Alpha factors are built to perform well over time, on average. There are instances when they do not, and knowing these instances ex ante can be a significant source of added value for investors. We argue that factor failure is a function of its broad risk and propose appropriate variables to...

We develop a hybrid model that relies on the nonlinear classification Decision Tree (DT) approach but also on multivariate predictive regressions to aid implement a size rotation strategy in the U.S. equity markets. Our investment prediction is derived with a two-stage algorithm. In the first...