Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models?
This 2016 paper studies factor investing in equities using a linear factor model over 2000–2015. The abstract mentions a Sharpe ratio but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“The second algorithm works only on eight risk factors and applies them as input variables to Markowitz models with alternative optimisation criteria (target risk, target return, maximum Sharpe ratio, minimum variance and equally weighted assets).”
AssetEquities
StrategyFactor investinglow-volatility anomaly
TechniqueLinear factor model
FrequencyWeekly
Also stated: 2000–2015, Sharpe ratio, Macro
Missing from abstract: benchmark, 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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