A Census of the Factor Zoo

7 Pages Posted: 18 Mar 2019 Last revised: 16 Oct 2020

See all articles by Campbell R. Harvey

Campbell R. Harvey

Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER)

Yan Liu

Purdue University

Date Written: February 25, 2019


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.

Here is the updated analysis:

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

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

Suggested Citation

Harvey, Campbell R. and Liu, Yan, A Census of the Factor Zoo (February 25, 2019). Available at SSRN: https://ssrn.com/abstract=3341728 or http://dx.doi.org/10.2139/ssrn.3341728

Campbell R. Harvey (Contact Author)

Duke University - Fuqua School of Business ( email )

Box 90120
Durham, NC 27708-0120
United States
919-660-7768 (Phone)

HOME PAGE: http://www.duke.edu/~charvey

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Yan Liu

Purdue University ( email )

West Lafayette, IN 47907-1310
United States

HOME PAGE: http://yliu1.com

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