ValuePrice-to-Book (P/B) tilt
Long lowest decile P/B; classic Fama-French value factor
Source: wikipedia.org
ValuePrice-to-Earnings (P/E) tilt
Long lowest decile P/E; cheap stocks based on earnings
Source: researchaffiliates.com
ValuePrice-to-Sales (P/S) tilt
Long lowest decile P/S; cheap stocks based on revenue
Source: researchaffiliates.com
ValueEV/EBITDA tilt
Long lowest decile EV/EBITDA; enterprise value-based cheapness
Source: researchaffiliates.com
ValueFree Cash Flow Yield (FCF/Price)
Long highest decile FCF yield; cash-flow based value
Source: researchaffiliates.com
ValueEarnings Yield (E/P)
Long highest E/P (inverse of P/E); Joel Greenblatt usage
Source: researchaffiliates.com
ValueComposite value score
Combine multiple value metrics into composite z-score
Source: researchaffiliates.com
ValueIndustry-relative value
Compare value within industry to neutralize sector effects
Source: researchaffiliates.com
ValueLong-short value (HML)
Long cheap short expensive; classic Fama-French HML
Source: wikipedia.org
ValueValue spread monitoring
Wide value spread = cheaper-than-historical value entry
Source: researchaffiliates.com
Momentum12-1 month momentum (skip month)
Long top decile by 12-1 month return; standard academic momentum
Source: wikipedia.org
Momentum6-month momentum
Shorter-window momentum for higher turnover
Source: researchaffiliates.com
MomentumRisk-adjusted momentum
Sharpe-style ranking instead of raw return
Source: researchaffiliates.com
MomentumResidual momentum
Strip out factor returns; rank on residual
Source: researchaffiliates.com
MomentumTrend-following momentum
Cross above/below 200DMA as bool momentum
Source: researchaffiliates.com
MomentumCross-sectional ranking
Rank universe by 12-1 mom; long top decile short bottom
Source: researchaffiliates.com
MomentumLong-only momentum (MTUM)
iShares MTUM-style long-only momentum factor
Source: ishares.com
MomentumIndustry momentum
Apply momentum at industry level rather than stock
Source: researchaffiliates.com
MomentumEarnings momentum
Long stocks with positive earnings revisions
Source: researchaffiliates.com
MomentumMomentum crash protection
Cut momentum exposure after market drawdowns
Source: researchaffiliates.com
QualityROE-based quality
Long highest ROE deciles; profitability factor
Source: fxpro.com
QualityROIC-based quality
Return on Invested Capital - capital efficiency proxy
Source: fxpro.com
QualityEarnings stability quality
Low standard deviation of earnings = quality
Source: fxpro.com
QualityLow debt-to-equity quality
Long companies with low leverage
Source: fxpro.com
QualityAsset turnover quality
Higher asset turnover = better operational efficiency
Source: fxpro.com
QualityGross profitability (Novy-Marx)
Gross profit / total assets - simple powerful quality metric
Source: researchaffiliates.com
QualityComposite quality score
Combine ROE earnings stability leverage profitability
Source: researchaffiliates.com
QualityQMJ (Quality Minus Junk)
AQR's Quality Minus Junk factor
Source: aqr.com
ProfitabilityRobust Minus Weak (RMW)
Fama-French 5-factor profitability factor
Source: wikipedia.org
ProfitabilityOperating profitability
Long companies with high operating profits/equity
Source: researchaffiliates.com
ProfitabilityCash earnings yield
Cash earnings / EV; quality + value hybrid
Source: researchaffiliates.com
InvestmentConservative Minus Aggressive (CMA)
Low asset growth outperforms high asset growth
Source: wikipedia.org
InvestmentAsset growth tilt
