EGAlpha Active Strategies
Three systematic strategies with independent alpha generation. Deployable specifications are proprietary.
Large-Cap Mean-Reversion
Universe
Curated US large-cap and megacap equities.
Mechanism
Enters on statistically characterized short-term weakness, exits on a fixed multi-day horizon. Harvests partial reversion following transient selling pressure in highly liquid names.
Empirical basis
Regime-agnostic: per-trade edge holds across calm and stressed markets, strongest in stress. Established by stratified analysis, not assumed.
The most extensively validated strategy in the portfolio, supported by 700+ pre-registered hypothesis tests.
Cross-Sectional Momentum
Universe
Broad liquid US equities, systematically ranked daily into a concentrated long-only portfolio.
Mechanism
12-minus-1 cross-sectional momentum with information-discreteness selection, volatility-managed sizing, and crowding exclusion via short-interest data.
Empirical basis
Each lever verified independently on held-out data. Robust across formation periods, holding periods, costs, and universe breadth. Block-bootstrap CI excludes zero.
Small/Mid-Cap Intraday Momentum
Universe
Small- and mid-cap equities exhibiting strong intraday momentum.
Mechanism
Continuation of qualifying intraday directional moves with a structured stop-and-breakeven risk framework and hard concurrent-position limits.
Empirical basis
Validated through a multi-phase research program covering signal construction, exit architecture, and regime conditioning. Fully isolated system — separate account, no shared code or universe overlap.
Each strategy reached production through the same protocol. That protocol is what we stand behind.
Methodology