spb/wp17_uqo

1% Generated by scripts/r3k_20_tables_v2.py from results/r3k_v2/results_surv.json (attrition, then_members_present, ew_vs_index, bounding), iwv_holdings_manifest.json -- do not edit by hand (FIRC-0002 v2.1, Stage E exhibits).2% Placement decided at Stage E: main. \input{tables/tab_attrition} on its own prints the whole float; inside an existing float wrapper only the body is printed.3\ExhibitTable{tab:attrition}{\textbf{Survivorship diagnostics on the current-membership universe, Russell~3000.} Panel A: for each of the 17 dated IWV holdings files captured by the Internet Archive, the share of then-constituents no longer held on 28 August 2025 (absent = ISIN/CUSIP not in the 2025 holdings and ticker not in the 2026 universe), by market-value tercile within the snapshot, the implied annualised exit rates of the small and large terciles, and the share of then-constituents present in the estimation panel. Panel B: the composite spread of each cohort computed on all panel firms and on the firms that were IWV members at formation. Panel C: the equal-weighted panel return against the index total return, and the exit-rate difference between the bottom and top AI quintiles that survivorship would need to generate the entire observed spread.}{\scriptsize}{%4\begin{threeparttable}\setlength{\tabcolsep}{3pt}5\begin{tabular}{lrrrrrr}6\toprule7\multicolumn{7}{@{}l}{\textit{Panel A: share of then-IWV constituents absent from the 28 August 2025 holdings, by market-value tercile within the snapshot}} \\8\makecell[b]{IWV holdings \\ {as of}} & Small & Mid & Large & All & \makecell[b]{Annualised exit, \\ {small / large}} & \makecell[b]{Then-members \\ {in the panel}} \\9\midrule102006-09-29 & 77.7\% & 65.3\% & 47.2\% & 63.4\% & 7.6 / 3.3\% & 32.3\% \\112019-05-31 & 61.2\% & 31.1\% & 16.3\% & 36.2\% & 14.1 / 2.8\% & 55.5\% \\122019-11-29 & 57.8\% & 27.0\% & 14.8\% & 33.2\% & 14.0 / 2.8\% & 57.8\% \\132019-12-20 & 58.2\% & 26.9\% & 14.2\% & 33.1\% & 14.2 / 2.7\% & 58.0\% \\142020-12-31 & 51.6\% & 25.4\% & 10.9\% & 29.3\% & 14.4 / 2.5\% & 61.4\% \\152021-12-31 & 39.8\% & 19.6\% & 8.2\% & 22.5\% & 13.0 / 2.3\% & 67.0\% \\162022-12-30 & 26.7\% & 13.5\% & 5.2\% & 15.1\% & 11.0 / 2.0\% & 73.4\% \\172023-06-30 & 22.8\% & 10.9\% & 4.6\% & 12.8\% & 11.3 / 2.1\% & 75.2\% \\182023-07-18 & 22.9\% & 10.7\% & 4.2\% & 12.6\% & 11.6 / 2.0\% & 75.5\% \\192023-09-11 & 21.9\% & 9.9\% & 4.2\% & 12.0\% & 11.8 / 2.2\% & 75.9\% \\202023-09-21 & 21.4\% & 10.3\% & 4.0\% & 11.9\% & 11.7 / 2.1\% & 76.0\% \\212023-12-29 & 21.4\% & 8.8\% & 3.2\% & 11.1\% & 13.5 / 1.9\% & 76.7\% \\222024-02-02 & 21.4\% & 7.9\% & 3.3\% & 10.9\% & 14.3 / 2.1\% & 76.8\% \\232024-04-04 & 21.2\% & 6.8\% & 2.7\% & 10.2\% & 15.6 / 1.9\% & 77.5\% \\242024-04-30 & 20.8\% & 6.7\% & 2.8\% & 10.1\% & 16.1 / 2.1\% & 77.7\% \\252024-12-06 & 12.0\% & 3.5\% & 1.9\% & 5.8\% & 16.1 / 2.6\% & 81.2\% \\262025-08-28 & 0.1\% & 0.0\% & 0.0\% & 0.0\% & -- / --\% & 