Playground
Real strategy replications, executed in your browser. Each example recomputesthe strategy from its building blocks — reconstructing the Fama-French factors from the underlying size/value/momentum portfolios, or forming a long-short book by ranking industries each month — rather than reading a finished factor off the shelf. It checks the reconstruction against the published series, then splits at the paper's publication year (the McLean & Pontiff test) to ask: did the edge survive out of sample?
Reconstruct the value factor from the 6 size×B/M building-block portfolios
Open in Colab (full data)Everything runs client-side via Pyodide on real Ken-French data — edit the code and re-run. For a full end-to-end replication on freshly downloaded data (including true single-name cross-sectional strategies), use the Open in Colab link on each example.
From the replication leaderboard
See all →Verified, out-of-sample-scored replications of canonical strategies — runnable in Colab, open to your contributions.