Research recipes
These templates describe factor combinations, trading constraints and review items. They are research designs, not model portfolios or return expectations.
Check that the combination is not a duplicate bet on one sector, size band or liquidity exposure.
Rebalance only when the slowest input is actually available.
Re-simulate turnover, participation and price-limit non-fills after combining factors.
RECIPE 01
Start with valuation and filter balance-sheet and cash-flow weakness.
Standardise valuation within sector, then add ROE, cash conversion and leverage checks.
Review sector concentration, leverage-driven ROE, costs and out-of-sample stability.
RECIPE 02
Keep medium-term strength while constraining risk and tradability.
Use a stated momentum window and skip period, then add volatility and tradability filters.
Review reversal drawdowns, hot-sector concentration and price-limit non-fills.
RECIPE 03
Separate operating improvement from low-quality expansion.
Combine TTM growth with cash-flow and profitability checks; keep asset growth as a review dimension.
Review base effects, M&A, valuation, financing and cash-flow coverage.