(2) Low-vol FAILS its full battery (standalone ~0/neg all windows, coin-bootstrap
frac>0=0.45 coin-flip) -> its earlier diversifier value was a winsor artifact ->
NO validated second edge, momentum stands alone. (1) Slippage/capacity model
(sqrt-impact eta=1, daily rebalance): book gross +0.62 but net M +0.41 / M +0.22 /
0M -0.11 / 0M -0.50 -> real but small-capacity (~$1-5M), lives in smaller alts.
Favorable caveats: eta=1 conservative, daily rebalance of 20d signal wastes turnover.
Key untested lever: weekly rebalance + smoothing + top-20 liquid -> ~5x less turnover.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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