MGPraxis6,400 papers identified by name

Α Multi-Factor Model of Performance Persistence: A Comparative Study of UK Investment Trusts

Michel Zaki Guirguis·2010
SSRN 1659556 ↗

Guirguis (2010) studies factor investing in equities using a linear factor model. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.

“By applying Fama and French three factor model, extended version of the Fama and French model to include the market timing ability variable from a model developed by Treynor and Mazuy (1966), we derived to the conclusion that the results are mixed for most of the sectors.”

AssetEquities
StrategyFactor investingmarket timing
TechniqueLinear factor model
GeographyEuropeUK

Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe

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The paper's neighbourhoodFactor investing by year
■ equities■ bonds and credit■ multi-asset■ volatility and options■ other assets200020054This paper2010152015131620201626322026■ equities■ bonds and credit■ multi-asset■ volatility and options■ other assets200020054This paper2010152015131620201626322026
FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
AssetEquities196
MethodLinear factor models87Bayesian9Mathematical derivation9State-space models94 more · 14
AuthorsGuirguis2Chuan Shi11Jennifer Bender7Taie Wang68 more · 30
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