Insights
Notes from the research desk.
Original research and short articles on factor investing, portfolio construction and systematic processes.
- Research · SSRN
Don't Mix What Should Be Separated: Why Combining Value and Momentum Signals Destroys Alpha
An empirical study on how combining value and momentum factors at the signal level can destroy the alpha that each generates independently. Published on SSRN.
- Article
When losing less is the right answer
A personal retrospective on running a systematic equity book through 2025: the decision to switch engines, the role of a benchmark hedge during the spring selloff, and one framing question that shaped every change to the playbook.
- Article
Four lessons from a year of trading on a small account
What a year of running stock-picking models and equity options on a small account taught me about position sizing, gamma management, model robustness, and a realistic risk framework.
- Research · PDF
Factor Timing: Dynamic Portfolio Allocation via Machine Learning
A working paper proposing a machine-learning framework for dynamic factor allocation in equity portfolios, with out-of-sample validation across regimes.
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