Short companies with high asset growth (overinvestment)
Source: wikipedia.org
InvestmentExternal financing
Short companies issuing equity/debt aggressively
Source: researchaffiliates.com
SizeSMB (Small Minus Big)
Long smallcap short largecap; Fama-French original size
Source: wikipedia.org
SizeMicrocap premium
Microcap historically outperforms; lower liquidity premium
Source: researchaffiliates.com
SizeSmallcap value combo
Combining size + value (DFA-style)
Source: DFA
Low VolMinimum volatility tilt
Long lowest-vol decile; Frazzini-Pedersen Betting Against Beta
Source: researchaffiliates.com
Low VolLow beta strategy (BAB)
Long low-beta short high-beta with leverage
Source: researchaffiliates.com
Low VolLow idiosyncratic vol
Long stocks with low residual volatility
Source: researchaffiliates.com
Low VolMin variance optimization
Optimize for minimum variance constraint
Source: researchaffiliates.com
Low VolUSMV ETF approach
iShares USMV minimum-vol ETF construction
Source: ishares.com
Low VolLow-vol crash hedge
Hold low-vol stocks as defensive overlay
Source: ishares.com
DividendHigh dividend yield
Long highest dividend yield deciles; income + value tilt
Source: fxpro.com
DividendDividend growth (DGR)
Long companies with consistent dividend growth (DGRO ETF)
Source: researchaffiliates.com
DividendDividend Aristocrats
25+ year dividend increase track record (NOBL ETF)
Source: realmoneymoves.com
DividendDividend Kings
50+ year track record; deepest blue chips
Source: realmoneymoves.com
DividendBuyback yield
Long companies with high net buyback yield
Source: researchaffiliates.com
DividendShareholder yield
Combined dividend + buyback yield (Cole)
Source: researchaffiliates.com
Multi-FactorCombined Value+Momentum
Tilt by composite of value and momentum scores
Source: researchaffiliates.com
Multi-FactorCombined Value+Quality
Quality value strategy (QVAL/Alpha Architect)
Source: alphaarchitect.com
Multi-FactorQuality+Momentum (QMOM)
Highest momentum among quality stocks
Source: alphaarchitect.com
Multi-FactorSix-factor diversified portfolio
Equal-weight value momentum quality low-vol size profit
Source: researchaffiliates.com
Multi-FactorComposite z-score ranking
Sum z-scores across factors; long top decile
Source: researchaffiliates.com
Multi-FactorLong-short multi-factor
Long top short bottom on composite multi-factor score
Source: researchaffiliates.com
Multi-FactorRisk-balanced multi-factor
Balance risk contribution from each factor
Source: researchaffiliates.com
Multi-FactorDynamic factor rotation
Time factor exposure based on macro/cycle indicators
Source: researchaffiliates.com
Fundamental IndexingRAFI (Research Affiliates) weighting
Weight stocks by fundamentals (sales earnings) not market cap
Source: researchaffiliates.com
Fundamental IndexingEqual-weight indexing
RSP equal-weight S&P 500 - simple smart beta variant
Source: realmoneymoves.com
Fundamental IndexingEarnings-weighted indexing
WisdomTree earnings-weighted ETFs
Source: wisdomtree.com
Fundamental IndexingDividend-weighted indexing
WisdomTree dividend-weighted ETFs
Source: wisdomtree.com
Cross-AssetBond value factor
Long cheap bonds (relative to fundamentals)
Source: aqr.com
Cross-AssetBond momentum factor
Long bond markets with strong momentum
Source: aqr.com
Cross-AssetBond carry factor
Long high-carry bonds short low-carry
Source: aqr.com
Cross-AssetFX value (real effective rate)
Long undervalued currencies short overvalued (REER-based)
Source: aqr.com
