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 that has been researched well …
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 the SUE effect or standardized …
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. Trend following is ideal for …
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 backtest an algorithmic sector rotational …