Point-in-time, always
Each year's universe, features and labels use only what was knowable on that date. Index membership is rebuilt from historical snapshots, so names that were later acquired appear and drop out on schedule.
Quantitative research · US large-cap equities
EigenLane Quant Labs builds point-in-time machine-learning models for selecting US large-cap equities. Our first model, Meridian, is the research foundation for a proposed long-only strategy, EigenLane Fund I, which has not launched yet.
01 · Approach
A back-test is only as good as the discipline behind it. These are the rules we hold every model to before it goes anywhere near capital.
Each year's universe, features and labels use only what was knowable on that date. Index membership is rebuilt from historical snapshots, so names that were later acquired appear and drop out on schedule.
Every annual model is trained walk-forward, with a gap of roughly 390 days between its last training date and its entry date. A 12-month purge keeps forward-return labels from leaking into validation.
An equal-weight top-200 universe and a 12–1 momentum screen go through the same engine as the model: same snapshots, same entry dates, same costs. The model has to beat simple alternatives on equal terms.
We quote the conservative figure: medians over means, cohort-clustered errors over daily ones, and results with the best year removed. When we know about a defect, we disclose it before anyone has to find it.
02 · Meridian
Meridian is a gradient-boosted classifier that ranks the largest US equities once a year and holds an equal-weight basket for twelve months. The design is deliberately simple: anyone can audit it from a list of tickers and a date.
The 200 largest S&P 500 constituents by market capitalisation, as they stood on each 30 June. Eleven point-in-time snapshots, 2016–2026.
Fundamental, valuation and technical characteristics, rank-normalised across stocks on each date and pruned by correlation clustering. Change terms are computed on fundamentals only, so price momentum can't re-enter through the back door.
LightGBM, trained walk-forward with cross-validation and a multi-seed ensemble. Hyperparameter tuning is kept only if it beats the untuned baseline under the same scoring protocol.
30 names, equal-weighted, entered in late June and held for twelve months, with a 20 bps one-way transaction cost assumed. One rebalance a year.
Enough for qualified parties to check our claims independently using their own data:
Everything needed to verify the claim is disclosed. Everything needed to rebuild it is not.
03 · EigenLane Fund I Proposed · not launched
The proposed design is below. Vehicle, terms and jurisdiction have not been set and will be decided with counsel. Any offering would be made only through definitive documents, and only to eligible investors.
04 · Path to launch
Point-in-time universe, walk-forward engine and like-for-like benchmarks. Ten annual cohorts back-tested.
Sweeps across entry months and seeds, beta control, and tracking the 2026 cohort as live out-of-sample evidence.
Choosing the vehicle, the regulatory path (for example, as an exempt reporting adviser) and service providers.
Launch only once the evidence and the structure both support it.
05 · Team
We're a small team, so key-person risk and operational depth are real limits. We'll discuss both openly in diligence.
Engineering leader and long-time equity investor, shaping EigenLane's strategy and product and building the systems that turn research into an institutional-grade process.
Derivatives and quant strategist who has taken a machine-learning stock-selection model from research all the way to an investable product.
06 · Register interest
We welcome introductions from allocators, family offices, quantitative desks and data buyers. If there's a fit, we'll share our research materials under NDA, including the full selection history, per-position returns and our limitations register.
Registering interest creates no obligation on either side, and doesn't make you a client or investor. We don't accept capital through this site.