Equity factors: 17 Backtests

We backtested 17 equity factors strategies across ETFs, US stocks. 0 beat buy-and-hold before correction; best −2.7 pts/yr.

Every result below is the strategy's annualized return minus buy-and-hold on the same assets and days, charged real trading costs and scored only on data up to the discovery cutoff. See the full family index, the full method and every result, or download the raw registry (JSON).

0 of these 17 strategies were significant at p < 0.05 before any correction for multiple testing, and 0 of 17 beat buy-and-hold on the raw excess-return number across ETFs, US stocks. Across the whole registry we ran 260 tests and applied one Benjamini-Hochberg correction; only 0 of those survived it, which is why a single significant p-value inside one family isn't treated as a working edge here — the correction is explained in full on the evidence page. This family was last re-scored on 2026-09-18, using only data up to the 2025-03-15 discovery cutoff — the same freeze point every family in the registry is held to, so none of them can see data the others couldn't. Equity factors is tested across 2 asset classes (ETFs, US stocks); a strategy only joins this family because of the signal it trades on, not the asset it's tested against.

GEM dual momentum (SPY/EFA/AGG, QQQ/DIA proxy) (ETFs): −2.7 pts/yr, behind buy-and-hold, p=1.000. Source: Antonacci, Dual Momentum Investing (2014).
Industry momentum (static GICS-sector groups, top3/bottom3) (wide US stocks) (US stocks): −10.8 pts/yr, behind buy-and-hold, p=1.000. Source: catalogue.json equity-factors-industry-momentum.
Residual momentum (single-factor market-model, 36m regress, t-12..t-2) (wide US stocks) (US stocks): −13.3 pts/yr, behind buy-and-hold, p=1.000. Source: catalogue.json equity-factors-residual-momentum.
Cross-sectional 12-1 month momentum (wide US stocks) (US stocks): −13.4 pts/yr, behind buy-and-hold, p=1.000. Source: Jegadeesh & Titman 1993 classic momentum factor.
Cross-sectional 12-1 month momentum (US stocks): −14.1 pts/yr, behind buy-and-hold, p=1.000. Source: Jegadeesh & Titman 1993 classic momentum factor.
Industry momentum (static GICS-sector groups, top3/bottom3) (US stocks): −14.8 pts/yr, behind buy-and-hold, p=1.000. Source: catalogue.json equity-factors-industry-momentum.
Same-calendar-month return seasonality (wide US stocks) (US stocks): −15.6 pts/yr, behind buy-and-hold, p=1.000. Source: Heston & Sadka 2008 return seasonality.
Short-term reversal (1-month) (wide US stocks) (US stocks): −17.3 pts/yr, behind buy-and-hold, p=1.000. Source: Jegadeesh 1990 short-term reversal.
Residual momentum (single-factor market-model, 36m regress, t-12..t-2) (US stocks): −18.5 pts/yr, behind buy-and-hold, p=1.000. Source: catalogue.json equity-factors-residual-momentum.
Same-calendar-month return seasonality (US stocks): −20.5 pts/yr, behind buy-and-hold, p=1.000. Source: Heston & Sadka 2008 return seasonality.
Low idiosyncratic vol (single-factor market-model residual, 1m) (wide US stocks) (US stocks): −21.0 pts/yr, behind buy-and-hold, p=1.000. Source: catalogue.json equity-factors-idio-vol-low.
Nearness to 52-week high (wide US stocks) (US stocks): −21.4 pts/yr, behind buy-and-hold, p=1.000. Source: George & Hwang 2004 52-week high momentum.
Betting against beta (price-only proxy) (wide US stocks) (US stocks): −21.4 pts/yr, behind buy-and-hold, p=1.000. Source: Frazzini & Pedersen 2014 BAB; beta vs equal-weight universe return (no FF factors available).
Short-term reversal (1-month) (US stocks): −23.0 pts/yr, behind buy-and-hold, p=1.000. Source: Jegadeesh 1990 short-term reversal.
Nearness to 52-week high (US stocks): −24.4 pts/yr, behind buy-and-hold, p=1.000. Source: George & Hwang 2004 52-week high momentum.
Low idiosyncratic vol (single-factor market-model residual, 1m) (US stocks): −25.4 pts/yr, behind buy-and-hold, p=1.000. Source: catalogue.json equity-factors-idio-vol-low.
Betting against beta (price-only proxy) (US stocks): −28.7 pts/yr, behind buy-and-hold, p=1.000. Source: Frazzini & Pedersen 2014 BAB; beta vs equal-weight universe return (no FF factors available).