Day-of-the-Month Effects in the Performance of Momentum Trading Strategies in the Foreign Exchange Market
Momentum and trend following in equities, studied by Harris, Stoja and Yılmaz in 2008 with a linear factor model. 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.
“Indeed a two-factor model employing conditional volatility and the volatility of conditional volatility explains as much as 70 percent of the intra-month variation in the Sharpe ratio.”
AssetEquities
StrategyMomentummacro signals
TechniqueLinear factor model
GeographyUS
Also stated: Sharpe ratio, Macro, Text and news
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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