Cross-AssetFX momentum
Long high-momentum currencies (12-1 month)
Source: aqr.com
Cross-AssetFX carry trade
Long high-yield short low-yield currencies
Source: aqr.com
Cross-AssetCommodity momentum
Long top-momentum commodity futures
Source: aqr.com
Cross-AssetCommodity carry (roll yield)
Long backwardated commodities short contangoed
Source: aqr.com
Cross-AssetCommodity term structure
Trade commodities by curve shape
Source: aqr.com
ApplicationRobeco Active Quant
Multi-factor systematic equities by Robeco
Source: robeco.com
ApplicationDimensional Fund Advisors (DFA)
Pioneer of evidence-based factor investing
Source: DFA
ApplicationAQR Style Premia
Cross-asset value mom carry defensive
Source: aqr.com
ApplicationBlackRock factor ETFs
Suite of factor ETFs (MTUM USMV QUAL VLUE)
Source: ishares.com
ApplicationVanguard factor ETFs
VFMV VFMO VFQY VFVA factor ETFs
Source: vanguard.com
ApplicationInvesco factor ETFs
RPV RPG smart beta value/growth
Source: invesco.com
ApplicationSmart beta multi-asset
Multi-asset smart beta funds
Source: researchaffiliates.com
CapacityCapacity-constrained alpha
Smaller funds outperform; capacity decay
Source: researchaffiliates.com
CapacityCrowding metrics
Track factor crowding via short interest valuation spread
Source: aqr.com
CapacityFactor reversal awareness
Factors can reverse (e.g. value 2018-2020)
Source: researchaffiliates.com
DefensiveDefensive equity strategy
Combine quality + low-vol for defensive equity
Source: realmoneymoves.com
DefensiveConservative income (LV+Div)
Low-vol + dividend yield combo
Source: realmoneymoves.com
DefensiveRisk parity factor allocation
Equal risk per factor in portfolio
Source: researchaffiliates.com
BacktestingLong horizon factor evaluation
Factor strategies need 5-10+ year horizon for evaluation
Source: researchaffiliates.com
BacktestingOut-of-sample factor testing
Test factors on different time periods to confirm robustness
Source: researchaffiliates.com
BacktestingMulti-region factor robustness
Test factors across US/Europe/EM
Source: researchaffiliates.com
CostsTransaction cost factor
Higher turnover factors lose more to transaction costs
Source: researchaffiliates.com
CostsTax-aware factor implementation
Use direct indexing for tax-loss harvesting
Source: fxpro.com
ImplementationLong-only factor portfolios
Most retail factor investing is long-only
Source: realmoneymoves.com
ImplementationLong-short factor portfolios
Hedge funds use long-short for purer factor exposure
Source: aqr.com
ImplementationFundamental indexing core
RAFI as core; tilts as satellite
Source: researchaffiliates.com
ImplementationDirect indexing TLH
Hold individual stocks for tax-loss harvesting + factor tilts
Source: fxpro.com
PerformanceFactor cycle awareness
Each factor has cycles of out/under-performance
Source: researchaffiliates.com
PerformanceFactor regime alignment
Value better in late cycle; momentum mid cycle
Source: researchaffiliates.com
PerformanceFactor benchmark relative
Track tracking error vs benchmark not absolute
Source: researchaffiliates.com
PerformanceFactor patience requirement
Factors can underperform 3-5 years before mean revert
Source: researchaffiliates.com
52-week-high anomaly
MomentumLong
George-Hwang: 52wh ratio predicts returns
Source: George Hwang 2004
AQR Style Premia
Multi-FactorMulti
Value+Momentum+Carry+Defensive across asset classes
Source: AQR
AQR factor performance update
CompositeMulti
AQR publishes factor returns periodically
Source: AQR
Acadian Defensive Equity
