemented retrieval-time-bounded version retention. These later observations cannot certify strict historical PIT. The frozen R&D window runs through September 2027 and all long-horizon labels must mature before performance is unsealed, approximately in 2028. No frozen performance was read." ] }, "zh-CN": { "title": "营收与净利润绝对值预测：截面选股试验", "family": "基本面预测与截面选股", "status_label": "回溯试验", "summary": "在 32,339 个共同样本的年度 PIT 试验中预测下一年营收和合并净利润绝对值，再比较 Top Decile 选股。Persistence 在六个目标年比较中的变换 MAE 均优于 Ridge 与 XGBoost；XGBoost 净利润 RankIC 增量很小，年度选股结果差异明显。", "period": "2020–2025 形成批次；2023–2025 预测与一年收益留出折", "source_note": "年度公告事件 PIT 面板 vintage=20260802，结果快照 as_of=20260831。净利润为包含少数股东损益的合并 n_income，不是归母净利润。市值取形成日及之前数据。供应商修订、结果覆盖和退市资格审计不完整；这是回溯研究，不是严格最终 OOS。", "columns": [ "诊断指标", "2023", "2024", "2025" ], "rows": [ [ "营收 persistence 变换 MAE", "0.097", "0.091", "0.087" ], [ "营收 Ridge 变换 MAE", "0.418", "0.407", "0.413" ], [ "营收 XGBoost 变换 MAE / RankIC", "0.124 / 0.973", "0.112 / 0.979", "0.107 / 0.979" ], [ "净利润 persistence 变换 MAE", "0.573", "0.514", "0.451" ], [ "净利润 Ridge 变换 MAE", "0.814", "0.817", "0.770" ], [ "净利润 XGBoost 变换 MAE / RankIC", "0.594 / 0.755", "0.570 / 0.791", "0.529 / 0.834" ], [ "市值 Top Decile 超额", "8.0%", "-37.9%", "5.0%" ], [ "当前绝对值组合 Top Decile 超额", "10.1%", "-46.5%", "2.1%" ], [ "Persistence 预测排名 Top Decile 超额", "10.1%", "-46.4%", "2.1%" ], [ "Ridge 预测排名 Top Decile 超额", "8.7%", "-45.2%", "2.8%" ], [ "XGBoost 预测排名 Top Decile 超额", "10.0%", "-46.1%", "2.7%" ], [ "当前财务收益率 Top Decile 超额", "8.9%", "-34.7%", "0.3%" ], [ "Ridge 预测收益率 Top Decile 超额", "16.4%", "41.8%", "-7.4%" ], [ "XGBoost 预测收益率 Top Decile 超额", "13.3%", "-25.0%", "0.1%" ] ], "findings": [ "六个目标年比较中，persistence 的变换 MAE 均低于两种学习模型。", "XGBoost 净利润 RankIC 只比 persistence 高 0.002–0.005；如此微弱的排序增量不能证明股票收益 Alpha。", "三个年度选股窗口结论不一致；Ridge 预测收益率超额于 2025 年反转，XGBoost 预测收益率超额只有 2023 年为正。" ], "limits": [ "只有三个年频预测 / 收益留出折；供应商修订历史、结果面板覆盖和全市场退市样本资格尚不完整。", "收益使用复权收盘价代理，限于价格完整股票；不含股息或退市回收，成本只按单边 25bp 固定值估算。", "选股未控制行业、规模、流动性或基准风险，也不是成熟组合回放。", "2026-10-02 输入审计补齐了原始与调整后报表，并实现受实际采集时间约束的版本留存。这些后来采集的数据不能证明严格历史 PIT。R&D 冻结窗口持续至 2027 年 9 月，需等全部长期标签成熟后才能解封，约在 2028 年。本次未读取冻结表现。" ] } }, "exploration_asset": "data/study-exploration/absolute-level-forecast.json", "exploration_counts": { "steps": 3, "charts": 3 }, "evidence_summary": { "decision": "no_stable_increment", "scope": { "en-US": "Absolute financial forecasts and valuation bridge", "zh-CN": "财务绝对值预测与估值桥接" }, "baseline": { "en-US": "Persistence for forecasts; current financial yield for selection", "zh-CN": "预测对照持续性，选股对照当期财务收益率" }, "input_basis": { "en-US": "Reconstructed history; later revisions and surviving-universe limits", "zh-CN": "重建历史；后来修订与幸存股票池限制" }, "sample": { "en-US": "32,339 common rows; three annual test folds, 2023–2025", "zh-CN": "32,339 个共同样本；2023–2025 三个年度折" } }, "related_studies": [ { "study_id": "fundamental-state-forecasting", "kind": "method_extension", "rationale": { "en-US": "The level-target pilot extends target selection while retaining persistence as the comparator.", "zh-CN": "绝对值目标试验扩展目标选择，继续保留持续性对照。" } }, { "study_id": "pb-roe", "kind": "shared_question", "rationale": { "en-US": "Both require separating firm scale, current valuation and the proposed financial increment.", "zh-CN": "都须分开公司规模、当期估值与拟检验财务增量。" } } ], "source_review_status": { "status": "matched", "checked_at": "2026-10-14T10:05:57+00:00" }, "navigation_asset": "data/study-navigation/absolute-level-forecast.json", "navigation_summary": { "run_id": "20261002-final-v4", "reproduction_status": "artifact_verified", "decision": "no_stable_increment", "negative_result": true, "resume_when": { "en-US": "Add