{"benchmark":{"gross":{"ann_mean_pct":6.63604503,"ann_vol_pct":4.099739319,"printed":"1.62","printed_mean":"6.6","printed_vol":"4.1","sharpe":1.618650483},"id":"best_zp","label":"Best zero-intercept portfolio","label_zh":"\u6700\u4f73\u96f6\u622a\u8ddd\u7ec4\u5408","lambda":0.0,"net25":{"printed":"1.03","sharpe":1.031810704},"palette_key":"ipca","sub":"IPCA without the factor penalty (lambda = 0)","sub_zh":"\u53bb\u6389\u56e0\u5b50\u60e9\u7f5a\u7684 IPCA\uff08\u03bb = 0\uff09"},"blocks":[12,24,60],"contrasts":{"full_minus_best_zp":{"label":"IP minus the best zero-intercept portfolio","label_zh":"\u622a\u8ddd\u7ec4\u5408\u51cf\u6700\u4f73\u96f6\u622a\u8ddd\u7ec4\u5408","rows":[{"gross":{"diff":0.8821133373,"hi":1.231376904,"lo":0.5893912804,"printed":{"diff":"0.88","hi":"1.23","lo":"0.59"}},"ip_lambda":0.0,"net25":{"diff":0.57750158,"hi":0.8843349325,"lo":0.3202950695,"printed":{"diff":"0.58","hi":"0.88","lo":"0.32"}}},{"gross":{"diff":0.8939230279,"hi":1.25603868,"lo":0.5895623611,"printed":{"diff":"0.89","hi":"1.26","lo":"0.59"}},"ip_lambda":0.01,"net25":{"diff":0.5652742207,"hi":0.8863363601,"lo":0.2943366668,"printed":{"diff":"0.57","hi":"0.89","lo":"0.29"}}}]},"full_minus_factor":{"gross":[{"diff":1.945319315,"hi":2.506491289,"lo":1.485519968,"printed":{"diff":"1.95","hi":"2.51","lo":"1.49"}},{"diff":2.052493619,"hi":2.611982218,"lo":1.575404482,"printed":{"diff":"2.05","hi":"2.61","lo":"1.58"}},{"diff":2.091525194,"hi":2.652012312,"lo":1.610594479,"printed":{"diff":"2.09","hi":"2.65","lo":"1.61"}},{"diff":2.120890957,"hi":2.679082981,"lo":1.644491123,"printed":{"diff":"2.12","hi":"2.68","lo":"1.64"}},{"diff":2.133957545,"hi":2.691220741,"lo":1.658164549,"printed":{"diff":"2.13","hi":"2.69","lo":"1.66"}},{"diff":2.147056466,"hi":2.700326171,"lo":1.669747488,"printed":{"diff":"2.15","hi":"2.70","lo":"1.67"}}],"label":"IP minus the factor-mean portfolio, same penalty","label_zh":"\u622a\u8ddd\u7ec4\u5408\u51cf\u540c\u4e00\u60e9\u7f5a\u4e0b\u7684\u56e0\u5b50\u5747\u503c\u7ec4\u5408","net25":[{"diff":1.577668916,"hi":2.114114892,"lo":1.138751854,"printed":{"diff":"1.58","hi":"2.11","lo":"1.14"}},{"diff":1.601357482,"hi":2.129880835,"lo":1.151419689,"printed":{"diff":"1.60","hi":"2.13","lo":"1.15"}},{"diff":1.618556413,"hi":2.148786921,"lo":1.161869539,"printed":{"diff":"1.62","hi":"2.15","lo":"1.16"}},{"diff":1.633124422,"hi":2.160236673,"lo":1.178486842,"printed":{"diff":"1.63","hi":"2.16","lo":"1.18"}},{"diff":1.63862588,"hi":2.162380147,"lo":1.185109915,"printed":{"diff":"1.64","hi":"2.16","lo":"1.19"}},{"diff":1.64872026,"hi":2.169914048,"lo":1.197477548,"printed":{"diff":"1.65","hi":"2.17","lo":"1.20"}}]}},"default_block":12,"headline":{"fm_ref":"0.39","fm_unpenalised":"0.56","gain_vs_fm_ref":"2.12","gain_vs_fm_ref_ci":["1.64","2.68"],"gain_vs_zp":"0.89","gain_vs_zp_ci":["0.59","1.26"],"gain_vs_zp_net25":"0.57","gain_vs_zp_net25_ci":["0.29","0.89"],"ip_net25_ref":"1.60","ip_ref":"2.51","ip_unpenalised":"2.50","locator":"Table III, p. 30; Table I, p. 19","zp":"1.62","zp_net25":"1.03"},"inputs":[{"gross":{"ann_mean_pct":[2.243161992,1.947352274,1.831351134,1.747402926,1.715672239,1.66700245],"ann_vol_pct":[4.038498841,4.284245878,4.373184653,4.461273322,4.52024853,4.544258969],"band":{"12":{"hi":[0.8995957885,0.7819747804,0.7389474627,0.7060368948,0.6913238571,0.6810634691],"lo":[0.2350295747,0.1705061934,0.1375598466,0.1119329402,0.1005776549,0.09085269747]},"24":{"hi":[0.8830141163,0.7786384124,0.7424319958,0.7091489357,0.6916145116,0.6806469737],"lo":[0.2652075342,0.158093889,0.1213526337,0.1007932598,0.0938167175,0.08896174494]},"60":{"hi":[0.8906434697,0.7932419688,0.7522946262,0.7157437743,0.6959557663,0.684817733],"lo":[0.2810267773,0.1665709232,0.1200887901,0.09241966631,0.08322688367,0.0771446903]}},"printed":["0.56","0.45","0.42","0.39","0.38","0.37"],"printed_mean":["2.2","1.9","1.8","1.7","1.7","1.7"],"printed_vol":["4.0","4.3","4.4","4.5","4.5","4.5"],"sharpe":[0.5554445056,0.4545379348,0.4187683071,0.3916825535,0.3795526346,0.3668370271]},"id":"factor_means","label":"Factor