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86 dokumentov
The document describes cross sectional momentum in foreign exchange: currencies with stronger recent returns have tended to outperform recent laggards. A simple version ranks a universe of roughly 10 to 20 currencies by their trailing 12 month returns…
The document explains the book-to-market factor, which ranks stocks by book value relative to market price. Its basic long-short construction buys stocks with high book-to-market ratios and sells those with low ratios; the described example uses NYSE, AMEX,…
The low-volatility effect is the reported tendency for lower-risk stocks to deliver stronger risk-adjusted returns than higher-risk stocks. A straightforward implementation ranks stocks by the volatility of their past weekly returns, forms decile portfolios,…
The January Barometer proposes using an equity index’s January return to guide exposure for the remaining eleven months. A positive January signals holding equities; a negative one signals moving to Treasury bills. The document also describes a long-bond…
The document describes the Halloween effect, a seasonal equity timing pattern in which returns have historically been stronger from November through April than from May through October. Its basic rule is to hold global equities during the winter half of the…
The document describes an overnight SPY approach conditioned on three sentiment and trend signals: SPY above its 20-day moving average, VIX below its moving average, and the Brain Market Sentiment indicator above its 20-day average. When all conditions hold,…
The strategy seeks to reduce conventional momentum’s changing exposure to broad equity factors. It estimates each stock’s monthly residual returns from a regression on the Fama–French three factors, then ranks stocks by standardized residual performance over…
The document describes a monthly long-short stock strategy that seeks momentum among large companies by focusing on stocks with high recent volatility. It filters for exchange-listed shares priced above $5, separates stocks by market capitalization, and uses…
This document describes a long-only trend strategy for US-listed stocks. It enters when a stock closes at or above its highest historical closing price and exits when a 10-period average true range trailing stop is reached. The portfolio holds qualifying…
The document describes a monthly long–short strategy that ranks six Russell equity style portfolios: small-, mid-, and large-cap value and growth. Each month, it measures their returns over the previous 12 months, buys the strongest style, and shorts the…
The document describes a country equity strategy based on the idea that investors with leverage or margin constraints may bid up high-beta assets. A practitioner can estimate each country ETF’s beta against the US equity index over a rolling one-year window,…
The FED Model compares the aggregate equity earnings yield with the yield on long-term government bonds. This strategy estimates the stock market’s next-month excess return with a rolling predictive regression that uses the yield gap as its input. At each…
The document describes a contrarian strategy using 16 single-country equity ETFs. Rank countries by their returns over the previous 36 months, buy the four weakest performers, and short the four strongest; rebalance every three years. The cited research…
Dispersion trading seeks to capture the difference between index and single-stock option volatility risk premia. A basic position sells index options and buys options on constituent stocks. Because the trade is exposed to correlation, it tends to benefit…
Short-term reversal strategies buy recent stock losers and sell recent winners, expecting relative returns to turn around over a short horizon. The document describes a weekly portfolio using the 100 largest companies by market capitalization: it goes long…
The strategy ranks no-load equity mutual funds by their returns over the prior six months, selects the top decile, weights those funds equally, and holds the portfolio for three months. The document also discusses two alternative signals: a fund’s proximity…
The document describes a short-horizon reversal around earnings announcements among stocks with actively traded options. Instead of following the conventional post-earnings announcement drift, the strategy ranks companies due to report the next working day…
The document describes a monthly equity reversal strategy that conditions recent returns on a fundamental strength score, or FSCORE. The score adds up nine financial statement signals covering profitability, leverage, liquidity, and operating efficiency.…
The document explains how investors with limited capital can implement equity momentum without holding hundreds of stocks. Its example ranks UK-listed companies by their returns over the prior 12 months, excludes the smallest quarter of firms for liquidity,…
The document describes the January effect: small-cap stocks have historically tended to earn especially strong returns in January. A simple strategy buys small-cap stocks at the start of January and holds large-cap stocks for the rest of the year. The…
The document describes a U.S. stock strategy that ranks non-financial NYSE, AMEX, and NASDAQ companies by the prior year’s change in total assets. At each June year-end, it forms ten equal groups, buys the lowest-growth group, and shorts the highest-growth…
The document describes an equity strategy that ranks NYSE, Nasdaq, and AMEX stocks by research and development spending relative to market capitalization. At the end of April, it sums each company’s R&D expenditure over the prior five years, scales that…
The document explains the rebalancing premium as the return potentially gained by periodically restoring portfolio weights. Rebalancing sells assets that have risen relative to the portfolio and buys those that have fallen. A buy-and-hold portfolio instead…
The investment factor, commonly called CMA, compares returns from diversified portfolios of firms with low and high asset growth. The described interpretation is that conservative firms, which invest less, have tended to outperform aggressive firms, which…