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 · 5 shown
Abstract: This study aims to analyze stock price developments, fundamental performance, and stock valuation as a basis for determining investment decisions in banking companies listed on the Indonesia Stock Exchange during the 2020–2025 period.
This study examined the effect of dividend policy son the stock market performance of listed Consumer Goods Firms in Nigeria. The study covered all 21 firms within the sector, with the Bird-in-Hand theory serving as the theoretical foundation.
Introduction & purpose Capital structure is an important determinant of investment decision as it influences share price as well as the overall earnings of the firm.
PAPER REPORTS · SMB (small minus big, equal-weighted, 2x3 sort) mean return 0.014 (1.4%), t 5.722; monthly data Jan 2010 to Dec 2024;… · LMH (low minus high P/B) mean return 0.003 (0.3%), t 0.845; same sample; no transaction costs stated.
While symbolic regression (SR) has been successfully used in science to discover new equations, its use in financial valuation is hindered by several limitations.
PAPER REPORTS · Out-of-sample (last 20% of quarters) next-quarter price-level MAPE, not trading performance; no portfolio, Sharpe,…
OUR BACKTEST · Sharpe 0.41 · Return +37.0% · Max DD -44.3%
The standard Fama-French three-factor model assumes constant factor loadings for the market, size, and value factors.