Factor investing in equities
196 papers on factor investing in equities as a systematic trading strategy. Factor investing papers on single stocks and equity indices: 196 of the 240 in factor investing. 88 name a method, most often linear factor models (74). The most cited is Multifactor Explanations of Asset Pricing Anomalies (1996).
Papers1961996–2026
Share of the family82 %196 of 240
| cited by | method | ||
|---|---|---|---|
| Multifactor Explanations of Asset Pricing Anomalies by Fama and French | 6546 | Linear factor models | 1996 |
| Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns by Dittmar | 903 | Linear factor models | 2002 |
| Foundations of Factor Investing by Bender et al. | 72 | 2015 | |
| A New Partial-Segmentation Approach to Modeling International Stock Returns by Karolyi and Wu | 59 | Linear factor models | 2018 |
| Multifactor Asset Pricing Analysis of International Value Investment Strategies by Doukas et al. | 34 | Linear factor models | 1998 |
| Fundamentals of Efficient Factor Investing by Clarke et al. | 31 | 2015 | |
| Timing 'Smart Beta' Strategies? Of Course! Buy Low, Sell High! by Arnott et al. | 29 | 2017 | |
| Financial Distress, Market Anomalies and Single and Multifactor Asset Pricing Models: New Evidence by Hussain et al. | 23 | Linear factor models | 2002 |
| Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market) by Hanauer et al. | 21 | Linear factor models | 2011 |
| Earnings Forecasting in a Global Stock Selection Model and Efficient Portfolio Construction and Management by Guerard et al. | 18 | Linear factor models | 2015 |
| Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing by Arnott et al. | 15 | 2019 | |
| A Conditional Multifactor Analysis of Return Momentum by Wu | 14 | Linear factor models | 2001 |
| Managing the Market Portfolio by Hollstein and Prokopczuk | 13 | Linear factor models | 2023 |
| How Smart are 'Smart Beta' ETFs? Analysis of Relative Performance and Factor Exposure by Glushkov | 13 | 2015 | |
| Share Issuance and Factor Timing by Greenwood and Hanson | 11 | 2010 | |
| A Quantum Leap in Asset Pricing: Explaining Anomalous Returns by Kolari et al. | 10 | Linear factor models | 2023 |
| The High-Frequency Factor Zoo by Aleti | 10 | 2022 | |
| Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks by Lezmi et al. | 10 | 2020 | |
| Why Factor Tilts are Not Smart 'Smart Beta' by Arnott et al. | 9 | 2017 | |
| Generalized Stochastic Arbitrage Opportunities by Arvanitis and Post | 8 | 2024 | |
| Efficient bias robust regression for time series factor models by Martin and Xia | 8 | Linear factor models | 2022 |
| The Smart Beta Indexing Puzzle by Cazalet et al. | 8 | 2019 | |
| Factor Investing by Ang | 8 | 2013 | |
| Beyond Direct Indexing: Dynamic Direct Long-Short Investing by Liberman et al. | 7 | 2023 | |
| Factor investing: alpha concentration versus diversification by Heinrich et al. | 7 | 2021 | |
| Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model by Zhu et al. | 6 | Linear factor models | 2021 |
| Tilted and Anti-Tilted Portfolios: A Coherent Framework for Advanced Beta Portfolio Construction by Bender and Wang | 6 | 2019 | |
| Factor Investing in South Africa by Flint et al. | 6 | 2016 | |
| Academic Knowledge Dissemination in the Mutual Fund Industry: Can Mutual Funds Successfully Adopt Factor Investing Strategies? by van Gelderen and Huij | 6 | 2013 | |
| Timing the Factor Zoo by Neuhierl et al. | 5 | 2023 | |
| Constructing Long-Only Multi-Factor Strategies: Portfolio Blending versus Signal Blending by Ghayur et al. | 5 | 2017 | |
| Factor Investing in Practice: A Trustees' Guide to Implementation by Koedijk et al. | 5 | 2014 | |
