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
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Research
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 ...
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