Guerrieri Capital Ltd

Papers

Papers

Practitioner papers on systematic investment research, implementation discipline and portfolio process.

The papers published here are methodology-focused. They are written to explain research process, evidence standards and implementation controls. They do not disclose holdings, current ranks, live recommendations, proprietary formulas or performance claims.

Featured papers

Featured papers

White Paper July 2026

Derivatives Stress Infrastructure for Portfolio Mandates

Nonlinear Risk, Scenario Evidence and Action Governance

Abstract. Point valuation is necessary for derivatives reporting, reconciliation and portfolio accounting, but it is not sufficient for mandate control. This paper develops a practitioner decision structure that connects valuation, scenario surfaces, liquidity and governance to monitored and actionable portfolio decisions.

Primary question
How should a derivatives mandate translate nonlinear payoff behaviour into portfolio action?
Research use
Scenario evidence, Greeks, liquidity, lifecycle risk and action-state governance.
Open on SSRN
White Paper June 2026

Financial Machine Learning in the Front Office

From Prediction Fit to Portfolio Permission

Abstract. Financial machine learning research often starts with forecast error, information coefficient, ranking accuracy or out-of-sample performance. This paper frames the front-office question differently: whether a defined output from a frozen model version should be permitted to influence a specific portfolio action.

Primary question
When should a model output influence portfolio action?
Research use
Model permission, validation, drift, retraining and kill-rule discipline.
Open on SSRN
White Paper June 2026

From Signal Research to Capital Use

An Evidence Permission Model for Systematic Investment Implementation

Abstract. Systematic research becomes economically relevant only when it can survive the conditions under which capital is actually deployed. This paper separates research evidence, implementation permission and capital permission.

Primary question
How should research artefacts earn permission to enter portfolio use?
Research use
Evidence gates, cost and capacity review, attribution design and monitoring.
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White Paper June 2026

Controlled-Beta Systematic Equity

Portfolio Construction, Drawdown Budgeting and Implementation Discipline

Abstract. Controlled-beta systematic equity sits between passive equity exposure and market-neutral factor research. This paper sets out how long-biased systematic equity can be translated through beta budgeting, exposure sizing, cost discipline and drawdown-aware construction.

Primary question
How can stock selection and beta discipline be treated as one process?
Research use
Portfolio construction, hedge overlays, parameter stability and monitoring.
Open on SSRN