| Regime-Aware Factor Allocation with Optimal Feature Selection by Bosancic et al. | 4 | State-space models +1 | 2024 |
| AutoAlpha: an Efficient Hierarchical Evolutionary Algorithm for Mining Alpha Factors in Quantitative Investment by Zhang et al. | 4 | Linear factor models | 2020 |
| Backtesting ESG Factor Investing Strategies by Hanicova and Vojtko | 4 | 2020 | |
| Compensated and Uncompensated Risks In Global Factor Investing by Ehsani et al. | 4 | 2020 | |
| Measuring and Managing Carbon Risk in Investment Portfolios by Roncalli et al. | 4 | Linear factor models | 2020 |
| Rebalance Timing Luck: The (Dumb) Luck of Smart Beta by Hoffstein et al. | 4 | 2020 | |
| The Effect of Market Regimes on the Performance of Market Capitalization-Weighted and Smart Beta Shariah-Compliant Equity Portfolios by Raza et al. | 4 | State-space models | 2019 |
| The Low-Minus-High Portfolio and the Factor Zoo by Andrei et al. | 4 | 2019 | |
| Contextual Fundamentals, Models, and Active Management by Sorensen et al. | 4 | 2005 | |
| Can Competition Increase Profits in Factor Investing? by DeMiguel et al. | 3 | 2025 | |
| Why Has Factor Investing Failed?: The Role of Specification Errors by de Prado and Zoonekynd | 3 | Mathematical derivation +1 | 2024 |
| Factor Investing with a Deep Multi-Factor Model by Wei et al. | 3 | Neural networks +1 | 2022 |
| Bottom-up versus top-down factor investing: an alpha forecasting perspective by Zurek and Heinrich | 3 | Linear factor models | 2020 |
| Factor Investing from Concept to Implementation by van Gelderen et al. | 3 | 2019 | |
| Embedded Betas and Better Bets: Factor Investing in Emerging Market Bonds by Kang et al. | 3 | 2018 | |
| Want Smart Beta? Follow the Smart Money: Market and Factor Timing Using Relative Sentiment by Micaletti | 3 | 2018 | |
| Multi-Factor Portfolio Construction for Passively Managed Factor Portfolios by Bender and Wang | 3 | 2017 | |
| Factor Investing: Risk Premia vs. Diversification Benefits by Brière and Szafarz | 3 | Linear factor models | 2015 |
| Style Factor Timing: An Application to the Portfolio Holdings of U.S. Fund Managers by Gallagher et al. | 3 | 2013 | |
| Α Multi-Factor Model of Performance Persistence: A Comparative Study of UK Investment Trusts by Guirguis | 3 | Linear factor models | 2010 |
| An Information-Theoretic Asset Pricing Model by Ghosh et al. | 2 | Linear factor models | 2025 |
| How Inefficient is the 1/N Strategy for a Factor Investor? by Khang et al. | 2 | 2023 | |
| Factor Investing with Reinforcement Learning by Coqueret and André | 2 | Linear factor models | 2022 |
| Multi-(Horizon) Factor Investing with AI by Goyenko and Zhang | 2 | Language models | 2022 |
| Optimal Holdings of Active, Passive and Smart Beta Strategies by Bellord et al. | 2 | 2017 | |
| Smart Beta, Smart Money by Qinhua and Chi | 2 | 2017 | |
| Does Fama-French Three Factor Model Outweigh the CAPM Model? Evidence from the Dhaka Stock Exchange by Sayeed et al. | 2 | Linear factor models | 2015 |
| Inteligentna beta (ang. smart beta) jako nowa strategia inwestycyjna państwowych funduszy majątkowych (ang. sovereign wealth funds) (Smart Beta as a New Investment Strategy by Sovereign Wealth Funds (SWFs)) by Wiśniewski | 2 | 2015 | |
| Alpha Minus Beta: Simple Rule for Smart Beta Strategy by Minami and Wakatsuki | 2 | 2014 | |
| How Performance of Risk-Based Strategies is Modified by Socially Responsible Investment Universe? by Bertrand and Lapointe | 2 | Linear factor models | 2013 |
| Investing in Systematic Factor Premiums by Koedijk et al. | 2 | 2013 | |
| Dynamic Style Analysis and Applications by Markov et al. | 2 | Linear factor models | 2011 |
