This paper focuses on systematic intraday momentum strategies in the US equity market, which aim to capitalize on intraday long or short trending behaviors. These strategies serve the dual purpose of mitigating downward risk and seeking asymmetric and convex return profiles, particularly during crisis periods.
The study utilizes statistical techniques to decompose the strategies’ variance to the S&P 500 index across various intraday signals. Additionally, a quantitative framework is developed and validated to effectively monitor and proxy the expected outcomes of these strategies.
The analysis examines a portfolio of twelve strategies from the Premialab database, supplemented by a Premialab Pure Factors® benchmark. These strategies differ based on factors such as signal usage, activation thresholds, position types, reporting frequencies, and smoothing methods. The research provides insights for investors looking to diversify their portfolios and capitalize on uncorrelated return profiles beyond traditional asset classes.
