Equities

Cross-sectional equity research: momentum construction, quality and value replication on a survivorship-free universe, and the filing-derived signals tested against it.

• 52-Week-High Momentum (campaign): a killed candidateThe one AlphaMax construction variant whose cheap screen cleared the bar (t 2.01 vs plain momentum's 1.73), so we honored the pre-registration and ran the…
• Beta-Neutral Momentum Construction (campaign): a killed candidateThe premise was that a dollar-neutral momentum book carries hidden NEGATIVE market beta, so a junk rally hurts both legs at once.
• Clustered Insider Open-Market Purchases: a killed candidateOne pre-registered configuration on official SEC Form 4 purchases, 2016-2026: at least two officers/directors and $100k purchased inside 30 calendar days,…
• Corporate Equity Supply (Net Issuance): a killed candidateThe broad corporate-equity-supply identity was run through the deployed-path walk-forward on a point-in-time Sharadar research lake: long firms shrinking…
• COT Positioning Overlay (campaign): a killed candidateIndistinguishable from zero (t~0.42 over 25 years); dies at 2x cost; the entire 'edge' is two equity-index legs.
• Cross-Sectional Same-Calendar-Month Seasonality (probe): a killed candidateThe one equity-side signal genuinely DECORRELATED from our momentum sleeve — and that is exactly why it is worth publishing.
• Customer–supplier propagation — locked no-return relationship-source protocolUse the existing hash-addressed SEC 10-K manifest and local primary-document cache. Restrict filing dates to 2016-01-01 through 2025-12-31.
• Equity Momentum (with Margin Costs): a killed candidateMargin financing costs erode the momentum edge below the frozen k30dn63 baseline.
• Equity Quality (Gross Profitability): a killed candidateQuality via GP/A + ROE fails on the narrow top-200 / 5-year slice. Net Sharpe below the 0.30 gate; needs the wide Sharadar fundamentals universe (20yr /…
• Equity Value (Book-to-Price): a killed candidateValue premium inverted across the 2022-2026 window. Net Sharpe below the 0.30 gate; the narrow top-200 universe is too small for the small/mid-cap value…
• Equity-Index VRP / short-vol (campaign): a killed candidateThe premium is REAL (VIX minus realized = +4 vol pts, t=57) but UNHARVESTABLE: negative in every crisis, skew -1.8 to -2.2, corr +0.45 to +0.66 to SPY —…
• Intraday Flow-Momentum, first-30m predicts last-30m (probe): a killed candidateThe twice-JFE-documented effect (Gao-Han-Li-Zhou) is fully DECAYED post-publication on SPY/QQQ/IWM: dead-zero in 2023-2026, and significantly INVERTED in…
• Long-Vol Tail Overlay (campaign): a killed candidateAn honest positive-skew (+2.06) anti-equity hedge — but its ONLY thesis, improving the combined book, fails at every hedge weight.
• Options dispersion: literature and implementation boundaryThe defensible mechanism is a priced difference between index correlation/variance insurance and the corresponding single-stock option basket.
• Post-Earnings-Announcement Drift (campaign): a killed candidateClean null on a tradable top-1000 universe: the drift is the WRONG sign net of cost; the published PEAD edge lives only in untradeable micro-caps.
• Pre-Registered Momentum (deep history): a killed candidatePre-registered momentum on 21 years of deep history. Net Sharpe ~ -0.05, failed the DSR >= 0.95 gate.
• PRE-REGISTRATION — annual risk-factor narrative stabilityDeclared 2026-08-15 after the filing-only feasibility pass and before loading any security return associated with this signal. One hypothesis identity.
• Repurchase and issuance flow: literature dossierThe literature supports a real economic family around corporate equity supply.
• Repurchase and issuance flow: no-return SEC feasibility protocolCan completed repurchases and completed issuance be reconstructed from information available at each SEC filing acceptance time, with enough coverage and…
• Residual (beta-neutral) Momentum (campaign): a killed candidateCorr 0.87 to raw 12-1 momentum on the broad survivorship-free universe — it is the SAME bet as AlphaMax, net-negative. The claimed 'separation' is false here.
• Spin-off dislocation — SEC Form 10 lineage protocolCan the complete 2016–2025 exchange-registration candidate universe be reconstructed from official quarterly EDGAR full indexes without starting from a…
• Stablecoin par dislocations: literature and implementation boundaryFiat-backed stablecoins have a two-tier market. A limited set of eligible institutions can transact with the issuer near par, while everyone else trades in…
• Vol-Scaled / Crash-Protected Momentum overlay (campaign): a killed candidateBarroso-Santa-Clara constant-vol and Daniel-Moskowitz variance/dynamic scaling applied to the live AlphaMax sleeve.