| Stock Return Prediction and Anomaly Detection by Regression Trees by Verbiest | 2 | 2011 | |
| Alpha Now, Taxes Later: Tax-Efficient Long-Only Factor Investing by Chen and Israelov | 1 | 2025 | |
| Don't Judge a Book by its Cover: Evidence of Returns Based Factor Exposures of Multifactor Strategies in India by Raju and Jacob | 1 | Linear factor models | 2024 |
| The Case for Causal Factor Investing by de Prado et al. | 1 | Linear factor models | 2024 |
| Equity Factor Investing with Paris Aligned constraints by Lagarde and de Carvalho | 1 | 2023 | |
| Factor Investing With Sentiment: A Look at Asia-Pacific Markets by Hafez et al. | 1 | 2023 | |
| MuSu: A Medium-Term Investment Strategy by Integrating Multifactor Model with Industrial Supply Chain by Sun et al. | 1 | 2023 | |
| Performance of ESG-Integrated Smart Beta Strategies in Asia-Pacific Stock Markets by Tan et al. | 1 | 2023 | |
| Factor Information Decay: A Global Study by Flint and Vermaak | 1 | 2022 | |
| A Factor-based Risk Model for Multi-factor Investment Strategies by Abergel et al. | 1 | Linear factor models | 2021 |
| Application of Algorithmic Trading Strategies for Retail Investors by Harke et al. | 1 | Tree ensembles +1 | 2021 |
| Dirichlet policies for reinforced factor portfolios by André and Coqueret | 1 | Linear factor models | 2021 |
| Is Sector-neutrality in Factor Investing a Mistake? by Ehsani et al. | 1 | 2021 | |
| Putting Credit Factor Investing into Practice by Kaufmann et al. | 1 | 2021 | |
| Factor Investing: A Bayesian Hierarchical Approach by Feng and He | 1 | Bayesian | 2020 |
| The Drivers and Inhibitors of Factor Investing by Jin | 1 | 2019 | |
| The Latest Wave in Advanced Beta: Combining Value, Low Volatility, and Quality by Bender et al. | 1 | 2019 | |
| Factor Investing: Get Your Exposures Right! by Soupé et al. | 1 | 2018 | |
| Does the Application of Smart Beta Strategies Enhance Portfolio Performance? The Case of Islamic Equity Investments by Raza and Ashraf | 1 | 2017 | |
| Advanced Idiosyncratic Risk and Multi-Factor Models by Dash and Bondioli | 1 | Linear factor models | 2015 |
| Risk-Adjusting the Returns of Private Equity Using the CAPM and Multi-Factor Extensions by Buchner | 1 | Linear factor models | 2015 |
| Evaluating the Efficiency of 'Smart Beta' Indexes by Hunstad and Dekhayser | 1 | 2014 | |
| Save the Trading Costs: Simple and Intuitive Rule for Smart Beta Strategy (Technical Appendix) by Minami and Wakatsuki | 1 | 2014 | |
| Multifactor Asset Pricing Models and Industry Portfolio Investment Strategies by Shank | 1 | Linear factor models | 2013 |
| Firm Characteristics, Alternative Factors, and Asset-Pricing Anomalies: Evidence from Japan by Chou et al. | 1 | Linear factor models | 2009 |
| "Factor Investing with Climate: Engineer a ""Climate-Resilient"" Factor Portfolio for JSE" by Mayambu | 0 | 2026 | |
| A Common Rough Latent State in Conditional Factor Pricing: Rethinking the Fama-French Five-Factor Model by Kamdem | 0 | Mathematical derivation +2 | 2026 |
| A Deep Multi-Factor Framework for Cross-Sectional Stock Return Ranking via Market-State Attention Pooling by Wu and Liu | 0 | Neural networks | 2026 |
| AlphaLogics: A Market Logic-Driven Multi-Agent System for Scalable and Interpretable Alpha Factor Generation by Weng et al. | 0 | 2026 | |
| Bayesian Intermediary Asset Pricing: Do Intermediary Factors Survive the Factor Zoo? by Zhang | 0 | Bayesian +1 | 2026 |
| Beyond Prompting: An Autonomous Framework for Systematic Factor Investing via Agentic AI by Huang and Fan | 0 | 2026 | |
