Exploiting Return Seasonalities
Adding a seasonality factor to a portfolio of market, size, value, and momentum increases the Sharpe ratio from 1.04 to 1.67.
Equities
Stocks
Latest posts — page 5
Anomalies across the globe: Once public, no longer existent?
The study highlights greater returns in markets with high trading frictions, such as non-US developed and emerging markets.
Investor Inattention and Market Anomalies: How Media Coverage Drives Mispricing
Taking advantage of limited attention in anomaly trading: The average Sharpe ratio documented in the paper is 1.09 (min: 0.62 ROE, max: 4.45 MOM). Top anomalies: MOM (4.45), ROA (2.40), PEAD (1.60), PERF (1.68)—all stronger in low media coverage stocks.
ChronoBERT: Eliminating Lookahead Bias in Financial Text-Based Strategies
Sharpe Ratio (H-L Portfolio): 4.80