Track signal half-life and IC decay rates across all factor families. Identify expiring edge before it hits your returns.
| Signal | Original IC | Rolling 20d IC | Decay % | Half-Life | Age (d) | Decay Curve | Status |
|---|
public.thv2_factor_ic_daily (per-day cross-sectional Spearman rank IC vs the 5-day forward return, pool "all"). Only factors with at least 40 days of IC and a first-window IC distinguishable from zero are listed; the rest are counted in the header, not shown.
Original IC = mean IC over the first 20 days; Rolling 20d IC = mean over the last 20 (sign-adjusted so a consistently negative factor is judged on its own edge; it can fall below zero).
Decay %: (IC₀ − IC_20d) / IC₀ × 100. Half-life: OLS of ln(10-day block mean IC) on time, positive blocks only; "—" means no measurable decay.
Viability gate: IC_20d ≥ 0.03 AND (t½ ≥ 30d or none) (Qian-Hua-Sorensen 2007 Ch. 5).
Status thresholds — FRESH: decay < 20% and t½ > 90d or none; EXPIRED: decay > 65% or t½ < 30d or viability gate failed; DECAYING: between.
Caveats: adjacent daily ICs share four of five forward-return days, and factors are admitted on a significant first window, so decay is biased upward. Statuses are review flags, not instructions. The "Age" column is days of IC history observed.