| Empirical Research on ESG Factor-Optimized Asset Pricing and Multifactor Models by Zheng et al. | 0 | Linear factor models | 2026 |
| Every Asset Its Own Benchmark: Market-Neutral Alpha in Perpetual Futures by MD | 0 | 2026 | |
| Factor Investing and the Integration of Corporate Bond and Equity Markets by Hao et al. | 0 | 2026 | |
| Factor Investing in Emerging Markets: From Multi-Factor Industry Portfolios to a Market-Neutral Alpha Strategy by Zhang et al. | 0 | 2026 | |
| Factor Timing: Evidence from Mutual Fund Skill by Chen et al. | 0 | 2026 | |
| From Causal Factor Investing to Causal Factor Discovery: Evolving a Neuro-symbolic World Model of the Market by Yuksel | 0 | Mathematical derivation +1 | 2026 |
| Harvesting Factor Premia Across Regimes: An Anchor-Stabilized Hidden Markov Framework for Multifactor Portfolios by Yang | 0 | State-space models | 2026 |
| Index Funds, Active-Investor Selection, and the Re-Sorting of Factor Premia An Extension of Stambaugh [2014] * by Majumdar | 0 | 2026 | |
| Multifactor Timing with Deep Learning by Cotturo et al. | 0 | Neural networks | 2026 |
| Private Equity Funds Rebalancing and Value Creation Performance Using Bayesian Based Factor Timing Method by Garmash | 0 | Bayesian | 2026 |
| Risk, Return, and Anomalies in Islamic Equity Markets: A Post-2020 Review by Halim | 0 | Linear factor models | 2026 |
| Short-Horizon Excess Returns in Liquid Equities: Regime-Dependent Properties of a Systematic Programme by Atluri | 0 | 2026 | |
| Simple Regime Rules, Not More Factors: A Historical Case Study in Factor-Curve Portfolio Construction by Lima | 0 | State-space models | 2026 |
| Taming the Chinese ETF Option Factor Zoo: A Sparse Five-Factor Approach by Ding et al. | 0 | Linear factor models | 2026 |
| Target Labels are not Portfolio Returns: A Triple-barrier Failure Mode in Factor Investing by Lima | 0 | 2026 | |
| The Efficient Cross-Section is Sparse: Factor Timing and the Dimension of the SDF by Mehrabinia | 0 | Linear factor models | 2026 |
| The Origins of the Factor Zoo: Investors Weakly Substitute Across Stocks by Chaudhry and Davis | 0 | 2026 | |
| Towards a Paradigm of Structural Factor Investing by Bahaji | 0 | 2026 | |
| Welcome to the Factor Zoo: Where Mutual Fund Alpha Hides by Malakhov | 0 | Language models +1 | 2026 |
| Breaks and Trends in Factor Premia by Cui et al. | 0 | Linear factor models | 2025 |
| Correcting the Factor Mirage: A Research Protocol for Causal Factor Investing by de Prado and Zoonekynd | 0 | Mathematical derivation +1 | 2025 |
| Deep Learning for Short Term Equity Trend Forecasting: A Behavior Driven Multi Factor Approach by Luan | 0 | Neural networks | 2025 |
| Factor Investing Lecture 10: Factor Timing and Factor Allocation (Presentation Slides) by Shi | 0 | 2025 | |
| Factor Investing Lecture 11: Behavioral Finance and Factor Investing (Presentation Slides) by Shi | 0 | Linear factor models | 2025 |
| Factor Investing Lecture 12: Alternative Data (Presentation Slides) by Shi | 0 | 2025 | |
| Factor Investing Lecture 14: Factor Failure (Presentation Slides) by Shi | 0 | Bayesian | 2025 |
| Factor Investing Lecture 1: Intro to Factor Investing (Presentation Slides) by Shi | 0 | 2025 | |
| Factor Investing Lecture 3: Portfolio Sort Analysis (Presentation Slides) by Shi | 0 | 2025 | |
| Factor Investing Lecture 4: Regression-based Tests (Presentation Slides) by Shi | 0 | Linear factor models | 2025 |
| Factor Investing Lecture 5: Multiple Hypothesis Testing (Presentation Slides) by Shi | 0 | Bayesian | 2025 |
| Factor Investing Lecture 6: Common Factors in China (Presentation Slides) by Shi | 0 | 2025 | |
