Reversal
3 factors in this family
Reversal
Cumulative returns (overlay)
Members
| Factor | Name | Direction | Sharpe | t-stat | Hit rate | Cumulative | Months |
|---|---|---|---|---|---|---|---|
| MRreversal | Medium-Run Reversal | lower_expected_return | 0.34 | 1.32 | 56.7% | 1.53 | 178 |
| Mom36m | Long-Run Reversal | lower_expected_return | 1.07 | 3.88 | 66.7% | 4.06 | 159 |
| STreversal | Short-Term Reversal | lower_expected_return | 0.88 | 3.56 | 56.4% | 6.89 | 195 |
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