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86 dokumenter
Paired switching rotates investment between two negatively correlated assets instead of holding a static mix. A simple example ranks an equity fund and a government bond fund by their returns over the prior quarter, invests in the stronger performer for the…
This document describes a long-short equity factor that ranks nonfinancial U.S. stocks by a composite measure of earnings quality. It combines cash flow relative to reported earnings, return on equity, cash flow relative to assets, and debt relative to…
The document describes the equity size effect: the claim that smaller-capitalization stocks can outperform larger stocks. Its basic portfolio sorts NYSE, AMEX, and NASDAQ stocks by market value into deciles, then buys the smallest decile and shorts the…
The document describes a stock return premium around scheduled earnings announcements and a strategy that uses past trading volume to identify stocks expected to announce. At the start of each month, stocks are ranked by the concentration of their volume…
This document describes a country-level equity value strategy based on Shiller’s cyclically adjusted price-to-earnings ratio (CAPE). At each year-end, it ranks 32 countries by CAPE and invests equally in the least expensive third, provided their CAPE is…
The pre-holiday effect is the reported tendency for equity markets to rise on the final trading session before a holiday. The proposed simple approach holds a broad equity exposure on specified pre-holiday sessions and remains in cash on other days.…
The document outlines a global tactical allocation strategy that combines value and momentum signals across asset classes. It ranks investable markets using 12-month momentum, 1-month momentum, and an asset-specific valuation measure: earnings yield for…
This strategy applies short-horizon mean reversion to a universe of 24 US futures markets. It uses weekly Wednesday-to-Wednesday returns and ranks contracts within groups defined by recent changes in trading volume and open interest. Volume is normalized…
The document presents a calendar-based equity timing effect associated with Ramadan. It proposes holding an equally weighted basket of exchange-traded funds tracking countries with Muslim-majority populations during Ramadan and remaining in cash during the…
The document explains why equity index options may carry a volatility risk premium: investors value protection against sharp losses and may pay more for options than subsequent realized volatility justifies. It describes a monthly strategy that sells a…
The document describes a process for turning academic finance research into systematic strategy summaries. Strategies are grouped by market and theme, with trading rules, rebalancing schedules, performance and risk characteristics, and references to…
The document describes a process for turning academic finance research into systematic strategy summaries. Strategies are grouped by market and theme, with trading rules, rebalancing schedules, performance and risk characteristics, and references to…
The document describes a process for turning academic finance research into systematic strategy summaries. Strategies are grouped by market and theme, with trading rules, rebalancing schedules, performance and risk characteristics, and references to…
The document describes a process for turning academic finance research into systematic strategy summaries. Strategies are grouped by market and theme, with trading rules, rebalancing schedules, performance and risk characteristics, and references to…