Fig. 3
From: Corporate managers, price noise and the investment factor
Performance of alternative trading strategies. The Figure presents the performance of alternative trading strategies based on $100 invested in May 1984. The strategies are based on past signals from net exchanges. For each month t, I calculate the average over NEIO (normalized net exchanges) from period t-2 to t-4. I use the average as an indicator to determine my investment decision in month t. If on average the past net exchanges have been negative, I invest all my funds in the market portfolio and short the risk-free asset (30-day T-bills). If on average the past net exchanges have been positive, I invest all my funds in the respective factor portfolio