| Factor Investing Lecture 8: A Forward Looking View of Factor Investing (Presentation Slides) by Shi | 0 | 2025 | |
| Factor Investing Lecture 9: Machine Learning in Factor Investing (Presentation Slides) by Shi | 0 | Neural networks | 2025 |
| Forward Selection Fama-MacBeth Regression with Higher Order Asset-Pricing Factors by Borri et al. | 0 | Linear factor models | 2025 |
| Low-Beta Puzzles: Implications for Factor Investing by Xu | 0 | Linear factor models | 2025 |
| Momentum factor investing: Evidence and evolution by van Vliet et al. | 0 | 2025 | |
| Multi-Factor Style Rotation - An Empirical Study in the US Stock Market by Yeh and Lien | 0 | Linear factor models | 2025 |
| Non-Linear Factor Investing Internet Appendix by Chin | 0 | Linear factor models | 2025 |
| The Multifactor Risk-Return Tradeoff by Yara et al. | 0 | 2025 | |
| Timing Indian Equity Factors: Structural vs. Revaluation Signals by Raju | 0 | Linear factor models | 2025 |
| "The Rise of Factor Investing: ""Passive"" Security Design and Market Implications" by Cong et al. | 0 | 2024 | |
| A multi-factor market-neutral investment strategy for New York Stock Exchange equities by Gkolemis et al. | 0 | 2024 | |
| An Investigation of Multi-factor Asset Pricing Models in the UK by Tharyan et al. | 0 | Linear factor models | 2024 |
| Application of Deep Learning for Factor Timing in Asset Management by Panda et al. | 0 | Tree ensembles +2 | 2024 |
| Causal Network Representations in Factor Investing by Howard et al. | 0 | 2024 | |
| Cost mitigation of factor investing in emerging equity markets by Stankov et al. | 0 | 2024 | |
| Integrating ESG Scores in Multi-Factor Pricing Model in the UK Equity Market by Victorio | 0 | Linear factor models | 2024 |
| Is Five Better Than Three?: An Inquiry Into The Explanatory Powers of CAPM And Fama French Multi-Factor Models by Hossain | 0 | Linear factor models | 2024 |
| Lottery Preference and Factor Investing in the Chinese Market by Wang | 0 | 2024 | |
| Multi-factor Asset Pricing Models in Emerging and Developed Markets by Lalwani and Chakraborty | 0 | Linear factor models | 2024 |
| Re-Examination of Fama-French Factor Investing with Causal Inference Method by Gu et al. | 0 | Linear factor models | 2024 |
| Simpson’s Paradox in the Real- World. Fundamental Inconsistency/Incompleteness :(Foundational Implications for Global Multi-Trillion Dollars Factor-Investing Industry) by Mani | 0 | 2024 | |
| The Battle of Factors by Assoé et al. | 0 | Linear factor models | 2024 |
| The Quest for Pure Equity Factor Exposure: How to Eliminate the Unwanted Biases in Equity Factors? by Tzotchev | 0 | 2024 | |
| Time Instability of the Fama-French Multifactor Models: An International Evidence by Moriya and Noda | 0 | Linear factor models | 2024 |
| Why Has Factor Investing Failed? (Seminar Slides) by de Prado and Zoonekynd | 0 | 2024 | |
| A Research-based Approach to Fixed Income Factor Portfolio Implementation by Raol et al. | 0 | 2023 | |
| Application of Random Forest in Multi-Factor Stock Selection by Wang | 0 | Tree ensembles +1 | 2023 |
| Can Factor Investing Become Scientific? (Seminar Slides) by de Prado | 0 | 2023 | |
| Exploiting Behavioural factors to address stock market anomalies. by Saini | 0 | Linear factor models | 2023 |
| Factor Investing Funds: Replicability of Academic Factors and After-Cost Performance by Cremers et al. | 0 | 2023 | |
| Factor Timing in the Chinese Stock Market by Wu | 0 | 2023 | |
| Scientific Approach : Causal Factor Investing : Causal Adjusted Randomized Factor Investing by Mani | 0 | 2023 | |
| Smart Rebalancing by Arnott et al. | 0 | 2023 | |
| Where are the Factors in Factor Investing? by de Prado | 0 | 2023 | |
