research study · complete
Systems Thesis
Portfolio allocation treated as layered system optimization — walk-forward evaluation with ablations and negative results.
What was studied
Walk-forward evaluation across three portfolio universes (Top-100, Top-250, Top-500). Screening and weighting choices under explicit turnover penalties. Ablations that remove or swap components to identify what actually moved results. Deployment limits — where a clean backtest stops being an honest production story.
Results
Understanding system behavior under constraints beats maximizing a single return chart. If an arm looks strong only because turnover was free, or because leakage snuck in, it fails the study.
Connection to other work
Fractal inherits the journal instinct from this work. AuditLayer inherits the production skepticism. The spatial work inherits the "report conditions separately" habit. The thesis is older, but the standard stuck.