An analysis of asset pricing models using out of sample data from the NYSE: 1900-1925
Momentum and trend following over 1900–1925, studied in a 2019 paper with a linear factor model. The abstract mentions a Sharpe ratio, alpha and an out-of-sample test but not a benchmark, transaction costs, multiple testing or the size of the universe.
“We find that we cannot reject the strong predictions of Sharpe’s (1964) CAPM, but that there are portfolios with significant alphas that violate Sharpe’s CAPM weak predictions.”
StrategyMomentumvalue investing
TechniqueLinear factor model
GeographyUSEurope
Sample window1900–1925
Also stated: Sharpe ratio, Alpha, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
FamilyMomentum and trend following289Factor investing240Machine learning return prediction153News sentiment and text signals14818 more · 854
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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