| Factor Investing during COVID-19: Analysis on the US Equity Market by Louraoui | 0 | 2022 | |
| Equity Factor Timing With Kalman Filter by Zhang | 0 | State-space models +1 | 2021 |
| High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model by Zhu et al. | 0 | Linear factor models | 2021 |
| Is Smart Beta smart? Evidence from the US and the Emerging Market equity funds by Louraoui | 0 | 2021 | |
| Do Smart Beta ETFs Deliver Persistent Performance? by Soggiu et al. | 0 | 2020 | |
| Factor Timing by Haddad et al. | 0 | 2020 | |
| Modeling Multifactor Event Driven Trading Strategy by Bhatia | 0 | 2020 | |
| The Case for Factor Investing in China A by Fang and Olteanu-Veerman | 0 | 2020 | |
| Combining Independent Smart Beta Strategies for Portfolio Optimization by Maguire et al. | 0 | 2018 | |
| Life Cycle Investing and Smart Beta Strategies by Carson et al. | 0 | 2017 | |
| Predictive Characteristics for the Cross-Section of Private Equity Returns by Andreeva | 0 | 2017 | |
| A Taxonomy of Beta Based on Investment Outcomes by De Boer et al. | 0 | 2016 | |
| Factor Investing with Smart Beta Indices by Blitz | 0 | 2016 | |
| Introduction into Multi-Factor Investing by Polyakov | 0 | 2016 | |
| Dynamic Conditional Factor Premiums and Asset Pricing Anomalies by Yeh | 0 | Linear factor models | 2015 |
| Smart Beta and CPPI Performance by Ardia et al. | 0 | 2015 | |
| Active Factor Investing: Hedge Funds vs. the Rest of Us by Duanmu et al. | 0 | 2014 | |
| Betting on 'Dumb Volatility' with 'Smart Beta' by Erb | 0 | Linear factor models | 2014 |
| Components of Portfolio Variance by Ekholm | 0 | 2014 | |
| A Multi-Factor Model of Excess Discount Return: A Comparative Study of UK Investment Trusts and US Closed-End Funds by Guirguis | 0 | Linear factor models | 2010 |
| The Efficiency of the SDF and Beta Methods at Evaluating Multi-Factor Asset-Pricing Models by Garrett et al. | 0 | Linear factor models | 2009 |
| Multilayer Perceptron Neural Network Models in Asset Pricing: An Empirical Study on Large-Cap US Stocks by Lai | Neural networks +1 | 2026 | |
| The G-Spread: A Business-Economics-Based Measure of Permanent Capital Loss Risk | Linear factor models | 2026 | |
| Multi-Factor Timing with Deep Learning by Cotturo et al. | Neural networks | 2024 | |
| Factor Investing in the Turkish Equity Market by Gokcen | 2023 | ||
| Pricing Without Mispricing by Moskowitz and Stambaugh | 2021 | ||
| The Evolving Causal Structure of Equity Risk Factors by D'Acunto et al. | 2021 | ||
| When it Rains, it Pours: Multifactor Asset Management in Good and Bad Times by Brière and Szafarz | 2021 | ||
| A Note on Bayesian Long-Term S&P 500 Factor Investing | Bayesian +1 | 2019 | |
| Factors affecting the profitability of long-term investments in stocks and bonds of Russian issuers by Abramov et al. | Linear factor models | 2019 | |
| Asset Pricing and Excess Returns over the Market Return by Ahn and Horenstein | Linear factor models | 2017 | |
| Fake Alpha by Müller et al. | 2017 | ||
| Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models? | Linear factor models | 2016 | |
| Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices | Classical time series +1 | 2015 | |
| Facts and Fantasies About Factor Investing by Cazalet and Roncalli | 2014 | ||
| Orthogonalized Equity Risk Premia and Systematic Risk Decomposition | Linear factor models | 2010 |
Papers on factor investing in equities from other families
29 papers| filed under | ||
|---|---|---|
| Crowded Anomalies over the Business Cycle by Jung | Macro signals and regime strategies | 2026 |
