Currency Momentum Factor: Making Money Move

The currency momentum factor is a widely observed feature that many exchange rates trend on a multi-year basis. The momentum factor exists across asset classes, including equities and bonds, and it is a widespread phenomenon …

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Post Earnings Announcement Drift (PEAD)

Post Earnings Announcement Drift (PEAD) is the tendency of a stock’s abnormal returns to move towards the direction of an earnings surprise for nearly 60 days after the earnings announcement. PEAD is also known as …

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Trend Following: A Definitive Guide

Trend following or trend trading is a systematic trading style that attempts to profit from trends in the market. Trend following buys when an asset’s price rises and goes short when an asset’s price falls. …

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Sector Momentum: Explained & Backtested

Sector momentum is a sector rotation strategy to boost performance by ranking sectors according to their momentum, buying top performers, and selling laggards. In this post, I describe sector momentum and why it works and …

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