Factor Trends in 2020
The Tactical Model (TM1) is a global stock selection and position timing model developed by ExtractAlpha. TM1 improves upon simple price reversal strategies in several ways: By intelligently controlling for risk factors By conditioning reversals on volume effects By taking into account uncorrelated mid-horizon alpha strategies, including factor trends, liquidity trends, and seasonality, in 3 separate components In this research note we examine […]