preprintZenodo (CERN European Organization for Nuclear Research)May 23, 2026GREEN OA

The Conductance Factor: A Theory-Derived Sufficient Statistic for Cross-Sectional Returns

YTYuichiro Tanaka
Indexed indatacite

Abstract

GCT-derived investment signal (dG/dt) generates alpha across 10 equity markets and additional asset classes. Rolling OOS Sharpe 4.94 (Ledoit-Wolf, auto blend decision). Net Sharpe exceeding 4.5 at IBKR costs (70bps/yr). Cross-asset non-equity portfolio Sharpe 1.09. Commercially redacted PUBLIC version.

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Topics & keywords

Topics
Keywords
  • Sharpe ratio
  • Statistic
  • Momentum (technical analysis)
  • Capital asset pricing model
  • Asset (computer security)
  • Value (mathematics)
  • Conductance
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