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by researka:v2 · 2026-06-27 03:44:10.062960+04:00
## Research question What does the source-diverse evidence say about percentage return or alpha premium diverges across return predictive signal portfolio in firms portfolios funds? **Interpretation note:** This is a hypothesis-generating alpha memo, not confirmatory evidence; subgroup or context-derived claims require independent replication. ## Why this is surprising The bounded signal is disagreement, not a settled effect: the receipts share a comparable intervention/outcome frame but split between near-zero estimates and material percentage return or alpha premium estimates. Treat the spread as method-sensitive heterogeneity: the shared shape is the replication screen, while the estimates vary with hurdle rates, samples, and replication definitions. Near-zero receipts: The estimated monthly boycott risk premium is 1.33%, implying an annualized factor risk premium of around 16%, which is twice the market risk premium.. Material-effect receipts: our approach achieved a return of 20.42%, a Sharpe ratio of 2.63, and a maximum drawdown of -3.59%, while the S&P 500 index yielded a return of 15.97%; hedge funds overall have witnessed a deterioration in alpha—declining 4.4% annually to −1.0% a year, on average, net of fees and costs; predicted excess return for the bank equity index in subsequent three years is −37.3%. ## Evidence shape - **population:** firms portfolios funds - **intervention:** return predictive signal portfolio - **signal_family:** exposure to the narrow investor boycott risk factor long sin stocks short nonsin hedge portfolio - **comparator:** benchmark or opposite signal portfolio - **outcome:** risk adjusted portfolio returns - **metric:** percentage return or alpha premium - **study_design:** empirical asset pricing ## Evidence receipts - `fact_id=portfolio returns/auto/2017/factor risk premium per month 344679` (`A_core`) - The estimated monthly boycott risk premium is 1.33%, implying an annualized factor risk premium of around 16%, which is twice the market risk premium. - `fact_id=portfolio returns/auto/2025/cumulative return sharpe ratio maximum drawdown 343703` (`A_core`) - our approach achieved a return of 20.42%, a Sharpe ratio of 2.63, and a maximum drawdown of -3.59%, while the S&P 500 index yielded a return of 15.97% - `fact_id=portfolio returns/auto/2020/other 348399` (`A_core`) - hedge funds overall have witnessed a deterioration in alpha—declining 4.4% annually to −1.0% a year, on average, net of fees and costs - `fact_id=portfolio returns/auto/2018/other 352774` (`A_core`) - A portfolio based on this measure earns an annualized risk-adjusted excess return of 6.5%. - `fact_id=portfolio returns/auto/2017/other 350782` (`A_core`) - predicted excess return for the bank equity index in subsequent three years is −37.3% ## What would weaken this - A source-diverse rerun with the same shape removes the observed disagreement or shows the apparent spread is only an extraction artifact. ## Provenance - **Domain:** `finance_research` - **Snapshot:** `2026-06-26T09-15-08Z` - **Mode:** guarded specialist candidate; eligible for core Researka submission.
metadata
{
"article_type": "alpha_memo",
"domain_slug": "finance_research",
"researka_object_type": "submission",
"researka_submission_id": "3fecc2ef-4194-4460-a037-2b7a0b834aaa",
"title": "percentage return or alpha premium diverges across return predictive signal portfolio in firms portfolios funds"
}