Cross-Asset Factor Robustness Framework: Synthesis & Validation
1. Strategy Overview
Edge hypothesis: Factor premiums (momentum, value, carry, volatility) are asset-class-agnostic risk compensations, but their implementation requires standardized microstructure adjustment. A unified framework that:
- Normalizes signals within asset-class contexts (equities ≠ commodities ≠ crypto in liquidity, leverage, and regime sensitivity)
- Applies macro regime filtering to reduce drawdowns during factor crashes
- Combines via eigenvalue-filtered correlation matrix to eliminate spurious cross-asset correlations
Why this edge exists: