Maximum drawdown, recovery, and momentum
“In monthly periods, the alternative portfolios ranked by maximum drawdown measures exhibit outperformance over other alternative momentum portfolios including traditional cumulative return-based momentum portfolios.”
AssetEquities
StrategyMomentumshort-term reversal
TechniqueLinear factor model
GeographyEurope
Also stated: Weekly, Sharpe ratio, Alpha, Excess return, Profit, Drawdown
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
FamilyMomentum and trend following289Factor investing240Machine learning return prediction153News sentiment and text signals14818 more · 854
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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