Low VolatilityLong
Acadian managed defensive equity
Source: Acadian
Altman Z-score distress
QualityShort
Altman Z<1.81 distress zone short
Source: Altman 1968
Asness 1994 12-1 momentum
MomentumLong
Asness: 12-1 momentum factor portfolio
Source: Asness 1994
Asness 2018 low-vol critique
Low VolatilityMulti
Asness: low-vol largely captured by other factors
Source: AQR
Asness Moskowitz Pedersen 2013
Multi-FactorMulti
Value+momentum everywhere - paper foundation
Source: JoF 2013
Asness combination value
ValueL/S
Combine B/M E/P CF/P S/P D/P composite
Source: Asness
Asness size + quality
SizeLong
Size effect strong only when controlling for quality (Asness 2018)
Source: Asness Frazzini Pedersen 2018
Asness-Frazzini-Pedersen Quality + LV
DefensiveL/S
Combined defensive equity portfolios
Source: AFP
Asset growth anomaly
ValueShort
Cooper-Gulen-Schill: high asset growth -> low returns
Source: CGS 2008
Avantis ETFs factor multi-tilt
Multi-FactorMulti
AVUV AVUS AVDV - tilted to size+value+profit
Source: Avantis
BAB Sharpe 0.78 1926-2012
BABL/S
2x value Sharpe 1.4x momentum Sharpe over the period
Source: Alpha Architect
BAB across 20 global mkts
BABL/S
Frazzini-Pedersen find BAB in 20 countries Treasuries credit futures
Source: Frazzini-Pedersen
Bad-beta BAB variant
BABL/S
Decompose into bad-beta (CF news) and good-beta (DR news)
Source: Tandfonline 2025
Bali low-vol vs BAB comparison
BABL/S
Cahart-low-vol vs BAB - related but distinct effects
Source: Bali et al
Banz 1981 small-cap premium
SizeLong
Banz original size effect documentation
Source: Banz 1981
Beneish M-score short
QualityShort
Detect earnings manipulation pre-disclosure
Source: Beneish 1999
Black 1972 zero-beta CAPM
BABL/S
Black: borrowing constraints flatten SML basis for BAB
Source: Black 1972
Bond carry steepener
CarryLong
Long long-end short short-end carry
Source: encyclopedia
Bond-yield factor risk
Macro FactorL/S
Yield-curve level/slope/curvature factors
Source: Litterman-Scheinkman
Buffett alpha decomposition
QMJL/S
Frazzini-Kabiller-Pedersen: Buffett = leverage*BAB+QMJ
Source: Frazzini Kabiller Pedersen 2018
Carhart 4-factor model
MomentumMulti
FF3 + UMD momentum factor
Source: Carhart 1997
Carry across asset classes
CarryMulti
Koijen-Moskowitz-Pedersen-Vrugt: carry universal factor
Source: KMPV 2018
Cochrane macro factor
Macro FactorMulti
Cochrane: cay (consumption-wealth) factor
Source: Cochrane
Combined Value+QMJ
QMJL/S
Avoid value traps via quality screen on cheap stocks
Source: Asness
Commodity carry contango/backw
CarryMulti
Long backwardated short contango
Source: Erb Harvey
Currency factor DXY
Macro FactorMulti
USD trade-weighted as macro factor
Source: encyclopedia
DEBUNKED chasing recent winner factor
Anti-PatternsN/A
Buying recently outperforming factor often peaks at top
Source: researchaffiliates.com
DEBUNKED leveraged factor ETF
Anti-PatternsN/A
3x leveraged factor decay; not for long-term hold
Source: realmoneymoves.com
DEBUNKED single-factor concentration
Anti-PatternsN/A
Single factor crowded; combine multiple
Source: researchaffiliates.com
DEBUNKED stock-picking instead
Anti-PatternsN/A
Stock-picking generally underperforms broad factor exposure
Source: wikipedia.org
DFA factor mutual funds
Multi-FactorMulti
Dimensional Funds size+value+profitability
Source: DFA
Decile sort B/M deep value
ValueLong
Decile-1 cheapest names
Source: FF
Defensive Equity Premium
Low VolatilityLong
Falkenstein 2009: low-vol earns premium globally
Source: Falkenstein
