A factor is a rule for ranking securities. Momentum ranks by trailing return; low volatility ranks by trailing realized volatility. The rule itself is public knowledge and nothing to be proud of. What matters is whether the ranking is built correctly and whether it has done, out of sample and after costs, what the literature says it should.
Marnello applies four tests before a factor is presented as a source of return. A Fama-MacBeth cross-sectional regression has to show a risk premium with a t-statistic above 2. Decile portfolios have to show a positive top-minus-bottom spread in a holdout period that was not used to build the factor. The spread has to survive 20 basis points per side of transaction cost. And the in-house series has to correlate with the corresponding public benchmark from the Kenneth R. French Data Library, so that anyone can check the construction independently.
A factor that fails is still computed and reported, because a client's exposure to it is a fact about their portfolio whether or not the factor earns a premium. It is simply labeled as a risk descriptor rather than a return source. In our September 2026 demo build, only 1 of 4 factors passed on the free-data universe. That is written in the validation record, not smoothed over.