FactorBench: A Portfolio-Aware Benchmark for Automated Factor Mining

Excerpt

arXiv:2610.06947v1 Announce Type: cross Abstract: Factor mining seeks to discover signals from financial data that predict future asset returns and guide portfolio construction. Automated factor mining now spans genetic programming, reinforcement learning, generative models, and large language model agents. Yet it remains unclear whether advances across these paradigms yield more generalizable, distinct, and economically useful financial signals. We introduce FactorBench, a portfolio-aware bench