means only","label_zh":"\u4ec5\u7528\u56e0\u5b50\u5747\u503c","net25":{"printed":["0.03","0.00","\u22120.02","\u22120.04","\u22120.04","\u22120.05"],"sharpe":[0.031643368,-0.00419246979,-0.02176918425,-0.03603949787,-0.04129433836,-0.05126717717]},"palette_key":"beta_only","sub":"factor-mean portfolio of the same fit","sub_zh":"\u540c\u4e00\u62df\u5408\u7684\u56e0\u5b50\u5747\u503c\u7ec4\u5408"},{"gross":{"ann_mean_pct":[7.792519041,7.62926418,7.603440361,7.590655204,7.586506168,7.58499849],"ann_vol_pct":[3.116055574,3.043146453,3.02890493,3.02106791,3.018291404,3.017231443],"band":{"12":{"hi":[3.051918888,3.062259522,3.066551484,3.068596907,3.068702052,3.068759654],"lo":[2.055992352,2.061763966,2.065120876,2.068419326,2.068816454,2.069322601]},"24":{"hi":[3.233333512,3.23285908,3.235288664,3.236677549,3.236653397,3.236711817],"lo":[1.953878841,1.961896184,1.966446019,1.968693516,1.969728533,1.970307156]},"60":{"hi":[3.617288828,3.626712286,3.628253746,3.628981609,3.628826466,3.628752767],"lo":[1.750162939,1.75190685,1.755472228,1.760256363,1.761541019,1.762119245]}},"printed":["2.50","2.51","2.51","2.51","2.51","2.51"],"printed_mean":["7.8","7.6","7.6","7.6","7.6","7.6"],"printed_vol":["3.1","3.0","3.0","3.0","3.0","3.0"],"sharpe":[2.50076382,2.507031553,2.510293501,2.512573511,2.51351018,2.513893493]},"id":"full_mean","label":"Complete fitted mean, including the intercept","label_zh":"\u5b8c\u6574\u62df\u5408\u5747\u503c\uff08\u542b\u622a\u8ddd\uff09","net25":{"printed":["1.61","1.60","1.60","1.60","1.60","1.60"],"sharpe":[1.609312284,1.597165012,1.596787229,1.597084924,1.597331542,1.597453083]},"palette_key":"complete","sub":"intercept portfolio (IP)","sub_zh":"\u622a\u8ddd\u7ec4\u5408\uff08IP\uff09"}],"lambda_labels":["0","0.001","0.003","0.01","0.03","0.1"],"lambdas":[0.0,0.001,0.003,0.01,0.03,0.1],"meta":{"built_at":"2026-10-16T15:51:42Z","cost":"25 basis points per dollar traded (purchases plus sales)","exhibit":"Table III (p. 30), Figure 4 (p. 29) and Table I (p. 19)","locators":{"benchmark":"Table I, Panels A-B, p. 19","differences":"Table III, Panel B, p. 30","figure":"Figure 4, p. 29","levels":"Table III, Panel A, p. 30","text":"Section V.B, pp. 28-29"},"notes":{"benchmark":"The best zero-intercept portfolio is IPCA with the factor penalty removed (lambda = 0); without the penalty both normalisations give this one portfolio (Proposition 1, p. 12; Table I, p. 19).","gross":"Unit gross exposure; gross Sharpe ratios are before trading costs; 594 months, June 1975 to November 2024.","intervals":"Pointwise 95% intervals, 12-month moving-block bootstrap, fitted models held fixed (Table III caption, p. 30).","net25":"Net of 25 basis points per dollar traded, charged on purchases plus sales (Table III caption, p. 30); a proportional cost model, not an implementable net return (footnote 23, p. 40).","volatility":"The gain over the best zero-intercept portfolio arrives mainly through lower volatility per dollar of gross position; the mean difference is within sampling error (Section VI.A, p. 33; p. 42)."},"pipeline_version":"1.0.0","sample":{"first":"1975-06","label":"594 months, June 1975 to November 2024","last":"2024-11","months":594},"source_files":["14_table3_594.csv","14_intercept_curve_594.csv","15_net_by_lambda_594.csv","15_contrasts_594.csv","13_ladder_594.csv"],"source_release":"Same Forecasts, Different Portfolios: Factor Normalization and Regularization (October 2026), replication data","statistic":"annualised Sharpe ratio at unit gross exposure; means and volatilities annualised, in percent"},"reference_lambda":0.01}