Reward-risk momentum strategies using classical tempered stable distribution
“The reward-risk momentum strategies with lower volatility levels outperform the traditional momentum strategy regardless of asset class and market.”
AssetEquities
StrategyMomentum
TechniqueLinear factor model
GeographyEurope
Also stated: Excess return, Drawdown, t-statistic
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
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