spec. momentum-cross-sectional-us-sp500-fact-avg-corr-downcite ledger
qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-avg-corr-downCC-BY-4.0
Average monthly return correlation with other strategies in DOWN regime: 0.15
correlation0.1457 correlationsupports verdict:marginal
Context
Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
Source strategy
marginalequity· no_edge
Cross-Sectional Momentum (US S&P 500)
momentum-cross-sectional-us-sp500
Cite this
qbuntu (2026). Average monthly return correlation with other strategies in DOWN regime: 0.15. Strategy: Cross-Sectional Momentum (US S&P 500). https://qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-avg-corr-down
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-27T03:36:14
fact_id: momentum-cross-sectional-us-sp500-fact-avg-corr-down (immutable)