Alpha Research · Live Book
The diversified risk-premium book, paper-traded live
Inception 2024-01-01 · data through 2026-07-31 · updated 2026-08-16 09:18:10 UTC
The capstone of the Alpha Research series
(Paper 7), tracked forward as a paper portfolio.
NAV
1.218
Total return
+21.8%
Annualized
+5.6%
Sharpe
0.91
Volatility
6.2%
Max drawdown
-5.1%
Current target weights & sleeve performance
| Sleeve | Weight | Sharpe (since inception) |
|---|---|---|
| FX value | 47.3% | -0.67 |
| FX carry | 40.7% | +0.71 |
| Crypto funding carry | 7.1% | +0.96 |
| Crypto trend | 5.0% | +0.18 |
What this is. A risk-parity, 10%/yr-vol-targeted combination of the
daily-tradable survivors from the research program — crypto funding carry, crypto trend, and G10 FX
carry & value — each net of its own trading cost, recomputed daily and marked to current data. It is the
live, out-of-sample test of the program's thesis: that a handful of modest, near-uncorrelated risk premia
diversify into a respectable book. The premia are decaying, so this is the honest forward experiment, not a
backtest.
Caveats
- Paper-traded, not live capital — no broker, no real fills; capacity and borrow are largely internalized in the sleeve returns but not separately stress-modeled.
- Daily-tradable subset — equity quality & reversal are part of the full Paper-7 book but update monthly (Ken French) and need a broker/ETFs to trade daily, so they are tracked separately, not here.
- Realized volatility runs below the 10% target due to a leverage cap. Not investment advice.
The nine papers
1 Volatility Risk Premium · 2 Crypto Carry · 3 Crypto Stat-Arb · 4 The Cost of Direction · 5 Liquidity Provision · 6 FX & Commodity Carry · 7 Synthesis · 8 Autonomous Researcher · 9 Machine Analyst