Alpha Survey · in search of alpha
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The waters we sounded and found empty, grouped by the kind of mechanism we were looking for. Each entry states the criterion the waters failed, the number, and what we learned.

4 results

carry / funding

H-016
Collecting the funding rate is not free money. The price eats what the funding pays
Empty because: an out-of-sample Sharpe of zero, a ranking indistinguishable from rotating at random, and the whole edge living in one month
Daily decisions, held for weeksCrypto perpetual futures
August 22, 2026

cross-sectional

H-059
Testing the shorting premium: what a rebalancing bug taught us
Empty because: a short leg that loses once positions are held for the month, and a fee ranking that does worse than random
Monthly rebalanceUS stocks, stock lending market
September 8, 2026

event / calendar

H-042
The post-earnings bounce did not survive our cost assumptions
Empty because: net return of zero in one variant and of the opposite sign in the other
Swing, about ten sessionsUS stocks, earnings calendar
August 24, 2026

trend / momentum

H-044
Short-term momentum in large caps: no robust edge in our test
Empty because: negative net return, and no convincing evidence that the ranking added value before costs
Monthly rotationUS large-cap stocks
August 24, 2026