The research question
Can several inputs be combined without creating a misleading portfolio-level story?
An archived multi-sleeve research system combining macro-regime and trend inputs with portfolio-level risk allocation.
The technical work
Regime features, sleeve construction, covariance-aware risk allocation and return attribution.
The challenge is to connect the economic idea to a precise, reviewable experiment. Data transformations, the moment of a decision and the interpretation of the resulting return series all belong to that specification.
What to challenge
These are evaluation considerations for this domain, not a checklist presented as already passed.
- Point-in-time macro availability
- No overlap between model fitting and scoring
- Sleeve-level attribution and concentration
- Gross-to-net accounting and rebalance timing
The data boundary
Price panels and dated macro inputs, with explicit transformations and availability timestamps.
Descriptions are intentionally high-level. Parameters, execution rules and non-public source data are not published here. Withholding an implementation is different from overstating its evidence.
The interesting question is not whether a backtest looks good. It is what would have to be true for the result to mean something.
For the broader framework, see validation. For the engineering context, see the research stack.