Implement amount-outstanding-weighted long-short portfolios for 41 bond characteristics

[Yuning598]

Background

The weighting decision is now resolved. The bond dataset contains 41 characteristics, and size is the bond's amount outstanding. Use size as the value-weighting variable, analogous to market equity in the equity portfolios.

Characteristic universe

list_bond = [
    'rating', 'duration', 'VaR_5%', 'Amihud', '1-month_mom',
    'ytm', 'size', 'age', 'time2maturity', 'turnover',
    'VaR_10%', 'std_Amihud', 'Roll', 'BPW', 'P_HL',
    'P_FHT', 'TC_IQR', 'Range_daily', 'trades', 'variance',
    'skewness', 'kurtosis', 'COSKEW', 'ISKEW',
    'market_beta', 'market_residual_variance',
    'term_beta', 'default_beta', 'term_default_residual_variance',
    'drf_beta', 'crf_beta', 'lrf_beta', 'liq_beta', 'vix_beta',
    'unc_beta', '6-month_mom', '12-month_mom', 'LTR_mom',
    'barQ', 'std_barQ_1mom', 'range_monthly',
]

Portfolio construction

For a portfolio formed at month t, define the value weight from amount outstanding:

w(i,t) = size(i,t) / sum_j size(j,t)
R(p,t+1) = sum_i w(i,t) * R(i,t+1)

Use formation-period information only; the sort signal and size weight must be aligned so that no future information enters the return period. Report equal-weighted results as a benchmark and amount-outstanding-weighted results as the primary value-weighted specification.

The calculation pipeline may initially use monthly_return while the refreshed excess-return field is pending. Return-field selection must be explicit and configurable so the final published results can switch to the approved excess_return field tracked in #8 and validated in #9.

Acceptance criteria

• All 41 characteristics are recognized through a single auditable configuration.
• Each characteristic produces long and short legs under the adopted portfolio-count convention.
• Value-weighted portfolios use positive, non-missing size values only.
• Portfolio weights sum to one within month and leg, subject only to numerical tolerance.
• Sort signals and weights are lagged consistently and cannot introduce look-ahead bias.
• Equal-weighted and amount-outstanding-weighted results are both available and labeled correctly.
• Output records long/short counts, total amount outstanding, missing-weight exclusions, and the selected return field.
• Tests cover missing or non-positive size, tied signals, small groups, and return-field switching.

Related issues

• Implement one-month T-Bill excess returns for bond portfolios #8 defines and implements the approved bond excess-return convention.
• Validate and ingest the refreshed bond-return fields #9 validates the refreshed bond-return schema before final ingestion.

[Yuning598]

Related methodological dependency: #8 must establish the bond excess-return convention before final performance implementation.

[Yuning598]

Decision update: size is confirmed to be amount outstanding and will be used for value weights. This Issue is now actionable with an explicit temporary monthly_return configuration; final return-field migration remains tracked in #8 and #9.