How Common are Return Factors in Cryptocurrencies and Equities?

2021 ◽  
Author(s):  
Guo Feng ◽  
Yulong Sun
Keyword(s):  
Return Factors

Factor Momentum Everywhere

2019 ◽  
Keyword(s):  
Time Series ◽  
Sharpe Ratio ◽  
Individual Factors ◽  
Investment Strategies ◽  
Large Collection ◽  
Stock Performance ◽  
Timing Strategies ◽  
Return Factors

In this article, the authors document robust momentum behavior in a large collection of 65 widely studied characteristic-based equity factors around the globe. They show that, in general, individual factors can be reliably timed based on their own recent performance. A time-series factor momentum portfolio that combines timing strategies of all factors earns an annual Sharpe ratio of 0.84. Factor momentum adds significant incremental performance to investment strategies that employ traditional momentum, industry momentum, value, and other commonly studied factors. The results demonstrate that the momentum phenomenon is driven in large part by persistence in common return factors and not solely by persistence in idiosyncratic stock performance.

How common are common return factors across the NYSE and Nasdaq?☆

2008 ◽  
Vol 90 (3) ◽  
pp. 252-271 ◽  
Author(s):  
A GOYAL ◽  
C PERIGNON ◽  
C VILLA
Keyword(s):  
Return Factors
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