Short-Horizon Excess Returns in Liquid Equities: Regime-Dependent Properties of a Systematic Programme

Abstract

This paper documents the statistical properties of a systematic equity programme operated with live capital over a 38-month period (February 2023 to April 2026). The programme, which operates in liquid constituents of major equity indices, produces a time-weighted cumulative return of +159.6%, corresponding to an annualised return of +35.1% and a Sharpe ratio of 1.37. The annualised alpha relative to the S&P 500 is +15.2 percentage points. The strategy exhibits regime-dependent return characteristics, as identified by a proprietary multi-factor classification methodology. We situate the results within the broader literatures on market efficiency, factor pricing, cross-sectional return prediction, and regime dynamics in both developed and emerging markets. The signal generation and regime classification methodologies are proprietary and are not disclosed. Limitations are discussed at length, including sample size, survivorship considerations, and the absence of a formal multi-factor risk adjustment.

Keywords: Liquid equities, systematic strategy, regime classification, short-horizon alpha, market efficiency, factor models, emerging markets JEL Classification: G11, G12, G14, G15, G41

JEL Classification: G11, G12, G14, G15, G41