Fake Alpha
Müller, Rosenberger and Uhrig-Homburg (2017) study factor investing in equities. The abstract mentions alpha and excess returns but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“When investors are unable to correctly quantify risk because they have no knowledge of factor investing on beyond-market-risk factors, Fake Alpha strategies based on factor investing look like skill from the investors' perspective.”
AssetEquitiesfunds
StrategyFactor investing
GeographyUS
ClaimAlphaexcess return
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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