FYI: In our book, “Your Complete Guide to Factor-Based Investing,” Andrew Berkin and I establish five criteria (persistence, pervasiveness, robustness to various definitions, implementability, and intuitive risk- or behavioral-based explanations for why we should expect performance to persist) that allowed us to reduce John Cochrane’s “zoo” of factors from the roughly 600 in the literature to just a small number.
Regards,
Ted
https://www.etf.com/sections/index-investor-corner/swedroe-trading-cost-truths?nopaging=1
