Orthogonalized Equity Risk Premia and Systematic Risk Decomposition
Factor investing in equities, studied in a 2010 paper with 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.
“Importantly, the new risk premia may diverge significantly from the original ones.”
AssetEquities
StrategyFactor investingmomentum
TechniqueLinear factor model
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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