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694 curated entries · docs layout · landmark papers on core concepts.

ZTrader Wiki

694 curated entries · docs layout

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Strategies84

12-Month Cycle in the Cross-Section of Stock ReturnsUse same-calendar-month returns in prior years as a cross-sectional signal — annual season 52-Week High Effect in StocksOverweight names near their 52-week high and underweight those far below — an anchoring/mo Accrual AnomalyShort high-accrual (low cash-earnings-quality) firms and long low-accrual firms — Sloan’s Alpha Cloning — Following 13F FilingsCopy (with a lag) the disclosed long holdings of selected 13F filers — a delayed clone of Analyst Revision StrategyLong names with upward earnings-estimate revisions and short downward revisions — the revi Asset Class Trend-FollowingHold each broad asset class only when it is in an uptrend (typically above a long moving a Asset Growth EffectShort high asset-growth firms and long low/negative growth — the investment/empire-buildin Betting Against Beta in International EquitiesThe same BAB recipe on country indexes or international stocks — low-beta vs high-beta out Betting Against Beta in StocksLong leveraged low-beta stocks and short high-beta stocks so the book is roughly market-ne Closed-End Fund DiscountBuy closed-end funds at a wide discount to NAV and fade rich premiums — a stubborn retail-Commodity Crack / Calendar SpreadTrade refined-product minus crude (crack) or nearby-versus-deferred calendars — commodity Convertible ArbitrageLong the convertible and short the delta in the stock — harvest cheap implied vol / credit Crude Oil Predicts Equity ReturnsTime equity beta with oil’s recent move or level — a macro overlay that treats crude as a Currency Momentum StrategyLong currencies that appreciated over the lookback, short those that depreciated — cross-s Currency Value Factor — PPP StrategyLong undervalued currencies and short overvalued ones versus purchasing-power parity or re Defensive Asset AllocationKeller–Keuning DAA: a canary universe that de-risks the risky sleeve when breadth/momentum Dual MomentumCombine relative momentum (which asset) with absolute momentum (whether to be in cash) — A Earnings Announcement PremiumOverweight names (or the market) into scheduled earnings because average returns cluster a Earnings Announcements Combined with Stock RepurchasesPrefer announcement windows where the firm is also shrinking shares — event premium plus a ESG Factor MomentumLong names whose ESG scores are improving and short those whose scores are deteriorating —ESG Level Factor InvestingLong high-ESG-score names and short low-ESG names — a levels sort whose premium is dispute ESG, Price Momentum and Stochastic OptimizationBlend ESG scores with price momentum inside a constrained optimizer — a construction recip Exploiting Term Structure of VIX FuturesTrade the VIX curve — short steep contango, respect backwardation — a roll-yield book in v Filing Similarity and Stock ReturnsUse how similar this year’s 10-K/10-Q language is to last year’s as a signal — boilerplate FOMC Meeting Effect in StocksTime equity exposure around scheduled FOMC days — a calendar of policy-event premia, not a FX Carry Trade StrategyLong high-yield currencies, short low-yield currencies — harvest the forward premium that Gross Profitability StrategyLong high gross-profits-to-assets names and short low — Novy-Marx profitability as a quali Halloween / Sell in MayHold equities November–April and step aside May–October — the two-season calendar, also ca Idiosyncratic Volatility StrategyShort high residual-vol names and long low residual-vol names — Ang et al.’s IVOL puzzle a Industry Momentum — Riding Industry BubblesStay long industries with accelerating or extreme momentum — a trend overlay that explicit Insider Buying StrategyOverweight names with clustered open-market insider buys and avoid heavy insider sales — a January Effect in StocksOverweight small or beaten-up names in early January — the tax-loss / window-dressing cale Lexical Density of Company FilingsScore filings on information density (less boilerplate, more content words) and sort the c Low Volatility Factor Effect in StocksOverweight low-realized-vol (or low-beta) stocks and underweight high-vol names — the low-Magic FormulaRank on earnings yield and return on capital, buy the top combined rank — Greenblatt’s two Market Seasonality Effect in World Equity IndexesTime global equity exposure with calendar rules (Halloween, first-half vs second-half year Market Sentiment and the Overnight AnomalyHarvest the close-to-open (overnight) equity premium, optionally gated by a sentiment filt MAX Effect / Lottery StocksShort last-month’s extreme daily winners (lottery names) and long the boring residual — Ba Merger ArbitrageLong the target (and short the acquirer in stock deals) after a bid, to harvest the spread Momentum and Reversal Combined with Volatility in StocksBlend intermediate momentum, short-term reversal, and a volatility filter — a multi-horizo Momentum Asset AllocationRank asset classes on recent return and hold only the top of the list — a rotational syste Momentum Combined with Asset GrowthIntersect 12-1 momentum with low asset growth — keep winners that are not empire-building.Momentum Effect in CommoditiesLong commodity futures with the strongest trailing returns and short the weakest — cross-s Momentum Effect in Stocks in Small PortfoliosRun equity momentum on a concentrated winner list — higher tracking error, higher cost sen Momentum Factor and Style RotationRotate among style sleeves (value, growth, quality, size) using the momentum of the styles Momentum Factor Effect in Country Equity IndexesRotate country equity indexes toward those with the strongest trailing returns — momentum Momentum Factor