qualified historical revisions, industry and market-cap controls, longer cohorts and delisting-aware returns before promotion.", "zh-CN": "先补充可靠历史版本、行业与市值控制、更长样本和退市感知收益，再考虑升级。" }, "tasks": [ { "id": "absolute-level-forecast-qualification", "priority": "P0", "status": "blocked", "action": { "en-US": "Add qualified historical revisions, industry and market-cap controls, longer cohorts and delisting-aware returns before promotion.", "zh-CN": "先补充可靠历史版本、行业与市值控制、更长样本和退市感知收益，再考虑升级。" }, "acceptance": { "en-US": "Retain an immutable audit with the named evidence gap resolved; preserve the previous decision if the gate fails.", "zh-CN": "保留不可变审计并解决上述证据缺口；门槛未通过则保留原判断。" } }, { "id": "absolute-level-forecast-paired-diagnostic", "priority": "P1", "status": "completed", "action": { "en-US": "Paired uncertainty, annual / size slices and calibration retained under the fixed retrospective follow-up.", "zh-CN": "已按固定回溯方案保留配对不确定性、年度／规模切片与校准记录。" }, "acceptance": { "en-US": "Hashes and original cohort/metric reproduction checks passed; no executable return claim.", "zh-CN": "哈希与原始样本／指标复现检查通过，不声称可执行收益。" } } ] } } ], "series": [ { "id": "fundamental", "source_ref": "doc:quant-research.research.fundamental-research-series", "publication_id": "fundamental-series", "publication_status": "reviewed_aggregate", "candidate_count": 23, "candidate_href": "fundamentals", "study_ids": [ "pb-roe", "rd-investment", "fundamental-state-forecasting", "fundamental-family-shadow", "hk-fundamental-archive", "employee-compensation", "absolute-level-forecast" ], "translations": { "en-US": { "title": "Fundamental research across factors and markets", "summary": "A source-linked map of R&D investment, value and quality, cash flow, operating-state forecasts, historical Hong Kong experiments, and a pilot of absolute financial-level forecasts.", "scope": "The public factor catalog lists 23 fundamental and human-capital candidates. Catalog inclusion describes a research question; it does not mean the factor has passed validation.", "evidence_boundary": "Forecast accuracy, cross-sectional ranking, and executable portfolio returns are separate evidence stages. Historical Hong Kong findings remain market-specific and do not establish A-share transferability." }, "zh-CN": { "title": "跨因子与市场的基本面研究", "summary": "按来源串联研发投入、价值与质量、现金流、经营状态预测、港股历史实验，以及一项财务绝对值预测试验。", "scope": "公开因子目录列出 23 个基本面与人力资本候选。进入目录表示有研究问题，不代表因子已通过验证。", "evidence_boundary": "预测准确度、截面排序能力和可执行组合收益属于不同证据阶段。港股历史发现只适用于对应市场，不能据此认定可迁移到 A 股。" } }, "candidate_coverage": { "catalog_source": "fundamental-factor-catalog.json", "status": "catalog_hypothesis_only", "candidate_ids": [ "asset_impairment_stability", "cash_to_market_value_zscore", "comprehensive_income_yield_zscore", "finance_expense_ratio_improvement", "income_tax_yield_zscore_120", "income_tax_zscore_120", "income_tax_zscore_250", "invest_income_yield_zscore", "labor_cost_growth", "labor_cost_intensity", "labor_efficiency", "labor_intensity_investment_state", "negative_earnings_yield_cv_120", "negative_roa_cv_250", "negative_roa_exp_mean_120", "negative_roe_exp_mean_750", "operating_earnings_yield_zscore", "operating_profit_acceleration", "operating_profit_yoy_zscore", "other_gain_yield_zscore", "revenue_minus_labor_cost_growth", "revenue_zscore", "standardized_operating_profit" ], "candidate_level_predictive_validation_ids": [] } } ], "research_hub": { "schema_version": "observatory.research_hub.v1", "reviewed_at": "2026-10-02", "comparison_groups": [ { "id": "pb-excess", "study_id": "pb-roe", "chart_id": "return", "mode": "variants", "baseline_id": "0", "series_ids": null, "direction": "higher", "reviewed_at": "2026-10-02", "label": { "en-US": "PB/ROE: