With over 400 claimed factors, the FMA synthesis warns against "data mining bias." A systematic approach must apply rigorous statistical thresholds:
The survey stresses that most factor timing is a zero-sum game; managers should only use signals with a Sharpe ratio above 0.5 historically. With over 400 claimed factors, the FMA synthesis
Asset Management: A Systematic Approach to Factor Investing by Andrew Ang, published as part of the With over 400 claimed factors
The systematic approach to factor investing is not exciting, but as the FMA survey reminds us, asset management’s primary goal is not excitement—it is the reliable delivery of returns relative to risk. On that metric, systematic factor investing remains one of the most rigorous, evidence-based tools in the financial toolbox. evidence-based tools in the financial toolbox.