Factor Timing
Factor investing in equities, studied by Haddad, Kozak and Santosh in 2020. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Our approach imposes restrictions on the dynamics of expected returns which lead to an economically plausible SDF.”
AssetEquitiessingle stocks
StrategyFactor investing
Long/shortLong-short
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
- Delivered in 2 working days
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.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| A Common Rough Latent State in Conditional Factor Pricing: Rethinking the Fama-French Five-Factor Model by Kamdem | 2026 | ||||
| Welcome to the Factor Zoo: Where Mutual Fund Alpha Hides by Malakhov | 2026 | ||||
| The Efficient Cross-Section is Sparse: Factor Timing and the Dimension of the SDF by Mehrabinia | 2026 | ||||
| Every Asset Its Own Benchmark: Market-Neutral Alpha in Perpetual Futures by MD | 2026 | ||||
| "Factor Investing with Climate: Engineer a ""Climate-Resilient"" Factor Portfolio for JSE" by Mayambu | 2026 |