---
title: The Omitted Sector: Factor Investing in Financials
url: https://www.ml-quant.com/papers/ssrn/7682039/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-11-14
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7682039
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7682039
featured: 2026-11-13
citations: unknown
topic: Asset Pricing & Factors
---


# The Omitted Sector: Factor Investing in Financials

Financial institutions excluded from factor studies show meaningful factor premiums; including them with adapted definitions improves risk-adjusted portfolio returns.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7682039
- Identifier: SSRN 7682039
- Released: 2026-11-09
- First featured: Quant Letter No. 139 (2026-11-13): https://www.ml-quant.com/issues/2026-11-13/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Asset Pricing & Factors
- Authors: Guido Baltussen, Ali Moin, Bart van Vliet, Milan Vidojevic

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