Some links and summary about factor investing

Want to Learn More About Factor Investing? Read This.
Replicating Anomalies
Takeaways from a Non-PHD who Powered Through a 144-page Factor Investing Paper
Factor Investing Insights You Won’t Hear from Fama and French


Key takeaways

1. low rebalance frequency
2. "momenum" works
3. R&D Intensive Firms Have Strong Performance
4. some "value" works, such as enterprise multiples, book-to-market. But all dividend related metrics just don't work.
5. performance of "equal weight" is better than "market cap weight". However, "scalability" and "cost" must be considered in implementation.
6. The best factor the author chose
1. Roe, with monthly sorts on quarterly earnings scaled by one-quarter-lagged book equity. (need to figure out the definition)
7. how about 2 factors?
1. Low investment and high Roe.
2. investment-to-assets below the bottom 30th percentile
3. Roe above the top 30th percentile at NYSE
4. This make economic sense(capital efficiency), but why these information was not priced in???
8. one more factor - high expected growth
1. measured with high cash flows and fast improving Roe