An Auto-Residual Factor Model
“An Auto-Residual Factor Model that comprises of the market factor, the size factor, residual short term reversal, residual momentum, and residual long term reversal proves robust in 5 out of 5 samples tested and is the top performer of its peers on a maximum squared sharpe ratio basis in our main US sample.”
AssetEquities
StrategySize premiumshort-term reversal
TechniqueLinear factor model
GeographyUS
Also stated: Sharpe ratio, Fundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodSize premium by year
FamilySize premium22Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 980
AssetEquities18
AuthorsAlkshaik1
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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