Reversal
Long-Run Reversal
A contrarian long-horizon signal that ranks deep prior losers against prior winners to test whether extreme past underperformance eventually reverses.
Reversal
Short-Term Reversal
A short-horizon contrarian signal that buys recent losers and sells recent winners over the next rebalance window.
Reversal
1-Month Short-Term Reversal
Definition phase
Definition
Short-term reversal ranks stocks on their trailing one-month return and then inverts the direction, treating lower recent returns as more attractive and higher recent returns as less attractive.
The idea is that very recent price moves can partially reverse because of temporary price pressure, liquidity provision, delayed rebalancing, and other short-lived mean-reversion channels.
In practice, the implementation buys the most recent losers and shorts the strongest recent winners inside the Russell 1000 cross-section.
Related Signals