Beyond Prompting: An Autonomous Framework for Systematic Factor Investing via Agentic AI
A 2026 paper by Huang and Fan on factor investing in equities: the abstract mentions a Sharpe ratio and an out-of-sample test and leaves out a benchmark, transaction costs, multiple testing and the size of the universe.
“Applying this methodology to the U.S. equity market, we document that long-short portfolios formed on the simple linear combination of signals deliver an annualized Sharpe ratio of 3.11 and a return of 59.53%.”
AssetEquities
StrategyFactor investing
GeographyUS
ClaimSharpe ratio
Also stated: Long-short, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodFactor investing by year
FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
AssetEquities196
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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