Alpha Architect explores the growing debate around factor investing through an extended discussion with Lu Zhang, whose research challenges the durability of many published anomalies. The piece questions whether hundreds of academic factors survive replication once micro caps, data mining, and implementation realities are addressed.
Factor Investing with Factor Expert Lu Zhang
Alpha Architect
Wesley Gray
Research
12 Pages
Key Takeaways
Replication Crisis Debate: Researchers replicated 447 published anomalies over nearly 3 years and found many weakened significantly outside micro cap stocks.
Micro Cap Dependence: Critics argued anomaly performance was heavily concentrated in small caps, echoing findings first highlighted by Fama and French in 2008.
Global Testing Push: Zhang discussed ongoing work on “Global q-factors,” emphasizing international datasets after decades of research relying primarily on U.S. data since 1962.
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