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Research record
Abstract
A portfolio-construction study combining Momentum Alpha and the CTR0166 contrarian-turnaround strategy in a governed 10/90 allocation. The research uses a momentum risk ceiling, true next-open execution, transaction-cost stress, event-driven account simulation and block-bootstrap analysis to examine whether two distinct alpha engines can produce a more balanced portfolio.
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Classification
Research keywords
01portfolio construction02systematic portfolio03momentum04risk governance05multi-alpha06contrarian strategy07Monte Carlo
Research disclosure
Research and educational material only. Nothing published here constitutes investment advice, solicitation or an offer to trade.