{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,30]],"date-time":"2026-09-30T14:55:45Z","timestamp":1790780145278,"version":"4.1.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Factor investing has traditionally been evaluated through portfolio performance measures such as return, risk, and risk-adjusted return. However, comparatively less attention has been devoted to whether factor effectiveness persists through time. This study investigates the temporal stability of multi-factor stock-selection strategies and examines whether persistence provides information beyond conventional performance evaluation. Using quarterly data for CSI 300 constituent stocks from 2006Q2 to 2025Q2, five investment characteristics-price-to-book ratio (PB), return on equity (ROE), market value (MV), Beta, and momentum (MOM)-are implemented through the directional components Low PB, High ROE, High MV, Low Beta, and REV, where REV denotes the reversal-oriented transformation of MOM. A simplex-centroid mixture design is used to evaluate constrained factor-weight combinations, and second-order Scheff\u00e9 mixture regressions estimate pure-component responses and pairwise departures from linear blending. Temporal stability is examined across three complementary dimensions: historical subperiods, market states, and holding horizons. The estimated profiles suggest that temporal stability is multidimensional and that, within this sample, main effects generally show greater descriptive continuity than interaction effects. Within the present sample and empirical design, High MV displays the broadest cross-dimensional consistency, whereas Low PB combines strong historical and holding-horizon persistence with pronounced market-state dependence. High ROE exhibits conditional persistence with historical weakening, Low Beta shows a conditional defensive profile, and Reversal Effect (REV) shows marked variation across market states and a negative R1 mean-return estimate followed by positive estimates from R2 onward. Pairwise interactions are generally more temporally conditional than main effects and frequently weaken, become concentrated in particular environments, or change sign across temporal settings. This study contributes to the factor-investing literature by introducing temporal stability as a complementary evaluation criterion, integrating three dimensions of persistence within a common empirical framework, and extending mixture-design methodology from the evaluation of constrained factor combinations to the analysis of their temporal behavior. The findings indicate that factor robustness depends not only on full-sample performance but also on the dimensions and conditions under which estimated effects persist.<\/jats:p>","DOI":"10.2139\/ssrn.7539040","type":"posted-content","created":{"date-parts":[[2026,9,30]],"date-time":"2026-09-30T14:04:11Z","timestamp":1790777051000},"source":"Crossref","is-referenced-by-count":0,"title":["Beyond Performance: Exploring the Temporal Stability of Factor Combinations in Factor Investing"],"prefix":"10.2139","author":[{"given":"William","family":"Ng","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1051-7607","authenticated-orcid":true,"given":"I-Cheng","family":"Yeh","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,9,30]],"date-time":"2026-09-30T14:04:11Z","timestamp":1790777051000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7539040"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7539040","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}