🌾 Commodity Carry + Momentum Double-Sort
Fuertes/Miffre/Rallis 2010 · SSRN 1127213 · Expected ฮฑ 21% annualized / Sharpe 1.0-1.4
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📊 Sector Dual Momentum (GEM 12-1)
Antonacci 2014 GEM + Zarattini/Antonacci 2024 SSRN 4857230 · Expected Sharpe 0.8-1.1 / MDD<15%
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💵 UST Time-Series Momentum (TSMOM)
Sihvonen 2024 SSRN 3965229 · Expected Sharpe 0.7-1.0 / vol-targeted 10%
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🌙 Overnight-Intraday Reversal (US Large Cap)
Liu/Liu/Wang/Zhou/Zhu · SSRN 2730304 · Expected Sharpe 1.5-2.5 / hold ~16h
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