Institute of Advanced Investment Managementfactor investing
Boundaries of Time Series Momentum
Read more →: Boundaries of Time Series MomentumMatti Suominen and Erik Hjalmarsson Time-series momentum is one of the most reliable and heavily backtested anomalies in quantitative finance, serving as a foundational alpha source for managed futures and trend-following strategies. This paper uncovers a structural vulnerability that every practitioner must account for: momentum returns persist reliably during normal business cycles, but break down…
Do LLM “Crowds” Produce Investment Signals? An Empirical Test
Read more →: Do LLM “Crowds” Produce Investment Signals? An Empirical TestSteven Edwards This paper tests whether aggregating stock selections from a large, philosophically diverse ensemble of LLM personas can produce genuine investment signals beyond passive benchmark exposure. The author built 100 distinct investor pe rsonas spanning value, momentum, growth, ESG, quantitative, and contrarian philosophies, each independently selecting fifty US-listed equities. The picks were backtested across…
Guardrails Make the Researcher: What an AI Agent Got Right (And Wrong) Replicating Nine Equity Anomalies
Read more →: Guardrails Make the Researcher: What an AI Agent Got Right (And Wrong) Replicating Nine Equity AnomaliesAn autonomous AI research agent was tasked with replicating nine published U.S. equity anomalies on clean, survivorship-free data. On a faithful build, none survive out-of-sample — and the lone apparent survivor turned out to be the agent’s own construction error. The real lesson is that an AI researcher is only as trustworthy as the guardrails…