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Weekly Research Insights - Improving Equity Momentum Strategies

Weekly Research Insights - Improving Equity Momentum Strategies

Using the Price Path to Improve Signals

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QuantSeeker
Jul 24, 2025
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Weekly Research Insights - Improving Equity Momentum Strategies
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Hi there. In this week’s Research Insights, I discuss a recent paper that proposes a simple improvement to standard long-short equity momentum strategies. I test the core ideas empirically, both for long-short and long-only momentum portfolios, and highlight the differences. Consistent with the paper’s findings, I find improvements in Sharpe ratios and drawdowns relative to traditional momentum.

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