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.
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Research
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
- 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.
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