Defensive equity hedged with vol
DefensiveL/S
Add long-vol overlay to defensive equity
Source: encyclopedia
EBITDA/EV multiple
ValueLong
Loughran-Wellman: EV/EBITDA most predictive
Source: LW 2011
EEMV iShares EM min-vol
Low VolatilityLong
Emerging markets min-vol
Source: iShares
EFAV iShares EAFE min-vol
Low VolatilityLong
EAFE min-vol implementation
Source: iShares
Earnings yield Greenblatt
ValueLong
EBIT/EV - Greenblatt Magic Formula
Source: Greenblatt
Equal-weight BAB simplification
BABL/S
Equal-weight implementation gives similar effect transparently
Source: Novy-Marx
Equal-weight indices
Smart BetaLong
Equal-weight S&P 500 (RSP ETF) outperforms historically
Source: Invesco
Equity dividend yield carry
CarryLong
High DY component of equity carry
Source: KMPV
FCF yield FCF/EV
ValueLong
Free cash flow yield ranks well
Source: encyclopedia
FX carry trade pure
CarryLong high-yield
Long high-yielders short low-yielders
Source: Lustig Verdelhan
Factor decay literature
CompositeMulti
McLean-Pontiff: anomalies decay 32-58% post-publication
Source: McLean-Pontiff 2016
Fama-French HML
ValueL/S
High-minus-low book/market Fama-French SMB HML
Source: FF 1992 1993
FlexShares Quality Dividend
Multi-FactorIncome
QDF QDEF QDPL multi-factor income
Source: FlexShares
Frazzini-Pedersen BAB
BABL/S
Long leveraged low-beta short de-leveraged high-beta - rebalanced monthly
Source: Frazzini-Pedersen JFE 2014
Fundamental indexing RAFI
Smart BetaLong
Arnott RAFI: weight by fundamentals not market cap
Source: Arnott Hsu Moore 2005
Funding-liquidity BAB compression
BABMulti
Tight funding (high TED) compresses betas - BAB drawdown
Source: Frazzini-Pedersen
GMO 7-year forecasts defensive
DefensiveLong
GMO fundamentally defensive based on valuation
Source: GMO
GMO Quality factor
Low VolatilityLong
GMO emphasizes quality + LV combo
Source: GMO
Goldman ActiveBeta US LCG
Multi-FactorMulti
GSLC multi-factor LC growth
Source: GSAM
Gross profitability Novy-Marx
QualityLong
GP/Assets predicts cross-sectional returns
Source: Novy-Marx 2013
Growth proxy QMJ
QMJLong
Stable earnings growth across 5yr-trailing
Source: QMJ paper
Haugen-Heins low-vol anomaly
Low VolatilityLong
1972 Haugen low-vol stocks beat high-vol on RA basis
Source: Haugen Heins
Hou Xue Zhang q-factor
QualityMulti
HXZ q4: market+size+investment+ROE
Source: HXZ 2015
Idiosyncratic momentum
MomentumLong
Strip out factor exposures keep idio momentum
Source: Blitz et al
Idiosyncratic vol IVOL anomaly
Low VolatilityMulti
Ang-Hodrick-Xing-Zhang: high IVOL underperforms
Source: Ang HXZ 2006
Industry momentum Moskowitz Grinblatt
MomentumLong
Industry-momentum stronger than stock-momentum
Source: MG 1999
Inflation factor bondtips
Macro FactorL/S
Long TIPS short Treasury for inflation factor
Source: encyclopedia
Investment factor CMA
ValueL/S
FF5 conservative-minus-aggressive investment
Source: FF 2015
JPMorgan Diversified Return
Multi-FactorMulti
JPUS JPME JPEM diversified factor ETFs
Source: JPMorgan
Jegadeesh-Titman 1993
MomentumLong
Original cross-sectional momentum 12-1 month
Source: JoF 1993
Liquidity factor PS
Macro FactorL/S
Pastor-Stambaugh liquidity factor
Source: PS 2003
MSCI Min Volatility methodology
Low VolatilityLong
Estimation universe Barra GEM3 risk model + constraints
Source: MSCI
Maximum diversification (TOBAM)
Smart BetaLong
Choueifaty: maximize diversification ratio
Source: Choueifaty Coignard
Microcap concentration BAB
BABMulti
$1.05 of every $1 BAB invested in bottom-1% mcap
