Do Short-Term Factor Strategies Survive Transaction Costs?
Short-term alpha strategies can be controversial in the trading space; this piece goes over whether or not they can survive transaction costs. In June 2022, David Blitz, Matthias Hanauer, Iman Honorvar, Rob Huisman, and Pirm van Pliet published a paper called Beyond Fama-French Factors: Alpha from Short-Term Signals. The writers aimed to stress-test short-term factor…