A Census of the Factor Zoo

Abstract

The rate of factor production in the academic research is out of control. We document over 400 factors published in top journals. Surely, many of them are false. We explore the incentives that lead to factor mining and explore reasons why many of the factors are simply lucky findings. The backtested results published in academic outlets are routinely cited to support commercial products. As a consequence, investors develop exaggerated expectations based on inflated backtested results and are then disappointed by the live trading experience. We provide a comprehensive census of factors published in top academic journals through January 2019. We also offer a link to a Google sheet that has detailed information on each factor, including citation information and download links. Finally, we propose a citizen science project that allows researchers to add to our database both published papers as well as working papers.

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Keywords: Overfitting, Backtesting, Data Mining, Multiple Testing, Factor Investing, Value Investing, Momentum

JEL Classification: G10, G11, G12, G20, G23, G40