The correlation structure of anomaly strategies

摘要

We consolidate a large number of mean-significant anomalies into cluster portfolios. More than a third of cluster portfolios remain significant under the Hou et al. (2020) five-factor model - the best performing among six benchmark models tested. A best-first search yields nine factors that subsume all cluster portfolios as well as all significant anomalies, demonstrating the feasibility of a parsimonious description of average realised returns. The expected growth factor (EG) and a cluster portfolio linked to accruals are prominent factors that improve pricing performance. The search-generated model produces a monthly maximum squared Sharpe ratio of 0.51, considerably higher than current benchmark models. (C) 2020 Elsevier B.V. All rights reserved.