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 | Type | Results | Report |
|---|---|---|---|
| Sector Peer Spread Reversion | Relative-value equity | 63d horizon; 0.81% rank spread; IC 0.029; sector-relative dislocation review. | Open PDF |
| European Sector PMI Rank | Macro sector rotation | 6m horizon; 1.75% rank spread; IC 0.106; European sector PMI demand-momentum review. | Open PDF |
| Style-Residual Momentum | Residual momentum equity | 252d horizon; 2.06% rank spread; IC 0.016; style-adjusted continuation review. | Open PDF |
| Accrual Quality | Fundamental equity | 252d horizon; 5.92% rank spread; IC 0.035; PIT accounting quality review. | Open PDF |
| Equity Price Momentum | Equity trend | 252d horizon; 6.65% rank spread; IC 0.030; cross-sectional price-confirmation review. | Open PDF |
| Fundamental Price Confirmation | Quantamental equity | Fundamental improvement with price confirmation; repricing-flow candidate route. | Open PDF |
| Earnings Surprise Momentum | Event-driven equity | Post-earnings continuation diagnostics and horizon review. | Open PDF |
| Post-Call Drift | Transcript / event equity | Conference-call drift diagnostics tied to post-event information digestion. | Open PDF |
| Industry Momentum | Industry / sector equity | Industry-level continuation route with sector-relative context. | Open PDF |
| Liquid Macro Trend | Macro / cross-asset | 63d horizon; 1.75% rank spread; IC 0.157; liquid macro trend context. | Open PDF |
| Macro Fundamental Momentum | Macro / fundamental | Macro fundamental momentum route for regime and overlay context. | Open PDF |
| Macro-Conditioned ETF Overlay | ETF / overlay | ETF overlay route conditioned by macro state and implementation review. | Open PDF |
| Multi-Asset Trend Equity | Multi-asset / trend | Cross-asset trend context translated into equity-research diagnostics. | Open PDF |
| Commodity Diversification | Commodity / cross-asset | 63d horizon; 2.34% rank spread; IC 0.128; diversification and allocation-context research. | Open PDF |
| Commodity Mean-Reversion Pricing | Commodity | Commodity pricing mean-reversion route with horizon diagnostics. | Open PDF |
| Commodity Skewness Premium | Commodity / risk premia | Skewness-premium research route for commodity-linked allocation context. | Open PDF |
| Index Volatility Targeting | Risk overlay | 252d horizon; risk-overlay research for volatility-aware exposure and drawdown review. | Open PDF |
| Correlation Regime Stability | Risk / correlation | Regime-stability route for correlation and fragility review. | Open PDF |
| SEC Disclosure GBM | Disclosure / NLP | Issuer-disclosure language route using gradient-boosted diagnostics. | Open PDF |
| Insider Cluster Buying | Insider / event equity | Clustered insider-activity route for event and behavioural signal review. | Open PDF |
| Pair-Spread Reversion | Pair relative value | Pair-spread mean-reversion diagnostics and implementation sensitivity. | Open PDF |
| Liquidity Shock Reversal | Liquidity / risk | 21d horizon; 0.45% rank spread; IC 0.048; liquidity-event reversal diagnostics. | Open PDF |
Research comparison
Signal route comparison
| Route | Representative reports | Technique | Research use |
|---|---|---|---|
| Quantamental equity | Accrual Quality; Fundamental Price Confirmation; Earnings Surprise Momentum | PIT fundamental inputs, event drift, price confirmation | Tests whether accounting or event information survives price and implementation constraints. |
| Relative value | Sector Peer Spread Reversion; Pair-Spread Reversion | Peer spreads, pair distances, sector-relative normalisation | Measures dislocation and mean-reversion candidates without publishing live pairs or ranks. |
| Momentum / trend | Equity Price Momentum; Style-Residual Momentum; Industry Momentum | Cross-sectional continuation, style residualisation, sector and industry context | Separates broad trend exposure from cleaner continuation routes. |
| Macro / overlay | Liquid Macro Trend; Macro Fundamental Momentum; Macro-Conditioned ETF Overlay; Multi-Asset Trend Equity | Cross-asset trend, macro state, ETF overlay review | Frames regime context and overlay behaviour around equity implementation. |
| Commodity / risk premia | Commodity Diversification; Commodity Mean-Reversion Pricing; Commodity Skewness Premium | Commodity pricing, diversification, skewness-premium diagnostics | Broadens the research library beyond single-asset equity signals. |
| Risk and diagnostics | Index Volatility Targeting; Correlation Regime Stability; Liquidity Shock Reversal | Volatility targeting, drawdown review, correlation stability, liquidity-event diagnostics | Supports exposure control, stress review, and implementation monitoring. |
| Text / behaviour | SEC Disclosure GBM; Post-Call Drift; Insider Cluster Buying | Disclosure NLP, transcript/event drift, insider-activity clustering | Tests alternative information routes before any production claim. |