{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2026:HYNMFJMEBVKQIZ6BLRG332DE5S","merge_version":"pith-open-graph-merge-v1","event_count":2,"valid_event_count":2,"invalid_event_count":0,"equivocation_count":0,"current":{"canonical_record":{"metadata":{"abstract_canon_sha256":"d1e99b59eef3c726c418be2847783f7d65b0f241a1bcd7ece65f4652b4dad538","cross_cats_sorted":["q-fin.PR"],"license":"http://creativecommons.org/licenses/by/4.0/","primary_cat":"q-fin.GN","submitted_at":"2026-06-17T19:45:36Z","title_canon_sha256":"1c891aa3e7681e79b2684b4374d14c648580dfafbc15358b339670726c6d395e"},"schema_version":"1.0","source":{"id":"2606.19550","kind":"arxiv","version":1}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"2606.19550","created_at":"2026-06-19T16:12:28Z"},{"alias_kind":"arxiv_version","alias_value":"2606.19550v1","created_at":"2026-06-19T16:12:28Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.2606.19550","created_at":"2026-06-19T16:12:28Z"},{"alias_kind":"pith_short_12","alias_value":"HYNMFJMEBVKQ","created_at":"2026-06-19T16:12:28Z"},{"alias_kind":"pith_short_16","alias_value":"HYNMFJMEBVKQIZ6B","created_at":"2026-06-19T16:12:28Z"},{"alias_kind":"pith_short_8","alias_value":"HYNMFJME","created_at":"2026-06-19T16:12:28Z"}],"graph_snapshots":[{"event_id":"sha256:bf58a27175917110b9d0e74bb892e9909faa0cf522adb5c9a589cec5112e7b1c","target":"graph","created_at":"2026-06-19T16:12:28Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"graph_snapshot":{"author_claims":{"count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","strong_count":0},"builder_version":"pith-number-builder-2026-05-17-v1","claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"integrity":{"available":true,"clean":true,"detectors_run":[],"endpoint":"/pith/2606.19550/integrity.json","findings":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938","summary":{"advisory":0,"by_detector":{},"critical":0,"informational":0}},"paper":{"abstract_excerpt":"Factor-model performance depends not only on the model but also on how test assets are constructed. We form characteristic-unsorted random portfolios from a broad CRSP universe and vary stock selection, initial weighting, holding, and rebalancing. Rankings shift materially: buy-and-hold favors FF5 and FF6, whereas daily constant-weighting favors FF3, the most stable model across designs. Although q5 attains the highest maximum Sharpe ratio in factor-spanning tests, it leaves comparatively large and construction-sensitive pricing errors on random portfolios. These results reflect construction-s","authors_text":"Useong Shin","cross_cats":["q-fin.PR"],"headline":"","license":"http://creativecommons.org/licenses/by/4.0/","primary_cat":"q-fin.GN","submitted_at":"2026-06-17T19:45:36Z","title":"Which Portfolios? The Construction Dependence of Factor Model Performance"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2606.19550","kind":"arxiv","version":1},"verdict":{"created_at":null,"id":null,"model_set":{},"one_line_summary":"","pipeline_version":null,"pith_extraction_headline":"","strongest_claim":"","weakest_assumption":""}},"verdict_id":null}}],"author_attestations":[],"timestamp_anchors":[],"storage_attestations":[],"citation_signatures":[],"replication_records":[],"corrections":[],"mirror_hints":[],"record_created":{"event_id":"sha256:3f9054c502a31658d2c87fdabbcf56ec32f6aebe8171bdfb8203490dd68f9c15","target":"record","created_at":"2026-06-19T16:12:28Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"attestation_state":"computed","canonical_record":{"metadata":{"abstract_canon_sha256":"d1e99b59eef3c726c418be2847783f7d65b0f241a1bcd7ece65f4652b4dad538","cross_cats_sorted":["q-fin.PR"],"license":"http://creativecommons.org/licenses/by/4.0/","primary_cat":"q-fin.GN","submitted_at":"2026-06-17T19:45:36Z","title_canon_sha256":"1c891aa3e7681e79b2684b4374d14c648580dfafbc15358b339670726c6d395e"},"schema_version":"1.0","source":{"id":"2606.19550","kind":"arxiv","version":1}},"canonical_sha256":"3e1ac2a5840d550467c15c4dbde864ecb4cd607b952335d002704e4255e4e2c5","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"3e1ac2a5840d550467c15c4dbde864ecb4cd607b952335d002704e4255e4e2c5","first_computed_at":"2026-06-19T16:12:28.719418Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-06-19T16:12:28.719418Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"QaffJexpMStJsABO7lOHy4fhZsCUOYhj4DWhvPdwbNdV5GP4Rd2rf9TBzR3lCJEJxfQ7yoG4juTNOEycibdXBw==","signature_status":"signed_v1","signed_at":"2026-06-19T16:12:28.719768Z","signed_message":"canonical_sha256_bytes"},"source_id":"2606.19550","source_kind":"arxiv","source_version":1}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:3f9054c502a31658d2c87fdabbcf56ec32f6aebe8171bdfb8203490dd68f9c15","sha256:bf58a27175917110b9d0e74bb892e9909faa0cf522adb5c9a589cec5112e7b1c"],"state_sha256":"45f8653a7ebeb784dd7cfca81e24be3793179382f477962a4ad477e62e46fa2c"}