In-depth analysis and evaluation of investment methodologies and strategies
Cross-sectional strategy based on price momentum, monthly rebalancing, 12.4% annual return. Research Target: S&P 500 & Russell 2000. Application Characteristics: 6-month formation period, monthly rebalancing, market neutral.
Tech-Financial-Energy sector pairs, 20-day lookback, weekly rebalancing, 9.8% annual return. Research Target: Sector pairs & large-cap pairs. Application Characteristics: Cointegration testing, spread modeling, market neutral.
Value-Momentum-Quality-Low Volatility four-factor portfolio, monthly factor scoring, 8.2% annual return. Research Target: Russell 3000 (3000 stocks). Application Characteristics: Multi-factor exposure, factor interaction optimization, monthly rebalancing.
Technical + Fundamental + Alternative data (sentiment, news), weekly model retraining, 6.5% annual return. Research Target: S&P 500. Application Characteristics: Neural networks, 200+ features, alternative data integration.
Low valuation screening (P/E < 15, P/B < 2), high dividend yield, quarterly screening, 5.1% annual return. Research Target: Russell 1000 Value. Application Characteristics: Value screening, long-term holding, quarterly rebalancing.
30+ cointegration pairs, 60-day rolling window, daily rebalancing, 7.8% annual return. Research Target: Sector ETF pairs. Application Characteristics: Cointegration analysis, PCA dimensionality reduction, machine learning spread prediction.
Equity-Bond-Commodity-REITs four-asset portfolio, monthly risk calculation, 6.1% annual return. Research Target: Multi-asset portfolio. Application Characteristics: Equal risk contribution, monthly rebalancing, leverage constraints.
Low volatility-Quality-Momentum factor tilt, monthly factor scoring, 5.5% annual return. Research Target: Russell 1000. Application Characteristics: Factor tilt, transparent rules, low cost.
SPY/QQQ/IWM ultra-liquid ETFs, real-time order flow, second-level positions, Sharpe 2.5+. Research Target: Liquid ETFs & high-volume stocks. Application Characteristics: Ultra-low latency, market making spreads, order flow analysis.
VIX futures + SPX options + volatility ETFs, daily volatility signals, 8.7% annual return. Research Target: VIX futures & volatility derivatives. Application Characteristics: Volatility arbitrage, Delta hedging, risk premium capture.
11 sector ETF rotation, monthly economic indicators, 9.1% annual return. Research Target: 11 S&P 500 sector ETFs. Application Characteristics: Economic cycle identification, relative strength, monthly rotation.
Quality score (ROE/ROA/debt ratio) + 6-month momentum, monthly portfolio scoring, 8.5% annual return. Research Target: Russell 1000. Application Characteristics: Quality screening, momentum confirmation, reduced drawdown.
Earnings/M&A/split/dividend events, event-triggered trading, 5-20 day positions, 7.2% annual return. Research Target: S&P 500 events. Application Characteristics: Event identification, quantitative prediction, event-driven trading.
Long top 50 momentum, short bottom 50 momentum, monthly ranking, 6.8% annual return. Research Target: Russell 2000 small-cap stocks. Application Characteristics: Market neutral, long-short pairing, monthly rebalancing.
Equity-Bond-Commodity-Currency multi-asset, daily trend signals, 7.3% annual return. Research Target: Multi-asset global markets. Application Characteristics: Moving average crossover, trend reversal exit, multi-asset diversification.
50+ convertible bonds, daily Delta hedging, 5.8% annual return. Research Target: Convertible bond market. Application Characteristics: Delta hedging, Gamma trading, credit risk management.
ESG score + Value + Momentum + Quality, quarterly ESG updates, 6.8% annual return. Research Target: MSCI ESG-rated stocks. Application Characteristics: ESG integration, factor enhancement, quarterly rebalancing.
2Y/5Y/10Y/30Y Treasury bonds, daily curve analysis, 4.2% annual return. Research Target: Treasury bonds & corporate bonds. Application Characteristics: Curve arbitrage, basis trading, duration hedging.
EUR/USD/GBP/USD/AUD/USD/JPY/USD, daily interest rate monitoring, 5.5% annual return. Research Target: Major currency pairs. Application Characteristics: Interest rate differential, weekly rebalancing, currency risk.
Quantitative model + fundamental analysis + news sentiment, weekly model updates, 6.4% annual return. Research Target: S&P 500. Application Characteristics: Quantitative + fundamental, alternative data, weekly updates.