Research Library
Research Library
The Research Library offers an index of systematic research notes produced across equity, macro, commodity, and risk-related routes.
Each note has the same process discipline: research setup, ranking logic, headline diagnostics, horizon context, interpretation, and known limitations.
The library is not a list of live trades or public recommendations. It does not publish holdings, current ranks, live tickers, exact formulas, or implementation parameters.
The purpose is to show how ideas are tested, retained, rejected, or monitored before they can become part of an investment process.
Selected notes
Selected signal reports
| Name | Results | Report | |
|---|---|---|---|
| Sector Peer Spread Reversion Rank | Equity signal research | 63d horizon; 0.81% rank spread; IC 0.029; Sector-relative spread dislocation and peer reversion review. | Open PDF |
| European Sector PMI Rank | Macro / sector | 6m horizon; 1.75% rank spread; IC 0.106; European sector PMI demand-momentum and rotation review. | Open PDF |
| Futures Proxy Commodity Trend Rank | CTA / futures | 126d horizon; 0.54% rank spread; IC 0.029; Commodity futures proxy trend diagnostics. | Open PDF |
| Futures Proxy Equity Index Trend Rank | CTA / futures | 126d horizon; 1.32% rank spread; IC 0.108; Equity-index futures proxy trend diagnostics. | Open PDF |
| Futures Proxy Multi-Asset Trend Rank | CTA / futures | 126d horizon; 1.14% rank spread; IC 0.088; Multi-asset futures proxy trend diagnostics. | Open PDF |
| Commodity Futures Trend Proxy Rank | CTA / futures | 126d horizon; 0.54% rank spread; IC 0.029; Commodity futures trend proxy challenger route. | Open PDF |
| Equity Index Futures Trend Proxy Rank | CTA / futures | 126d horizon; 1.32% rank spread; IC 0.108; Equity-index futures trend proxy challenger route. | Open PDF |
| Multi-Asset Futures Trend Proxy Rank | CTA / futures | 126d horizon; 1.14% rank spread; IC 0.088; Multi-asset futures trend proxy challenger route. | Open PDF |
| Managed Futures ETF Capacity-Aware Execution Diagnostic | CTA / implementation | Full sample; Managed-futures ETF execution and capacity diagnostic. | Open PDF |
| Managed Futures ETF Trend Replication Variant | CTA / implementation | Full sample; Managed-futures ETF trend-replication variant review. | Open PDF |
| Liquid Macro Trend Rank | Macro / cross-asset | 63d horizon; 1.75% rank spread; IC 0.157; Liquid macro trend context for overlay and regime review. | Open PDF |
| Macro Fundamental Momentum Rank | Macro / cross-asset | 63d horizon; 1.23% rank spread; IC 0.041; Macro fundamental momentum route for allocation context. | Open PDF |
| ETF Dual Momentum TAA Rank | Macro / multi-asset | 252d horizon; 6.72% rank spread; IC 0.216; ETF dual-momentum allocation route and tactical review. | Open PDF |
| Macro-Conditioned ETF Overlay Rank | Macro / multi-asset | 252d horizon; 6.72% rank spread; IC 0.228; Macro-conditioned ETF overlay route for scenario review. | Open PDF |
| Macro Cross-Asset Trend Composite | Macro / multi-asset | 126d horizon; 8.19% rank spread; IC 0.361; Cross-asset trend composite for regime and overlay context. | Open PDF |
| Multi-Asset Trend Equity Rank | Macro / multi-asset | 252d horizon; 6.73% rank spread; IC 0.040; Multi-asset trend context translated into equity diagnostics. | Open PDF |
| Multi-Asset Trend Equity Proxy Rank | Macro / multi-asset | 252d horizon; 6.74% rank spread; IC 0.040; Trend-family equity proxy challenger route. | Open PDF |
| Commodity Diversification Rank | Commodity / futures | 63d horizon; 2.34% rank spread; IC 0.128; Commodity-linked diversification and allocation-context research. | Open PDF |
| Index Volatility Targeting Rank | Options / volatility | 252d horizon; -1.04% rank spread; IC 0.032; Volatility-aware exposure and drawdown-control review. | Open PDF |
| Volatility-Scaled Trend Overlay Rank | Options / volatility | 252d horizon; 6.39% rank spread; IC 0.043; Trend overlay scaled by realised volatility state. | Open PDF |
| Realized Volatility Timing Rank | Options / volatility | 63d horizon; -1.36% rank spread; IC 0.022; Realised-volatility timing diagnostic for exposure review. | Open PDF |
| Realized Volatility Risk Rank | Options / volatility | 126d horizon; 0.73% rank spread; IC 0.011; Realised-volatility risk route for defensive monitoring. | Open PDF |
| Volatility Risk Premium Rank | Options / volatility | 63d horizon; -1.39% rank spread; IC 0.022; Volatility-risk-premium route for overlay context. | Open PDF |
| Low-Volatility Momentum Cycle Rank | Options / volatility | 126d horizon; 3.46% rank spread; IC 0.046; Low-volatility momentum cycle and regime diagnostic. | Open PDF |
| Volatility Breakout With Contraction Rank | Options / volatility | 252d horizon; -2.27% rank spread; IC -0.011; Volatility breakout route with contraction-state filter. | Open PDF |
| Liquidity Shock Reversal Rank | Risk diagnostics | 21d horizon; 0.45% rank spread; IC 0.048; Liquidity-event reversal and implementation fragility review. | Open PDF |
| Liquidity Stress Reversal Rank | Risk diagnostics | 252d horizon; -3.04% rank spread; IC 0.026; Liquidity-stress reversal route for stress-aware monitoring. | Open PDF |