85.8\% \\27\midrule28\multicolumn{7}{@{}l}{\textit{Panel B: composite Q5$-$Q1 spread (wins., pp) for all panel firms vs the firms that were IWV members at formation}} \\29Cohort & Snapshot & Members then & Spread, all & Spread, members & \makecell[b]{Mean return, \\ {members}} & \makecell[b]{Mean return, \\ {non-members}} \\30\midrule312018 & 2019-05 & 86\% & +19.0 & +20.4 & -2.9\% & +8.5\% \\322019 & 2020-12 & 88\% & +1.4 & +4.2 & +70.7\% & +169.6\% \\332020 & 2020-12 & 84\% & -6.6 & -6.7 & -14.6\% & -26.8\% \\342021 & 2021-12 & 82\% & +12.1 & +14.4 & +15.9\% & +28.5\% \\352022 & 2023-06 & 88\% & -5.0 & -2.9 & +13.1\% & +35.2\% \\362023 & 2024-04 & 90\% & +3.1 & +4.2 & +12.3\% & +107.6\% \\372024 & 2025-08 & 94\% & +19.9 & +16.4 & +39.1\% & +188.4\% \\38\midrule39\multicolumn{7}{@{}l}{\textit{Panel C: survivor signature at the level and bounding of the spread (pp per year)}} \\40\multicolumn{1}{>{\raggedright\arraybackslash}p{0.3\textwidth}}{EW panel return minus IWV total return: all firms, raw / wins.\ / median} & \multicolumn{6}{l}{+5.7 / +3.6 / -3.1} \\41\multicolumn{1}{>{\raggedright\arraybackslash}p{0.3\textwidth}}{\quad largest 1,000 minus IWV / remaining minus IWM / S\&P members minus IWV} & \multicolumn{6}{l}{-0.1 / +14.5 / +4.3} \\42\multicolumn{1}{>{\raggedright\arraybackslash}p{0.3\textwidth}}{\quad pre-launch cohorts / post-launch cohorts} & \multicolumn{6}{l}{+5.0 / +8.4} \\43\multicolumn{1}{>{\raggedright\arraybackslash}p{0.3\textwidth}}{Q1 $-$ Q5 exit-rate difference needed to generate the whole spread (+3.9 pp, wins.), exit return $-$30 / $-$50 / $-$70 / $-$100\%} & \multicolumn{6}{l}{8.1 / 5.7 / 4.4 / 3.3 pp/yr} \\44\multicolumn{1}{>{\raggedright\arraybackslash}p{0.3\textwidth}}{Measured small-minus-large annualised exit rate, largest gap across snapshots} & \multicolumn{6}{l}{14.0 pp/yr} \\45\multicolumn{1}{>{\raggedright\arraybackslash}p{0.3\textwidth}}{Forward-volatility gradient of the composite sort, Q5 $-$ Q1 (annualized SD)} & \multicolumn{6}{l}{+4.6 pp} \\46\bottomrule47\end{tabular}48\begin{tablenotes}[flushleft]\scriptsize49\item \emph{Notes:} No capture exists between 2007 and May 2019, so the then-member comparison covers cohorts 2018--2024 only; for 2010--2017 the entry-side checks of Table~\ref{tab:robust} are the only executable diagnostics. Delisted firms have no AI scores in any artefact, so attrition by AI quintile (the test the editor asked for) cannot be computed on this corpus; the small-tercile exit rate is two to four times the large-tercile rate, and the forward-volatility gradient shows that Q5 firms are riskier, so the small-firm pre-launch premium is reported as conditional on survival to October 2026. Bounding logic: if exiting firms earn $r_x$ and are dropped, the survivor spread overstates the true spread by $(e_1 - e_5)(\bar r_{\text{surv}} - r_x)$. Source: results/r3k\_v2/results\_surv.json; captures listed in iwv\_holdings\_manifest.json.50\end{tablenotes}51\end{threeparttable}}52