Factor

Academic literature has catalogued hundreds of factors — the 'factor zoo' — but most fail to replicate once tested on new data, after costs, or outside the original market. The handful with real evidence (value, momentum, quality, size) are also the most crowded.

A factor can be real and still useless to you: it must survive your costs, your taxes and your holding horizon. That gap between 'statistically real' and 'practically eatable' is the central finding of this project.