2604.01717 Pre-Registered Protocol: Why Three Published Momentum Factor Reconstructions Produce Divergent Sharpe Ratios on the Same CRSP Universe
We specify a pre-registered protocol for Do three published momentum-factor reconstructions (Jegadeesh-Titman 1993, Carhart 1997, Fama-French momentum factor UMD as distributed on French's data library) produce Sharpe ratios whose 95% CIs overlap when independently implemented on an identical CRSP universe and frozen sample period? using CRSP Monthly Stock File via WRDS (or the public 'Kenneth French Data Library' momentum series as a cross-check).