US equity market-neutral
The selected US study compares a diversified long/short portfolio while limiting broad equity-market dependence.
- Research status
- Paper-trading record and historical simulation
- Research scope
- Diversified equity portfolio · implementation paths separated
The selected study
The study compares stocks using point-in-time company and price information, then constrains name, sector and market exposures. The historical result uses a stated turnover charge. Borrow, financing, tax and all live execution effects are not included.
Historical simulation
The figure uses monthly endpoints for readability. The stated drawdown statistic uses all 765 daily observations.
- Period
- June 2023–June 2026
- Total return
- 49.54%
- Annualised return
- 14.12%
- Daily-record max drawdown
- −8.40%
Verified historical figure unavailable.
Historical study and paper record
The historical study uses scheduled reconstitutions. The paper record follows the fixed 18 June 2026 target as implemented from 23 June. They share a selection family but have different implementation paths, so their returns should be read separately. The paper series contains recorded broker-simulation values, and broker-reported historical daily values. Missing periods and source distinctions remain documented.
Execution and open questions
The whole-book execution study tests completion and cost under published scheduling assumptions. Current borrow, realised fills, financing and operating continuity remain necessary for a live decision.