Systematic strategies. Fundamental research. Real capital.
The three live sleeves at 1/3 each: Sharpe 1.52 vs 0.76–1.27 individually, MaxDD −16.6% (half the best sleeve's), correlations 0.19–0.25. Monthly distribution with monitoring bands, worst/best months attribution, drawdown episodes, weight sensitivity, and the Germany N=10 vs N=20 decision.
Read →r=0.35 full-sample, but it swings from −0.73 to +0.85 across rolling 12-month windows. Six crisis periods, a check for cash-timing artifacts, and where 50/50 actually sits versus the efficient frontier (spoiler: not on it).
Read →Five one-at-a-time sweeps behind the TSX momentum strategy — lookback, market cap floor, regime window, portfolio size, fundamental filter — plus a full extreme-return data-quality scan. N=10 isn't a strict winner on every metric, and we say so.
Read →Southeast Asia's dominant superapp at $3.50. First full-year profit in 2025, $5B net cash, 17 consecutive EBITDA growth quarters. The SPAC scar is still suppressing the multiple.
Read →US cable infrastructure at a distressed valuation. The case for CHTR: pricing power, FCF yield, and the fiber-over-HFC transition.
Read →Systematic analysis of the Brazilian real carry trade. Interest rate differential, FX volatility, and historical risk-adjusted returns across rate cycles.
Read full report →China's largest direct retailer trading at deep discount to intrinsic value. Supply chain advantages, logistics network, and shareholder return analysis.
Read →Deep-dive on Sea Limited (NYSE: SE). Southeast Asia's largest digital economy — gaming, e-commerce, and fintech. Valuation, competitive moat, and 3-year P&L forecast including Brazil expansion.
Read →Value screening (VC1/VC2/VC3) combined with 6-month momentum. Buy the cheapest 20%, pick the 25 with strongest momentum. TV3 (value + dividend yield + momentum) at >$5B monthly delivers +13.8% CAGR, +5.4% alpha, Sharpe 0.82. Momentum reduces drawdowns by 10–20pp vs pure value.
O'Shaughnessy's Value Composite promised 18–21% CAGR. Three versions tested with quarterly TTM fundamentals (2005–2026). With annual rebalance (12 portfolios averaged): VC2 delivers +5.6% to +9.8% depending on market cap. Monthly rebalance improves to +10–12%. Real alpha exists but is a fraction of the book's claims.
P/E, P/S, P/B, P/FCF, EV/EBITDA, Shareholder Yield, and Dividend Yield — each tested independently on quarterly TTM data (2005–2026). P/S is the only factor that works consistently (+6.1% spread). P/B is inverted (−3.8%). Shareholder Yield is strongly inverted (−7.4%). Year-by-year breakdowns, rolling 3- and 5-year windows, regime analysis.
Jegadeesh-Titman 12-1, 6-1, 12-2, and Novy-Marx intermediate tested at >$200M, >$1B, and >$5B with monthly and annual rebalance. Plus value exclusion filters and MA200 overlay. Mom 6-1 >$5B delivers +13.5% CAGR. With exclusion filters and MA200: Sharpe 0.87, max drawdown −28%. Early-stage exploration — not the configuration running live today, see the current USA momentum strategy report below.
Systematic sweep across six parameter dimensions — MA period, concentration, lookback, market cap, skip month, and filter ablation. 6-month pure momentum (6-0) dominates conventional 9-1 across every metric. Not a Mag7 proxy: only 0.6 of 20 positions per month are Magnificent Seven stocks. 8 charts, 16 sections. Early-stage exploration — not the configuration running live today, see the current USA momentum strategy report below.
The MA drives returns. The VIX protects against tail risk. Adding a VIX > 25 & rising exit cuts max drawdown from −31% to −22% at less than 0.5% CAGR cost. 28 variants tested across thresholds, moving averages, percentile ranks, and combined filters.