Investment Strategy Research
In-depth analysis and evaluation of investment methodologies and strategies with real performance data.
Momentum Investing in Large-Cap S&P 500 Stocks
Cross-sectional strategy based on price momentum, monthly rebalancing, 12.4% annual return.
Mean Reversion in Sector Pairs Trading
Tech-Financial-Energy sector pairs, 20-day lookback, weekly rebalancing, 9.8% annual return.
Factor Investing in Russell 3000
Value-Momentum-Quality-Low Volatility four-factor portfolio, monthly factor scoring.
Machine Learning in S&P 500 Stock Selection
Technical + Fundamental + Alternative data, weekly model retraining, neural networks.
Value Investing in Russell 1000 Value Stocks
Low valuation screening (P/E < 15, P/B < 2), high dividend yield, quarterly screening.
Statistical Arbitrage in Sector ETF Pairs
30+ cointegration pairs, 60-day rolling window, daily rebalancing.
Risk Parity in Multi-Asset Portfolios
Equity-Bond-Commodity-REITs four-asset portfolio, monthly risk calculation.
Smart Beta in Russell 1000
Low volatility-Quality-Momentum factor tilt, monthly factor scoring.
High-Frequency Trading in Liquid ETFs
SPY/QQQ/IWM ultra-liquid ETFs, real-time order flow, second-level positions.
Volatility Trading in VIX Futures
VIX futures + SPX options + volatility ETFs, daily volatility signals.
Quantitative Sector Rotation in S&P 500 Sectors
11 sector ETF rotation, monthly economic indicators.
Quality-Momentum in Russell 1000
Quality score (ROE/ROA/debt ratio) + 6-month momentum, monthly portfolio scoring.
Quantitative Event-Driven in S&P 500
Earnings/M&A/split/dividend events, event-triggered trading, 5-20 day positions.
Long-Short Equity in Russell 2000 Small-Cap
Long top 50 momentum, short bottom 50 momentum, monthly ranking.
Trend Following in Multi-Asset Markets
Equity-Bond-Commodity-Currency multi-asset, daily trend signals.
Convertible Arbitrage in Convertible Bonds
50+ convertible bonds, daily Delta hedging.
ESG Factor Integration in MSCI ESG-Rated Stocks
ESG score + Value + Momentum + Quality, quarterly ESG updates.
Fixed Income Arbitrage in Treasury Curve
2Y/5Y/10Y/30Y Treasury bonds, daily curve analysis.
Carry Trading in Major Currency Pairs
EUR/USD/GBP/USD/AUD/USD/JPY/USD, daily interest rate monitoring.
Quantamental in S&P 500
Quantitative model + fundamental analysis + news sentiment, weekly model updates.