Systematic Equity
Research Portfolio
> Long-horizon systematic equity research with out-of-sample validation and institutional-style risk analysis. A disciplined factor approach to US mid-cap equities.
Performance Summary
| Period | Strat CAGR | SPY CAGR | Strat Sharpe | SPY Sharpe | Strat DD | SPY DD |
|---|---|---|---|---|---|---|
| 2000–2007 | +12.2% | +1.8% | 0.394 | -0.076 | -25.4% | -46.7% |
| 2008–2015 | +15.2% | +6.6% | 0.612 | 0.294 | -43.4% | -51.8% |
| 2016–2023 (OOS) | +14.5% | +13.3% | 0.591 | 0.545 | -28.1% | -33.7% |
| Full 2000–2023 | +14.0% | +7.0% | 0.535 | 0.253 | -46.5% | -54.4% |
> The 2016–2023 period is true out-of-sample — all parameters were frozen before this data was observed. Max drawdown is lower than benchmark in every sub-period.
Cumulative Growth (2000–2023)
Drawdown Profile (2000–2023)
Methodology
A systematic factor engine.
The strategy uses a single fundamental signal to systematically rank and select equities. The signal targets a persistent cross-sectional relationship — not momentum, not valuation, not sentiment. Holdings are held for extended periods, and the approach is designed to captures known factor premia through a disciplined, repeatable process.
> Performance varies across market regimes. Returns are primarily consistent with established factor exposures — not unexplained alpha.
Fundamental Signal
A single accounting-based metric with persistent cross-sectional predictive power. Constructed from publicly available financial data. No look-ahead, no data-mining.
Mid-Cap Universe
Diversified US equity universe in a targeted market-cap range. Sector and concentration constraints applied at the portfolio level.
Simple Construction
No optimization overfit. Portfolio rules are simple, transparent, and resilient under conservative transaction cost assumptions.
pie_chart Factor Attribution
> Returns are primarily consistent with established factor exposures. No statistically significant alpha detected — the signal effectively harvests known premia simultaneously. Evaluated via multi-factor model (R² = 0.85).
> Portfolio construction characteristics naturally result in controlled sector exposure. Signal demonstrates persistent behavior across multiple holding horizons, supporting the current rebalance cadence with structural reasoning.
Research Process
Mechanism First
Every signal must have a stated economic mechanism. Cross-sectional patterns without return-side implications are measurement artifacts, not strategies.
Lock Before Search
No factor research until a specific identified deficiency exists. "Increasing CAGR" is not a valid reason. Correct question: what risk does this reduce?
Pre-Specified Exits
Every strategy ships with yellow/red flags defined before deployment. No post-hoc rationalization. If breached, stop first — then investigate.
Documented Regime Behavior
> Performance varies across market regimes, with documented periods of relative weakness. Rather than hiding weak periods, every regime where the strategy lags its own universe has been identified, quantified, and classified by evidentiary strength.
Classified by evidentiary strength
Alternative hypotheses tested and rejected
No further search until trigger condition met
"The measurement is real. The interpretation it suggested is wrong." — Candidate mechanisms were tested directly and falsified when they failed to improve robustness.
block Research Branches
> Multiple alternative specifications were evaluated and removed when they did not improve expected behavior. No factor is added to an existing strategy without a specific identified deficiency it solves.