28. September 2023
Video: Gianpaolo Tomasi on cross-sectional mean reversion
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Video: Gianpaolo Tomasi on cross-sectional mean reversion
Gianpaolo Tomasi
In March 2021 we published a report introducing our cross-sectional mean reversion factor that has been traded out-of-sample since then (Bloomberg ticker: DBRPGERU). In this new report we expand on our previous work by showing how using daily returns more efficiently improves performance even when trading weekly and demonstrate how earnings dates can boost predictive power by avoiding trading against the post-earnings drift. We also introduce an approach to improve the signal using trading volume and propose a turnover control approach that can enhance capacity while preserving performance.