It is found that the buy-and-hold (B&H) strategy for the S&P 500 Index (^GSPC) in Jan 1950–Apr 2019 had a significantly higher return than that of the time series momentum (TSM). However, TSM was superior in terms of the Sharpe ratio due to its lower volatility. The statistics for all 10-year...

It is assumed in the news-based model (NBM) that stock prices are determined with macroeconomic news (modeled with the total market return in the spirit of CAPM), industry news (modeled with the relevant industry ETF returns), and the company-specific news and momentum that are described using...