Effect in REITsApply 12-1 momentum inside listed real-estate names — a sector-specific momentum book.Momentum Factor Effect in StocksLong 12-1 month winners and short losers in a stock universe — the cross-sectional equity Momentum in Mutual Fund ReturnsAllocate to the mutual funds (or share classes) with the strongest trailing returns — mome Net Current Asset Value EffectBuy stocks trading below net current assets (Graham’s net-nets) — a deep-value liquidation Net Payout Yield EffectLong high net-payout (dividends plus net buybacks) names and short low/negative payout — s Overnight Seasonality in BitcoinTime BTC exposure to the clock — certain hours print more of the return than a 24/7 averag Pairs Trading with Country ETFsMean-revert spreads between country (or regional) ETFs that usually travel together — pair Pairs Trading with StocksTrade a spread between two historically linked stocks when it is statistically wide, and u Piotroski F-Score Combined with Short-Term ReversalsFade short-term losers only when fundamentals (F-Score) are healthy — reversal with a qual Piotroski F-Score StrategyWithin cheap stocks, buy high F-Score names — nine binary accounting tests as a quality ov Post-Earnings Announcement DriftLong positive-surprise names and short negative-surprise names for weeks after the print —Quality Minus JunkLong a composite of profitable, growing, safe, well-managed names and short the junk — AQR R&D Expenditures and Stock ReturnsLong high R&D (scaled by assets or market) names and short low-R&D — a capitalized-intangi Rebalancing Premium in CryptocurrenciesRun a frequent rebalance across a crypto basket to harvest volatility and dispersion — a d Residual MomentumRank on residual (idiosyncratic) past returns after taking out market/factor beta — moment Return Asymmetry Effect in Commodity FuturesSort commodities on upside vs downside return asymmetry and hold the preferred tail profil Reversal Effect in International Equity ETFsFade multi-year country or regional ETF winners and buy the laggards — a slow reversal, no Reversal in Post-Earnings Announcement DriftFade an already-extended PEAD move — a reversal overlay on the earnings-drift anomaly, not ROA Effect within StocksLong high return-on-assets names and short low-ROA names — profitability as a quality sort Sector Momentum Rotational SystemHold the equity sectors with the strongest trailing returns and drop the laggards — indust Short Interest Effect — Long OnlyOverweight names with low short interest and avoid the heavily shorted — the long-only, im Short Interest Effect — Long-ShortShort high short-interest names and long low short-interest names — crowding and borrow as Short-Term Reversal Effect in StocksLong last week’s (or last month’s) losers and short the winners — a short-horizon reversal Short-Term Reversal with FuturesFade last week’s winners and buy last week’s losers across liquid futures — reversal in a Size Factor — Small Capitalization Stocks PremiumLong small-cap stocks and short large-caps — the size premium as a tradable long-short, no Skewness Effect in CommoditiesPrefer commodity futures with more attractive skewness (or fade lottery-like positive skew Smart Factors Momentum plus Market PortfolioRotate smart-beta factors on their own momentum and blend the result with the market — a c Soccer Clubs' Stocks ArbitrageFade or fade-and-hold listed football-club stocks around match outcomes — a sports-sentime Synthetic Lending Rates Predict Market ReturnTime the equity index with a borrow/lending-fee composite — when synthetic shorting is exp Term Structure Effect in CommoditiesLong commodities in backwardation (positive roll yield) and short those in contango — harv Time-Series Momentum EffectIn each futures market, go long if that market’s own trailing return is positive and short Trend-Following Effect in StocksLong stocks making new highs (or above a breakout) with a trailing stop — CTA logic on sin Turn of the Month in Equity IndexesBe long the index around month-end / month-start and lighter mid-month — a calendar cluste Value and Momentum Factors across Asset ClassesRun value and momentum on the same multi-asset universe and combine them — Asness–Moskowit Value Factor — CAPE Effect within CountriesOverweight cheap country indexes on CAPE (or similar cyclically adjusted earnings yield) a Value Factor Effect in StocksLong high book-to-market (or cheap earnings/cash-flow) stocks and short expensive ones — c Volatility Risk Premium EffectSell implied volatility and buy realized — harvest the gap that insurance buyers pay, with Weekday / Weekend EffectTime equity (or crypto) exposure by day of week — a calendar leftover that has been mined

Strategies · Core

Momentum Factor Effect in REITs

Apply 12-1 momentum inside listed real-estate names — a sector-specific momentum book.

Definition Why it matters Case How to read it

Definition

Same J/K momentum recipe, universe = REITs. Rates and property-type betas dominate. You often own a duration-plus-sector bet labeled momentum.

Why it matters

REITs are liquid enough and distinct enough to test whether mom is just a tech story.

Case

2022 rate shock: REIT mom is a single-factor rates book. The cross-section inside REITs still exists, but smaller.

How to read it

Property-type neutrality and leverage. A 20-name REIT mom book is not a diversified real-estate allocation.

Related knowledge · 3 linked entries

Momentum Combined with Asset GrowthStrategies Momentum Effect in Stocks in Small PortfoliosStrategies Momentum Factor Effect in Country Equity IndexesStrategies

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Define Momentum Factor Effect in REITs in plain language. Then say why it matters and give one short case. If evidence is thin, say what is missing — do not invent a trading playbook.

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