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 · 13 shown
OUR BACKTEST · Sharpe -0.03 · Return -1.8% · Max DD -19.0%
Option-implied factors are largely, but not entirely, spanned by the equity factor zoo. We construct 137 option-implied characteristics for optionable U.S.
PAPER REPORTS · bakshiKurt long-short factor (value-weighted decile, S&P 500 constituents, 30-day maturity): -11.23% annualized mean,… · ivs_convexity long-short factor: -14.78% annualized mean, vol 17.94%, Sharpe -0.82, MDD -96.94%, skew -3.59, t = -2.57;…
OUR BACKTEST · Sharpe -0.19 · Return -21.5% · Max DD -44.4%
In a statistical factor model, principal components (or eigenvectors) of a sample covariance matrix serve as estimates of {\it principal directions}, the true drivers of co-movement of a collection of observed variables.
OUR BACKTEST · Sharpe 0.52 · Return +30.7% · Max DD -31.0%
We study exact-cardinality, equally weighted minimum-variance portfolio selection under a one-factor covariance model supplied in factor form. In the nonnegative homoskedastic regime, selecting the K smallest loadings is optimal.
OUR BACKTEST · Sharpe 0.65 · Return +50.5% · Max DD -24.3%
Signal correlation and PnL correlation are correlations over different index sets - across assets at each date versus across dates for scalar payoffs - and practitioners often treat the first as a proxy for the second.
OUR BACKTEST · Sharpe -0.83 · Return -17.6% · Max DD -18.1%
Abstract This research seeks to delve deeper into the financial significance of the eigenvector associated with the second-largest eigenvalue of the correlation matrix of returns.
OUR BACKTEST · Sharpe -0.48 · Return -35.9% · Max DD -49.7%
This paper examines whether the risk-adjusted performance of Environmental, Social, and Governance (ESG)-focused Exchange Traded Funds (ETFs) reflects distinct investment behavior or is primarily influenced by benchmark exposure, geography, and sector…
OUR BACKTEST · Sharpe 0.56 · Return +53.4% · Max DD -37.6%
Hedge ratios, factor models and diversified portfolios all rest on an estimate of which firms move together.
PAPER REPORTS · Variance-harvest attribution (selling variance at VIX-squared against the paper's 12m equal-weighted realized leg, July… · Risk by REC quartile over the same 329 months: probability of loss 0.29, 0.21, 0.26, 0.15; mean loss given loss…
OUR BACKTEST · Sharpe 0.73 · Return +68.2% · Max DD -36.5%
The authors present a rigorous empirical evaluation of three distinct optimization paradigms for institutional factor portfolio construction: an entropy-based photonic quantum annealer (Dirac-3, Quantum Computing Inc.), a commercial mixed-integer programming…
PAPER REPORTS · Dirac-3, best overall configuration (beta1=0, beta2=1): Sharpe 0.760, Sortino 0.841, Calmar 0.567, MDD -3.47%, CVaR5%… · Dirac-3 (beta1=0, beta2=0.5): Sharpe 0.721, Calmar 0.538, MDD -2.63% (lowest in both sweeps), CVaR5% -1.107%, annual…
OUR BACKTEST · Sharpe 0.25 · Return +11.4% · Max DD -18.7%
In this paper we investigate the information content of the lower part of the spectrum of financial correlation matrices, as a source of information on market synchronization.
OUR BACKTEST · CAPITAL EXHAUSTED · FAILED SANITY CHECK
Current portfolio construction methods are either agnostic to the effects of idiosyncratic shocks (standard factor models) or to the latent data structure driving systematic returns (recent graph-based approaches).
PAPER REPORTS · Contagion Cut (proposed): CAGR 21.0%, Sharpe 1.07, Calmar 0.611, Jan 2019-Mar 2026, 0 bps transaction costs · Contagion Cut: Sharpe 1.04 at 10 bps, 1.01 at 20 bps, 0.929 at 50 bps (CAGR 20.5%, 19.9%, 18.3%), Jan 2019-Mar 2026
OUR BACKTEST · Sharpe 0.75 · Return +143.1% · Max DD -40.3%
This paper studies conditional allocation between a growth/technology ETF basket, denoted by $G$, and a defensive income/value-oriented ETF basket, denoted by $D$.
PAPER REPORTS · Selected smooth-score policy, 2017-06-28 to 2026-05-15, 10bp cost: 19.24% CAGR, 19.29% vol, Sharpe 1.01, Sortino 1.22,… · Selected policy vs 50/50 G/D: annual excess 1.78%, tracking error 3.74%, info ratio 0.48, max DD improvement 1.95%
OUR BACKTEST · Sharpe 0.92 · Return +111.2% · Max DD -31.6%
The Observable Matrix Dynamics (OMD) approach monitors the time development of complex non-linear systems through the trajectory of a fixed-size distance matrix and its spectrum.
PAPER REPORTS · Early-warning ROC AUC (the paper's own signal, causal trailing 126-day features, label = forward peak-to-trough…
OUR BACKTEST · Sharpe 0.69 · Return +120.4% · Max DD -33.3%