Validate long-short portfolio definitions against the source literature

[Yuning598]

Background

The current implementation uses direction-adjusted monthly extreme portfolios. Before treating the resulting long-minus-short series as authoritative, the construction should be checked paper by paper against the literature associated with each characteristic.

Required review

Create a characteristic-level audit table that records:

• source paper and exact citation;
• sorting universe and sample filters;
• breakpoint definition and number of portfolios;
• long and short directions;
• equal- or value-weighting convention;
• signal timing, lag, rebalancing frequency, and holding period;
• return definition and treatment of missing observations.

Acceptance criteria

• Every published characteristic in the explorer has a traceable source definition.
• Long-minus-short direction is confirmed against the cited paper rather than inferred only from a sign field.
• Differences between the source paper and the website implementation are documented explicitly.
• Material discrepancies are converted into follow-up implementation tasks.
• The methodology documentation links to the audit table and states the adopted convention.