Factor MAX: A New Signal for Predicting Factor Returns

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Factor MAX: A New Signal for Predicting Factor Returns

alphaarchitect

4 months ago

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Investment professionals have long relied on factor investing—strategies built around characteristics like value, momentum, and quality—to generate returns beyond the broad market. But predicting which factors will perform well in the future has remained challenging. Liyao Wang and Ming Zeng, authors of the December 2025 study “Factor MAX and Predictable Factor Returns,” introduced an intriguing predictor: factor MAX, which captures extreme daily returns within a month.

What the Researchers E...

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