Save the Trading Costs: Simple and Intuitive Rule for Smart Beta Strategy (Technical Appendix)
Factor investing in equities, studied by Minami and Wakatsuki in 2014. The abstract mentions transaction costs but not a benchmark, an out-of-sample test, multiple testing or the size of the universe.
“Smart beta portfolio can save portfolio turnover (e.g. trading costs) by omitting trade against stocks between the two lines.”
AssetEquities
StrategyFactor investingportfolio optimization
Long/shortLong-only
Also stated: costs
Missing from abstract: benchmark, out-of-sample test, multiple testing, universe
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FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
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|---|---|---|---|---|---|
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