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Falkenblog: One-Month Trading Strategies

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About half of Robeco’s Quantitative Investing team recently published a short paper on monthly trading strategies (see Blitz et everybody ...

Falkenblog: One-Month Trading Strategies Tuesday, June 07, 2022 One-Month Trading Strategies About half of Robeco’s Quantitative Investing team recently published a short paper on monthly trading strategies (see Blitz et everybody Beyond Fama-French Factors: Alpha from Short-Term Signals Frequencies ). I can imagine these guys talking about this stuff all the time, and someone finally says, “this would make a good paper!” ‘Short-Term’ refer to one-month trading horizons. Anything shorter than a month does not significantly overlap with standard quant factors like

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