Liquidity

Liquidity Premium

Ranks price movement per dollar traded, within an investable liquidity floor.

Point-in-time S&P 500 · Top 10 equal weight · Monthly rebalance · Jul 2023 – Jul 2026

Requested start: 2023-07-14 · First tradable strategy date: 2023-07-17

Growth of $100

Strategy$183

S&P 500 (SPY proxy)$173

Audited endpoint comparison from the production screening artifact. The daily path is intentionally not reconstructed from summary data.

Source: screening-20260716-f3000f0 · code f3000f0

Performance Summary (Jul 2023 – Jul 2026)

+83%

Period Cumulative Return

+10 pts

vs. SPY benchmark proxy

0.88

Sharpe Ratio

-19%

Max Drawdown

22.5%

Annualized Return

43%

Average Rebalance Turnover

1.53%

Cumulative Modeled Cost Rate

+73.3%

SPY Proxy Period Return

Selection disclosure: this strategy was selected after screening 75 factors over this same period. Its published result is in-sample and should not be treated as an out-of-sample forecast.

How it's built

The 21-day Amihud measure averages absolute daily return divided by dollar volume. After removing stocks below the $5 million average daily dollar-volume floor, the strategy holds the 10 highest-ranked S&P 500 names.

Signals used

liq_amihud_21d

Why it works

Amihud's research links lower liquidity with a return premium investors may demand for harder-to-trade assets. The same mechanism creates capacity and execution risk, which is why this backtest includes the liquidity floor and modeled slippage.

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Re-running applies these settings to current platform data and code, so it may not exactly reproduce this archived artifact.

Past performance is not indicative of future results. Backtests are hypothetical. Results use point-in-time S&P 500 membership, a $5 million liquidity floor, and 5 basis points of modeled slippage per side. Commissions and taxes are set to $0. Bid-ask spread beyond the modeled slippage, market impact from large orders, and investor-specific taxes are not modeled. This is not investment advice. See our full disclaimer for details.