Source: Novy-Marx
Microcap-only premium
SizeLong
Concentrated in microcap names
Source: Crain
Min-vol portfolio MVP
Low VolatilityLong
Markowitz min-variance frontier left-most point
Source: Markowitz 1952
Mohanram G-score growth
QualityLong
Mohanram G-score for growth stocks
Source: Mohanram 2005
Momentum + value combo
MomentumL/S
Asness: combine momentum + value smooths returns
Source: AMP 2013
Momentum crashes Daniel Moskowitz
MomentumMulti
Momentum crashes after bear-mkt rebound
Source: DM 2016
Multi-asset trend Hurst Ooi Pedersen
Multi-FactorTrend
Trend across stock/bond/FX/commodity
Source: AQR 2017
Net-share-issuance anomaly
ValueShort
Pontiff-Woodgate: high net issuance -> low returns
Source: PW
Novy-Marx critique BAB
BABMulti
Rank-weighting + leveraging procedures inflate apparent returns
Source: Novy-Marx Velikov 2021
Payout proxy QMJ
QMJLong
High dividends + buybacks net of issuance
Source: QMJ paper
Piotroski F-score
QualityLong
9-point fundamental score (Piotroski 2000)
Source: Piotroski 2000
Profitability factor RMW
QualityL/S
FF5 robust-minus-weak operating profitability
Source: FF 2015
Profitability proxy QMJ
QMJLong
Gross profitability/assets ratio component of QMJ
Source: Novy-Marx
QMJ Sharpe US 0.65
QMJL/S
US QMJ Sharpe ~0.65 over 1956-2016
Source: Asness et al
QMJ across countries
QMJL/S
Found in 24 markets globally
Source: QMJ paper
QMJ defensive in drawdowns
QMJL/S
QMJ outperforms in equity drawdowns
Source: QMJ paper
Quality-Minus-Junk Asness
QMJL/S
AQR QMJ: long quality short junk - profitability growth safety payout
Source: AQR Asness Frazzini Pedersen 2019
Quantpedia factor library
CompositeMulti
Quantpedia tracks 1000+ documented strategies/factors
Source: quantpedia
Risk parity portfolios equal-risk
Smart BetaMulti
Equal risk contribution from each asset
Source: Maillard et al
Risk-adjusted defensive ETF
Low VolatilityLong
USMV/SPLV/EFAV - retail accessible low-vol
Source: encyclopedia
Risk-managed momentum
MomentumLong
Scale momentum exposure inverse to realized vol
Source: Barroso Santa-Clara
Robeco Conservative Equities
Low VolatilityLong
Robeco low-vol multi-screen
Source: Robeco van Vliet
Russell 2000 size benchmark
SizeLong
Standard small-cap benchmark
Source: FTSE Russell
SMB Fama-French
SizeL/S
Small-minus-big factor in FF3
Source: FF 1993
SPHD high-div low-vol
Low VolatilityLong
Combine highest yield with low vol
Source: Invesco
SPLV Invesco S&P 500 LV
Low VolatilityLong
S&P 500 lowest 100 by realized vol equal-weight
Source: Invesco
Safety proxy QMJ
QMJLong
Low beta low vol low leverage component
Source: QMJ paper
Sales-to-EV deep value
ValueLong
Loughran-Wellman EV-Sales
Source: Loughran Wellman
Sloan accruals anomaly
QualityShort
Sloan: high accruals predict low future returns
Source: Sloan 1996
Stambaugh Yuan mispricing
QualityL/S
Composite of 11 anomalies for mispricing factor
Source: Stambaugh-Yuan 2017
Time-series momentum Moskowitz
MomentumTrend
12mo TS momentum across asset classes
Source: MOP 2012
USMV iShares min-vol ETF
Low VolatilityLong
$30B+ low-vol US implementation tracking MSCI USA Min Vol
Source: iShares
Vol-target managed equity
Low VolatilityLong
Scale equity exposure to constant vol target
Source: encyclopedia
WisdomTree multi-factor models
Multi-FactorMulti
WisdomTree US Multifactor
Source: WisdomTree
iShares MSCI multi-factor
Multi-FactorMulti
LRGF/INTF - quality value momentum size composite
Source: iShares
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.