Product Overview

This case considers the viability of a momentum-oriented trading strategy in U.S. equities in 2006. The case, created for use in an investment course, provides both historical performance on the trading strategy and provides the universe of U.S. equity return data in which to execute a proposed strategy.

Learning Objectives

1. Motivate and explore the scholarly literature on weak-form market efficiency and momentum-based trading strategies. 2. Introduce students to the mechanics and benchmarking of long–short equity positions. 3. Encourage a critical analysis of the gains to back-tested strategies.