Momentum Factor Construction and Signal Orthogonality: A Mathematical Framework for Systematic Equity Strategies
Pellerano (2026) studies momentum and trend following in equities. The abstract mentions an information ratio but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Empirical results from a 46-year backtest on a 100-stock universe of S&P 500 constituents demonstrate that a single-signal monthly momentum strategy generates a compound annual growth rate of 24.6% against an index baseline of 9.6%, with an information ratio of 0.80 sustained across multiple regimes.”
AssetEquities
StrategyMomentumfactor investing
FrequencyMonthly
ClaimInformation ratio
Also stated: Fundamentals
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
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