UK Deep Value NCAV Strategy with Annual July Rebalancing
The investment universe includes only specific stocks from the London Exchange, excluding multiple share classes, foreign, lightly regulated, and financial sector companies. Annually in July, an equal-weighted, one-year Buy-and-hold NCAV/MV portfolio is formed, including stocks with an NCAV/MV over 1.5. ASSET CLASS: stocks | REGION: Europe | FREQUENCY: Yealy | MARKET: Equity | KEYWORD: CAV […]
Seasonal Global Equity Rotation Strategy with Hemispheric and Sector Timing
Invest in global stocks from November to April, hold cash from May to October. Alternatively, go long on Northern Hemisphere stocks in winter, Southern Hemisphere in summer. Or invest cyclically in winter, defensively in summer. ASSET CLASS: CFDs, ETFs, funds, futures | REGION: Global | FREQUENCY: Semi-annually | MARKET: Equity | KEYWORD: Seasonality STRATEGY IN […]
US Equity Value Factor Strategy: Monthly Long High and Short Low Book-to-Price Stocks
“The investment universe spans NYSE, AMEX, NASDAQ stocks. The HML portfolio, equally weighted and monthly rebalanced, longs high and shorts low book-to-price stocks, showcasing results from averaging HML small and large strategies.” ASSET CLASS: stocks | REGION: United States | FREQUENCY: Monthly | MARKET: Equity | KEYWORD: Value Factor STRATEGY IN A NUTSHELL The investment […]
US Equity Size Factor Strategy
“The investment universe includes NYSE, AMEX, NASDAQ stocks, forming decile portfolios by market cap. The SMB portfolio longs small stocks and shorts large stocks for the “size” effect.” ASSET CLASS: stocks | REGION: United States | FREQUENCY: Yearly | MARKET: Equity | KEYWORD: Size Factor STRATEGY IN A NUTSHELL The investment pool comprises stocks from […]
Country ETF Long-Short Reversal Strategy Based on 36-Month Returns with Triennial Rebalance
Invest in 16 ETFs tracking country indexes. Short top 4 and long bottom 4 based on 36-month returns. Rebalance triennially. ASSET CLASS: ETFs, funds | REGION: United States | FREQUENCY: Every 3 Years | MARKET: Equity | KEYWORD: Reversal STRATEGY IN A NUTSHELL The strategy involves 16 ETFs, each representing a different country’s equity index. […]
Top 100 Market Cap Weekly Reversal Strategy
Invest in the top 100 companies by market cap. Weekly, buy ten underperformers from the last week and short ten top performers from the last month. ASSET CLASS: stocks | REGION: Global | FREQUENCY: Weekly | MARKET: Equity | KEYWORD: Reversal STRATEGY IN A NUTSHELL The strategy targets the 100 largest companies by market cap. […]
Low Volatility Large-Cap Stock Strategy with Monthly Decile Ranking
Monthly, construct equally-weighted decile portfolios by ranking global (or US) large-cap stocks based on three-year volatility. Go long top-decile stocks. ASSET CLASS: stocks | REGION: Global | FREQUENCY: Monthly | MARKET: Equity | KEYWORD: Volatility STRATEGY IN A NUTSHELL In a universe comprising global or US large-cap stocks, monthly, equally-weighted decile portfolios are formed. Stocks […]
Reversal in Post-Earnings Announcement Drift
“Daily, investors pick stocks with upcoming earnings from NYSE, AMEX, NASDAQ, targeting large-caps with active options. They trade based on past earnings performance, holding for two days, equally weighted.” ASSET CLASS: Stocks | REGION: United States | FREQUENCY: Daily | MARKET: Equity | KEYWORD: PEAD STRATEGY IN A NUTSHELL Investors focus on NYSE, AMEX, and […]
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