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Data Dictionary for the French Monthly-Return Study

Identity: French_20261005_revised_history_A10A_v1. The wide table's primary key is month; the research long table's primary key is (snapshot_id, month, industry_id). UTC is used for audit timestamps; month is a calendar interval, not a fabricated trading timestamp. There is no permanent security-level ID.

Field Economic meaning / key Type, unit, frequency event_time available_at ingested_at revision_at as_of
snapshot_id Fixed input identity; part of composite key string, version End of snapshot coverage Earliest release of current version: unknown Manifest download UTC Unknown; retain new versions This candidate's fixed snapshot
month Calendar return month; primary key YYYYMM string / monthly Start and end of that month Historical month-by-month availability: unknown Inherits file download Historical time: unknown Inherits snapshot
industry_id Long-form ID for a ten-industry column; primary key enum / monthly Supplier group effective interval Member release: unknown Inherits file Unknown Inherits snapshot
NoDur / Durbl / Manuf / Enrgy / HiTec / Telcm / Shops / Hlth / Utils / Other (each column) Value-weighted industry total return, including dividends; the same contract applies to every column float, decimal simple total return / month month interval Unknown; do not fill with “known at month-end” Industry file download UTC Unknown Fixed snapshot
Mkt-RF Published market excess return float, decimal monthly spread month interval Unknown; post-hoc attribution only FF3 download UTC Unknown Fixed FF3
SMB Small-minus-big return spread float, decimal monthly spread Same as above Same as above Same as above Same as above Same as above
HML High-minus-low book-to-market return spread float, decimal monthly spread Same as above Same as above Same as above Same as above Same as above
RF Proxy for the month's risk-free return float, decimal simple monthly return, not an annual rate Same as above Unknown; post-hoc statistics only, with any cash convention stated separately FF3 download UTC Unknown Fixed FF3
signal_score Compounded return over the prior 11 months, minus 1 float, dimensionless / monthly t−12,…,t−2t-12,\ldots,t-2 After all inputs are available; historical timing unknown Computation time in UTC; only in A10-B if authorized New version if config changes Input cutoff and snapshot
target_weight Top 3 each 1/31/3, all others 0 float, capital weight / monthly Month t when allocation takes effect Signal cutoff Future computation time Protocol version Corresponding cutoff
holding_value / cash / nav Monetary amount and NAV float or Decimal, illustrative USD or normalized unit / monthly Ledger node When node completes Future ledger UTC Do not overwrite prior runs run_id
traded_notional / fee Traded amount and cost Amount; fee rate as decimal, bps divided by 10,000 Rebalance node When node completes Future ledger UTC Run version Same as above
gross_return / net_return / label Portfolio gross/net return and target-period return float, decimal / monthly Holding month t After label end and source release/ingestion; historical times unknown Future computation UTC Snapshot version Same as above
label_start / label_end / label_available Label interval and maturity time UTC timestamps / monthly Interval boundary Actual availability unknown; explicitly specified for constructed examples Future record New version Fit cutoff
cutoff / allocated_at Information cutoff and hypothetical allocation-effective time UTC timestamps Protocol rule Rule known in advance Protocol registration UTC Revision chain protocol_id

Missing fields are rejected or marked unknown; they are not replaced with zero. Subtract RF once from portfolio total return; do not subtract RF again from Mkt-RF / SMB / HML. Do not mix same-named FF5 columns into the FF3 dataset.

Corporate-event applicability

Splits and dividends are already reflected in the supplier's total-return methodology; do not add separate corporate-action cash. There is no security-level event table for an independent reconstruction. Delistings and the stock universe are represented only at the supplier's aggregate level; do not claim to have verified completeness of the underlying whole market. Financial-statement announcements and restatements are not direct feature inputs for the selected price-momentum question and therefore do not apply in this batch. Adding value or quality features would change the question and require new PIT fields; it is not a free option under the current protocol. Historical changes to portfolio classifications are not changes in tradable security IDs. Normalized wealth indices are for ledger demonstrations only and must not enter a real-price execution interface.

This dictionary is for the research plan. The two-asset engineering dictionary covers USD/share, shares, and second-level constructed runs. The interfaces are not interchangeable. The time contract specifies eligibility and label decisions; the protocol gives the full cost and statistical equations; the README gives current acceptance status.

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