Leapday: 2022 year-end report card
This report provides an update on the performance of the REACTION signals through the end of 2022.
top of page
Research
Leapday Quantitative Research Team
- Dec 5, 2022
- 8 min
Downside market protection with earnings sentiment PART 2
This report aggregates REACTION signals for the most liquid 500 stocks to create an indictor that predicts downside moves in SPY.
Leapday Quantitative Research Team
- Oct 31, 2022
- 7 min
Downside market protection with earnings sentiment
This report aggregates REACTION signals to create an indictor that predicts downside moves in the overall stock market.
Leapday Quantitative Research Team
- Jul 18, 2022
- 7 min
2022 mid-year update: REACTION signals remain strong
This report provides a 2022 mid-year update on the performance of the Leapday REACTION signals.
Leapday Quantitative Research Team
- May 3, 2022
- 10 min
Sticking to the fundamentals: Improving entry and exit timing with REACTION signals
This report examines how REACTION signals can be used by fundamental investors to improve the timing of entering and exiting trades.
Leapday Quantitative Research Team
- Mar 8, 2022
- 7 min
Improving REACTION signal performance with active news analysis
This report examines if the largest losing and winning trades for REACTION signals are due to accuracy of the signals or exogenous factors.
Leapday Quantitative Research Team
- Jan 18, 2022
- 8 min
Leapday: 2021 year-end report card
This report provides an update on the performance of the REACTION signals through the end of 2021.
Leapday Quantitative Research Team
- Dec 21, 2021
- 8 min
How does REACTION stack up against an earnings drift strategy?
This report compares REACTION performance to a PEAD strategy and studies how frequently REACTION trades with the direction of price momentum
Leapday Quantitative Research Team
- Nov 17, 2021
- 7 min
Big REACTIONS in big stocks
This report uses REACTION signals to construct market-neutral portfolios that restrict trading to only the most liquid 500 and 1,000 stocks.
Leapday Quantitative Research Team
- Sep 30, 2021
- 6 min
Targeting the most predictive REACTION signals to boost returns in a market-neutral portfolio
This report examines the impact on portfolio performance when allocating a larger proportion of a portfolio to less active stocks.
Leapday Quantitative Research Team
- Aug 25, 2021
- 6 min
Improving market-neutral portfolio performance with a market direction filter
This report applies a market direction filter from past research to a market-neutral portfolio using all 3 entry points of REACTION signals
Leapday Quantitative Research Team
- Jul 29, 2021
- 5 min
2021 mid-year update: Reaction model continues to provide uncorrelated returns
This report provides a 2021 mid-year update on the performance of the Leapday REACTION signals.
Leapday Quantitative Research Team
- Jun 15, 2021
- 9 min
Market-neutral portfolio construction with an event-based signal PART 3
In this report we build a market-neutral portfolio using REACTION signals generated before the open on the day after the event day.
Leapday Quantitative Research Team
- May 11, 2021
- 10 min
Market-neutral portfolio construction with an event-based signal PART 2
In this report we build a market-neutral portfolio using REACTION signals which are generated 60 minutes after the open on the event day.
Leapday Quantitative Research Team
- Apr 27, 2021
- 7 min
Market-neutral portfolio construction with an event-based signal
In this report we build a market-neutral portfolio using REACTION signals which are generated just before the close on the event day.
Leapday Quantitative Research Team
- Apr 13, 2021
- 9 min
Using Market Direction to Screen REACTION Signals
We investigate whether moves in SPY prior to a REACTION signal provide meaningful information in deciding whether to enter or avoid a trade.
Leapday Quantitative Research Team
- Mar 23, 2021
- 5 min
Improving portfolio returns using an earnings reaction overlay
In this report we aggregate REACTION signals on busy earnings days to create a short market direction signal that is used as an overlay.
Leapday Quantitative Research Team
- Mar 2, 2021
- 6 min
Predicting market direction during peak earnings season
In this report we investigate whether aggregating Leapday’s REACTION signals on busy earnings days can be used to predict market direction.
Leapday Quantitative Research Team
- Feb 2, 2021
- 5 min
Do investors really care about earnings events? PART 2
We continue our investigation of investor attention around earnings events. We find that jumps on event days are more than double the ...
Leapday Quantitative Research Team
- Jan 5, 2021
- 4 min
Do investors really care about earnings events?
We investigate whether investors are paying attention to earnings events and find that investor activity spikes over 150% after earnings ...
bottom of page