Research

Quantitative frameworks for active management evaluation, quality factor analysis, and portfolio construction

My research focuses on quantitative methods for evaluating investment decisions — distinguishing skill from style, measuring quality through cash generation rather than earnings, and building systems that make research actionable.

Pure Alpha Framework

A systematic method for evaluating active management. Separates genuine manager skill from stylistic tailwinds through holdings-based factor decomposition.

  • Holdings-based factor decomposition — mapping every position to its factor exposures
  • Return attribution — separating factor returns from active bets
  • Consistency analysis — evaluating whether active returns are persistent or episodic
  • Skill assessment — distinguishing stock-picking skill from factor timing

Full framework detail

Tier 2 — Published research articles

Free Cash Flow Research

Research into free cash flow as a measure of quality, profitability, and investment performance. The core thesis: earnings are an opinion, cash flow is a fact.

  • FCF-ROIC framework for identifying genuinely high-quality companies
  • Four-signal quality model: FCF Margin, FCF ROIC, Accruals Ratio, Capital Allocation Discipline
  • Applications across U.S. large cap, small cap, innovation, and fixed income

Full research detail

Tier 2 — Published research articles; Tier 1 — ETF implementation in SEC filings

Publications

All research articles are available on the Publications page.