In-Depth Strategy Analysis

Investment Strategy Research

Comprehensive analysis and evaluation of quantitative investment methodologies with live strategy implementations

Research Papers

20+

Live Strategies

40+

Avg. Sharpe

1.45

Research Depth

Deep

Momentum Quantitative Jan 2024

Momentum Investing in Large-Cap S&P 500 Stocks: A 6-Month Formation Period Strategy

Cross-sectional strategy based on price momentum, monthly rebalancing, 12.4% annual return. Research Target: S&P 500 & Russell 2000.

Strategies: 3 Active

Sharpe: 1.85

Max DD: -18.2%

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Mean Reversion Pairs Trading Jan 2024

Mean Reversion in Sector Pairs Trading: Cointegration Analysis and Spread Arbitrage

Tech-Financial-Energy sector pairs, 20-day lookback, weekly rebalancing. Cointegration testing, spread modeling, market neutral approach.

Strategies: 2 Active

Sharpe: 1.42

Max DD: -12.5%

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Factor Investing Portfolio Dec 2023

Factor Investing in Russell 3000: Multi-Factor Portfolio Construction

Value-Momentum-Quality-Low Volatility four-factor portfolio, monthly factor scoring. Multi-factor exposure, factor interaction optimization.

Strategies: 5 Active

Sharpe: 1.65

Max DD: -15.8%

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Machine Learning AI Dec 2023

Machine Learning in S&P 500 Stock Selection: Deep Learning Model with 200+ Features

Technical + Fundamental + Alternative data (sentiment, news), weekly model retraining. Neural networks, 200+ features.

Strategies: 1 Active

Sharpe: 1.35

Max DD: -14.2%

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Arbitrage Statistical Nov 2023

Statistical Arbitrage in Sector ETF Pairs: Principal Component Analysis and Spread Prediction

30+ cointegration pairs, 60-day rolling window, daily rebalancing. PCA dimensionality reduction, machine learning spread prediction.

Strategies: 2 Active

Sharpe: 1.55

Max DD: -10.8%

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Risk Parity Asset Allocation Oct 2023

Risk Parity in Multi-Asset Portfolios: Equal Risk Contribution Allocation

Equity-Bond-Commodity-REITs four-asset portfolio, monthly risk calculation. Equal risk contribution, leverage constraints.

Strategies: 1 Active

Sharpe: 1.35

Max DD: -11.5%

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Trend Following CTA Jun 2023

Trend Following in Multi-Asset Markets: 50/200-Day Moving Average Trend Tracking

Equity-Bond-Commodity-Currency multi-asset, daily trend signals. Moving average crossover, multi-asset diversification.

Strategies: 2 Active

Sharpe: 1.42

Max DD: -16.8%

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HFT Market Making Sep 2023

High-Frequency Trading in Liquid ETFs: Market Making Strategy and Order Flow Analysis

SPY/QQQ/IWM ultra-liquid ETFs, real-time order flow, second-level positions. Ultra-low latency, market making spreads.

Strategies: 1 Active

Sharpe: 2.5+

Max DD: -3.2%

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Volatility Options Sep 2023

Volatility Trading in VIX Futures: Volatility Arbitrage and Risk Premium

VIX futures + SPX options + volatility ETFs, daily volatility signals. Volatility arbitrage, Delta hedging, risk premium capture.

Strategies: 2 Active

Sharpe: 1.62

Max DD: -19.5%

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ESG Factor May 2023

ESG Factor Integration in MSCI ESG-Rated Stocks: ESG + Traditional Factors

ESG score + Value + Momentum + Quality, quarterly ESG updates. ESG integration, factor enhancement, quarterly rebalancing.

Strategies: 2 Active

Sharpe: 1.38

Max DD: -14.5%

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