Seminal 3–12 month cross-sectional momentum evidence in U.S. equities.

Documents value and momentum factors across global equities, bonds, currencies, and commodities.

Shows diversified futures exhibit persistent trend-following returns.

Extends trend-following evidence back to 1880 across multiple asset classes.

Documents country-level momentum across 12 European markets with results similar to U.S. equities.

Analyzes cross-asset futures momentum portfolios and their performance persistence.

Estimates real-world transaction costs and market impact for large systematic portfolios.

Shows high-turnover retail investors underperform buy-and-hold benchmarks.

Finds limited evidence that retail day traders learn to outperform through experience.

Studies Taiwanese day traders and shows persistent skill is exceptionally rare.

Examines Brazilian equity day traders and documents near-universal losses.

Annual chartbook illustrating the long-run cost of market timing and missing the best days.

Shows scaling exposure by inverse variance can improve Sharpe ratios.

Whitepaper on diversifying portfolios by balancing risk contributions across asset classes.

Contract specifications and key details for the E-mini S&P 500 futures contract (ES).

Contract specifications for the Micro E-mini equity index futures suite (MES, MNQ, etc.).

Highlights the conditions under which momentum strategies can suffer sharp reversals and how to manage the risk.