16.4
Real Estate Momentum
PYTHON PLUGIN
Real Estate
Momentum
Description
Strategy 16.4: Cross-sectional momentum across REITs/MSAs
Strategy Logic
Strategy 16.4: Momentum across metropolitan statistical areas (MSAs).
Buy REITs/real-estate vehicles in areas with higher past returns.
Rank by trailing returns, buy top quantile, sell bottom quantile.
Zero-cost long/short when possible.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| momentum_lookback | 252 | int |
| skip_recent | 21 | int |
| long_quantile | 0.8 | float |
| short_quantile | 0.2 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 8.0% |
| Stop Loss Pct | 6.0% |
| Take Profit Pct | 15.0% |
| Max Drawdown Pct | 15.0% |