Taking seminal macro and quant finance papers, carry, momentum, trend, risk premia, and rebuilding their findings from scratch with public data and open code.
Carry predicts returns across currencies, equities, bonds, and commodities. Replicating the cross-asset carry factor.
12-1 momentum works across 8 asset classes and 40 countries. Reproducing the momentum factor construction and performance.
Simple moving average timing rules applied to global asset allocation. Backtesting the 10-month SMA system.
Leverage aversion and low-risk anomaly across asset classes. Replicating BAB (betting against beta) factor.