Stock market anomalies have been long researched by academia and used by practitioners. Factor-based allocation has been shown to provide... Show moreStock market anomalies have been long researched by academia and used by practitioners. Factor-based allocation has been shown to provide better diversification and risk-adjusted returns than the more traditional portfolio approaches. Numerous studies have shown traditional factors such as value, size, and profitability are effective in a cross-sectional fashion, meaning they are effective to all sections. It is found that the factor-return link is not robust across different sectors. Based on this observation, some stylized factor-based investing strategies are refined to improve the return performance measured by risk-adjusted metrics. Further analysis of the firm age moderation effect on the prediction power of profitability over stock return is explored. It is shown that firm age could have a significant moderation effect on the academically proven profitability factor. Show less
