Memo 001: Momentum primer and database intro
2025-02-20
A short intro to the Quant Memo database and why we start with momentum as a core theme.
This is the first memo in the Quant Memo newsletter. Quant Memo is a reference database for quant strategies, with practical notes, implementation guidance, and a newsletter (these memos) that link back into the database.
Why momentum first? Momentum is one of the best-documented return drivers across asset classes. In the database you’ll find:
- Dual Momentum Equity: simple equity/cash (or bond) switch using 12m momentum.
- Trend Following (Futures): Donchian-style breakouts across commodities, rates, FX, and equity indices.
- Sector Rotation: rotating into top momentum sectors and out of weak ones.
We’ll keep adding strategies and concepts. Each strategy page includes thesis, signals, risk notes, failure modes, and an implementation checklist.
What would change our mind? If out-of-sample momentum premia disappear in the next 5 years after costs, we’d reduce emphasis on pure momentum and focus more on hybrid (e.g. momentum + regime filter) or other edges.
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