Factor Analysis Using P123 Data to address this question: Two Interesting examples of this approach that may begin to address the usefulness of two particular factor categories.
I've conducted some factor analysis on the S&P 500 universe over the past year that might be relevant to this discussion:
- A latent factor combining multiple EBITDA/EV features: (First chart showing strong performance in top quantile with 49.09% return)
- A latent factor focused on analyst revisions:
(Second chart showing relatively flat performance across quantiles with top quantile around 30.94% which is not better than the benchmark)
Interestingly, my results for analyst revisions for large-caps differ from those discussed in this P123 community post. Interesting article on factor investing (with props to P123).
This is just a quick example of an analytical approach to this question--using factor analysis--that is incomplete at best. I find the approach more useful than any debate about particular factors. I could be wrong about what factors have been best over this last year using this quick analysis. But I think the method has the potential of providing an objective, analytical result.