Life Cycle Investing and Smart Beta Strategies
Factor investing in equities, studied by Carson, Shores and Nefouse in 2017. The abstract mentions a Sharpe ratio and excess returns but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Adopting smart beta glide paths may improve Sharpe ratios by up to 20% over a standard equity-bond glide path.”
AssetEquitiesbonds
StrategyFactor investingmomentum
ClaimSharpe ratioexcess 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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