excess return", "zh-CN": "PB/ROE：超额收益" }, "scope": { "en-US": "Same historical eligible pool, date window and annualized excess metric.", "zh-CN": "同一历史候选池、日期窗口与年化超额指标。" } }, { "id": "pb-ir", "study_id": "pb-roe", "chart_id": "ir", "mode": "variants", "baseline_id": "0", "series_ids": null, "direction": "higher", "reviewed_at": "2026-10-02", "label": { "en-US": "PB/ROE: information ratio", "zh-CN": "PB/ROE：信息比率" }, "scope": { "en-US": "Same eligible pool and information-ratio definition; not strategy Sharpe.", "zh-CN": "同一候选池与信息比率定义；不是策略夏普。" } }, { "id": "rd-20", "study_id": "rd-investment", "chart_id": "variants", "mode": "variants", "baseline_id": "0", "series_ids": [ "20" ], "direction": "higher", "reviewed_at": "2026-10-02", "label": { "en-US": "R&D: 20-session Rank IC", "zh-CN": "研发：20 日 Rank IC" }, "scope": { "en-US": "Same corrected monthly sample within the 20-session label; not a comparison across label lengths.", "zh-CN": "同一修正月度样本内的 20 日标签；不跨标签长度比较。" } }, { "id": "rd-220", "study_id": "rd-investment", "chart_id": "variants", "mode": "variants", "baseline_id": "0", "series_ids": [ "220" ], "direction": "higher", "reviewed_at": "2026-10-02", "label": { "en-US": "R&D: 220-session Rank IC", "zh-CN": "研发：220 日 Rank IC" }, "scope": { "en-US": "Same corrected monthly sample within the 220-session label; not a comparison across label lengths.", "zh-CN": "同一修正月度样本内的 220 日标签；不跨标签长度比较。" } }, { "id": "forecast-roa", "study_id": "fundamental-state-forecasting", "chart_id": "roa", "mode": "models", "baseline_id": "persistence", "series_ids": null, "direction": "higher", "reviewed_at": "2026-10-02", "label": { "en-US": "ROA forecast objectives", "zh-CN": "ROA预测目标" }, "scope": { "en-US": "Same corrected target panel and model folds within the selected horizon.", "zh-CN": "同一修正目标面板与模型折，在所选期限内比较。" } }, { "id": "forecast-margin", "study_id": "fundamental-state-forecasting", "chart_id": "margin", "mode": "models", "baseline_id": "persistence", "series_ids": null, "direction": "higher", "reviewed_at": "2026-10-02", "label": { "en-US": "Gross margin forecast objectives", "zh-CN": "毛利率预测目标" }, "scope": { "en-US": "Same corrected target panel and model folds within the selected horizon.", "zh-CN": "同一修正目标面板与模型折，在所选期限内比较。" } }, { "id": "forecast-growth", "study_id": "fundamental-state-forecasting", "chart_id": "growth", "mode": "models", "baseline_id": "persistence", "series_ids": null, "direction": "higher", "reviewed_at": "2026-10-02", "label": { "en-US": "Revenue growth forecast objectives", "zh-CN": "营收增长预测目标" }, "scope": { "en-US": "Same corrected target panel and model folds within the selected horizon.", "zh-CN": "同一修正目标面板与模型折，在所选期限内比较。" } }, { "id": "forecast-cash-conversion", "study_id": "fundamental-state-forecasting", "chart_id": "cash-conversion", "mode": "models", "baseline_id": "persistence", "series_ids": null, "direction": "higher", "reviewed_at": "2026-10-02", "label": { "en-US": "Cash conversion forecast objectives", "zh-CN": "现金转化预测目标" }, "scope": { "en-US": "Same corrected target panel and model folds within the selected horizon.", "zh-CN": "同一修正目标面板与模型折，在所选期限内比较。" } }, { "id": "absolute-revenue-error", "study_id": "absolute-level-forecast", "chart_id": "revenue-error", "mode": "models", "baseline_id": "persistence", "series_ids": null, "direction": "lower", "reviewed_at": "2026-10-02", "label": { "en-US": "Revenue forecast error", "zh-CN": "营收预测误差" }, "scope": { "en-US": "Same common annual cohort within the selected test year; no cross-target MAE