| Correlation Regime Stability Rank | Risk diagnostics | 21d horizon; -0.21% rank spread; IC -0.008; Correlation-regime stability route for portfolio risk review. | Open PDF |
| Correlation Fragility Defense Rank | Risk diagnostics | 252d horizon; -3.01% rank spread; IC -0.000; Correlation-fragility defence route for drawdown review. | Open PDF |
| Downside Beta Resilience Rank | Risk diagnostics | 252d horizon; -4.13% rank spread; IC 0.013; Downside-beta resilience route for market-stress review. | Open PDF |
| Tail-Risk Drawdown Pressure Rank | Risk diagnostics | 252d horizon; -16.62% rank spread; IC -0.025; Tail-risk and drawdown-pressure diagnostic. | Open PDF |
| Short Trigger Overlay Diagnostic | Risk diagnostics | 20 sessions; Short-trigger overlay diagnostic for risk implementation review. | Open PDF |
| Equity Price Momentum Rank | Equity signal research | 126d horizon; 5.50% rank spread; IC 0.043; Cross-sectional price-confirmation and continuation review. | Open PDF |
| Accrual Quality Rank | Equity signal research | 252d horizon; 5.92% rank spread; IC 0.035; PIT accounting-quality research with source controls. | Open PDF |
| Cash-Backed Quality Rank | Equity signal research | 252d horizon; 2.56% rank spread; IC 0.032; Cash-backed quality route for balance-sheet durability review. | Open PDF |
| Fundamental Value Creation Momentum Rank | Equity signal research | 252d horizon; 3.00% rank spread; IC 0.051; Fundamental value-creation momentum route. | Open PDF |
| Style-Residual Momentum Rank | Equity signal research | 252d horizon; 2.06% rank spread; IC 0.016; Momentum route after broad style reduction. | Open PDF |
| Price Stack / Peer Blend Exposure Repair | Equity signal research | 63d horizon; 6.66% rank spread; IC 0.043; Price-stack and peer-blend exposure repair diagnostic. | Open PDF |
| Sector-Neutral Price / Peer Blend | Equity signal research | 63d horizon; 8.38% rank spread; IC 0.070; Sector-neutral price and peer-blend route. | Open PDF |
| Volume-Confirmed Momentum Rank | Equity signal research | 252d horizon; 5.75% rank spread; IC 0.033; Volume-confirmed continuation route. | Open PDF |
| Post-Call Drift Rank | Event / behavioural | 63 sessions; 0.81% rank spread; IC 0.022; Post-call drift diagnostics after information events. | Open PDF |
| Abnormal Filing Frequency Rank | Disclosure / NLP | 252d horizon; 50.94% rank spread; IC 0.116; Abnormal filing-frequency route for disclosure monitoring. | Open PDF |
| SEC Disclosure GBM Rank | Disclosure / NLP | walk-forward checkpoints; Issuer-disclosure model diagnostic and limitation review. | Open PDF |
| Prepared Remarks Sentiment Change Rank | Disclosure / NLP | 252d horizon; 40.01% rank spread; IC 0.067; Prepared-remarks sentiment-change route. | Open PDF |
| Transcript Sentiment Change Rank | Disclosure / NLP | 21d horizon; 35.87% rank spread; IC 0.099; Transcript sentiment-change route for event review. | Open PDF |
Research comparison
Signal route comparison
| Route | Representative reports | Technique | Research use |
|---|---|---|---|
| CTA / futures | Futures Proxy Commodity Trend; Futures Proxy Equity Index Trend; Futures Proxy Multi-Asset Trend | Futures-proxy trend ranks, managed-futures replication, execution diagnostics | Tests whether trend routes are coherent across futures-like liquid proxies and implementation wrappers. |
| Macro / multi-asset | Liquid Macro Trend; European Sector PMI; ETF Dual Momentum TAA; Macro Cross-Asset Trend Composite | Macro state, sector rotation, ETF overlay, cross-asset trend | Frames allocation context and regime awareness without publishing live positioning. |
| Commodity / futures | Commodity Diversification; Commodity Futures Trend Proxy | Commodity-linked trend and diversification diagnostics | Extends the research library beyond equity-only signal work. |
| Options / volatility | Index Volatility Targeting; Volatility-Scaled Trend Overlay; Volatility Risk Premium | Realised-volatility timing, defensive overlays, drawdown control | Supports hedge and downside-review discipline around portfolio implementation. |
| Risk diagnostics | Liquidity Shock Reversal; Correlation Regime Stability; Tail-Risk Drawdown Pressure | Liquidity events, correlation fragility, downside beta, short-trigger diagnostics | Separates signal behaviour from implementation fragility and stress exposure. |
| Equity signal research | Sector Peer Spread Reversion; Accrual Quality; Equity Price Momentum; Style-Residual Momentum | Relative value, PIT fundamentals, price confirmation, style residualisation | Shows retained and challenger routes across quantamental equity research. |
| Disclosure / NLP | SEC Disclosure GBM; Prepared Remarks Sentiment Change; Transcript Sentiment Change | Filing metadata, disclosure models, transcript sentiment diagnostics | Tests document-driven information routes before any production claim. |
| Event / behavioural | Post-Call Drift; Abnormal Filing Frequency | Event drift, disclosure cadence, behavioural information digestion | Evaluates post-event research routes without publishing current names or ranks. |