The G-Spread: A Business-Economics-Based Measure of Permanent Capital Loss Risk
“Across the four markets, holdings flagged EXCLUDED by the financial-health gates returned an average of −12.9% per year, beating the benchmark in only 2% of cases, while holdings classified LOW RISK delivered average excess returns of 10.8 percentage points above the benchmark, beating it 93% of the time.”
AssetEquities
StrategyFactor investing
TechniqueLinear factor model
GeographyUSEurope
Also stated: Excess return, Price and volume
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
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