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86 dokumen
The document describes a monthly long-short strategy that ranks commodity futures by their past 12-month performance, buys the strongest quintile, and sells the weakest. The cited research finds profitable continuation strategies and reports an average…
This equity strategy uses the timing of corporate announcements as a signal for stock performance around earnings. The proposed explanation is that managers may have information about upcoming results: they tend to announce repurchases ahead of favorable…
The document describes a cross-sectional momentum strategy for U.S. real estate investment trusts. Each month, it ranks listed REITs by their returns over the prior 11 months, leaving out the most recent month, and divides them into equal-weighted groups.…
This document describes a monthly sector rotation rule using ten sector ETFs. Each month, rank the funds by their prior 12-month returns, invest equally in the three strongest, hold for one month, and then rebalance. The stated aim is to outperform a broad…
The document describes a pairs trading strategy using 22 international country ETFs. It normalizes dividend-inclusive total return series, selects the five pairs with the smallest cumulative price distance over a 120-day formation period, then trades them…
This document describes a monthly, long-only strategy that combines stock momentum with environmental, social, and governance scores. It frames portfolio selection as a knapsack problem: one characteristic acts as the portfolio constraint and the other as…
The document describes a futures spread strategy based on the price difference between WTI and Brent crude oil. It explains that the oils differ in composition and production and transport characteristics, while temporary shocks may cause their price spread…
The document describes a short-term reversal strategy around corporate earnings announcements. It focuses on large, liquid US stocks, ranks them by their returns in the days before an announcement, then buys recent losers and sells recent winners. The…
The document explains a strategy that trades the VIX futures basis and hedges broad equity exposure with E-mini S&P 500 futures. It interprets the basis as a volatility risk premium: the cited research finds it forecasts futures returns, even though it does…
The strategy ranks North American stocks by environmental, social, and governance scores, then buys the highest-scoring fifth and shorts the lowest-scoring fifth for each dimension. The stock universe covers Canada and the United States, excludes shares…
The document describes a market-timing signal based on changes in aggregate synthetic borrow intensity, estimated from options prices for a broad set of stocks and ETFs. Borrow intensity is defined as the risk-free rate less the lending fee, so its movement…
The document describes a stock-selection strategy using language measures calculated from companies’ 10-K and 10-Q filings. Lexical richness reflects vocabulary variety, lexical density measures the share of information-carrying language, and specific…
This document describes a tactical allocation rule that uses a ten-month simple moving average to time exposure across asset classes. Its example holds five equally weighted ETFs covering US and foreign equities, bonds, real estate, and commodities when each…
This document explains a cross-sectional commodity carry strategy that ranks futures by roll returns, buys the strongest contracts, and shorts the weakest. Its simple monthly example equally weights the top and bottom quintiles and holds the positions for…
The document explains a relative value strategy that pairs stocks with similar historical price paths. It normalizes total return series, selects close matches using the sum of squared price differences, and trades the selected pairs in a later period. When…
This strategy uses SEC 13F holdings disclosures to identify stocks that active mutual fund managers appear to favor most strongly. It proposes defining a universe of active managers, selecting each manager’s most concentrated or highest-conviction positions,…
The dollar carry trade uses the average forward discount of a basket of developed-market currencies relative to the US three-month Treasury rate to choose a currency position. If the US rate exceeds the basket’s average forward discount, the strategy goes…
The document describes a calendar effect attributed to semi-monthly paychecks. Its proposed explanation is that employees receive wages around the 15th and some retirement contributions arrive at financial institutions for investment the following day. The…
The document explains the betting-against-beta (BAB) factor and its proposed cause: investors with leverage or margin limits may bid up high-beta stocks to pursue higher returns, depressing their future risk-adjusted performance. Investors able to use…
The document explains why dividend yield alone may miss how companies return cash to shareholders. It defines net payout yield using dividends, share repurchases, and common share issuance, divided by market capitalization. The rationale is that buybacks can…
The document describes a calendar strategy for large-cap stocks with active options: hold S&P 100 stocks during the week containing the monthly third Friday, then remain in cash during other weeks. It reports that these stocks tend to have higher average…
The document explains cross-sectional stock momentum: rank stocks by their prior returns, then buy recent winners and sell recent losers. Its example uses a 12-month formation period that excludes the latest month to reduce microstructure and liquidity…
This document presents a foreign-exchange value strategy that uses purchasing power parity (PPP) to compare currencies with estimated fair values. The suggested universe contains 10–20 currencies. Using the latest OECD PPP figure and monthly CPI and…
This document describes an industry-level stock strategy based on proximity to the 52-week high. Each month, it calculates each stock’s price-to-high ratio, then forms market-cap-weighted averages for 20 industries. It buys stocks in the six industries with…