Classify Your Factors

I have been giving some thought to different types of factor categories and how to come up with new ways to classify each factor. Doing this - in my opinion - is vital to creating a robust strategy. The tricky part is that categorization is within the domain of subjectivity. Most quantitatively oriented investors don't like that. They would much rather come up with a new factor or a new objective way on how to 'up their Sharpe ratio'. To those 'quanty'-types, I usually share a definition of mathematics, which is the study that creates order out of chaos. That is exactly what we are also doing when we are putting our factors in categories.