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86 dokumenter
The document describes a cross-sectional seasonal effect: stocks that performed well in a particular calendar month tend to outperform again in that same month in later years. January is reported as the strongest month, but the pattern is said to extend…
The document describes a monthly, long-only strategy that ranks country equity index ETFs by their past returns and holds the strongest markets. It gives a typical lookback range of 10 to 12 months and cites research using a portfolio of leading country…
The document describes an equity factor strategy that tilts a global stock portfolio toward companies whose ESG ratings have risen and away from those whose ratings have fallen. ESG momentum is measured over the prior 12 months, and the portfolio is…
Post-earnings announcement drift (PEAD) is the tendency for stocks to continue moving in the direction of an earnings surprise after the announcement. The document describes a quarterly US equity strategy combining two signals: standardized unexpected…
This document describes a U.S. equity long-short strategy that first selects firms with the highest annual growth in total assets, then ranks those stocks by momentum. Asset growth uses the change from year t-2 to t-1, with July as the cutoff. Each month,…
The document describes a monthly cross-sectional strategy across 22 commodity futures. It calculates each contract’s skewness over the prior 12 months, buys three commodities with the lowest skewness, and shorts three with the highest, using equal weights…
The document explains time series momentum as a strategy that uses each instrument’s own past return, rather than ranking assets against one another. Its central signal is the sign of the prior 12-month excess return: go long when positive and short when…
The document describes a monthly market-timing approach that uses crude oil returns to forecast equity returns. It estimates a regression of equity returns on monthly oil returns, updates the model each month with the latest observation, and compares the…
The document examines hourly Bitcoin returns and reports that the distribution is uneven, with the strongest economically meaningful positive returns occurring at 22:00 and 23:00 UTC. It proposes a simple seasonality rule: buy Bitcoin at 22:00 UTC and close…
The document describes a monthly strategy that blends momentum across equity factors with a broad market portfolio. It forms fast and slow signals from each factor’s recent one-month and twelve-month returns, ranks signal magnitudes to allocate factor…
The document describes a monthly, equal-weighted stock strategy that ranks NYSE, AMEX, and NASDAQ listings by short interest as a share of shares outstanding. It buys the lowest-short-interest decile and sells the highest-short-interest decile. The proposed…
This document describes a monthly equity strategy based on how similar the positive language in companies’ latest 10-K or 10-Q filings is to prior language. It uses a vendor’s cosine-similarity measure, ranks covered stocks into deciles, buys the…
The document describes a calendar anomaly in which equity returns have historically been concentrated around the month boundary. The interval runs from the final trading day of one month through the third trading day of the next. A basic implementation buys…
The document describes a calendar effect in which U.S. equity returns tend to be unusually strong around scheduled Federal Open Market Committee meetings. It outlines a simple long-only timing rule: hold an S&P 500-linked instrument from the close before a…
The document describes a cross-sectional commodity futures strategy based on return asymmetry. It defines an IE measure as the difference between the counts of unusually large positive and negative daily returns, using a rolling 260-day window. At each month…
The document describes a U.S. stock market strategy that sorts companies by market capitalization and then ranks them by return on assets (ROA). ROA is calculated from quarterly income and assets from the prior quarter. The portfolio buys the three highest…
The document explains a currency carry trade: borrow or short currencies with relatively low central bank rates and hold currencies with relatively high rates, aiming to earn the interest-rate differential. Its simple example forms a universe of 10–20…
The net current asset value (NCAV) rule compares a company’s current assets, less all liabilities, with its market value; it excludes long-term assets. Graham’s rationale is that a sufficiently large discount may offer liquidation-value protection. The…
This strategy selects U.S. listed stocks with the lowest short-interest ratios, equally weights the first percentile of the ranked universe, and rebalances monthly. It uses the long side of the short-interest effect: a low level of shorting may indicate…
The document describes a short-selling strategy in publicly traded soccer clubs. It proposes selling a club’s stock at the close of the business day before an important match, holding the position for one day, and equally weighting positions when multiple…
The document describes a US equity long-short momentum strategy that selects stocks appearing among recent winners or losers in two overlapping formation windows. It buys stocks ranked in the top decile in both windows and shorts those in the bottom decile,…
The accrual anomaly is the observed negative relationship between accounting accruals and subsequent stock returns. The proposed explanation is that investors focus on reported earnings and underweight the distinction between cash earnings and accruals. If…
This strategy identifies equity industries whose estimated alpha relative to the broad market has become statistically significant, interpreting the break as a possible bubble. Using roughly a decade of historical returns, an investor estimates alpha with a…
This strategy ranks five ETFs representing US stocks, foreign stocks, bonds, real estate, and commodities by their trailing 12-month returns. It selects the three strongest, weights them equally, holds them for one month, then repeats the ranking and…