Patent Moat Index: a 130/30 long-short equity strategy ranking U.S. stocks by patent value intensity, with sector-neutral ranking, 12% target-vol scaling, and a 10-month SMA macro filter. 45-year backtest (1980-2024) cuts max drawdown from -49% to -13% with significant FF5 alpha. UNC Kenan-Flagler Alpha Competition 2026.
python quantitative-finance fama-french crsp alternative-data factor-investing patent-analysis market-timing finance-research unc-chapel-hill long-short-equity volatility-targeting drawdown-control 130-30 sector-neutral alpha-backtesting kenan-flagler
-
Updated
Aug 4, 2026 - Python