A Note on Bayesian Long-Term S&P 500 Factor Investing
Factor investing in equities, studied in a 2019 paper with Bayesian methods. The abstract mentions a benchmark but not an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“However, in the short run, fluctuations have heavy tails and do not significantly depend on previous values.”
AssetEquitiesindices
StrategyFactor investing
TechniqueBayesianlinear factor model
GeographyUS
Also stated: Monthly, Fundamentals, Macro, benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodFactor investing by year
FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
AssetEquities196
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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