Customer Momentum
Momentum and trend following in equities, studied by Pinchuk in 2023 with a linear factor model. The abstract mentions t-statistics but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Long-short equally-weighted (value-weighted) decile portfolio generates a monthly return of 122 (106) basis points and a t-statistic above 4 (2.8) with respect to Fama-French factor models.”
AssetEquitiessingle stocks
StrategyMomentum
TechniqueLinear factor model
GeographyEurope
Also stated: Monthly, t-statistic, Long-short, Price and volume, Fundamentals
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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