Quantitative research · 2026
Point-in-Time Equity Drawdown Risk
Can a point-in-time model rank 15% drawdown risk over the next 40 trading days?
I built an out-of-time research pipeline using historical index membership, market data, corporate actions, and SEC fundamentals available as of each prediction date.
Result: Drawdown risk remained rankable out of time, including in a separate, nearly non-overlapping universe.
Out-of-time results
- Sample
- 91,299 observations
- ROC AUC
- 0.671
- Highest-risk decile
- 26.28%
- Lowest-risk decile
- 7.44%
[PASS] Frozen model transferred to the S&P 400