| Don't Mix What Should Be Separated: Why Combining Value and Momentum Signals Destroys Alpha by Morales | Momentum and trend following | 2026 |
| Machine Learning Enhanced Multi-Factor Quantitative Trading: A Cross-Sectional Portfolio Optimization Approach with Bias Correction by Du | Portfolio optimization | 2026 |
| Momentum Factor Construction and Signal Orthogonality: A Mathematical Framework for Systematic Equity Strategies by Pellerano | Momentum and trend following | 2026 |
| A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies through the Cycles by Swade et al. | Macro signals and regime strategies | 2025 |
| Dynamic Asset Pricing: Integrating FinBERT-Based Sentiment Quantification with the Fama--French Five-Factor Model by Zhang | News sentiment and text signals | 2025 |
| Macroeconomic Factor Timing by Chiapparoli | Macro signals and regime strategies | 2025 |
| Tariff Smart Beta Strategy: Portfolio Construction under U.S. Tariff Escalations by Guan | Portfolio optimization | 2025 |
| Course 2023-2024 in Portfolio Allocation and Asset Management by Roncalli | Portfolio optimization | 2024 |
| Dynamic Factor Allocation Leveraging Regime-Switching Signals by Shu and Mulvey | Portfolio optimization | 2024 |
| Intangibles as a Quality Attribute by Bacciardi et al. | Quality and profitability factors | 2023 |
| Intraday Market Return Predictability Culled from the Factor Zoo by Aleti et al. | Machine learning return prediction | 2023 |
| Scientific Investing in the Real World: Unifying the Extremes: Randomness Determinism Causality : Black Swan & Tail Risk Hedging Black Swan, Tail Risk Hedging, Convexity, Causality, Dynamics in Financial Market Causal Adjusted Randomized Factor Investing by Mani | Hedging strategies | 2023 |
| Volatility-managed Portfolios in the Chinese Equity Market by Li and Wang | Market timing and tactical asset allocation | 2023 |
| Analysis of Tesla by Qu and Gu | Size premium | 2022 |
| Empirical Asset Pricing with Missing Data by Beckmeyer and Wiedemann | Machine learning return prediction | 2022 |
| Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia by Bruder et al. | Portfolio optimization | 2022 |
| Revisiting Quality Investing by Lepetit et al. | Quality and profitability factors | 2021 |
| The Low-volatility Anomaly and the Adaptive Multi-Factor Model by Jarrow et al. | Low-volatility anomaly | 2021 |
| Investment Factor Timing: Harvesting The Low-Risk Anomaly Using Artificial Neural Networks by Dirkx and Heil | Quality and profitability factors | 2020 |
| Taking the Stag out Stagflation by Rahelan | Market timing and tactical asset allocation | 2019 |
| Uncertain Covariance Models and Uncertainty-Penalized Portfolio Optimization by Shah | Portfolio optimization | 2015 |
| Inter-Temporal Risk Parity: A Constant Volatility Framework for Factor Investing by Perchet et al. | Portfolio optimization | 2014 |
| Momentum, Markowitz, and Smart Beta: A Tactical, Analytical and Practical Look at Modern Portfolio Theory by Keller | Portfolio optimization | 2014 |
| Factoring Profitability by Branch et al. | Quality and profitability factors | 2013 |
| The Size Effect in Value and Momentum Factors: Implications for the Cross-Section of International Stock Returns by Atanasov and Nitschka | Size premium | 2013 |
| Currency Risk and Size, Value, and Momentum Returns around the World by Karolyi and Wu | Momentum and trend following | 2012 |
| The Role of Investability Restrictions on Size, Value, and Momentum in International Stock Returns by Karolyi and Wu | Momentum and trend following | 2012 |
| Information Diffusion Based Explanations of Asset Pricing Anomalies by Sékeris and Bolmatis | Value investing | 2007 |