https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3646417
Academics catching up 
https://interactinganomalies.com/
Interesting finds:
Short term Reversal + Illiquidity
6 Month Momentum + Short term Reversal
What is interesting to compare that what we are using in our ranking systems →
Low Size
Low Liquidity
Momentum
Industry Momentum
Positive EPS Revisions
Accruals
enhanced Value (not Book to Value but EV/FCF EV/EBITA etc.)
Short Term Reversals
Rank Momentum
EPS Momentum
Betting against Beta (as a short system completing the long book in difficult economic regimes)
etc. etc.
…all in one Ranking system weekly rebalanced…
only to name a view!
But still interesting that academics catch up and start to use multifactor ranking (outside of Fama 3-5 and other factor combination models…
Biggest Problem of cause is the cheer massive possibilities of combinations (esp. if long and short systems combined in one book).
From my work I can say:
Long Short books: 30% yearly performance and around 20% max DD. (Backtest!!! OOS around 6 Months)
Long only book: around 50-60% performance and around 40%-50% max. DD. (Backtest!!! OOS around 1 Year)
That seems to be the (or better my) limit after testing 1000s of combinations…
So now I am hitting a wall and I can not get better models, even in combining them in books.
To me that is a bit frustrating, love the research, but seem to hit a wall…
Well, well I guess its execution time…
Thanks - looks interesting!
I stumbled over this link on twitter, looks like something similar: link.