Factors with Style
Momentum and trend following, studied by Kimura and co-authors in 2020. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“We build multifactor portfolios within each style box, giving access to five style factors that can stay within a style category which have exhibited information ratios over 1.0 over June 2003 to March 2019.”
StrategyMomentumsize premium
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
- Delivered in 2 working days
The paper's neighbourhoodMomentum and trend following by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Diversification all the Way Down: Multifactor Investing Within Factors, Across Factors and Across Time by Renshaw et al. | 2026 | ||||
| How Often Should You Take Tactical Asset Allocation Decisions? by An et al. | 2015 | ||||
| Factor Momentum and the Momentum Factor: Evidence from Emerging Markets by Foye | 2026 | ||||
| Heterogeneity in Overnight-versus-Intraday Stock-Return Behavior with Asymmetric Information and 52-week Price Anchoring by Chen et al. | 2026 | ||||
| Artificial Intelligence and Multi-Indicator Confluence Frameworks for Cryptocurrency Trading Signal Optimisation: Evidence from Major Digital Assets by Kaodui et al. | 2026 |