comparison.", "zh-CN": "同一年度共同样本，在所选测试年内比较；不跨目标比较 MAE。" } }, { "id": "absolute-income-error", "study_id": "absolute-level-forecast", "chart_id": "income-error", "mode": "models", "baseline_id": "persistence", "series_ids": null, "direction": "lower", "reviewed_at": "2026-10-02", "label": { "en-US": "Net-income forecast error", "zh-CN": "净利润预测误差" }, "scope": { "en-US": "Same common annual cohort within the selected test year; no cross-target MAE comparison.", "zh-CN": "同一年度共同样本，在所选测试年内比较；不跨目标比较 MAE。" } }, { "id": "absolute-selection", "study_id": "absolute-level-forecast", "chart_id": "selection", "mode": "models", "baseline_id": "current", "series_ids": null, "direction": "higher", "reviewed_at": "2026-10-02", "label": { "en-US": "Forecast yield selection", "zh-CN": "预测收益率选股" }, "scope": { "en-US": "Same common annual cohort within the selected test year; no cross-target MAE comparison.", "zh-CN": "同一年度共同样本，在所选测试年内比较；不跨目标比较 MAE。" } } ], "change_entries": [ { "id": "pb-roe-1", "kind": "refinement", "period": { "en-US": "Historical comparison", "zh-CN": "历史对照" }, "before": { "en-US": "ROE could complement low PB.", "zh-CN": "ROE 可能补充低 PB。" }, "trigger": { "en-US": "Same-pool ranking removes eligibility differences.", "zh-CN": "共同池排序排除入选差异。" }, "after": { "en-US": "Static ROE did not improve the PB comparator in this history.", "zh-CN": "静态 ROE 在本历史对照中没有改善 PB。" }, "source_ids": [ "overview" ], "study_id": "pb-roe", "source_ref": "doc:quant-research.strategy.pb-roe-value-quality" }, { "id": "rd-investment-1", "kind": "boundary", "period": { "en-US": "2026-09-30", "zh-CN": "2026-09-30" }, "before": { "en-US": "Raw R&D/market-cap correlation could be read as an R&D premium.", "zh-CN": "原始研发/市值相关性可能被解释为研发溢价。" }, "trigger": { "en-US": "Style controls and alternate scales weaken the signal.", "zh-CN": "风格控制与替代尺度使信号减弱。" }, "after": { "en-US": "Retain an exploratory valuation-linked signal; independence is unresolved.", "zh-CN": "保留探索性估值相关信号，独立性未解决。" }, "source_ids": [ "overview" ], "study_id": "rd-investment", "source_ref": "doc:quant-research.research.rd-investment-relative-valuation" }, { "id": "rd-investment-2", "kind": "pending_evidence", "period": { "en-US": "2026-10-01–2026-10-02", "zh-CN": "2026-10-01–2026-10-02" }, "before": { "en-US": "A frozen protocol could appear ready to evaluate immediately.", "zh-CN": "冻结协议可能看起来可以立即评估。" }, "trigger": { "en-US": "The prospective window and long labels have not matured.", "zh-CN": "前瞻窗口与长期标签尚未成熟。" }, "after": { "en-US": "The holdout remains sealed; no performance reading is authorized by this display.", "zh-CN": "留出仍封存；本次呈现不赋予读取表现的资格。" }, "source_ids": [ "overview" ], "study_id": "rd-investment", "source_ref": "doc:quant-research.research.rd-investment-relative-valuation" }, { "id": "fundamental-state-forecasting-1", "kind": "correction", "period": { "en-US": "2026-09-04", "zh-CN": "2026-09-04" }, "before": { "en-US": "An initial persistence result had an impossible Rank IC of 1.", "zh-CN": "最初 persistence 结果出现不合理的 Rank IC=1。" }, "trigger": { "en-US": "The baseline incorrectly read future values; the run was corrected.", "zh-CN": "基线错误读取未来值，运行随后修正。" }, "after": { "en-US": "Exclude the invalid run and use corrected current-state baselines only.", "zh-CN": "排除无效运行，仅使用修正的当期状态基线。" }, "source_ids": [ "objectives" ], "study_id": "fundamental-state-forecasting", "source_ref": "doc:quant-research.research.long-term-fundamental-v2" }, { "id": "fundamental-state-forecasting-2", "kind": "negative_evidence", "period": { "en-US": "2026-09-04", "zh-CN": "2026-09-04" }, "before": { "en-US": "One annual panel showed a positive net-profit-growth model