White Paper
July 2026
From Signal Library to Portfolio
Redundancy, Marginal Information and Capital Allocation Across Systematic Signals
Abstract. This paper asks how a portfolio manager should distinguish a large signal catalogue from independent information, and whether an individually credible characteristic deserves capital. The central distinction is between evidence for a signal in isolation and its marginal contribution to the portfolio that would use it.
- Primary question
- When does a credible signal add distinct information to the portfolio that would own it?
- Research use
- Signal redundancy, marginal information, portfolio contribution, weighting, cost and implementation review.
Open on SSRN
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.
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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.
Open on SSRN
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
