The Origins of the Factor Zoo: Investors Weakly Substitute Across Stocks
Factor investing in equities, studied by Chaudhry and Davis in 2026. The abstract mentions a Sharpe ratio but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Moreover, weak substitution rationalizes why equilibrium Sharpe ratios remain moderate even though weak factors contribute to expected returns.”
AssetEquitiessingle stocks
StrategyFactor investingmachine learning
ClaimSharpe ratio
Missing from abstract: benchmark, out-of-sample test, 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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