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Cross-Sectional Futures Momentum
Rank futures on trailing return and hold winners vs losers — relative momentum inside a CTA universe, not each market’s own sign.
Fama-French Three-Factor Model
The three-factor model adds size (SMB) and value (HML) to the market — a better cross-section than CAPM, still not the last word.
12-Month Cycle in the Cross-Section of Stock Returns
Use same-calendar-month returns in prior years as a cross-sectional signal — annual seasonality in the stock sort.
Currency Momentum Strategy
Long currencies that appreciated over the lookback, short those that depreciated — cross-sectional FX momentum.
Lexical Density of Company Filings
Score filings on information density (less boilerplate, more content words) and sort the cross-section on that score.
Momentum Effect in Commodities
Long commodity futures with the strongest trailing returns and short the weakest — cross-sectional commodity momentum.
Momentum Factor Effect in Stocks
Long 12-1 month winners and short losers in a stock universe — the cross-sectional equity momentum recipe.
Short Interest Effect — Long-Short
Short high short-interest names and long low short-interest names — crowding and borrow as a cross-sectional signal.
Time-Series Momentum Effect
In each futures market, go long if that market’s own trailing return is positive and short if negative — TSMOM, not cross-sectional rank.
12-Month Cycle in the Cross-Section of Stock Returns
Use same-calendar-month returns in prior years as a cross-sectional signal — annual seasonality in the stock sort.
Cross-Sectional Futures Momentum
Rank futures on trailing return and hold winners vs losers — relative momentum inside a CTA universe, not each market’s own sign.
Currency Momentum Strategy
Long currencies that appreciated over the lookback, short those that depreciated — cross-sectional FX momentum.
Fama-French Three-Factor Model
The three-factor model adds size (SMB) and value (HML) to the market — a better cross-section than CAPM, still not the last word.
Lexical Density of Company Filings
Score filings on information density (less boilerplate, more content words) and sort the cross-section on that score.
Momentum Effect in Commodities
Long commodity futures with the strongest trailing returns and short the weakest — cross-sectional commodity momentum.
Momentum Factor Effect in Stocks
Long 12-1 month winners and short losers in a stock universe — the cross-sectional equity momentum recipe.
Short Interest Effect — Long-Short
Short high short-interest names and long low short-interest names — crowding and borrow as a cross-sectional signal.
Time-Series Momentum Effect
In each futures market, go long if that market’s own trailing return is positive and short if negative — TSMOM, not cross-sectional rank.