Informative Value, Profitability, and Investment Factors
“These informative factors exhibit around 50% higher Sharpe ratios than their standard counterparts.”
StrategyValue investing
TechniqueLinear factor model
GeographyEurope
ClaimSharpe ratioexcess return
Also stated: Fundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodValue investing by year
FamilyValue investing106Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 896
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