Extracting Alpha from Financial Analyst Networks
A 2024 paper by Gorduza and co-authors on momentum and trend following in equities, using a graph neural network: the abstract mentions a Sharpe ratio, alpha, excess returns and profits and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“We develop a portfolio based on those predictions which we demonstrate to exhibit an annualized returns of 29.44% and a Sharpe ratio of 4.06 substantially outperforming market baselines and existing graph machine learning based frameworks.”
AssetEquities
StrategyMomentum
TechniqueGraph neural network
ClaimSharpe ratioalpha
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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