This report uses REACTION signals to construct market-neutral portfolios that restrict trading to only the most liquid 500 and 1,000 stocks.

This report examines the impact on portfolio performance when allocating a larger proportion of a portfolio to less active stocks.

In this report we build a market-neutral portfolio using REACTION signals generated before the open on the day after the event day.

In this report we build a market-neutral portfolio using REACTION signals which are generated 60 minutes after the open on the event day.

In this report we build a market-neutral portfolio using REACTION signals which are generated just before the close on the event day.