An Anatomy of Trading Strategies
用一个统一框架分析120种基于收益的交易策略的利润来源，发现不到一半策略有统计显著利润，且动量与反转策略的成功率无差异，但策略利润受持有期和时间段影响，个股收益的横截面差异是关键因素。
In this article we use a single unifying framework to analyze the sources of profits to a wide spectrum of return-based trading strategies implemented in the literature. We show that less than 50% of the 120 strategies implemented in the article yield statistically significant profits and, unconditionally, momentum and contrarian strategies are equally likely to be successful. However, when we condition on the return horizon (short, medium, or long) of the strategy, or the time period during which it is implemented, two patterns emerge. A momentum strategy is usually profitable at the medium (3- to 12-months) horizon, while a contrarian strategy nets statistically significant profits at long horizons, but only during the 1926–1947 subperiod. More importantly, our results show that the cross-sectional variation in the mean returns of individual securities included in these strategies play an important role in their profitability. The cross-sectional variation can potentially account for the profitability of momentum strategies and it is also responsible for attenuating the profits from price reversals to long-horizon contrarian strategies.