An Examination of Number of Holdings and Universe Size in Momentum Strategies: Evidence from India
An analysis of momentum strategies in India finds that concentrated portfolios offer better factor exposure but carry higher idiosyncratic risk and do not outperform on a risk-adjusted basis.
Featured in No. 1 on 24 May 2023 · 6 days after release · 1 citation today
- Released
- 18 May 2023
- First featured
- No. 1 · 24 May 2023
- Citations (Semantic Scholar)
- 1
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- 0
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- 11
- Identifier
- SSRN 4453680
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