Not All Factors Crowd Equally: Modeling, Measuring, and Trading on Alpha Decay
“Momentum exhibits clear hyperbolic decay (R^2 = 0.65), outperforming linear (0.51) and exponential (0.61) baselines -- validating the equilibrium foundation.”
StrategyMomentumshort-term reversal
TechniqueLinear factor model
GeographyEurope
ClaimSharpe ratioalpha
Also stated: out-of-sample test
Missing from abstract: benchmark, 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
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