Factor zoo — JKP 153 academic factors
The 153 firm characteristics from
Jensen, Kelly & Pedersen (RFS 2023, "Is There a Replication Crisis in Finance?")
— replicated under uniform methodology and clustered by economic theme.
Of these, 65% replicate as significant alphas; 35% are noise.
Use as a benchmark when evaluating your own custom features.
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Total factors:
Clusters:
Notes on use
- Compare your alphas to these: when our IC research finds a strong feature, check whether it correlates with one of these clusters. If your "novel" alpha is just a relabel of
at_turnover, you haven't found new edge. - Ratio features only: every factor here is normalized by a balance-sheet item or by total assets. They do not have the price-level confound that polluted our raw SMA features earlier.
- 13 clusters: theme-level investing (tilt to "Value" cluster as a whole) often beats single-factor strategies because intra-cluster correlations are high.
- Out-of-sample status: of the 153, only 65% replicate as significant in the JKP study — the rest are noise / false positives from the original papers.