Research
Every research paper we have written up, newest paper first. New arrivals are screened automatically for topical fit with systematic trading; the ones that clear it are read, written up, and — where the idea is testable on our data — backtested. Particular focus on alpha hypotheses that can be formalised and tested. The Radar also covers portfolio construction, market risk and execution where the research is directly relevant to systematic investment processes. Follow new entries by RSS.
16,915 papers screened · 588 on the radar · 2 shown
Crypto venues increasingly list perpetual futures on equities and other real-world assets (RWAs), which trade continuously yet reference dividend-paying stocks: a long equity perpetual marked to the ex-dividend cash price bears the ex-dividend drop without…
PAPER REPORTS · US single-country equity portfolios, static risk-minimizing FX exposure (lambda=0), 1990s-2023, in-sample, no… · US single-country equity portfolios, unhedged (full exposure), same period: Sharpe 32.13% (CAD), 45.92% (INR), 31.62%…