Is there a reference anywhere that takes each factor and maps to a theme, like growth, value, momentum, etc.?
There isn't, but there's a useful classification system here: Factor Design: How to design a stock strategy - Portfolio123 Blog. Basically, here's a useful way to classify all factors into one of seven types.
- Value factors are those which compare something about a company with its per-share price, its market cap, or its enterprise value.
- Growth factors look at the year-by-year or quarter-by-quarter change in the fundamental part of a value factor. Ratio changes are not growth factors, nor are factors that are dependent on stock price.
- Quality factors are those which are based on financial statements that are neither value, growth, or stability factors (see below for the latter).
- Sentiment factors are based on analyst estimates, price targets, recommendations, short interest, institutional trading, and insider trading.
- Technical factors are based on price and/or volume, unless they favor low volatility.
- Stability factors are concerned with avoiding extreme changes and large variations. They include fundamental stability factors, like the standard deviation of quarterly sales, and technical stability factors, like share turnover, beta, or the standard deviation of returns.
- Size factors measure a company's size: some examples are market cap, daily dollar volume, assets, employees, number of analysts, etc.
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Use ChatGPT or any other model, ask them to create 5, 10 or 20 themes (or define them yourself), drop the ranking system xml and ask them to assign a theme to each factor
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Thanks both. I think the chat GPT might work. I am looking to take a download of 100+ factors from an AI test (importance) and then categorize them to build a standard ranking system and see what happens. Appreciate the suggestions.
My go-to reference is the list in this Hou et al. 2017
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2961979
Just scroll all the way down to the appendix and see Table 1
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