Target Labels are not Portfolio Returns: A Triple-barrier Failure Mode in Factor Investing
Lima (2026) studies factor investing in equities. The abstract mentions profits, a benchmark and transaction costs but not an out-of-sample test, multiple testing or the size of the universe.
“The primary target, TBM_LONG_FIX_21D_SL5_TP10, defines a long event over a 21trading-day horizon with a 5% stop-loss barrier and a 10% take-profit barrier.”
AssetEquities
StrategyFactor investing
GeographyUS
FrequencyWeekly
Also stated: Profit, benchmark, costs
Missing from abstract: out-of-sample test, 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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