Short-term reversal sleeve

In depth

Not every hypothesis survives — and that is the point. Short-term reversal is the idea that recent losers bounce and recent winners fade over a few days; as a market-neutral strategy it was meant to complement and diversify the momentum sleeve. It was pre-registered with a specific, falsifiable thesis: that it would behave as a structural mirror of momentum. The single backfill falsified it on both counts — net of its very high turnover costs the strategy lost money, and its correlation to momentum was essentially zero, not the negative relationship hypothesized. Per the discipline it was recorded as disconfirmed and shelved — not quietly re-tuned until it looked profitable. One genuinely useful artifact survived: a dynamic risk-control overlay developed alongside it cut tail drawdowns several-fold across every historical stress episode, and was lifted out for reuse elsewhere. This is what honest R&D looks like — most ideas fail, the failures are documented with the same rigor as the wins, and the rare reusable component is salvaged.