Institute of Advanced Investment Managementhistorical data
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…
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…
Reconstructing a Century of U.S. Corporate Bonds
Read more →: Reconstructing a Century of U.S. Corporate BondsA new 128-year database of U.S. corporate bonds (1895–2022) — over 100,000 bonds and 7 million observations — uncovers a sizable, statistically significant credit risk premium that shorter modern samples fail to detect. The findings support strategic allocations to corporate credit for long-horizon investors and establish a new benchmark for empirical asset pricing in fixed…