Insights · Research
Research from the desk.
Original research 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.
- 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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