![]() ![]() ![]() Including shorting costs would further lower performance. Accounting for trading frictions, which tend to be high for monthly momentum strategies due to high turnover, would dampen performance.
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![]() ![]() ![]() Including shorting costs would further lower performance. Accounting for trading frictions, which tend to be high for monthly momentum strategies due to high turnover, would dampen performance.
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Leave a Reply. |