increment.", "zh-CN": "一个年度面板显示正向净利润增速模型增量。" }, "trigger": { "en-US": "Later common-fold objectives did not show a stable learned-model advantage.", "zh-CN": "后续共同折目标对照没有显示稳定学习模型优势。" }, "after": { "en-US": "The early observation remains recorded without model or portfolio promotion.", "zh-CN": "保留早期观察，不提升模型或组合资格。" }, "source_ids": [ "overview" ], "study_id": "fundamental-state-forecasting", "source_ref": "doc:quant-research.research.long-term-fundamental-v2" }, { "id": "fundamental-family-shadow-1", "kind": "protocol", "period": { "en-US": "Pending results", "zh-CN": "结果待复核" }, "before": { "en-US": "Combining useful-looking families might seem sufficient.", "zh-CN": "组合看似有用的家族可能显得已经足够。" }, "trigger": { "en-US": "A protocol and common keys exist, but reviewed family performance does not.", "zh-CN": "已有协议与共同键，但尚无已复核家族绩效。" }, "after": { "en-US": "Keep family effectiveness unproven until the ablation is reviewed.", "zh-CN": "消融复核之前，家族有效性仍未证明。" }, "source_ids": [ "overview" ], "study_id": "fundamental-family-shadow", "source_ref": "doc:quant-research.research.fundamental-family-shadow" }, { "id": "hk-fundamental-archive-1", "kind": "negative_evidence", "period": { "en-US": "2026-03–2026-04", "zh-CN": "2026-03–2026-04" }, "before": { "en-US": "Recent final-window highlights looked promising.", "zh-CN": "近期最终窗口亮点较好。" }, "trigger": { "en-US": "Full quarterly tests and all six walk-forward windows were weak.", "zh-CN": "完整季频测试及六个前推窗口均弱。" }, "after": { "en-US": "Recent performance is a regime observation and does not replace the full record.", "zh-CN": "近期表现是阶段观察，不能替换完整记录。" }, "source_ids": [ "quarter" ], "study_id": "hk-fundamental-archive", "source_ref": "doc:quant-research.archive.hk-experiment-recovery-20260928" }, { "id": "hk-fundamental-archive-2", "kind": "refinement", "period": { "en-US": "2026-04-13", "zh-CN": "2026-04-13" }, "before": { "en-US": "Financial-only active return appeared strongest.", "zh-CN": "仅金融组主动收益看似最强。" }, "trigger": { "en-US": "The same monthly diagnostic reports negative financial-only IC.", "zh-CN": "同一月频诊断记录仅金融组 IC 为负。" }, "after": { "en-US": "Retain sector and concentration attribution; do not infer a superior ranking signal.", "zh-CN": "保留行业与集中度归因，不推断更优排序信号。" }, "source_ids": [ "monthly" ], "study_id": "hk-fundamental-archive", "source_ref": "doc:quant-research.archive.hk-experiment-recovery-20260928" }, { "id": "employee-compensation-1", "kind": "definition", "period": { "en-US": "Definition review", "zh-CN": "定义核对" }, "before": { "en-US": "Employee compensation payable might proxy current wages.", "zh-CN": "应付职工薪酬可能被当作当期工资代理。" }, "trigger": { "en-US": "The field is a period-end liability balance.", "zh-CN": "该字段为期末负债余额。" }, "after": { "en-US": "Require expense flows and workforce coverage before a predictive test.", "zh-CN": "预测检验前须取得费用流量与员工人数覆盖。" }, "source_ids": [ "overview" ], "study_id": "employee-compensation", "source_ref": "doc:quant-research.research.fundamental-research-series" }, { "id": "absolute-level-forecast-1", "kind": "negative_evidence", "period": { "en-US": "2023–2025 test years", "zh-CN": "2023–2025 测试年" }, "before": { "en-US": "Complex models might improve forecasts of financial levels.", "zh-CN": "复杂模型可能改善财务水平预测。" }, "trigger": { "en-US": "Persistence wins all six transformed-MAE comparisons.", "zh-CN": "持续性赢得全部六项变换 MAE 对照。" }, "after": { "en-US": "No learned-model promotion follows; test the selection bridge independently.", "zh-CN": "不提升学习模型资格，独立检验选股桥接。" }, "source_ids": [ "overview" ], "study_id": "absolute-level-forecast", "source_ref": "doc:quant-research.research.fundamental-state-forecasting" } ] } }