On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,657 papers · 148 categories

Trend · papers per month

count % of corpus

← all fields·4 papers on “sharpe ratio” in Quant Finance · 1 month

Relief-Gated Relative Rotation for QQQ-DIA Allocation: Globally Screened Relative States, Fixed Position Mapping, Incremental Interaction Admission, and Walk-Forward Validationq-fin.PM

RGRR allocates between QQQ and DIA based on relative states, improving Sharpe and CAGR.

problem Optimizing ETF allocation between QQQ and DIA for better risk-adjusted returns.

method Screened relative and macro states, globally screened interactions, fixed position mapping, walk-forward validation.

result RGRR improves Sharpe and CAGR compared to 100% QQQ and 50/50 QQQ-DIA allocations.

ETF allocation Relative rotation QQQ-DIA Walk-forward validation Sharpe ratio

2026-07-07abs ↗pdf ↗

Portfolio Optimization for Commodity ETFs under Heavy-Tailed Returnsq-fin.PM

Commodity ETFs' portfolio optimization under heavy-tailed returns.

problem Optimizing commodity ETF portfolios under heavy-tailed return behavior.

method Passive buy-and-hold vs. rolling-window optimized portfolios.

result Improved risk-adjusted performance with minimum-risk and CVaR-based portfolios.

commodity ETFs portfolio optimization heavy-tailed returns mean-variance CVaR

2026-06-25abs ↗pdf ↗

Anatomy of the Market: A Body-Tail Test of Factor Modelsq-fin.GN

Study decomposes market portfolio into body and tail legs, revealing systematic differences.

problem Understanding the relationship between body and tail components in market portfolios.

method Decomposes CRSP market portfolio into body and tail legs, analyzes their recombination identity.

result Recombination identity holds for all models but not for all, indicating systematic differences.

market portfolio body-tail decomposition recombination identity Sharpe ratio factor models

2026-06-22abs ↗pdf ↗

Anatomy of the Market: A Body-Tail Test of Factor Modelsq-fin.GN

Tests factor models by decomposing market into body and tail legs, revealing inconsistent results.

problem Inconsistency between factor models and market behavior.

method Decomposes market into body and tail legs, testing factor models at daily and monthly frequencies.

result q5 model shows inconsistent results, with negative body and positive tail alphas at all split ratios.

factor models market decomposition inconsistency body-tail test Sharpe ratio

2026-06-22abs ↗pdf ↗