All Reports

A monthly ETF rotation strategy across a Factor sleeve (MTUM, QUAL, IWD, IWM) and a Sector sleeve (nine SPDRs), tested across 60 parameter combinations — 5 momentum lookbacks, 6 SPY drawdown filters, and 2 sleeve allocation rules. Full sensitivity analysis with Sharpe heatmaps. SPY outperforms the best combo in this window — reported honestly.

An event study of 30-day ATM implied volatility across four energy instruments around fifteen Iran-related escalation events from 2003 to 2026. IV peaks at T+2 and mean-reverts by T+17 — supporting a short vol strategy with a 90% win rate at a T+20 exit (ex-GFC, n=10).

Single-stock leveraged ETFs bleed value daily through swap financing costs. This paper constructs a market-neutral carry trade to capture that bleed — results presented on both full-sample and volatility-adjusted bases.

A full parameter sweep across 20 delta and DTE combinations from 2018–2025. The optimal risk-adjusted combination is 10Δ / 60 DTE — 100% win rate, Sharpe 0.65, max drawdown −11.6%.

An empirical analysis of 168 earnings events from 2019–2024. MSFT is the standout: 75% win rate, Calmar ratio 7.97, and positive P&L in every calendar year including 2022.