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 · 6 shown
Portfolio risk assessment ordinarily relies on reliable estimates of cross-asset return covariances, which are difficult to obtain in short, high-dimensional panels.
PAPER REPORTS · In-sample standardized variance percentile of the news-only allocation: 0.69%-1.33% across four prespecified capped… · Standardized in-sample variance 0.357, 8.3% below the equal-risk (inverse-volatility) benchmark and 35.6% above the…
OUR BACKTEST · Sharpe 0.47 · Return +44.2% · Max DD -29.9%
Large language models (LLMs) are increasingly used to discover trading strategies, and much of the resulting literature shares a methodological weakness: many candidate strategies are generated, the best is reported, and neither look-ahead bias nor the…
PAPER REPORTS · Best gpt-4.1 discovery (E3, RSI x volume, 453-stock universe): design Sharpe 1.69 (2017-2021), evaluation Sharpe 0.18… · Best claude-sonnet-5 discovery: design Sharpe 0.44 (2017-2021), evaluation Sharpe -0.33 / -29% (2022-2025), DSR 0.18,…
OUR BACKTEST · Sharpe -0.10 · Return -10.8% · Max DD -47.8%
Large language models (LLMs) are increasingly used in investment decision-making, yet prior work shows that they exhibit systematic, model-specific investment preferences.
PAPER REPORTS · Weekly rebalanced equal-weight long-only top-100 portfolio from Qwen3-8B scores, 427 S&P 500 stocks, 29 signal weeks /… · Realized Sharpe of the top-100 portfolios is shown only graphically (Figure 5c, axis range roughly 2–4); no point…
OUR BACKTEST · Sharpe 0.52 · Return +57.3% · Max DD -40.6%
Two old market sayings hold that news is already priced in by the time it is published, and that the rumor is bought while the news is sold. Both place the price move associated with a piece of news before and at publication rather than after it.
PAPER REPORTS · Fade small-cap launch/partnership news (short after positive, buy after negative; enter close of day +5, exit close of… · Short any covered small cap (sentiment-ignoring benchmark, 260,472 events, same windows, 2023-2026): 15.9% annualized,…
OUR BACKTEST · Sharpe -0.23 · Return -18.9% · Max DD -51.9%
Agentic AI is gaining acceptance in asset management, but governance has not kept pace: 88% of surveyed finance professionals report no operational governance framework for agentic AI despite universal awareness of its deployment, and only 24 of 75 large U.S.
OUR BACKTEST · Sharpe -1.47 · Return -45.1% · Max DD -49.7%
Recent advances in Generative AI have substantially improved financial sentiment analysis through post-trained financial large language models (LLMs).
PAPER REPORTS · FinSMART (static): cumulative return 264.9%, annualized return 91.5%, Sharpe 1.97, Sortino 2.40, Calmar 4.23, RankIC… · FinSMART (periodically retrained every 6 months): cumulative return 406.2%, annualized return 125.7%, Sharpe 2.41,…
OUR BACKTEST · Sharpe -0.46 · Return -48.2% · Max DD -75.2%