Hysteresis Rebalancing in Cross-Sectional Momentum: Reducing Boundary Churn and Transaction-Cost Drag in Indian Equities
“At B = 60, monthly position churn drops by 51.7% (from 9.57 to 4.62 stocks replaced per month), while net after-cost compound annual growth rate (CAGR) improves from 41.70% to 45.12% and the Sharpe ratio rises from 1.728 to 1.849, with maximum drawdown contracting from-26.44% to-25.41%.”
AssetEquitiesindices, single stocks
StrategyMomentum
GeographyIndia
FrequencyMonthly
Also stated: Sharpe ratio, Drawdown, out-of-sample test, universe of 62 stocks
Missing from abstract: benchmark, costs, multiple testing
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The paper's neighbourhoodMomentum and trend following by year
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