The Casablanca Factor Lab
Momentum is the only factor with a positive, significant premium after excluding microcaps: 6.7% net CAGR, 0.67 Sharpe, 0.078 IC. Size earns 0.5%, the value proxy -5.8%, low-vol -5.9%. But a 10-name long-only implementation caps out around 2.5M MAD at 10% of ADV. The factor is real; the capacity is not.