Stratégies de momentum sectoriel au Canada
Bibliographic record
Abstract
Sur la période de 1962 à 2000, les stratégies de momentum basées sur des indices sectoriels canadiens sont rentables particulièrement pour des horizons de formation et de détention de six mois. Le risque diminue de façon appréciable lorsque quatre secteurs d’activité plutôt qu’un seul sont considérés dans les portefeuilles extrêmes de gagnants et de perdants. Pour les portefeuilles couverts, le rendement anormal est légèrement supérieur au rendement total, de sorte que le risque mesuré par l’exposition aux trois facteurs de Fama et French n’explique pas la rentabilité des stratégies de momentum sectoriel. Ce résultat vaut lorsque le risque associé aux portefeuilles couverts est considéré constant ou lorsqu’il varie dans le temps. La comparaison des rendements des stratégies de momentum basées sur le rendement total, sur la composante spécifique et sur la composante factorielle du rendement, montre que l’essentiel du rendement des stratégies de momentum sectoriel provient de la composante spécifique.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.003 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.002 | 0.003 |
| Science and technology studies | 0.002 | 0.001 |
| Scholarly communication | 0.004 | 0.001 |
| Open science | 0.000 | 0.001 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.006 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".