Are Momentum Strategies Still Profitable for U.S. Equity?
Momentum and trend following in equities, studied by Wilson in 2011 with a linear factor model. The abstract mentions profits but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Momentum strategies are less profitable after the time period considered in Jegadeesh and Titman (2001), and actually produce negative returns on average in the previous five years.”
AssetEquities
StrategyMomentummachine learning
TechniqueLinear factor model
GeographyUSEurope
Also stated: Profit
Missing from abstract: benchmark, out-of-sample test, 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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