Research
A continuously updated feed of research papers that pass our automated relevance screening for systematic trading — plus every paper we have published a review of, whatever it scored. 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.
15,697 papers screened · 250 on the radar · 7 shown
This paper examines whether the risk-adjusted performance of Environmental, Social, and Governance (ESG)-focused Exchange Traded Funds (ETFs) reflects distinct investment behavior or is primarily influenced by benchmark exposure, geography, and sector…
OUR BACKTEST · Sharpe 0.56 · Return +53.4% · Max DD -37.6%
Hedge ratios, factor models and diversified portfolios all rest on an estimate of which firms move together.
PAPER REPORTS · Variance-harvest attribution (selling variance at VIX-squared against the paper's 12m equal-weighted realized leg, July… · Risk by REC quartile over the same 329 months: probability of loss 0.29, 0.21, 0.26, 0.15; mean loss given loss…
OUR BACKTEST · Sharpe 0.73 · Return +68.2% · Max DD -36.5%
The authors present a rigorous empirical evaluation of three distinct optimization paradigms for institutional factor portfolio construction: an entropy-based photonic quantum annealer (Dirac-3, Quantum Computing Inc.), a commercial mixed-integer programming…
PAPER REPORTS · Dirac-3, best overall configuration (beta1=0, beta2=1): Sharpe 0.760, Sortino 0.841, Calmar 0.567, MDD -3.47%, CVaR5%… · Dirac-3 (beta1=0, beta2=0.5): Sharpe 0.721, Calmar 0.538, MDD -2.63% (lowest in both sweeps), CVaR5% -1.107%, annual…
OUR BACKTEST · Sharpe 0.25 · Return +11.4% · Max DD -18.7%
In this paper we investigate the information content of the lower part of the spectrum of financial correlation matrices, as a source of information on market synchronization.
OUR BACKTEST · CAPITAL EXHAUSTED · FAILED SANITY CHECK
Current portfolio construction methods are either agnostic to the effects of idiosyncratic shocks (standard factor models) or to the latent data structure driving systematic returns (recent graph-based approaches).
PAPER REPORTS · Contagion Cut (proposed): CAGR 21.0%, Sharpe 1.07, Calmar 0.611, Jan 2019-Mar 2026, 0 bps transaction costs · Contagion Cut: Sharpe 1.04 at 10 bps, 1.01 at 20 bps, 0.929 at 50 bps (CAGR 20.5%, 19.9%, 18.3%), Jan 2019-Mar 2026
OUR BACKTEST · Sharpe 0.75 · Return +143.1% · Max DD -40.3%
The Observable Matrix Dynamics (OMD) approach monitors the time development of complex non-linear systems through the trajectory of a fixed-size distance matrix and its spectrum.
PAPER REPORTS · Early-warning ROC AUC (the paper's own signal, causal trailing 126-day features, label = forward peak-to-trough…
OUR BACKTEST · Sharpe 0.69 · Return +120.4% · Max DD -33.3%
This paper studies conditional allocation between a growth/technology ETF basket, denoted by $G$, and a defensive income/value-oriented ETF basket, denoted by $D$.
PAPER REPORTS · Selected smooth-score policy, 2017-06-28 to 2026-05-15, 10bp cost: 19.24% CAGR, 19.29% vol, Sharpe 1.01, Sortino 1.22,… · Selected policy vs 50/50 G/D: annual excess 1.78%, tracking error 3.74%, info ratio 0.48, max DD improvement 1.95%
OUR BACKTEST · Sharpe 0.92 · Return +111.2% · Max DD -31.6%