{
  "analysis": "size factor cross-sectional forward-return monotonicity",
  "source": {
    "source": "Tushare A-share daily-clean DuckDB scan",
    "as_of": "2026-09-07",
    "currency": "CNY",
    "universe_filter": "all dated quotes retained for holding marks; formation eligibility: finite positive amount/market cap; known non-ST/non-suspended",
    "fx_method": "native currency",
    "feature_lag": 1,
    "coverage_start": "2015-01-05",
    "coverage_end": "2026-09-07",
    "calendar_mode": "observed_daily",
    "quality_status": "derived"
  },
  "size_monotonicity": {
    "status": "available",
    "monotonicity_score": 0.6666666666666666,
    "tail_spread": 0.0006707963983613142,
    "observations": 631,
    "formation_dates": 2838,
    "excluded_formation_dates": 2207,
    "quantiles": 10,
    "direction": "descending",
    "warnings": [
      "missing_return_coverage",
      "incomplete_quantile_dates"
    ],
    "holding_period": 1,
    "tail_spread_definition": "small_minus_large",
    "coverage_start": "2015-01-05",
    "coverage_end": "2026-09-04",
    "eligible_rows": 10853685,
    "excluded_rows": 849995,
    "observed_return_count": 10843141,
    "missing_return_count": 10544,
    "return_coverage": 0.9990285327057123,
    "unavailable_target_rows": 5319,
    "unavailable_target_dates": 1
  },
  "legacy_barra_result": {
    "source_root": "style-factors/weekly-20260904",
    "schema_version": "research.style-factors.v1",
    "generated_at": "2026-09-05T02:57:22.351584+00:00",
    "factor_count": 19,
    "factors": [
      "beta",
      "chip_concentration",
      "dividend_yield",
      "earnings_yield",
      "fund_breadth",
      "fund_breadth_change",
      "fund_ownership",
      "fund_ownership_change",
      "growth",
      "institution_holding",
      "leverage",
      "liquidity",
      "liquidity_flow",
      "lowvol",
      "momentum",
      "ps_value",
      "quality",
      "size",
      "value"
    ],
    "coverage_start": "2008-01-02",
    "coverage_end": "2026-09-04",
    "rebalance_frequency": "month_end",
    "quantiles": 5,
    "size_factor": {
      "factor": "size",
      "days": 4518,
      "years": 18.6,
      "cumulative_ret": -98.88,
      "annual_ret": -21.42,
      "geometric_annual_ret": -22.16,
      "annual_vol": 13.84,
      "sharpe": -1.74,
      "max_drawdown": -98.92,
      "hit_rate": 40.6
    }
  },
  "schema_version": "barra-size.v2",
  "revision": {
    "input_vintage": "2026-09-18",
    "as_of": "2026-09-07",
    "algorithm_revision": "470dfa9de7e1a825a06e47f1728e19239041709e",
    "input_manifest_sha256": "3e481c76205ad425e5ae7e93baf480fd9eaf8e22cc6e52c28c8334d248e3ab66",
    "generated_at": "2026-09-19",
    "scope": "size diagnostic only; historical 19-factor series unchanged",
    "comparison_limit": "Input vintages and missing-return policies differ. Changes are not a pure algorithm-attribution experiment."
  },
  "limitations": [
    "Complete-case diagnostics condition on availability; exclusion counts must be read with results.",
    "Not a reconstruction of the original September 7 input vintage.",
    "No delisting terminal values, transaction costs or tradability validation are imputed.",
    "Calendar consists of dates present in supplied data; whole-market missing dates are not independently recovered."
  ]
}