International Trade Momentum
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Strategy in a nutshell
Invest in U.S. stocks using the Trade Momentum Index, long top 5th percentile and short bottom 5th percentile, rebalanced monthly, based on 10-K mentions and export data.
Economic rationale
Delayed market incorporation of foreign export information creates alpha opportunities. The Trade Momentum Index captures return predictability of U.S. multinational firms from geographic disclosures in 10-K filings.
Backtest performance
Annualised return20.67%
Volatility20.05%
Sharpe ratio1.03