Anomaly Graveyard
217 equity factor anomalies tracked pre- and post-publication using the Open Source Asset Pricing dataset (Chen & Zimmermann 2022) plus the Kenneth French Data Library. Published factors attract capital that arbitrages away their returns — the McLean-Pontiff (2016) effect. All data is freely available; no licensed sources required.
OSAP source: Chen, A. Y. & Zimmermann, T. (2022). Open Source Cross-Sectional Asset Pricing. Critical Finance Review, 11(2), 207–264. openassetpricing.com
Sharpe ratios are annualized from monthly long-short portfolio returns. IS (in-sample) = pre-publication period. OOS (out-of-sample) = post-publication period. Returns are gross of transaction costs and capacity constraints.
Not financial advice. Past factor performance does not guarantee future results.